The area of unit roots, cointegration, and structural change has been an area of intense and active research during the past decade. Developments have been proceeding at a fast pace. However, almost all the books are technically oriented and do not bring together the different strands of research in this area. Even if many new developments are going to take place, we thought it is time to provide an overview of this area for the benefit of empirical as well as theoretical researchers. Those who are doing empirical research will benefit from the comprehensive coverage of the book. For those who are doing theoretical research, particularly graduate students starting on their dissertation work, the present book will provide an overview and perspective of this area. It is very easy for graduate students to get lost in the intricate algebraic detail of a particular procedure and lose sight of the general framework their work fits in to.

Given the broad coverage we have aimed at, it is possible that we have missed several papers. This is not because they are not important but because of oversight and/or our inability to cover too many topics.

To keep the book within reasonable length and also to provide accessibility to a broad readership, we have omitted the proofs and derivations throughout. These can be found by interested readers in the papers cited. Parts of the book were used at different times in graduate courses at the University of Florida, the Ohio State University, Caltech, State University of New York at Buffalo, and Sung Kyun Kwan University in Korea.