Unit Root Tests in Time Series Volume 2: Extensions and Developments (Palgrave Texts in Econometrics)

Patterson, Kerry

ISBN 10: 0230250262 / ISBN 13: 9780230250260

Verlag: Palgrave Macmillan, 2012

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. Series: Palgrave Texts in Econometrics. Num Pages: 585 pages, 12 black & white illustrations, biography. BIC Classification: KCH; PBT. Category: (U) Tertiary Education (US: College). Dimension: 241 x 165 x 37. Weight in Grams: 1016. . 2012. Hardcover. . . . . Books ship from the US and Ireland. Bestandsnummer des Verkäufers V9780230250260

Inhaltsangabe:

This volume expands and develops the analyses and concepts put forward in Unit Root Tests in Time Series: Volume One, providing a comprehensive and clear way into the techniques of unit root testing. Patterson provides an awareness of the pitfalls and extensions to nonstandard cases, giving guidance to the practitioner and enabling the reader to understand the complex theoretical aspects of unit root tests. Crucial issues such as Nonstationarity caused by a unit root are discussed, and explanation is combined with examples, showing theory at work with real economic issues such as the prices of assets and measures of economic activity.

Über die Autorin bzw. den Autor: 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.

Bibliografische Details

Titel: Unit Root Tests in Time Series Volume 2: ...
Verlag: Palgrave Macmillan
Erscheinungsdatum: 2012
Einband: Hardcover
Zustand: New