Ebook: Unit Root Tests in Time Series: Extensions and Developments
Author: Kerry Patterson (auth.)
- Tags: Economic Theory/Quantitative Economics/Mathematical Methods, Statistical Theory and Methods, Macroeconomics/Monetary Economics//Financial Economics, Econometrics, Probability Theory and Stochastic Processes, Applications of Mathematics
- Series: Palgrave Texts in Econometrics
- Year: 2012
- Publisher: Palgrave Macmillan UK
- Edition: 1
- Language: English
- pdf
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.
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