Unit Roots, Cointegration and Structural Change

Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. This work presents a review of these important ... » 

Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. This work presents a review of these important developments and examines structural change. It includes an analysis of unit root tests and estimation of cointegration systems. «