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Patterson, Kerry

Unit Root Tests in Time Series

Patterson, Kerry - Unit Root Tests in Time Series, ebook

207,40€

Ebook, PDF with Adobe DRM
ISBN: 9780230299306
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Table of contents

1. Introduction to Random Walks and Brownian Motion
Kerry Patterson

2. Why Distinguish Between Trend Stationary and Difference Stationary Processes?
Kerry Patterson

3. An Introduction to ARMA Models
Kerry Patterson

4. Bias and Bias Reduction in AR Models
Kerry Patterson

5. Confidence Intervals in AR models
Kerry Patterson

6. Dickey-Fuller and Related Tests
Kerry Patterson

7. Improving the Power of Unit Root Tests
Kerry Patterson

8. Bootstrap Unit Root Tests
Kerry Patterson

9. Lag Selection and Multiple Tests
Kerry Patterson

10. Testing for Two (or More) Unit Roots
Kerry Patterson

11. Tests with Stationarity as the Null Hypothesis
Kerry Patterson

12. Combining Tests and Constructing Confidence Intervals
Kerry Patterson

13. Unit Root Tests for Seasonal Data
Kerry Patterson

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

Author(s)
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Series
Palgrave Texts in Econometrics
Page amount
678 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780230299306
Printed ISBN
978-0-230-25025-3

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