Unit Root Tests in Time Series Volume 1: Key Concepts and Problems
Author:   K. Patterson
Publisher:   Palgrave Macmillan
ISBN:  

9780230250246


Pages:   641
Publication Date:   25 February 2011
Format:   Hardback
Availability:   In Print   Availability explained
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Unit Root Tests in Time Series Volume 1: Key Concepts and Problems


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Author:   K. Patterson
Publisher:   Palgrave Macmillan
Imprint:   Palgrave Macmillan
Dimensions:   Width: 15.20cm , Height: 4.30cm , Length: 22.90cm
Weight:   1.128kg
ISBN:  

9780230250246


ISBN 10:   0230250246
Pages:   641
Publication Date:   25 February 2011
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

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 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

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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.

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