Unit root tests in time series. Volume 2, Extensions and developments /
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| Corporate Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Houndmills, Basingstoke, Hampshire ; New York :
Palgrave Macmillan,
2012.
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| Series: | Palgrave texts in econometrics.
Unit root tests in time series ; v. 2. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- 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 null hypothesis
- Combining tests and constructing confidence intervals
- Unit root tests for seasonal data.