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Unit roots, cointegration, and structural change by Maddala G.S., Kim I. M.

Unit roots, cointegration, and structural change Maddala G.S., Kim I. M. ebook
Page: 524
ISBN: 0521582571,
Format: djvu
Publisher: CUP

323、 Maddala and Kim(1998), Unit Roots, Cointegration and Structural Change. Unit Roots, Cointegration, and Structural Change Average Reviews: (More customer reviews)This is a book on specialized topics in econometric modeling. In addition, it enables retention of the important information contained in 'levels' changes are passed on to the local currency prices of traded goods. Adding the lagged variables (usually at the rate corresponding to n/3, where n is the sample size) removes distortions to the level of statistical significance but lowers the power of the test to detect a unit root when one is present. The variables are tested for unit roots using the traditional ADF test, but to ensure. Kim (1998), Unit Roots, Cointegration and Structural Change. Cambridge, UK: Cambridge University Press. 99、 Chandler(1962), Strategy and Structure: Chapters in the History of Industrial Enterprise. Structural changes taking place in the economies in the region and the likely time- .. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the structural with the time series approaches, and by focusing on representation theorems of integrated processes. Her book is a good introduction, and there is additionally (the rather dry) Hamilton chapters on it, or Maddala's "Unit Roots, Cointegration, and Structural Change." The later, I think, is a really good book but is dated. The cointegration approach provides a coherent means by which to deal with the inherent non-stationarity of the variables of interest in a simultaneous framework.