TIME SERIES ECONOMETRICS - VOLUME 1: UNIT ROOTS AND TREND BREAKS - Hardcover

Pierre Perron

Hardcover

ISBN 10: 9813237864 ISBN 13: 9789813237865

Publisher: World Scientific Publishing Co Pte Ltd, 2018

Synopsis

Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve betters tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered.

Readership: Graduate students and researchers interested in theoretical and applied time series analysis.

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 2018
• Language: English
• ISBN 10: 9813237864
• ISBN 13: 9789813237865
• Binding: Hardcover
• Number of pages: 550
• Editor: Pierre Perron