Unit Roots, Cointegration, and Structural Change: Themes in Modern Econometrics
Autor G. S. Maddala, In-Moo Kimen Limba Engleză Paperback – 20 ian 1999
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Specificații
ISBN-13: 9780521587822
ISBN-10: 0521587824
Pagini: 524
Ilustrații: 21 tables
Dimensiuni: 151 x 233 x 28 mm
Greutate: 0.69 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Themes in Modern Econometrics
Locul publicării:Cambridge, United Kingdom
ISBN-10: 0521587824
Pagini: 524
Ilustrații: 21 tables
Dimensiuni: 151 x 233 x 28 mm
Greutate: 0.69 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Themes in Modern Econometrics
Locul publicării:Cambridge, United Kingdom
Cuprins
Figures; Tables; Preface; Part I. Introduction and Basic Concepts; 1. Introduction; 2. Basic concepts; Part 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; Part 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; Part 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; Appendix I. A brief guide to asymptotic theory; Author index; Subject index.
Recenzii
"This well-written book is sure to become a must-read for empirical researchers as well as upper-level graduate students who are contemplating dissertation work in theoretical time series econometrics...This book is a welcome addition to books on time series analysis." Mathematical Reviews
Descriere
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.