Unit Root Tests in Time Series Volume 2
Title | Unit Root Tests in Time Series Volume 2 PDF eBook |
Author | K. Patterson |
Publisher | Springer |
Pages | 586 |
Release | 2012-07-05 |
Genre | Business & Economics |
ISBN | 1137003316 |
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Unit Root Tests in Time Series Volume 2
Title | Unit Root Tests in Time Series Volume 2 PDF eBook |
Author | K. Patterson |
Publisher | Palgrave Macmillan |
Pages | 550 |
Release | 2012-07-06 |
Genre | Business & Economics |
ISBN | 9780230250260 |
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Unit Root Tests in Time Series Volume 1
Title | Unit Root Tests in Time Series Volume 1 PDF eBook |
Author | K. Patterson |
Publisher | Springer |
Pages | 676 |
Release | 2011-02-25 |
Genre | Business & Economics |
ISBN | 023029930X |
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Unit Roots, Cointegration, and Structural Change
Title | Unit Roots, Cointegration, and Structural Change PDF eBook |
Author | G. S. Maddala |
Publisher | Cambridge University Press |
Pages | 528 |
Release | 1998 |
Genre | Business & Economics |
ISBN | 9780521587822 |
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Unit Root Tests in Time Series: Key concepts and problems
Title | Unit Root Tests in Time Series: Key concepts and problems PDF eBook |
Author | K. D. Patterson |
Publisher | |
Pages | |
Release | 2011 |
Genre | Econometrics |
ISBN |
Analysis of Integrated and Cointegrated Time Series with R
Title | Analysis of Integrated and Cointegrated Time Series with R PDF eBook |
Author | Bernhard Pfaff |
Publisher | Springer Science & Business Media |
Pages | 193 |
Release | 2008-09-03 |
Genre | Business & Economics |
ISBN | 0387759670 |
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Introduction to Statistical Time Series
Title | Introduction to Statistical Time Series PDF eBook |
Author | Wayne A. Fuller |
Publisher | John Wiley & Sons |
Pages | 734 |
Release | 2009-09-25 |
Genre | Mathematics |
ISBN | 0470317752 |
The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.