A Primer for Unit Root Testing

ISBN-13: 9781403902054 / Angielski / Miękka / 2010 / 302 str.

Kerry Patterson; Kerry Patterson

Opis

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

Recenzje

'I would like to congratulate you on writing what I consider to be the most accessible and helpful book on the subject of Time Series Analysis.' - Professor Abdul Ghaffar Mughal, Central Asian Academy, Tashkent, Uzbekistan

Spis treści

List of Figures Symbols and Abbreviations Preface An Introduction to Probability and Random Variables Time Series Concepts Dependence Convergence An Introduction to Random Walks Brownian motion: Basic Concepts Brownian Motion: Differentiation and Integration Some Examples of Unit root Tests Glossary References

O autorze

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