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
Jessica Wang - Peter Bergen - Gilles Kepel - John Gray - Peter Bergen - Gilles Kepel - John Gray - Peter Bergen - Gilles Kepel - John Gray - Peter Bergen - Gilles Kepel - John Gray - Paul Corner, Professor of European History, University of Siena - Paul Corner, Professor of European History, University of Siena - New Statesman - Jihad: The Trail of Political Islam - Holy War, Inc. - New Statesman - Jihad: The Trail of Political Islam - Holy War, Inc. - New Statesman - Jihad: The Trail of Political Islam - Holy War, Inc. - New Statesman - Jihad: The Trail of Political Islam - Holy War, Inc. - American Historical Review
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
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
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