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A Primer for Unit Root Testing

  • Fester Einband
  • 277 Seiten
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Beschreibung

Zusatztext '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 Zusammenfassung 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. Informationen zum Autor KERRY PATTERSON is Professor of Econometrics at the University of Reading. His research interests include Time Series Econometrics and Macroeconomics. Klappentext 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. Inhaltsverzeichnis List of Figures Symbols and Abbreviations Preface An Introduction to Probability and Random Variables Time Series Concepts Dependence Convergence An Introduction to Random Walks Brownian motion: Basic Concepts Brownian Motion: Differentiation and Integration Some Examples of Unit root Tests Glossary References

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

Klappentext

An analysis of economic time series is almost impossible without a detailed knowledge of concepts such as non-stationarity, integration and unit roots, yet the literature on these topics is immense. The last twenty years or so have seen the publication of hundreds of articles in this area. This book gives an authoritative overview of the literature 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.

Zusammenfassung
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.

Inhalt
List of Figures Symbols and Abbreviations Preface An Introduction to Probability and Random Variables Time Series Concepts Dependence Convergence An Introduction to Random Walks Brownian motion: Basic Concepts Brownian Motion: Differentiation and Integration Some Examples of Unit root Tests Glossary References

Produktinformationen

Titel: A Primer for Unit Root Testing
Autor:
EAN: 9781403902047
ISBN: 978-1-4039-0204-7
Format: Fester Einband
Genre: Wirtschaft
Anzahl Seiten: 277
Gewicht: 498g
Größe: H21mm x B223mm x T148mm
Jahr: 2009
Auflage: 2010