Unit Root Tests in Time Series: Extensions and Developments

✍ Scribed by Kerry Patterson (auth.)

Publisher: Palgrave Macmillan UK
Year: 2012
Tongue: English
Leaves: 586
Series: Palgrave Texts in Econometrics
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

✦ Table of Contents

Front Matter....Pages i-xxxv
Some Common Themes....Pages 1-27
Functional Form and Nonparametric Tests for a Unit Root....Pages 28-75
Fractional Integration....Pages 76-153
Semi-Parametric Estimation of the Long-memory Parameter....Pages 154-239
Smooth Transition Nonlinear Models....Pages 240-324
Threshold Autoregressions....Pages 325-380
Structural Breaks in AR Models....Pages 381-435
Structural Breaks with Unknown Break Dates....Pages 436-496
Conditional Heteroscedasticity and Unit Root Tests....Pages 497-527
Back Matter....Pages 528-550

✦ Subjects

Economic Theory/Quantitative Economics/Mathematical Methods; Statistical Theory and Methods; Macroeconomics/Monetary Economics//Financial Economics; Econometrics; Probability Theory and Stochastic Processes; Applications of Mathematics

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