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Palgrave Macmillan

Unit Root Tests in Time Series Volume 2

Extensions and Developments

ISBN 9780230250260
Publication Date August 2012
Formats Hardcover Ebook (PDF) Ebook (EPUB) 
Publisher Palgrave Macmillan
Series Palgrave Texts in Econometrics

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.

KERRY PATTERSON Professor of Econometrics at the University of Reading, UK. He has established an international reputation in Econometrics and has published over 50 articles in leading journals, including the Journal of the Royal Statistical Society, the Review of Economics and Statistics, the Economic Journal and the International Journal of Forecasting. He is co-editor, with Terence Mills, of the Palgrave Handbook of Econometrics, Volumes 1 and 2, author of Unit Root Tests in Time Series, Volume 1, and author of a Primer for Unit Root Testing.

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


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