A Primer for Unit Root Testing

by K. Patterson

Overview

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

Product Details

ISBN-13:	9781403902054
Publisher:	Palgrave Macmillan UK
Publication date:	03/17/2010
Series:	Palgrave Texts in Econometrics
Edition description:	2010
Pages:	277
Product dimensions:	5.30(w) x 8.40(h) x 0.70(d)

About the Author

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

Table of Contents

List of Tables xvii

List of Figures xviii

Symbols and Abbreviations xx

Preface xxii

1 An Introduction to Probability and Random Variables 1

2 Time Series Concepts 45

3 Dependence and Related Concepts 85

4 Concepts of Convergence 105

5 An Introduction to Random Walks 129

6 Brownian Motion: Basic Concepts 160

7 Brownian Motion: Differentiation and Integration 181

8 Some Examples of Unit Root Tests 205

Glossary 258

References 262

Author Index 271

Subject Index 274

Editorial Reviews

'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

From the Publisher