Unit Root Tests in Time Series Volume 1 Key Concepts and Problems

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  • Format: Hardcover
  • Copyright: 2011-03-15
  • Publisher: Palgrave Macmillan
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Supplemental Materials

What is included with this book?


Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.

Author Biography

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, the Economic Journal and the International Journal of Forecasting. He is also co-editor, with Terence Mills, of the Palgrave Handbook of Econometrics (2006).

Table of Contents

Introduction to Random Walks and Brownian Motion
Why Distinguish Between Trend Stationary and Difference Stationary Processes?
An Introduction to ARMA Models
Bias and Bias Reduction in AR Models
Confidence Intervals in AR Models
Dickey-Fuller and Related Tests
Improving the Power of Unit Root Tests
Bootstrap Unit Root Tests
Lag Selection and Multiple Tests
Testing for Two (or More) Unit Roots
Tests with Stationarity As the Null Hypothesis
Combining Tests and Constructing Confidence Intervals
Unit Root Tests for Seasonal Data
Appendix 1: Random Variables
Appendix 2: The Lag Operator and Lag Polynomials
Author Index
Subject Index

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