Unit Roots, Cointegration, and Structural Change

DOI10.1017/CBO9780511751974zbMath0941.62126OpenAlexW1502173616MaRDI QIDQ4951128

In-Moo Kim, G. S. Maddala

Publication date: 2 May 2000

Full work available at URL: https://doi.org/10.1017/cbo9780511751974

zbMATH Keywords

bootstrapoutliersBayesian analysiscointegrationunit rootserror correctionstructural changeregime switching modelsfractional unit rootscointegrated systemsI(2)-processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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