Unit Root Tests in Time Series Volume 2: Extensions and Developments

Hardcover | August 7, 2012

byKerry Patterson

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This volume expands and develops the analyses and concepts put forward in Unit Root Tests in Time Series: Volume One, providing a comprehensive and clear way into the techniques of unit root testing. Patterson provides an awareness of the pitfalls and extensions to nonstandard cases, giving guidance to the practitioner and enabling the reader to understand the complex theoretical aspects of unit root tests.

Crucial issues such as Nonstationarity caused by a unit root are discussed, and explanation is combined with examples, showing theory at work with real economic issues such as the prices of assets and measures of economic activity.

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This volume expands and develops the analyses and concepts put forward in Unit Root Tests in Time Series: Volume One, providing a comprehensive and clear way into the techniques of unit root testing. Patterson provides an awareness of the pitfalls and extensions to nonstandard cases, giving guidance to the practitioner and enabling the...

KERRY PATTERSON is professor of Econometrics at the University of Reading, UK. He has established an international reputation in Econometrics and has published over 50 articles in leading journals, including the Journal of the Royal Statistical Society, the Review of Economics and Statistics, and the Economic Journal and the Internati...

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Format:HardcoverDimensions:592 pages, 9.55 × 6.37 × 1.46 inPublished:August 7, 2012Publisher:Palgrave MacmillanLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230250262

ISBN - 13:9780230250260

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Table of Contents

Introduction
Functional Form and Nonparametric Tests for a Unit Root
Fractional Integration
Semi-parametric Estimation of the Long Memory Parameter
Smooth Transition Nonlinear Models
Threshold Autoregressions
Structural Breaks in AR Models
Structural Breaks with Unknown Break Dates
Conditional Heteroscedasticity and Unit Root Tests