Unit Root Tests in Time Series Volume 2

Extensions and Developments
2012
ISBN: 978-0-230-25027-7
Verlag: Palgrave Macmillan UK

Buch, Englisch, 550 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 879 g

Reihe: Palgrave Texts in Econometrics

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.

Zielgruppe

Research

Autoren/Hrsg.

Patterson, K.

Inhaltsverzeichnis

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

Über Autor(innen)

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 , the , the and the . He is co-editor, with Terence Mills, of the , Volumes 1 and 2, author of , Volume 1, and author of a .