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Unit Root Tests in Time Series Volume 2

Extensions and Developments

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Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.


Titel: Unit Root Tests in Time Series Volume 2
Autoren/Herausgeber: K. Patterson
Aus der Reihe: Palgrave Texts in Econometrics
Ausgabe: 2012

ISBN/EAN: 9780230250260

Seitenzahl: 550
Format: 22,9 x 15,2 cm
Produktform: Hardcover/Gebunden
Gewicht: 994 g
Sprache: Englisch

KERRY PATTERSON Professor of Econometrics at the University of Reading, UK. He has established an international reputation in Econometrics and has published over 50 articles in leading journals, including the Journal of the Royal Statistical Society, the Review of Economics and Statistics, the Economic Journal and the International Journal of Forecasting. He is co-editor, with Terence Mills, of the Palgrave Handbook of Econometrics, Volumes 1 and 2, author of Unit Root Tests in Time Series, Volume 1, and author of a Primer for Unit Root Testing. - Newsletter
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