A Primer for Unit Root Testing

  • ISBN13:


  • ISBN10:


  • Format: Paperback
  • Copyright: 2010-04-15
  • Publisher: Palgrave Macmillan

Note: Supplemental materials are not guaranteed with Rental or Used book purchases.

Purchase Benefits

  • Free Shipping Icon Free Shipping On Orders Over $35!
    Your order must be $35 or more to qualify for free economy shipping. Bulk sales, PO's, Marketplace items, eBooks and apparel do not qualify for this offer.
  • eCampus.com Logo Get Rewarded for Ordering Your Textbooks! Enroll Now
List Price: $74.99 Save up to $47.99
  • Buy Used
    Add to Cart Free Shipping Icon Free Shipping


Supplemental Materials

What is included with this book?


This book provides an introduction to the technical background of unit root testing, one of the most heavily researched areas in econometrics over the last twenty years. Starting from an elementary understanding of probability and time series, it develops the key concepts necessary to understand the structure of random walks and brownian motion, and their role in tests for a unit root. The techniques are illustrated with worked examples, data and programs available on the book's website, which includes more numerical and theoretical examples This book is indispensable reading for all interested in Time Series Econometrics, Econometrics and Applied Econometrics

Author Biography

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

Table of Contents

Introduction * Dickey Fuller and Related Tests for Unit Roots * Extensions and Other Tests * Power of Unit Root Tests * Structural Time Series Models * Testing for Unit Roots When There is a Structural Break * Switching Regime and Threshold Unit Root Models * Fractional Unit Root Models * Unit Root Controversies * Conclusion * References * Index

Rewards Program

Reviews for A Primer for Unit Root Testing (9781403902054)