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Unit root tests in time series / Kerry Patterson.

By: Material type: TextTextLanguage: English Series: Palgrave texts in econometricsPublication details: Basingstoke : Palgrave Macmillan, 2011.Description: 2 volumenes : ilustraciones, gráficas, tablas ; 24 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 9780230250246 (v.1)
  • 9780230250260 (v.2)
Subject(s): DDC classification:
  • 330.015195 P17u  21
Other classification:
  • B23
Contents:
v.1. 1. Introduction to Random Walks and Brownian Motion -- 2. Why Distinguish Between Trend Stationary and Difference Stationary Processes? -- 3. An Introduction to ARMA Models -- 4. Bias and Bias Reduction in AR Models -- 5. Confidence Intervals in AR models -- 6. Dickey-Fuller and Related Tests -- 7. Improving the Power of Unit Root Tests -- 8. Bootstrap Unit Root Tests -- 9. Lag Selection and Multiple Tests -- 10. Testing for Two (or More) Unit Roots -- 11. Tests with Stationarity as the Null Hypothesis -- 12. Combining Tests and Constructing Confidence Intervals -- 13. Unit Root Tests for Seasonal Data. - v.2. 1 Some Common Themes -- 2. Functional Form and Nonparametric Tests for a Unit Root -- 3. Fractional Integration -- 4. Semi-Parametric Estimation of the Long-memory Parameter -- 5. Smooth Transition Nonlinear Models -- 6. Threshold Autoregressions -- 7. Structural Breaks in AR Models -- 8. Structural Breaks with Unknown Break Dates -- 9. Conditional Heteroscedasticity and Unit Root Tests.
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Holdings
Item type Home library Call number Vol info Status Notes Date due Barcode Item holds
LIBRO FISICO Biblioteca Principal 330.015195 P17u (Browse shelf(Opens below)) v.01 Ejemplar 1 Available Mantener en colección. 29004024973025
LIBRO FISICO Biblioteca Principal 330.015195 P17u (Browse shelf(Opens below)) v.02 Ejemplar 1 Available Mantener en colección. 29004024973033
Total holds: 0

Incluye referencias bibliográficas (páginas 619-631) e índice.

v.1. 1. Introduction to Random Walks and Brownian Motion -- 2. Why Distinguish Between Trend Stationary and Difference Stationary Processes? -- 3. An Introduction to ARMA Models -- 4. Bias and Bias Reduction in AR Models -- 5. Confidence Intervals in AR models -- 6. Dickey-Fuller and Related Tests -- 7. Improving the Power of Unit Root Tests -- 8. Bootstrap Unit Root Tests -- 9. Lag Selection and Multiple Tests -- 10. Testing for Two (or More) Unit Roots -- 11. Tests with Stationarity as the Null Hypothesis -- 12. Combining Tests and Constructing Confidence Intervals -- 13. Unit Root Tests for Seasonal Data. - v.2. 1 Some Common Themes -- 2. Functional Form and Nonparametric Tests for a Unit Root -- 3. Fractional Integration -- 4. Semi-Parametric Estimation of the Long-memory Parameter -- 5. Smooth Transition Nonlinear Models -- 6. Threshold Autoregressions -- 7. Structural Breaks in AR Models -- 8. Structural Breaks with Unknown Break Dates -- 9. Conditional Heteroscedasticity and Unit Root Tests.

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