Palgrave Texts in Econometrics

Unit Root Tests in Time Series Volume 2

Extensions and Developments

Authors: Patterson, K.

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About this book

Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.

About the authors

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.

Table of contents (9 chapters)

  • Some Common Themes

    Patterson, Kerry

    Pages 1-27

  • Functional Form and Nonparametric Tests for a Unit Root

    Patterson, Kerry

    Pages 28-75

  • Fractional Integration

    Patterson, Kerry

    Pages 76-153

  • Semi-Parametric Estimation of the Long-memory Parameter

    Patterson, Kerry

    Pages 154-239

  • Smooth Transition Nonlinear Models

    Patterson, Kerry

    Pages 240-324

Buy this book

eBook n/a
  • ISBN 978-1-137-00331-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
Hardcover n/a
  • ISBN 978-0-230-25026-0
  • Free shipping for individuals worldwide
Softcover n/a
  • ISBN 978-0-230-25027-7
  • Free shipping for individuals worldwide
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Bibliographic Information

Bibliographic Information
Book Title
Unit Root Tests in Time Series Volume 2
Book Subtitle
Extensions and Developments
Authors
Series Title
Palgrave Texts in Econometrics
Copyright
2012
Publisher
Palgrave Macmillan UK
Copyright Holder
Kerry Patterson
eBook ISBN
978-1-137-00331-7
DOI
10.1057/9781137003317
Hardcover ISBN
978-0-230-25026-0
Softcover ISBN
978-0-230-25027-7
Edition Number
1
Number of Pages
XXXV, 550
Number of Illustrations and Tables
12 b/w illustrations
Topics