Unit Root Tests in Time Series

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

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