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
Format: djvu
Publisher: CUP
Page: 524
ISBN: 0521582571,

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. Unit Roots, Cointegration, and Structural Change Average Reviews: (More customer reviews)This is a book on specialized topics in econometric modeling. 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. €Three Essays on Unit Roots, Cointegration, and Structural Changes”. Cambridge, UK: Cambridge University Press. Kim (1998), Unit Roots, Cointegration and Structural Change. Unit Roots and Structural Change An Application to US House Price Unit Roots and Structural Change An Application to US House Price Indices Giorgio Canarella tests provide the starting point for cointegration analysis. 5th McGraw-Hill New York 0074621432 9780074621431 Unit roots, cointegration, and structural change Maddala G.S., Kim I.-M. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. If possible, I would like to Unit roots, cointegration, and structural change / G.S. First position: Korea Tax Institute, Korea. Present position: Korea Tax Institute, Korea. I´m trying to conduct a cointegration analysis (Engle-Granger two step method) on some pair of stocks.