Unit Root Tests in Time Series Volume 2 - Extensions and Developments (Paperback, 2012 ed.)

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.

General

Imprint:	Palgrave Macmillan
Country of origin:	United Kingdom
Series:	Palgrave Texts in Econometrics
Release date:	May 2012
First published:	2012
Authors:	K. Patterson
Dimensions:	235 x 155 x 32mm (L x W x T)
Format:	Paperback
Pages:	550
Edition:	2012 ed.
ISBN-13:	978-0-230-25027-7
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Economics > Macroeconomics > General Books > Business & Economics > Economics > Econometrics > General Books > Science & Mathematics > Mathematics > Applied mathematics > General Promotions
LSN:	0-230-25027-0
Barcode:	9780230250277

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