Key concepts and problems
| Year of publication: |
2011
|
|---|---|
| Authors: | Patterson, Kerry D. |
| Published in: |
Unit root tests in time series ; Vol. 1
|
| Publisher: |
Basingstoke [u.a.] : Palgrave Macmillan |
| Description of contents: | Table of Contents [gbv.de] ; Description [zbmath.org] |
| Extent: | XXXVII, 641 S. graph. Darst. |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | 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. Literaturverz. S. 619 - 631 |
| ISBN: | 978-0-230-25024-6 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009521324