Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala and Kim present a comprehensive review of these important developments and examine structural change. The volume provides an analysis of unit root tests, problems with unit root testing, estimation of cointegration systems, cointegration tests, and econometric estimation with integrated regressors. The authors also present the Bayesian approach to these problems and bootstrap methods for small-sample inference. The chapters on structural change discuss the problems of unit root tests and cointegration under structural change, outliers and robust methods, the Markov-switching model and Harvey's structural time series model. Unit Roots, Cointegration and Structural Change is a major contribution to Themes in Modern Econometrics, of interest both to specialists and graduate and upper-undergraduate students.
• Author (Maddala) has track record of massive sales success, including sales of 15,000 of previous book with the Press • A truly user-friendly textbook, which has been classroom tested as part of a successful lecture programme • Omission of intricate maths makes the book ideal for practitioners
Figures; Tables; Preface; Part I. Introduction and Basic Concepts; 1. Introduction; 2. Basic concepts; Part II. Unit Roots and Cointegration: 3. Unit roots; 4. Issues in unit root testing; 5. Estimation of cointegrated systems; 6. Tests for cointegration; 7. Econometric modeling with integrated regressors; Part III. Extensions of the Basic Model: 8. The Bayesian analysis of stochastic trends; 9. Fractional unit roots and fractional cointegration; 10. Small sample inference: bootstrap methods; 11. Cointegrated systems with I(2) variables; 12. Seasonal unit roots and seasonal cointegration; Part IV. Structural Change: 13. Structural change, unit roots and cointegration; 14. Outliers and unit roots; 15. Regime switching models and structural time series models; 16. Future directions; Appendix I. A brief guide to asymptotic theory; Author index; Subject index.