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

Unit Root Tests in Time Series Volume 2: Palgrave Texts in Econometrics

Autor K. Patterson
en Limba Engleză Paperback – 6 iul 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.
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Specificații

ISBN-13: 9780230250277
ISBN-10: 0230250270
Pagini: 588
Ilustrații: XXXV, 550 p. 12 illus.
Dimensiuni: 155 x 235 x 32 mm
Greutate: 0.88 kg
Ediția:2012
Editura: Palgrave MacMillan
Colecția Palgrave Texts in Econometrics
Seria Palgrave Texts in Econometrics

Locul publicării:London, United Kingdom

Cuprins

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

Notă biografică

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.