Unit roots tests in time series

Title:

Author:

Patterson, K. D.

ISBN:

9780230250246

9780230250260

9780230250277

Personal Author:

Patterson, K. D.

Publication Information:

New York, NY : Palgrave Macmillan, 2011-c2012.

Physical Description:

2 v. : ill. ; 24 cm.

Series:

Palgrave texts in econometrics

Palgrave texts in econometrics.

Contents:

V. 1. Key concepts and problems -- v. 2. Extenstions and developments.

Subject Term:

Econometrics.

Ekonometri.

Time-series analysis.

Zaman serileri analizi.

Available:*

Library	Material Type	Item Barcode	Shelf Number	Status
Searching... Pamukkale Central Library	Book	0066582	HB139 .P374 2012	Searching... Unknown

Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.

Author Notes

KERRY PATTERSON is Professor of Econometrics at the University of Reading. He has established an international reputation in econometrics and has published over 50 articles in leading journals, including the Journal of the Royal Statistical Society, the Review of Economics and Statistics, the Economic Journal and the International Journal of Forecasting. He is author of A Primer for Unit Root Testing and co-editor, with Terence Mills, of the Palgrave Handbook of Econometrics, both published by Palgrave.

Preface

Introduction to Random Walks and Brownian Motion

Why Distinguish Between Trend Stationary and Difference Stationary Processes?

An Introduction to ARMA Models

Bias and Bias Reduction in AR Models

Confidence Intervals in AR Models

Dickey-Fuller and Related Tests

Improving the Power of Unit Root Tests

Bootstrap Unit Root Tests

Lag Selection and Multiple Tests

Testing for Two (or More) Unit Roots

Tests with Stationarity As the Null Hypothesis

Combining Tests and Constructing Confidence Intervals

Unit Root Tests for Seasonal Data

Appendix 1 Random Variables

Appendix 2 The Lag Operator and Lag Polynomials

References

Author Index

Subject Index

Available:*

Bound With These Titles

On Order

Summary

Summary

Author Notes

Table of Contents