ENGLISH

Unit Root Tests in Time Series: Extensions and Developments

By Kerry Patterson (auth.)

Book information

Publisher
Palgrave Macmillan UK
Year
2012
ISBN
978-0-230-25027-7, 978-1-137-00331-7
DOI
10.1057/9781137003317
Language
english
Format
PDF
Filesize
4 MB (3908183 bytes)
Series
Palgrave Texts in Econometrics
Edition
1
Pages
XXXV, 550\586
Time added
2016-03-14 21:35:01
Economic Theory/Quantitative Economics/Mathematica

Description

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.

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