Time series analysis has undergone many changes during recent years with the advent of unit roots and cointegration. This textbook by G. S. Maddala and In-Moo Kim is based on a successful lecture program and provides a comprehensive review of these topics as well as structural change. G. S. Maddala is one of the most distinguished writers of graduate and undergraduate econometrics textbooks today and Unit Roots, Cointegration and Structural Change represents a major contribution that will be of interest both to specialists and graduate and undergraduate students.
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"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
Book Description
Time series analysis has undergone many changes during recent years with the advent of unit roots and cointegration. This textbook by G. S. Maddala and In-Moo Kim is based on a successful lecture programme and provides a comprehensive review of these topics as well as of structural change. G. S. Maddala is one of the most distinguished writers of graduate and undergraduate econometrics textbooks today and Unit Roots, Cointegration and Structural Change represents a major contribution to Themes in Modern Econometrics, of interest both to specialists and graduate and undergraduatestudents.
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27 of 27 people found the following review helpful:
4.0 out of 5 stars
interesting topic,
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This review is from: Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics) (Paperback)
This is a book on specialized topics in econometric modeling. Like Franses recent book it deals with ARIMA models with unit roots and advances in the theory of cointegration. This book is somewhat advanced but is perfect for the right audience, the statisticians and econometricians that deal with time series modeling (univariate and multivariate ) and structural equation modeling.
The asymptotic theory is well covered but the unique feature of the book is that it points out that the asymptotics can give very poor approximations in small to moderate sample sizes. The authors provide alternatives including the use of the bootstrap for standard error estimates, confidence bounds and hypothesis testing (particularly tests for unit roots). It is clear and covers the important literature. Much like Franses book it covers bootstrap and Bayesian methods and really does provide a current and useful approach to important problems and methodology in econometrics. It could be used for a special topics graduate course or as a supplement to a graduate course in econometrics.
15 of 17 people found the following review helpful:
5.0 out of 5 stars
Intuition behind modern time series analysis,
This review is from: Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics) (Paperback)
This book is extremely well written. It gives a good intuition behind unit roots and cointegration. It tells us to be critical when it comes to unit roots and cointegration; they are not very powerful in a statistical sense. The authors warn of using such techniques blindly. This book is a good start for an intuitive feel after a tough Time Series course where one is all entangled in sophisticated statistical techniques.It is also a good book for the professional economist not very knowlegeable in time series econometrics. I personally learned a lot from that book and it increased my critical capacity when it comes to econometrics.
21 of 25 people found the following review helpful:
1.0 out of 5 stars
the worst book I have ever had!,
By A Customer
This review is from: Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics) (Paperback)
I was required to read this book as a part of my field course in econometrics. The book is full of mistakes, especially on asymptotic distributions of estimators. Since the properties of these estimators of unit root tests depend on those asymptotic distributions, this kind of mistake is crucial. Also, the results they derive are sometimes misleading and other times even outright wrong! This book is a mere survey of papers other people wrote and not a good one at that. In summary, do not spend your money on this book!
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Inside This Book
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First Sentence:
The purpose of this chapter is to introduce several terms that will be used repeatedly in the subsequent chapters, and to explain their meaning. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
superfluous regressors, panel data unit root tests, stochastic cointegration, substantial size distortions, seasonal cointegration, fractional unit roots, skip sampling, double unit roots, point null hypotheses, fractional alternatives, model with drift, seasonal unit roots, finite sample evidence, unit root model, uncertain unit roots, fractional cointegration, regime switching models, unit root null, periodic autoregression, cointegrating regression, cointegrated systems, structural time series models, unit root case, moving block bootstrap, single equation methods Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Economic Statistics, Journal of Econometrics, Econometric Theory, Economics Letters, Oxford Bulletin, Annals of Statistics, Dickey Fuller, Journal of the American Statistical Association, Springer Verlag, Cambridge University Press, Department of Economics, Engle Granger, Journal of Monetary Economics, Economic Journal, Markov Switching Models, New Approach, Academic Press, Alonte Carlo, John Wiley, Journal of Applied Econometrics, Journal of Finance, Max Chow, Annals of Mathematical Statistics, Econometric Institute New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
The purpose of this chapter is to introduce several terms that will be used repeatedly in the subsequent chapters, and to explain their meaning. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
superfluous regressors, panel data unit root tests, stochastic cointegration, substantial size distortions, seasonal cointegration, fractional unit roots, skip sampling, double unit roots, point null hypotheses, fractional alternatives, model with drift, seasonal unit roots, finite sample evidence, unit root model, uncertain unit roots, fractional cointegration, regime switching models, unit root null, periodic autoregression, cointegrating regression, cointegrated systems, structural time series models, unit root case, moving block bootstrap, single equation methods Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Economic Statistics, Journal of Econometrics, Econometric Theory, Economics Letters, Oxford Bulletin, Annals of Statistics, Dickey Fuller, Journal of the American Statistical Association, Springer Verlag, Cambridge University Press, Department of Economics, Engle Granger, Journal of Monetary Economics, Economic Journal, Markov Switching Models, New Approach, Academic Press, Alonte Carlo, John Wiley, Journal of Applied Econometrics, Journal of Finance, Max Chow, Annals of Mathematical Statistics, Econometric Institute New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 21
books:
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18
books
cite this book:
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- Time Series (International Library of Critical Writings in Econometrics) by Andrew C. Harvey on 6 pages
- What If? by Aaron Phillips on page 59, and page 333
- Convergence of Probability Measures (Wiley Series in Probability and Statistics) by Patrick Billingsley on page 92, and Back Matter
- Introduction to Statistical Time Series (Wiley Series in Probability and Statistics) by Wayne A. Fuller on page 94, and page 244
- Time Series Analysis: Forecasting & Control (3rd Edition) by George Box in Front Matter, and page 42
See all 21 books this book cites
- Applied Time Series Econometrics (Themes in Modern Econometrics) by Helmut Lütkepohl in Front Matter, and Back Matter
- Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) by Frank J. Fabozzi CFA on page 479, and page 567
- The Econometric Analysis of Seasonal Time Series (Themes in Modern Econometrics) by Eric Ghysels in Front Matter
- Environmental Valuation: Interregional And Intraregional Perspectives (Urban Planning and Environment) (Urban Planning and Environment) by John I. Carruthers on page 24
- Essays on Balance of Payments Constrained Growth: Theory and Evidence (Routledge Studies in Development Economics) by John McCombie in Back Matter
See all 18 books citing this book
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