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

Unit roots, cointegration, and structural change



Unit roots, cointegration, and structural change download




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


Unit.roots.cointegration.and.structural.change.pdf. Cambridge, UK: Cambridge University Press. 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. Keywords: Fiscal Sustainability, Panel Unit Root tests, Panel Cointegration tests, Structural. JEL Classification: C22, C23, H62. Today yet again, I got a glimpse of it while reading Unit Roots, Cointegration, and Structural Change by G. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. Kim (1998), Unit Roots, Cointegration and Structural Change. 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. 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.