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Unit roots tests in time series

Palgrave Connect (Online service)

Unit roots tests in time series

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Unit roots tests in time seriesKerry Patterson.
作者:	Patterson, K. D.
出版者:	New York, NY :Palgrave Macmillan,2011-<2012 >
面頁冊數:	v. <1-2 > :ill. ;24 cm.
標題:	Econometrics.
電子資源:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9781137003317 (electronic bk.)

Unit roots tests in time series
Patterson, K. D.

Unit roots tests in time series[electronic resource] /Kerry Patterson. - New York, NY :Palgrave Macmillan,2011-<2012 > - v. <1-2 > :ill. ;24 cm. - Palgrave texts in econometrics. - Palgrave texts in econometrics..

Includes bibliographical references and indexes.

Introduction -- Functional Form and Nonparametric Tests for a Unit Root -- Fractional Integration -- Semi-parametric Estimation of the Long Memory Parameter -- Smooth Transition Nonlinear Models -- Threshold Autoregressions -- Structural Breaks in AR Models -- Structural Breaks with Unknown Break Dates -- Conditional Heteroscedasticity and Unit Root Tests --.

Testing for a unit root is an essential part of time series analysis and an integral part of many disciplines, such as economics, statistics, climatology, hydrology and meteorology. This volume develops the analysis and concepts of unit root testing and estimation, providing an accessible and critical account of recent advances and extensions of the basic framework. It provides practical guidance through examples and simulation, combined with a firm theoiretical base from which to evaluate competing approaches. This second volume of Unit Root Tests in Time Series will benefit readers who have an understanding of the basic concepts of unit root testing, such as the widely used Dickey-Fuller test, and can be read independently of volume one. It includes developments such as nonparametric approaches to unit root testing, testing for fractional integration, nonlinear models including smooth transition and discrete change models and structural breaks with known or unknown break points. Each technique is illustrated with an empirical example showing theory at work in the context of real economic issues such as the prices of assets, world oil production and measures of economic activity.

Electronic reproduction.
Basingstoke, England :
Palgrave Macmillan,
2012.

Mode of access: World Wide Web.

ISBN: 9781137003317 (electronic bk.)

Source: 407738Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

182271
Econometrics.
Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HB139 / .P374 2011

Dewey Class. No.: 519.5/5

Unit roots tests in time series
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505 0 $a Introduction to random walks and Brownian motion -- Why distinguish between trend stationary and difference stationary processes? -- An introduction to ARMA models -- Bias and bias reduction in AR models -- Confidence intervals in AR models -- Dickey-Fuller and related tests -- Improving the power of unit root tests -- Bootstrap unit root tests -- Lag selection and multiple tests -- Testing for two (or more) unit roots -- Tests with stationarity as the null hypothesis -- Combining tests and constructing confidence intervals -- Unit root tests for seasonal data.
520 $a Testing for a unit root is an essential part of time series analysis and an integral part of many disciplines, such as economics, statistics, climatology, hydrology and meteorology. This volume develops the analysis and concepts of unit root testing and estimation, providing an accessible and critical account of recent advances and extensions of the basic framework. It provides practical guidance through examples and simulation, combined with a firm theoiretical base from which to evaluate competing approaches. This second volume of Unit Root Tests in Time Series will benefit readers who have an understanding of the basic concepts of unit root testing, such as the widely used Dickey-Fuller test, and can be read independently of volume one. It includes developments such as nonparametric approaches to unit root testing, testing for fractional integration, nonlinear models including smooth transition and discrete change models and structural breaks with known or unknown break points. Each technique is illustrated with an empirical example showing theory at work in the context of real economic issues such as the prices of assets, world oil production and measures of economic activity.
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