Unit Root Tests in Time Series Volume 2: Extensions and Developments (Palgrave Texts in Econometrics)

Patterson, K.

ISBN 10: 0230250262 / ISBN 13: 9780230250260

Published by Palgrave Macmillan, 2012

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Bibliographic Details

• Title: Unit Root Tests in Time Series Volume 2: Extensions and Developments (Palgrave Texts in Econometrics)
• Publisher: Palgrave Macmillan
• Publication Date: 2012
• Language: English
• ISBN 10: 0230250262
• ISBN 13: 9780230250260
• Binding: Hardcover
• Condition: Like New
• Book Type: book

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Synopsis

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.