Unit Roots, Cointegration, and Structural Change (Themes in Modern Econometrics)

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 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.

Customer Reviews:

Very Helpful.......2007-01-11

This book is very helpful in case that your aim is to construct a basement for unit root and cointegration study. The language of the book is clear and easy to follow. Besides the introduction and explanation of different methods, it compares different methods by using recent empirical studies.

Very good high level introduction book.......2005-12-18

This book gives very good high level semi-technical review and introduction on the many different techniques in the areas of unit root and cointegration. This is a good starting point if you want to get into this new area. It also lists quite complete references based on which you can start your development and research work.

modern econometrics with latest developments.......2001-07-03

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.

Excellent Book.......2000-08-19

Excellent book

This one of the best book about cointegration.

Intuition behind modern time series analysis.......2000-04-24

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.

Time Series, Unit Roots, and Cointegration

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No Compromise Time Series Book

Time Series, Unit Roots, and Cointegration
Phoebus Dhrymes
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

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ASIN: 0122146956

Book Description

This book addresses the need for a high-level analysis of unit roots and cointegration. Time Series, Unit Roots, and Cointegration integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, spectral density function, and cointegration. The book also includes topics that are important for understanding recent developments in the estimation and testing of cointegrated nonstationary sequences, such as Brownian motion, stochastic integration, and central limit theorems.

Key Features
* Explores an important topic in time-series econometrics
* Addresses the need for a high-level analysis of unit roots and cointegration
* Written by an excellent expositor

Customer Reviews:

No Compromise Time Series Book.......2001-10-20

When I was reading this book, it was still a LaTex draft... This book is very hard in the sense that it requires a fairly good knowledge of measure theory. Certainly not for undergraduates or even graduate students not doing econometrics as a "field". Excellent discussion of cointegration.

Introduction to Modern Time Series Analysis

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Introduction to Modern Time Series Analysis
Gebhard Kirchgässner , and Jürgen Wolters
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 354073290X

Book Description

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It attempts to bridge the gap between methods and realistic applications. This book contains the most important approaches to analyse time series which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series Granger causality tests and vector autoregressive models are presented. For real applied work the modelling of nonstationary uni- or multivariate time series is most important. Therefore, unit root and cointegration analysis as well as vector error correction models play a central part. Modelling volatilities of financial time series with autoregressive conditional heteroskedastic models is also treated.

Time-Series-Based Econometrics 'Unit Roots and Cointegration' (Advanced Texts in Econometrics)

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Time-Series-Based Econometrics 'Unit Roots and Cointegration' (Advanced Texts in Econometrics)
Michio Hatanaka
Manufacturer: Oxford University Press(UK)
ProductGroup: Book
Binding: Paperback

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ASIN: 0198773536

Book Description

In the last decade, time-series econometrics has made extraordinary developments on unit roots and cointegration. However, this progress has taken divergent directions, and has been subjected to criticism from outside the field. In this book, Professor Hatanaka surveys the field, examines those portions that are useful for macroeconomics, and responds to the criticism. His survey of the literature covers not only econometric methods, but also the application of these methods to macroeconomic studies. The most vigorous criticism has been that unit roots to do not exist in macroeconomic variables, and thus that cointegration analysis is irrelevant to macroeconomics. The judgement of this book is that unit roots are present in macroeconomic variables when we consider periods of 20 to 40 years, but that the critics may be right when periods of 100 years are considered. Fortunately, most of the time series data used for macroeconomic studies cover fall within the shorter time span. Among the numerous methods for unit roots and cointegration, those useful from macroeconomic studies are examined and explained in detail, without overburdening the reader with unnecessary mathematics. Other, less applicable methods are dicussed briefly, and their weaknesses are exposed. Hatanaka has rigourously based his judgements about usefulness on whether the inference is appropriate for the length of the data sets available, and also on whether a proper inference can be made on the sort of propositions that macroeconomists wish to test. This book highlights the relations between cointegration and economic theories, and presents cointegrated regression as a revolution in econometric methods. Its analysis is of relevance to academic and professional or applied econometricians. Step-by-step explanations of concepts and techniques make the book a self-contained text for graduate students.

