Kerry Patterson

A Primer for Unit Root Testing

• Broschiertes Buch

Produktbeschreibung

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

Produktdetails

• Palgrave Texts in Econometrics
• Verlag: Palgrave Macmillan / Palgrave Macmillan UK / Springer Palgrave Macmillan
• Artikelnr. des Verlages: 978-1-4039-0205-4
• 2010
• Seitenzahl: 277
• Erscheinungstermin: 17. März 2010
• Englisch
• Abmessung: 213mm x 137mm x 20mm
• Gewicht: 370g
• ISBN-13: 9781403902054
• ISBN-10: 1403902054
• Artikelnr.: 21632786

Autorenporträt

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

Inhaltsangabe

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

Rezensionen

'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