Unit Root Tests in Time Series Volume 2: Extensions and Developments

Unit Root Tests in Time Series Volume 2: Extensions and Developments

by K. Patterson

Hardcover(2012)

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Overview

Unit Root Tests in Time Series Volume 2: Extensions and Developments by K. Patterson

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.

Product Details

ISBN-13: 9780230250260
Publisher: Palgrave Macmillan UK
Publication date: 08/07/2012
Series: Palgrave Texts in Econometrics Series
Edition description: 2012
Pages: 550
Product dimensions: 9.20(w) x 6.00(h) x 1.50(d)

About the Author

KERRY PATTERSON is 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, and 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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