Almost All about Unit Roots: Foundations, Developments, and Applications

ISBN-13: 9781107097339 / Angielski / Twarda / 2015 / 296 str.

In Choi

Opis

Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.

Recenzje

'This book gives a very comprehensive and up-to-date survey of the literature on unit roots that has developed in the past decades. It should be an invaluable text and reference for graduate students and applied researchers for many years to come.' Yoon-Jae Whang, Seoul National University

Spis treści

1. Introduction; 2. Inference on unit roots: basic methods; 3. Unit root tests under various model specifications; 4. Alternative approaches to inference on unit roots; 5. Other issues related to unit roots; 6. Seasonal unit roots; 7. Panel unit roots.