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 unitroot are discussed, and explanation is combined with examples, showing theoryat work with real economic issues such as the prices of assets and measures of economic activity. . INDICE: 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.
- ISBN: 978-0-230-25026-0
- Editorial: Palgrave Macmillan
- Encuadernacion: Cartoné
- Páginas: 512
- Fecha Publicación: 20/04/2012
- Nº Volúmenes: 1
- Idioma: Desconocido