Local power functions of tests for double unit roots (Discussion paper)

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Local power functions of tests for double unit roots (Discussion paper)
Niels Haldrup
Manufacturer: University of California, San Diego, Dept. of Economics
ProductGroup: Book
Binding: Unknown Binding

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ASIN: B0006RPV5G

On the robustness of unit root tests in the presence of double unit roots (Discussion paper)

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On the robustness of unit root tests in the presence of double unit roots (Discussion paper)
Niels Haldrup
Manufacturer: University of California, San Diego, Dept. of Economics
ProductGroup: Book
Binding: Unknown Binding

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Book Description

Fisheries genetics researchers will find invaluable the thirty-eight peer-reviewed contributions in this book, presented at the 20th Lowell Wakefield Fisheries Symposium "Genetics of Subpolar Fish and Invertebrates," held in May 2002 in Juneau, Alaska.

Looming over concerns of lost fisheries stocks and persistent erosion of genetic variability are predictions of global warming, which may further tax genetic resources. One consequence is an increased reliance on genetic applications to many aspects of fisheries management, aquaculture, and conservation.

The contributions in this book are important to modern fisheries science and genetics, and illustrate the evolution of the field over the past decade. The improved technology provides tools to address increasingly complicated problems in traditional applications and ecological and behavioral studies. The union between molecular and quantitative genetics, where many of the major questions about population structure and evolution remain unanswered, will also benefit from the new technologies.

Book Description

A labor of love and enthusiasm as well as deep scientific knowledge, Right Hand, Left Hand takes the reader on a trip through history, around the world, and into the cosmos, to explore the place of handedness in nature and culture. Chris McManus considers evidence from anthropology, particle physics, the history of medicine, and the notebooks of Leonardo to answer questions like: Why are most people right-handed? Are left-handed people cognitively different from right-handers? Why is the heart almost always on the left side of the body? Why does European writing go from left to right, while Arabic and Hebrew go from right to left? Why do tornadoes spin counter-clockwise in the northern hemisphere and clockwise in the southern hemisphere? And how do we know that Jack the Ripper was left-handed?

McManus reminds readers that distinctions between right and left have been profoundly meaningful--imbued with moral and religious meaning--in societies throughout history, and suggests that our preoccupation with laterality may originate in our asymmetric bodies, which emerged from 550 million years of asymmetric vertebrate evolution, and may even be linked to the asymmetric structure of matter. With speculations embedded in science, Right Hand, Left Hand offers entertainment and new insight to scientists and general readers alike.

Customer Reviews:

A fascinating exploration of right and left.......2007-03-09

This book definitely makes one pay more attention to asymmetry and what it means. The book is full of very interesting research, characters,and anedoctes, and it definitely tickle one's curiosity about the whole topic. I am left-handed, but I think that right-handed people would be just as interested, also because handedness is by no means the only asymmetry explored here.
I had only two (small) problems with this book: the author proposes his genetic model for handedness stating that it is a hypothetical model. Later in the book, however, he seems to take the model a bit too much as if it were real. And the final few chapters seem a bit rushed, compared to the initial ones. All in all, a good and interesting read.

wonderful.......2006-01-19

excellent read for anyone who loves learning fascinating things about the world, things they never even fathomed. more than just a book for, or about, left-handedness, this book is accessible, smart, funny, and gripping.

Very interesting for both left & right handers.......2004-03-24

I'm a 'lefty', 'southpaw', 'cack-handed' etc. My daughter bought me this for my birthday. It was a very interesting read.

The only downside was that some of the chapters seemed too long, at over 30 pages? There were points when the topic of the chapter seemed exhausted, and was strung out, and on more than one occasion my interest waned, only to perk up on the next page when some new issue was introduced, and off we went again?

What I liked best was the little anecdotes, like how it took years for Canada to decide whether to drive on the Left or the Right, with British Columbia & the Maritime Provinces not changing over until after the First World War, and then still over a number years between 1920 and 1924. Similarly how Western & Eastern Austria drove on different sides of the road until 1938.

A fascinating read.

Left-Right Symmetries in Baseball and Physics.......2003-08-19

As a left-hand thrower in baseball and right-footed kicker in American football in my youth, I was fascinated by the enormous amount of information on left-right asymmetries presented by the erudite Professor McManus. However my confidence in the validity of the flood of information from his extraordinarily broad set of sources was marred by finding the Professor dead wrong on contributions from the two small areas that I know better than he does -- baseball and parity in physics.
The main advantage of batting left-handed is not due to that batter being closer to first base but to the easier job the left-swinger has in hitting a right-hand pitcher's curve ball. And switch-hitters do not have an "advantage because of the unpredictability of their shot making" but because, batting left-handed against right-handed pitchers and right-handed against left-handed pitchers, they hit curve balls better.
Also, the "asymmetry" in the force on a compass needle near a current that McManus considers that Oersted ignored in early failures to detect that force in the infancy of physics, vanishes if the experimenter uses a current to makes his own magnetized needle. Indeed, it was just that left-right symmetry of electromagnetic forces that led physicists to believe that it was likely that the other fundamental forces would be similarly
symmetric. Hence, the violation of that left-right "parity" symmetry which Yang and Lee postulated and that Wu, Ambler, and others demonstrated, was very important. I agree with McManus that the "mistake" that he describes is "incredible", but it is his mistake and not that of physicists.

Great Read.......2003-01-10

This book is easy to read and penetrates to great depth on large numbers of subject. A well written and interesting argument, the author manages to link a wide range of arguments. I really enjoyed this book.

Book Description

This book addresses the biological effects of the reasonably large number of classes of compounds that have been recognized as endocrine disrupters. These compounds have been found to persist as pollutants in the environment, and have been blamed for causing developmental disorders and/or fertility problems in fish, amphibians, reptiles, birds, and possibly humans. This book presents the relevant fundamentals of the endocrine systems of animals and humans, the toxicology, developmental toxicology, ecology, and risk assessment methods, and lays out the current state of understanding for the whole field, organized by the classes of compounds that have been identified as endocrine disrupters.

Endocrine Disruption : Biological Bases for Health Effects in Wildlife and Humans

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Endocrine Disruption : Biological Bases for Health Effects in Wildlife and Humans
David O. Norris
Manufacturer: Oxford University Press, USA
ProductGroup: Book
Binding: Paperback
ASIN: B000OKG23U

Book Description

The definitive guide to building this classic watercraft. (SEE QUOTE.)

Customer Reviews:

Great book for those interested in how canoes are made.......1998-04-23

I read the book because I wanted to know how wood and canvas canoes are made. This was the book recommended by a friend that has four wood and canvas canoes. I found it to be a straight forward book on how to make a canoe starting from selecting the wood, to stretching on the canvas. Every step was explained as if your father was teaching you the family business.

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Building the Maine Guide Canoe
Jerry Stelmok
Manufacturer: Lyons & Burford
ProductGroup: Book
Binding: Paperback
ASIN: B000KEVMAI

Book Description

In Days to Celebrate Lee Bennett Hopkins has collected an astounding array of information to show us that each day of the year gives us a reason to celebrate. For every month he has compiled a calendar of birthdays, holidays, historic events, inventions, world records, thrilling firsts, and more.

And for every month he has selected surprising poems in honor of some of the people and events commemorated in the calendar. There are poems about the seasons and holidays, of course, but there are also poems about a "Flying-Man" (for February 4, Charles Lindbergh's birthday), birds (for April 26, John James Audubon's birthday), windshield wipers (patented November 10), and earmuffs (patented December 21).

Beloved poets, such as Walt Whitman, Langston Hughes, Gwendolyn Brooks, and Christina Rossetti, are joined by new voices in sixty poems that take us on a remarkable journey through a year -- and through the years. Stephen Alcorn's illustrations, based on the style of art found in old almanacs, are airy, whimsical, and thought provoking. They perfectly match the breadth and depth of this volume.

Brilliantly conceived and elegantly illustrated, Days to Celebrate is a book that pays tribute to the people, events, and poetry that make up our past and will inspire our future.

Customer Reviews:

Fun book.......2005-08-29

I enjoy browsing through DAYS TO CELEBRATE. The book is divided into twelve "monthly" sections. Each month has a calendar full of facts both poetry and non-poetry related. Each month's flower, birth stone, and zodiac sign are given. Within each month's section there are four to seven poems related to that month in some way. (It might be a holiday of that month. It might be the poet's birthday month. It might be a historical event being celebrated, etc.) My favorite poem, by the way, is Arithmetic by Carl Sandberg.

Days to Celebrate: A Full Year of Poetry, People, Holidays, History, Fascinating Facts, and More

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Days to Celebrate: A Full Year of Poetry, People, Holidays, History, Fascinating Facts, and More
Lee Bennett; Alcorn, Stephen Hopkins
Manufacturer: Greenwillow
ProductGroup: Book
Binding: Paperback
ASIN: B000OEM1AY

Book Description

One of the world's major forms of writing, Arabic script is the language of the Koran and it became widespread as a result of Islamic conquests of much of the world. The Koran places great importance on writing, and in the first verse of the holy book, reading and writing with the calamus, or reed pen, are praised as the source of all knowledge and all spiritual or scientific paths of change. For this reason the Islamic world is known for its reverence for books, as well as its love of writing. Eventually Arabic script gave rise to calligraphic art, which became an art form of astonishing beauty. More highly regarded than painting, Arabic calligraphy is approached aesthetically like music, with its own rules of composition, rhythm, and harmony.

This enlightening book helps us discover an alphabet that throughout the centuries has been linked to the secular and religious worlds of Islam. The text explains the history and meaning of each letter, as well as its philosophical, theological, and cultural significance, and 300 two-color and black-and-white pictures illustrate the letters, their variants, and calligraphic adaptations. An ideal book for linguists, graphic designers, and collectors of Islamic art, Arabic Script will also prove handy for travelers who wish to become familiar with the rudiments of the alphabet.

Customer Reviews:

Just buy it ! (if you like Arabic).......2003-12-11

This is a really beautiful and informative book, a true collectable. Wish I had a first edition. If you love Annemarie Schimmel's books, you MUST buy this. It would be a great present for anyone interested in Arabic, and I haven't seen it in any of the Arabic bookstores.

Disappointing.......2003-04-19

I'm afraid I must start by saying I haven't read the English edition, but the Italian original. I approached it with high expectations, which were dashed.

Why did I find it disappointing? Perhaps I was expecting a bit more content; instead the book had the feel of a book thrown together to create a book. This is even more true of his companion volume, 'L'alfabeto ebreico'.

The illustrations seem too small to provide a useful guide to the caligrapher, and tend to concentrate - like to many books on Arabic calligraphy - on the illumination to the detriment of the calligraphy itself. The book also relies too heavily on Arabic typography, which isn't really the same as calligraphy, and which so often breaks the canons of calligraphy, with the result of seeming both ugly and hard to read.

I'd like to have know far more on the tradition of calligraphy and the calligraphers themselves; a more focused investigation of the styles used and how they've developed; a useful bibliography.

All in all, disappointing.

An insight to Arabic culture through its calligraphy.......2002-01-05

This richly illustrated volume on Arabic calligraphy is truly a feast for the eyes. The book begins with a brief introduction on the evolution of the Arabic script from its pre-Islamic origins to its blossoming into the many calligraphic forms we see today. Examples of the script throughout its development are provided, from early Nabatean scripts to modern attempts at introducing capital letters. Particularly interesting is the letter from the prophet Muhammad to Mundar ibn Saui (the script used by Muhammad is a bit different than contemporary Arabic script). In the next section, each letter is individually given at least a two-page discourse on various calligraphic forms, the symbology associated with the letter, its current use, how the letter relates to the Qur'an, and pronunciation of the letter (e.g. the Arabic letter 'shin' is used as an abbreviation for path and to Sufi mystics 'shin' symbolizes personal destiny). The final section shows examples of texts, manuscripts, and other sources depicting the wide range of calligraphic styles. Examples include excerpts from Qur'ans, from medieval-era scientific treatises, from talismans, and from other sources dating from antiquity to the present. The glossary at the end of the book, though too brief, is quite helpful.

This book is more about the artistry that is inherent in the Arabic script rather than on teaching the reader how to write Arabic letters - and you don't need to know Arabic to fully appreciate the artistry. Khan's work will be a welcome addition to the library of anyone interested in Islamic art, culture, or the Arabic language.

WOW !! What a great book..........2001-08-11

This book is well thought out. Extremely informative. It has lots and lots of pictures. The best part is for those of us who are trying to teach ourselves Arabic Calligraphy, and are somewhat limited in reading Arabic. The author gives full details on the calligraphy along with dates, english translation, etc. There is no guess work, the author assumes you don't have any Arabic so, if you don't have an arabic teacher, this is the book. Informative, easy to read and full, full of detailed information, the author was very generous with pictures.

I know you will enjoy it.

Definitely a good buy.

Covers both the history and meaning of each letter.......2001-07-06

Gabriel Mandel Khan's Arabic Script considers the styles, variants and adaptations of arabic script, covering both the history and meaning of each letter. A highly recommended pick for a specialized audience of college-level students in either language or art.

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