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Unit Root Tests in Time Series Volume 2 - Extensions and Developments (Paperback, 2012 ed.)
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Unit Root Tests in Time Series Volume 2 - Extensions and Developments (Paperback, 2012 ed.)
Series: Palgrave Texts in Econometrics
Expected to ship within 10 - 15 working days
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Testing for a unit root is now an essential part of time series
analysis. Indeed no time series study in economics, and other
disciplines that use time series observations, can ignore the
crucial issue of nonstationarity caused by a unit root. However,
the literature on the topic is large and often technical, making it
difficult to understand the key practical issues.
This volume provides an accessible introduction and a critical
overview of tests for a unit root in time series, with extensive
practical examples and illustrations using simulation analysis. It
presents the concepts that enable the reader to understand the
theoretical background, and importance of random walks and Brownian
motion, to the development of unit root tests. The book also
examines the latest developments and practical concerns in unit
root testing.
This book is indispensable reading for all interested in
econometrics, time series econometrics, applied econometrics and
applied statistics. It will also be of interest to other
disciplines, such as geography, climate change and meteorology,
which use time series data.
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