A Primer For Unit Root Testing

A Primer for Unit Root Testing PDF
Author: K. Patterson
Publisher: Springer
ISBN: 0230248454
Size: 64.76 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 277
View: 3786

Get Book

A Primer For Unit Root Testing

by K. Patterson, A Primer For Unit Root Testing Books available in PDF, EPUB, Mobi Format. Download A Primer For Unit Root Testing books, 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.


A Primer For Unit Root Testing

A Primer for Unit Root Testing PDF
Author: K. Patterson
Publisher: Palgrave Macmillan
ISBN: 9781403902047
Size: 40.40 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 277
View: 159

Get Book

A Primer For Unit Root Testing

by K. Patterson, A Primer For Unit Root Testing Books available in PDF, EPUB, Mobi Format. Download A Primer For Unit Root Testing books, 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.


Unit Root Tests In Time Series Volume 2

Unit Root Tests in Time Series Volume 2 PDF
Author: Kerry Patterson
Publisher: Palgrave Macmillan
ISBN: 0230250262
Size: 35.20 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 550
View: 6037

Get Book

Unit Root Tests In Time Series Volume 2

by Kerry Patterson, Unit Root Tests In Time Series Volume 2 Books available in PDF, EPUB, Mobi Format. Download Unit Root Tests In Time Series Volume 2 books, This volume expands and develops the analyses and concepts put forward in Unit Root Tests in Time Series: Volume One, providing a comprehensive and clear way into the techniques of unit root testing. Patterson provides an awareness of the pitfalls and extensions to nonstandard cases, giving guidance to the practitioner and enabling the reader to understand the complex theoretical aspects of unit root tests. Crucial issues such as Nonstationarity caused by a unit root are discussed, and explanation is combined with examples, showing theory at work with real economic issues such as the prices of assets and measures of economic activity.


Unit Root Tests In Time Series Volume 1

Unit Root Tests in Time Series Volume 1 PDF
Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Size: 16.62 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 641
View: 1482

Get Book

Unit Root Tests In Time Series Volume 1

by K. Patterson, Unit Root Tests In Time Series Volume 1 Books available in PDF, EPUB, Mobi Format. Download Unit Root Tests In Time Series Volume 1 books, Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.


A Primer For Spatial Econometrics

A Primer for Spatial Econometrics PDF
Author: G. Arbia
Publisher: Springer
ISBN: 1137317949
Size: 63.23 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 230
View: 7287

Get Book

A Primer For Spatial Econometrics

by G. Arbia, A Primer For Spatial Econometrics Books available in PDF, EPUB, Mobi Format. Download A Primer For Spatial Econometrics books, This book aims at meeting the growing demand in the field by introducing the basic spatial econometrics methodologies to a wide variety of researchers. It provides a practical guide that illustrates the potential of spatial econometric modelling, discusses problems and solutions and interprets empirical results.


Journal Of Econometrics

Journal of Econometrics PDF
Author:
Publisher:
ISBN:
Size: 80.85 MB
Format: PDF, ePub
Category :
Languages : en
Pages :
View: 3405

Get Book

Journal Of Econometrics

by , Journal Of Econometrics Books available in PDF, EPUB, Mobi Format. Download Journal Of Econometrics books,


Markov Regime Switching And Unit Root Tests

Markov Regime switching and Unit Root Tests PDF
Author: Charles R. Nelson
Publisher:
ISBN:
Size: 55.53 MB
Format: PDF, ePub, Mobi
Category : Markov processes
Languages : en
Pages : 33
View: 4032

Get Book

Markov Regime Switching And Unit Root Tests

by Charles R. Nelson, Markov Regime Switching And Unit Root Tests Books available in PDF, EPUB, Mobi Format. Download Markov Regime Switching And Unit Root Tests books, We investigate the power and size performance of unit root tests when the true data generating process undergoes Markov regime-switching. All tests, including those robust to a single break in trend growth rate, have very low power against a process with a Markov-switching trend growth rate as in Lam (1990). However, for the case of business cycle non-linearities, unit root tests are very powerful against models used as alternatives to Lam (1990) that specify regime-switching in the transitory component of output. Under the null hypothesis, the received literature documents size distortions in Dickey-Fuller type tests caused by a single break in trend growth rate or variance. We find these results do not generalize to most parameterizations of Markov-switching in trend or variance. However, Markov-switching in variance can lead to over-rejection in tests robust to a single break in the level of trend.


Testing For Stochastic Trends In Series With Structural Breaks

Testing for Stochastic Trends in Series with Structural Breaks PDF
Author: Fabio Busetti
Publisher:
ISBN:
Size: 65.64 MB
Format: PDF, ePub, Mobi
Category : Asymptotic distribution (Probability theory)
Languages : en
Pages : 39
View: 2021

Get Book

Testing For Stochastic Trends In Series With Structural Breaks

by Fabio Busetti, Testing For Stochastic Trends In Series With Structural Breaks Books available in PDF, EPUB, Mobi Format. Download Testing For Stochastic Trends In Series With Structural Breaks books,