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. 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 RoyalStatistical Society', the 'Review of Economics and Statistics', the 'EconomicJournal' 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. INDICE: 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 MultipleTests - Testing for Two (or More) Unit Roots - Tests with Stationarity As theNull 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-
- ISBN: 978-0-230-25025-3
- Editorial: Palgrave MacM
- Encuadernacion: Rústica
- Páginas: 516
- Fecha Publicación: 19/05/2012
- Nº Volúmenes: 1
- Idioma: Desconocido