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Item Details
| Title:
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UNIT ROOT TESTS IN TIME SERIES
EXTENSIONS AND DEVELOPMENTS |
| Volume: |
Volume 2 |
| By: |
Kerry Patterson |
| Format: |
Electronic book text |
| List price:
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£108.00 |
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We believe that this item is permanently unavailable, and so we cannot source
it.
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| ISBN 10: |
1137003316 |
| ISBN 13: |
9781137003317 |
| Publisher: |
PALGRAVE MACMILLAN |
| Pub. date: |
20 April, 2012 |
| Series: |
Palgrave Texts in Econometrics |
| Description: |
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. |
| Synopsis: |
Testing for a unit root is an essential part of time series analysis and an integral part of many disciplines, such as economics, statistics, climatology, hydrology and meteorology. This volume develops the analysis and concepts of unit root testing and estimation, providing an accessible and critical account of recent advances and extensions of the basic framework. It provides practical guidance through examples and simulation, combined with a firm theoiretical base from which to evaluate competing approaches. This second volume of Unit Root Tests in Time Series will benefit readers who have an understanding of the basic concepts of unit root testing, such as the widely used Dickey-Fuller test, and can be read independently of volume one. It includes developments such as nonparametric approaches to unit root testing, testing for fractional integration, nonlinear models including smooth transition and discrete change models and structural breaks with known or unknown break points. Each technique is illustrated with an empirical example showing theory at work in the context of real economic issues such as the prices of assets, world oil production and measures of economic activity. |
| Illustrations: |
86 black & white tables, 124 figures |
| Publication: |
UK |
| Imprint: |
Palgrave Macmillan |
| Returns: |
Non-returnable |
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