Time Series Econometrics: Unit Roots and Trend Breaks - Couverture rigide

 
9789813237865: Time Series Econometrics: Unit Roots and Trend Breaks
Couverture rigide
ISBN 10 : 9813237864 ISBN 13 : 9789813237865
Editeur : World Scientific Publishing Co Pte Ltd, 2019

Synopsis

Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve better tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Volume 1 covers statistical methods related to unit roots, trend breaks and their interplay. Testing for unit roots has been a topic of wide interest and the author was at the forefront of this research. The book covers important topics such as the Phillips-Perron unit root test and theoretical analyses about their properties, how this and other tests could be improved, and ingredients needed to achieve better tests and the proposal of a new class of tests. Also included are theoretical studies related to time series models with unit roots and the effect of span versus sampling interval on the power of the tests. Moreover, this book deals with the issue of trend breaks and their effect on unit root tests. This research agenda fostered by the author showed that trend breaks and unit roots can easily be confused. Hence, the need for new testing procedures, which are covered.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2019
Langue
anglais
ISBN 10 
9813237864
ISBN 13 
9789813237865
Reliure
Relié
Nombre de pages
764
Éditeur
Perron Pierre
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

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