A Primer for Unit Root Testing

✍ Scribed by Kerry Patterson (auth.)

Publisher: Palgrave Macmillan UK
Year: 2010
Tongue: English
Leaves: 301
Series: Palgrave Texts in Econometrics
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

✦ Table of Contents

Front Matter....Pages i-xxiv
An Introduction to Probability and Random Variables....Pages 1-44
Time Series Concepts....Pages 45-84
Dependence and Related Concepts....Pages 85-104
Concepts of Convergence....Pages 105-128
An Introduction to Random Walks....Pages 129-159
Brownian Motion: Basic Concepts....Pages 160-180
Brownian Motion: Differentiation and Integration....Pages 181-204
Some Examples of Unit Root Tests....Pages 205-257
Back Matter....Pages 258-277

✦ Subjects

Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods; Macroeconomics/Monetary Economics//Financial Economics

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