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Unit Root Tests In Time Series Volume 2
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Book Synopsis Unit Root Tests in Time Series Volume 2 by : K. Patterson
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Unit Root Tests in Time Series Volume 2 by : K. Patterson
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Palgrave Macmillan. This book was released on 2012-07-06 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Unit Root Tests in Time Series: Key concepts and problems by : K. D. Patterson
Download or read book Unit Root Tests in Time Series: Key concepts and problems written by K. D. Patterson and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comparison of Unit Root Tests for Time Series with Level Shifts by : Markku Lanne
Download or read book Comparison of Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior to the tests, the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then, the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analysed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts.
Book Synopsis Lag Order and Critical Values of Unit Root Tests by : Yin-Wong Cheung
Download or read book Lag Order and Critical Values of Unit Root Tests written by Yin-Wong Cheung and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Tests for Time Series with Level Shifts by : Markku Lanne
Download or read book Unit Root Tests for Time Series with Level Shifts written by Markku Lanne and published by . This book was released on 2001 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Primer for Unit Root Testing by : K. Patterson
Download or read book A Primer for Unit Root Testing written by K. Patterson and published by Springer. This book was released on 2010-03-31 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Unit Root Testing in Panel and Time Series Models by : Florian Siedenburg
Download or read book Unit Root Testing in Panel and Time Series Models written by Florian Siedenburg and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Comparison of unit root tests for time series with level shifts by : Markku Lanne
Download or read book Comparison of unit root tests for time series with level shifts written by Markku Lanne and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Roots in Time Series Models: Tests and Implications by : David Dickey
Download or read book Unit Roots in Time Series Models: Tests and Implications written by David Dickey and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Tests in Nonstationary Time Series by : Taiyeong Lee
Download or read book Unit Root Tests in Nonstationary Time Series written by Taiyeong Lee and published by . This book was released on 1998 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Tests in Time Series Volume 1 by : K. Patterson
Download or read book Unit Root Tests in Time Series Volume 1 written by K. Patterson and published by Springer. This book was released on 2011-02-25 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Unit Root Tests in Time Series and Stochastic Volatility Models by : Kapildeb Sen
Download or read book Unit Root Tests in Time Series and Stochastic Volatility Models written by Kapildeb Sen and published by . This book was released on 2002 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: measurement error, SIMEX, SVM, unit root.
Book Synopsis Unit Roots Tests in Time Series by : Kerry D. Patterson
Download or read book Unit Roots Tests in Time Series written by Kerry D. Patterson and published by . This book was released on 2011 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Robustness of Unit Root Tests in the Presence of Double Unit Roots by : Niels Haldrup
Download or read book On the Robustness of Unit Root Tests in the Presence of Double Unit Roots written by Niels Haldrup and published by . This book was released on 2000 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Tests in Time Series and Stochastic Volatility Models by :
Download or read book Unit Root Tests in Time Series and Stochastic Volatility Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing appropriate forecasts of time series data into the future depends crucially on whether the time series under consideration is non-stationary (i.e. has a unit root) or stationary. In the context of a Stochastic Volatility Model (SVM), the presence of a unit root in financial data has important implications for the pricing of various financial instruments. We propose a unit root test for the volatility process based on the Simulation-Extrapolation (SIMEX) approach. We express the SVM as a measurement error model and propose a Simulation-Extrapolation (SIMEX)-based approach to test for the unit root hypothesis. The asymptotic theory of the Ordinary Least Squares (OLS) and Weighted Symmetric (WS) estimators are exploited to obtain SIMEX-based tests and simulation studies are provided to demonstrate that the SIMEX-based test compares favorably with some of the well known unit root tests already available in the literature. We also propose a unit root test based on the maximum order statistic in a simple autoregressive (AR) model of order 1. The asymptotic distribution of the test statistic under the null hypothesis is derived and the approximate percentiles are also provided. Through simulation studies, the proposed test is compared with the Dickey-Fuller (DF) test under various specifications for the error distributions. In the final chapter of this dissertation, we propose a procedure to test the null hypothesis of stationarity in AR (1) models. The procedure is based on the Intersection-Union tests used in Bio-Equivalence studies. The performance of the test based on finite sample percentiles as well as asymptotic percentiles is assessed using simulation studies.
Book Synopsis Critical Values for Unit Root Tests in Seasonal Time Series by : Philip Hans Franses
Download or read book Critical Values for Unit Root Tests in Seasonal Time Series written by Philip Hans Franses and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
