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Unit roots tests in time series : Volume 1 key concepts and problems
La 4e de couv. indique : "Testing for a unit root is now an essential part of time series analysis. Indeed no time series study in economics, and other disciplines that use time series observations, can ignore the crucial issue of nonstationarity caused by a unit root. However, the literature o...
| Auteur principal : | |
|---|---|
| Format : | Livre |
| Langue : | anglais |
| Titre complet : | Unit roots tests in time series. Volume 1, key concepts and problems / Kerry Patterson |
| Publié : |
Basingstoke :
Palgrave Macmillan
, cop. 2011 |
| Description matérielle : | 1 vol. (XXXVII-641 p.) |
| Collection : | Palgrave texts in econometrics |
| Sujets : |
- Preface
- 1. Introduction to Random Walks and Brownian Motion
- 2. Why Distinguish Between Trend Stationary and Difference Stationary Processes?
- 3. An Introduction to ARMA Models
- 4. Bias and Bias Reduction in AR Models
- 5. Confidence Intervals in AR Models
- 6. Dickey-Fuller and Related Tests
- 7. Improving the Power of Unit Root Tests
- 8. Bootstrap Unit Root Tests
- 9. Lag Selection and Multiple Tests
- 10. Testing for Two (or More) Unit Roots
- 11. Tests with Stationarity As the Null Hypothesis
- 12. Combining Tests and Constructing Confidence Intervals
- 13. Unit Root Tests for Seasonal Data
- Appendix 1: Random Variables
- Appendix 2: The Lag Operator and Lag Polynomials
- References
- Author Index
- Subject Index