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Unit roots, cointegration, and structural change

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

Unit roots, cointegration, and structural change



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


Cambridge, UK: Cambridge University Press. Mankiw, Gregory N., David Romer, and David N. 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). In addition, it enables retention of the important information contained in 'levels' changes are passed on to the local currency prices of traded goods. 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. Kim (1998), Unit Roots, Cointegration and Structural Change. JEL Classification: C22, C23, H62. Maddala GS and In-Moo Kim (1999): Unit roots, cointegration and structural change. Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Structural changes taking place in the economies in the region and the likely time- .. Keywords: Fiscal Sustainability, Panel Unit Root tests, Panel Cointegration tests, Structural. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. This monograph provides an insightful analysis of dynamic modelling in econometrics by bridging the structural with the time series approaches, and by focusing on representation theorems of integrated processes. The variables are tested for unit roots using the traditional ADF test, but to ensure. The cointegration approach provides a coherent means by which to deal with the inherent non-stationarity of the variables of interest in a simultaneous framework.

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