A Primer for Unit Root Testing
(Sprache: Englisch)
This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
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This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
Klappentext zu „A Primer for Unit Root Testing “
This book provides an introduction to the technical background of unit root testing, one of the most heavily researched areas in econometrics over the last twenty years. Starting from an elementary understanding of probability and time series, it develops the key concepts necessary to understand the structure of random walks and brownian motion, and their role in tests for a unit root. The techniques are illustrated with worked examples, data and programs available on the book's website, which includes more numerical and theoretical examplesThis book is indispensable reading for all interested in Time Series Econometrics, Econometrics and Applied Econometrics
Inhaltsverzeichnis zu „A Primer for Unit Root Testing “
List of Figures Symbols and Abbreviations Preface An Introduction to Probability and Random Variables Time Series Concepts Dependence Convergence An Introduction to Random Walks Brownian motion: Basic Concepts Brownian Motion: Differentiation and Integration Some Examples of Unit root Tests Glossary References
Autoren-Porträt von Kerry Patterson
KERRY PATTERSON is Professor of Econometrics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics.
Bibliographische Angaben
- Autor: Kerry Patterson
- 2010, 2010., 277 Seiten, Maße: 21,6 cm, Kartoniert (TB), Englisch
- Verlag: Palgrave Macmillan
- ISBN-10: 1403902054
- ISBN-13: 9781403902054
Sprache:
Englisch
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