user
0
Su pedido

Tu pedido

Su carro de la compra está vacío

Materias

Unit Root Tests in Time Series Vol.2 "Extensions and Development"

Unit Root Tests in Time Series Vol.2 "Extensions and Development"

Compartir en:

(0 Comentarios)
Comenta y valora este libro

pvp.123,95 €

Disponible entre 11 y 20 dias

  • ISBN:9780230250260
  • Editorial: Palgrave
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:592
  • Idiomas:Ingles

Materias:

Testing for a unit root is an essential part of time series analysis and an integral part of many disciplines, such as economics, statistics, climatology, hydrology and meteorology. This volume develops the analysis and concepts of unit root testing and estimation, providing an accessible and critical account of recent advances and extensions of the basic framework. It provides practical guidance through examples and simulation, combined with a firm theoiretical base from which to evaluate competing approaches. This second volume of Unit Root Tests in Time Series will benefit readers who have an understanding of the basic concepts of unit root testing, such as the widely used Dickey-Fuller test, and can be read independently of volume one. It includes developments such as nonparametric approaches to unit root testing, testing for fractional integration, nonlinear models including smooth transition and discrete change models and structural breaks with known or unknown break points. Each technique is illustrated with an empirical example showing theory at work in the context of real economic issues such as the prices of assets, world oil production and measures of economic activity.

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

Otros libros de Patterson, Kerry

Otros libros de Economía Cuantitativa