Time Series Econometrics - Volume 1: Unit Roots and Trend Breaks (Hardcover)

Time Series Econometrics - Volume 1: Unit Roots and Trend Breaks By Pierre Perron (Editor) Cover Image
By Pierre Perron (Editor)
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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.

Product Details
ISBN: 9789813237865
ISBN-10: 9813237864
Publisher: World Scientific Publishing Company
Publication Date: April 16th, 2019
Pages: 764
Language: English