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Title: Unit Roots, Cointegration, and Structural Change by G. S. Maddala, In-Moo Kim, Peter C. B. Phillips, Christian Gourieroux, Michael Wickens ISBN: 0-521-58257-1 Publisher: Cambridge University Press Pub. Date: 21 January, 1999 Format: Hardcover Volumes: 1 List Price(USD): $69.95 |
Average Customer Rating: 4 (5 reviews)
Rating: 5
Summary: modern econometrics with latest developments
Comment: 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.
Rating: 5
Summary: Excellent Book
Comment: Excellent book
This one of the best book about cointegration.
Rating: 5
Summary: Intuition behind modern time series analysis
Comment: 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.
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Title: Workbook on Cointegration (Advanced Texts in Econometrics) by Peter Reinhard Hansen, Soren Johansen, Sren Johansen ISBN: 0198776071 Publisher: Oxford University Press Pub. Date: December, 1998 List Price(USD): $29.95 |
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Title: Applied Econometric Time Series, 2nd Edition by Walter Enders ISBN: 0471230650 Publisher: Wiley Text Books Pub. Date: 25 July, 2003 List Price(USD): $87.95 |
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Title: Time Series Analysis by James Douglas Hamilton ISBN: 0691042896 Publisher: Princeton Univ Pr Pub. Date: 11 January, 1994 List Price(USD): $85.00 |
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Title: Time Series Models for Business and Economic Forecasting by Philip Hans Franses ISBN: 0521586410 Publisher: Cambridge University Press Pub. Date: 15 October, 1998 List Price(USD): $33.00 |
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Title: Analysis of Financial Time Series by Ruey S. Tsay ISBN: 0471415448 Publisher: John Wiley & Sons Pub. Date: 15 October, 2001 List Price(USD): $99.95 |
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