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Palgrave Macmillan

A Primer for Unit Root Testing

ISBN 9781403902047
Publication Date April 2010
Formats Hardcover Paperback Ebook (PDF) 
Publisher Palgrave Macmillan
Series Palgrave Texts in Econometrics

This book provides an introduction to the technical background of unit root testing, one of the most heavily researched areas in econometrics over the last twenty years. Starting from an elementary understanding of probability and time series, it develops the key concepts necessary to understand the structure of random walks and brownian motion, and their role in tests for a unit root. The techniques are illustrated with worked examples, data and programs available on the book's website, which includes more numerical and theoretical examples

This book is indispensable reading for all interested in Time Series Econometrics, Econometrics and Applied Econometrics


KERRY PATTERSON is Professor of Econometrics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics.

List of Figures
Symbols and Abbreviations
An Introduction to Probability and Random Variables
Time Series Concepts
An Introduction to Random Walks
Brownian motion: Basic Concepts
Brownian Motion: Differentiation and Integration
Some Examples of Unit root Tests


'I would like to congratulate you on writing what I consider to be the most accessible and helpful book on the subject of Time Series Analysis.' - Professor Abdul Ghaffar Mughal, Central Asian Academy, Tashkent, Uzbekistan
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