Unit Root Tests in Time Series Volume 1

Name: Unit Root Tests in Time Series Volume 1
Author: K. Patterson

Key Concepts and Problems

Specificaties

Gebonden, blz. | Engels

Palgrave Macmillan UK | e druk, 2011

ISBN13: 9780230250246

Rubricering

Juridisch :

Palgrave Macmillan UK e druk, 2011 9780230250246

Onderdeel van serie Palgrave Texts in Econometrics

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Samenvatting

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.

Specificaties

ISBN13:9780230250246

Taal:Engels

Bindwijze:gebonden

Uitgever:Palgrave Macmillan UK

Hoofdrubriek:Economie

Serie:Palgrave Texts in Econometrics

Inhoudsopgave

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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