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Unit Root Tests in Time Series Volume 2

Extensions and Developments

  • Book
  • © 2012

Overview

Authors:
  1. Kerry Patterson
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Part of the book series: Palgrave Texts in Econometrics (PTEC)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xxxv
    Download chapter PDF

  2. Some Common Themes

    • Kerry Patterson
    Pages 1-27

  3. Functional Form and Nonparametric Tests for a Unit Root

    • Kerry Patterson
    Pages 28-75

  4. Fractional Integration

    • Kerry Patterson
    Pages 76-153

  5. Semi-Parametric Estimation of the Long-memory Parameter

    • Kerry Patterson
    Pages 154-239

  6. Smooth Transition Nonlinear Models

    • Kerry Patterson
    Pages 240-324

  7. Threshold Autoregressions

    • Kerry Patterson
    Pages 325-380

  8. Structural Breaks in AR Models

    • Kerry Patterson
    Pages 381-435

  9. Structural Breaks with Unknown Break Dates

    • Kerry Patterson
    Pages 436-496

  10. Conditional Heteroscedasticity and Unit Root Tests

    • Kerry Patterson
    Pages 497-527

  11. Back Matter

    Pages 528-550
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Keywords

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 author

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.

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