Primer for Unit Root Testing

Zusatztext '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 Informationen zum Autor KERRY PATTERSON is Professor of Econometrics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics. Klappentext 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. Zusammenfassung 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. Inhaltsverzeichnis 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

Dettagli sul prodotto

• Autori: K Patterson, K. Patterson, Kerry Patterson, Patterson Kerry
• Con la collaborazione di: Kerry Patterson (Editore)
• Editore: Palgrave UK
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 30.11.2009
• EAN: 9781403902047
• ISBN: 978-1-4039-0204-7
• Pagine: 301
• Serie: Palgrave Texts in Econometrics; Palgrave Texts in Econometrics
• Categorie: Scienze sociali, diritto, economia > Economia > Economia politica; B, Economics, finance, business & management, Statistics, macroeconomics, Economic theory & philosophy, Economic Theory, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Monetary Economics, Management science, Probability & statistics, Quantitative Economics, Economic Theory/Quantitative Economics/Mathematical Methods, Palgrave Economics & Finance Collection, Econometrics, integration;probability;time series