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Unit Root Tests in Time Series Volume 2 K. Patterson

Unit Root Tests in Time Series Volume 2 By K. Patterson

Unit Root Tests in Time Series Volume 2 by K. Patterson

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Summary

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.

Unit Root Tests in Time Series Volume 2 Summary

Unit Root Tests in Time Series Volume 2: Extensions and Developments by K. Patterson

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.

About K. Patterson

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.

Table of Contents

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

Additional information

NPB9780230250260
9780230250260
0230250262
Unit Root Tests in Time Series Volume 2: Extensions and Developments by K. Patterson
K. Patterson
Palgrave Texts in Econometrics
New
Hardback
Palgrave Macmillan
2012-07-06
550
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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