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About this book
Testing for a unit root is now an essential part of time series analysis. Thisvolume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
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Yes, you can access Unit Root Tests in Time Series Volume 1 by K. Patterson in PDF and/or ePUB format, as well as other popular books in Economics & Econometrics. We have over one million books available in our catalogue for you to explore.
Information
Table of contents
- Coverpage
- Title
- Copyright
- Dedication
- Contents
- Detailed Contents
- List of Tables
- List of Figures
- Symbols and Abbreviations
- 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; Order Notation
- Appendix 2: The Lag Operator and Lag Polynomials
- References
- Author Index
- Subject Index