Unit roots, cointegration, and structural change / G.S. Maddala, In-Moo Kim.

Includes bibliographical references and indexes.

Contents Figures Tables Preface Pt. I Introduction and basic concepts 1.Introduction 2.Basic concepts Pt. 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 Pt. 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 Pt. 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 App. 1 A brief guide to asymptotic theory Author index Subject index