Unit Root Tests in Time Series Volume 2

Name: Unit Root Tests in Time Series Volume 2
Author: K. Patterson

Extensions and Developments

Specificaties

Gebonden, blz. | Engels

Palgrave Macmillan UK | e druk, 2012

ISBN13: 9780230250260

Rubricering

Juridisch :

Palgrave Macmillan UK e druk, 2012 9780230250260

Onderdeel van serie Palgrave Texts in Econometrics

€ 127,91

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Samenvatting

Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

Specificaties

ISBN13:9780230250260

Taal:Engels

Bindwijze:gebonden

Uitgever:Palgrave Macmillan UK

Hoofdrubriek:Economie

Serie:Palgrave Texts in Econometrics

Inhoudsopgave

Introduction Functional Form and Nonparametric Tests for a Unit Root Fractional Integration Semi-parametric Estimation of the Long Memory Parameter Smooth Transition Nonlinear Models Threshold Autoregressions Structural Breaks in AR Models Structural Breaks with Unknown Break Dates Conditional Heteroscedasticity and Unit Root Tests

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