Unit Root Tests in Time Series Volume 1: Key Concepts and Problems, Volume 1

✍ Scribed by Kerry Patterson

• Publisher: Palgrave Macmillan
• Year: 2011
• Tongue: English
• Leaves: 681
• Series: Palgrave Texts in Econometrics
• Category: Library

✦ 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

Coverpage......Page 1
Title......Page 4
Copyright......Page 5
Dedication......Page 6
Contents......Page 8
Detailed Contents......Page 10
List of Tables......Page 23
List of Figures......Page 28
Symbols and Abbreviations......Page 33
Preface......Page 34
1 Introduction to Random Walks and Brownian Motion......Page 40
2 Why Distinguish Between Trend Stationary and Difference Stationary Processes?......Page 77
3 An Introduction to ARMA models......Page 107
4 Bias and Bias Reduction in AR Models......Page 162
5 Confidence Intervals in AR Models......Page 197
6 Dickey-Fuller and Related Tests......Page 228
7 Improving the Power of Unit Root Tests......Page 299
8 Bootstrap Unit Root Tests......Page 358
9 Lag Selection and Multiple Tests......Page 387
10 Testing for Two (or More) Unit Roots......Page 424
11 Tests with Stationarity as the Null Hypothesis......Page 473
12 Combining Tests and Constructing Confidence Intervals......Page 536
13 Unit Root Tests for Seasonal Data......Page 558
Appendix 1: Random Variables; Order Notation......Page 642
Appendix 2: The Lag Operator and Lag Polynomials......Page 636
References......Page 658
Author Index......Page 672
Subject Index......Page 676