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  • Unit roots tests in time series[electronic resource] /
  • 紀錄類型: 書目-語言資料,印刷品 : Monograph/item
    杜威分類號: 519.5/5
    書名/作者: Unit roots tests in time series/ Kerry Patterson.
    作者: Patterson, K. D.
    出版者: New York, NY : : Palgrave Macmillan,, 2011-<2012 >
    面頁冊數: v. <1-2 > : : ill. ;; 24 cm.
    標題: Econometrics.
    標題: Time-series analysis.
    ISBN: 9781137003317 (electronic bk.)
    ISBN: 1137003316 (electronic bk.)
    書目註: Includes bibliographical references and indexes.
    內容註: 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 --.
    摘要、提要註: 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.
    電子資源: An electronic book accessible through the World Wide Web; click for information
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