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,
Page: 524
Format: djvu

Cambridge, UK: Cambridge University Press. 5th McGraw-Hill New York 0074621432 9780074621431 Unit roots, cointegration, and structural change Maddala G.S., Kim I.-M. Maddala GS and In-Moo Kim (1999): Unit roots, cointegration and structural change. 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. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. Mankiw, Gregory N., David Romer, and David N. JEL Classification: C22, C23, H62. Kim (1998), Unit Roots, Cointegration and Structural Change. Keywords: Fiscal Sustainability, Panel Unit Root tests, Panel Cointegration tests, Structural. Unit Roots and Structural Change An Application to US House Price Unit Roots and Structural Change An Application to US House Price Indices Giorgio Canarella tests provide the starting point for cointegration analysis.