Unit roots tests in time series volume 1
Subtitle: key concepts and problems
By: Kerry Patterson
Publisher: Palgrave Macmillan
Published: 2010
Place of publication: New York, NY
Language: eng
ISBN-13: 9780230250246
Subjects: Time-series analysis; Econometrics
Notes: Includes bibliographical references and index.
Table of contents: title: Introduction to random walks and Brownian motion; title: Why distinguish between trend stationary and difference stationary processes?; title: An introduction to ARMA models; title: Bias and bias reduction in AR models; title: Confidence intervals in AR models; title: Dickey-Fuller and related tests; title: Improving the power of unit root tests; title: Bootstrap unit root tests; title: Lag selection and multiple tests; title: Testing for two (or more) unit roots; title: Tests with stationarity as the null hypothesis; title: Combining tests and constructing confidence intervals; title: Unit root tests for seasonal data.