Unit roots, cointegration, and structural change Maddala G.S., Kim I. M.
Publisher: CUP

Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. 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. Unit roots, cointegration, and structural change. Mankiw, Gregory N., David Romer, and David N. Kim (1998), Unit Roots, Cointegration and Structural Change. Cambridge, UK: Cambridge University Press. Unit.roots.cointegration.and.structural.change.pdf. There is a difference between forecasting with trend-stationary (TS) and Maddala, G. Unit Roots, Cointegration, and Structural Change PDF Download Ebook. Maddala and In-Moo Kim give comprehensive evaluation of these subjects and structural change. Maddala GS and In-Moo Kim (1999): Unit roots, cointegration and structural change. 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.