Unit Root Tests in Time Series: Key Concepts and Problems

✍ Scribed by Kerry Patterson (auth.)

Publisher: Palgrave Macmillan UK
Year: 2011
Tongue: English
Leaves: 676
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. 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.

✦ Table of Contents

Front Matter....Pages i-xxxvii
Introduction to Random Walks and Brownian Motion....Pages 1-37
Why Distinguish Between Trend Stationary and Difference Stationary Processes?....Pages 38-67
An Introduction to ARMA Models....Pages 68-122
Bias and Bias Reduction in AR Models....Pages 123-157
Confidence Intervals in AR models....Pages 158-188
Dickey-Fuller and Related Tests....Pages 189-259
Improving the Power of Unit Root Tests....Pages 260-318
Bootstrap Unit Root Tests....Pages 319-347
Lag Selection and Multiple Tests....Pages 348-384
Testing for Two (or More) Unit Roots....Pages 385-433
Tests with Stationarity as the Null Hypothesis....Pages 434-496
Combining Tests and Constructing Confidence Intervals....Pages 497-518
Unit Root Tests for Seasonal Data....Pages 519-596
Back Matter....Pages 597-641

✦ Subjects

Economic Theory/Quantitative Economics/Mathematical Methods; Statistical Theory and Methods; Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Applications of Mathematics

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