TIME SERIES ECONOMETRICS (V1): Volume 1: Unit Roots and Trend Breaks - Hardcover

Perron Pierre

 
9789813237865: TIME SERIES ECONOMETRICS (V1): Volume 1: Unit Roots and Trend Breaks
Hardcover
ISBN 10: 9813237864 ISBN 13: 9789813237865
Verlag: World Scientific, 2019

Inhaltsangabe

Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve better tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered.

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Verlag
World Scientific
Erscheinungsdatum
2019
Sprache
Englisch
ISBN 10 
9813237864
ISBN 13 
9789813237865
Einband
Gebundene Ausgabe
Anzahl der Seiten
764
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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