Time Series Econometrics (V1)
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Book Overview Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of w...
Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve better tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered.
Book Details Format: Hardcover | Pages: 764 | Language: English | Publisher: WORLD SCIENTIFIC PUB CO INC | ISBN: 9813237864
FormatHardcover
Pages764
LanguageEnglish
ISBN9813237864
EAN9789813237865
PublisherWORLD SCIENTIFIC PUB CO INC
Publication Date1970-01-01
Edition1
AccessoriesNo Accessory
ConditionNew
Product TypeHARD COVER BOOKS
Weight2.6 Pounds
Length9.0 Inches
Width6.0 Inches
Height1.63 Inches
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