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Palgrave Texts in Econometrics

Unit Root Tests in Time Series Volume 1

Key Concepts and Problems

Authors: Patterson, K.

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eBook $149.00
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  • ISBN 978-0-230-29930-6
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Hardcover $190.00
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  • ISBN 978-0-230-25024-6
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About this book

Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.

About the authors


KERRY PATTERSON is Professor of Econometrics at the University of Reading. 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 author of A Primer for Unit Root Testing and co-editor, with Terence Mills, of the Palgrave Handbook of Econometrics, both published by Palgrave.

Table of contents (13 chapters)

  • Introduction to Random Walks and Brownian Motion

    Patterson, Kerry

    Pages 1-37

  • Why Distinguish Between Trend Stationary and Difference Stationary Processes?

    Patterson, Kerry

    Pages 38-67

  • An Introduction to ARMA Models

    Patterson, Kerry

    Pages 68-122

  • Bias and Bias Reduction in AR Models

    Patterson, Kerry

    Pages 123-157

  • Confidence Intervals in AR models

    Patterson, Kerry

    Pages 158-188

Buy this book

eBook $149.00
price for USA
  • ISBN 978-0-230-29930-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Download immediately after purchase
Hardcover $190.00
price for USA
  • ISBN 978-0-230-25024-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Unit Root Tests in Time Series Volume 1
Book Subtitle
Key Concepts and Problems
Authors
Series Title
Palgrave Texts in Econometrics
Copyright
2011
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-0-230-29930-6
DOI
10.1057/9780230299306
Hardcover ISBN
978-0-230-25024-6
Edition Number
1
Number of Pages
XXXVII, 641
Topics