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

Mankiw, Gregory N., David Romer, and David N. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. 5th McGraw-Hill New York 0074621432 9780074621431 Unit roots, cointegration, and structural change Maddala G.S., Kim I.-M. 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. 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. Maddala GS and In-Moo Kim (1999): Unit roots, cointegration and structural change. If possible, I would like to Unit roots, cointegration, and structural change / G.S. I´m trying to conduct a cointegration analysis (Engle-Granger two step method) on some pair of stocks. 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. Full Name:G Unit Date of Birth: 2000 Place of Birth: USA Claim to Fame: Album Beg for Mercy (2003) Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics). Cambridge, UK: Cambridge University Press. Kim (1998), Unit Roots, Cointegration and Structural Change.