Unit Root Tests in Time Series Volume 1 [electronic resource] : Key Concepts and Problems /
Patterson, K.author.
Testing for a unit root is now an essential part of time series analysis. This volume 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.
Bibliographic Level Mode of Issuance: Monograph
Includes bibliographical references and index.
Introduction to random walks and Brownian motion -- Why distinguish between trend stationary and difference stationary processes? -- An introduction to ARMA models -- Bias and bias reduction in AR models -- Confidence intervals in AR models -- Dickey-Fuller and related tests -- Improving the power of unit root tests -- Bootstrap unit root tests -- Lag selection and multiple tests -- Testing for two (or more) unit roots -- Tests with stationarity as the null hypothesis -- Combining tests and constructing confidence intervals -- Unit root tests for seasonal data.
Testing for a unit root is now an essential part of time series analysis. This volume 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.
Economic theory.
Statistics .
Econometrics.
Applied mathematics.
Engineering mathematics.
Economic Theory/Quantitative Economics/Mathematical Methods.
Statistical Theory and Methods.
Econometrics.
Statistics for Business, Management, Economics, Finance, Insurance.
Applications of Mathematics.