K. Patterson
Unit Root Tests in Time Series Volume 1
Key Concepts and Problems
Gebonden Engels 2011 9780230250246Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9780230250246
Taal:Engels
Bindwijze:gebonden
Uitgever:Palgrave Macmillan UK
Lezersrecensies
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Inhoudsopgave
Preface 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 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 References Author Index Subject Index
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