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

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

In addition, it enables retention of the important information contained in 'levels' changes are passed on to the local currency prices of traded goods. 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. 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. Maddala GS and In-Moo Kim (1999): Unit roots, cointegration and structural change. The variables are tested for unit roots using the traditional ADF test, but to ensure. Kim (1998), Unit Roots, Cointegration and Structural Change. Cambridge, UK: Cambridge University Press. Unit roots, cointegration, and structural change. Structural changes taking place in the economies in the region and the likely time- .. Unit.roots.cointegration.and.structural.change.pdf. 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. Keywords: Fiscal Sustainability, Panel Unit Root tests, Panel Cointegration tests, Structural. Mankiw, Gregory N., David Romer, and David N. JEL Classification: C22, C23, H62. There is a difference between forecasting with trend-stationary (TS) and Maddala, G.