Figures
Tables
Preface
Part I. Introduction and Basic Concepts
1. Introduction
2. Basic concepts
Part II. Unit Roots and Cointegration: 3. Unit roots
4. Issues in unit root testing
5. Estimation of cointegrated systems
6. Tests for cointegration
7. Econometric modeling with integrated regressors
Part III. Extensions of the Basic Model: 8. The Bayesian analysis of stochastic trends
9. Fractional unit roots and fractional cointegration
10. Small sample inference: bootstrap methods
11. Cointegrated systems with I(2) variables
12. Seasonal unit roots and seasonal cointegration
Part IV. Structural Change: 13. Structural change, unit roots and cointegration
14. Outliers and unit roots
15. Regime switching models and structural time series models
16. Future directions
Appendix I. A brief guide to asymptotic theory
Author index
Subject index.
