Synopses & Reviews
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
Review
"I would like to congratulate [Kerry Patterson] on writing what I consider to be the most accessible and helpful book on the subject of Time Series Analysis."--Abdul Ghaffar Mughal, Central Asian Academy, Tashkent, Uzbekistan
Review
"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." --Abdul Ghaffar Mughal, Central Asian Academy, Tashkent, Uzbekistan
Synopsis
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.
Synopsis
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
About the Author
KERRY PATTERSON is Professor of Economics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics.
Table of Contents
The Importance of Nonstationary and Unit Roots in Economic Time Series * Estimating Autoregressive Models * Bootstrapping and Other Techniques for Confidence Intervals and Unit Root Test * Parametric Tests for Unit Roots * Semi-parametric Tests for Unit Roots * Selecting Lag Lengths to Ensure Good Size and Power * Unit Roots and Structural Breaks in Economic Time Series * Nonlinear Modelling and Nonstationarity * Fractional Unit Roots: Time Series Approach * Fractional Unit Roots: Frequency Domain