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Palgrave Macmillan

A Primer for Unit Root Testing

  • Book
  • © 2010

Overview

Authors:
  1. Kerry Patterson
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Part of the book series: Palgrave Texts in Econometrics (PTEC)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xxiv
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  2. An Introduction to Probability and Random Variables

    • Kerry Patterson
    Pages 1-44

  3. Time Series Concepts

    • Kerry Patterson
    Pages 45-84

  4. Dependence and Related Concepts

    • Kerry Patterson
    Pages 85-104

  5. Concepts of Convergence

    • Kerry Patterson
    Pages 105-128

  6. An Introduction to Random Walks

    • Kerry Patterson
    Pages 129-159

  7. Brownian Motion: Basic Concepts

    • Kerry Patterson
    Pages 160-180

  8. Brownian Motion: Differentiation and Integration

    • Kerry Patterson
    Pages 181-204

  9. Some Examples of Unit Root Tests

    • Kerry Patterson
    Pages 205-257

  10. Back Matter

    Pages 258-277
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Keywords

About this book

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.

Reviews

'I would like to congratulate you on writing what I consider to be the most accessible and helpful book on the subject of Time Series Analysis.' - Professor Abdul Ghaffar Mughal, Central Asian Academy, Tashkent, Uzbekistan

About the author

KERRY PATTERSON is Professor of Econometrics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics.

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