Unit Root Tests in Time Series Volume 2
Extensions and Developments
1st Edition
Published on 5. July 2012
XXXV, 550 pages
978-1-137-00331-7 (ISBN)
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.
More details
Series
Language
English
Place of publication
London
United Kingdom
Publishing group
Palgrave Macmillan UK
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XXXV, 550 p. 12 illus.
File size
4,07 MB
ISBN-13
978-1-137-00331-7 (9781137003317)
DOI
10.1057/9781137003317
Schweitzer Classification
Other editions
Additional editions
Book
07/2012
Palgrave Macmillan
€106.99
Shipment within 15-20 days
Book
07/2012
Palgrave Macmillan
€106.99
Shipment within 15-20 days
Person
KERRY PATTERSON Professor of Econometrics at the University of Reading, UK. 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 co-editor, with Terence Mills, of the
Palgrave Handbook of Econometrics
, Volumes 1 and 2, author of
Unit Root Tests in Time Series
, Volume 1, and author of a
Primer for Unit Root Testing
.
Content
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
