MACMILLAN A Primer for Unit Root Testing (Palgrave Texts in Econometrics)

Product Description This book provides an introduction to the technical background of unit root testing, one of the most heavily researched areas in econometrics over the last twenty years. Starting from an elementary understanding of probability and time series, it develops the key concepts necessary to understand the structure of random walks and brownian motion, and their role in tests for a unit root. The techniques are illustrated with worked examples, data and programs available on the book's website, which includes more numerical and theoretical examples This book is indispensable reading for all interested in Time Series Econometrics, Econometrics and Applied Econometrics Review '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 Book Description This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. About the Author KERRY PATTERSON is Professor of Econometrics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics.