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

Rating:
Summary: Excellent Book
Review: Excellent book

This one of the best book about cointegration.

Rating:
Summary: Intuition behind modern time series analysis
Review: 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.

Rating:
Summary: modern econometrics with latest developments
Review: 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.