Memo
Memo

Author: Philip Hans Franses

Publisher:

Published: 1993

Total Pages:

ISBN-13:

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Almost All about Unit Roots
Almost All about Unit Roots

Author: In Choi

Publisher: Cambridge University Press

Published: 2015-05-07

Total Pages: 301

ISBN-13: 1316300587

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Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.

A Primer for Unit Root Testing
A Primer for Unit Root Testing

Author: K. Patterson

Publisher: Springer

Published: 2010-03-31

Total Pages: 301

ISBN-13: 0230248454

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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.

Unit Root Tests in Time Series Volume 2
Unit Root Tests in Time Series Volume 2

Author: K. Patterson

Publisher: Springer

Published: 2012-07-05

Total Pages: 586

ISBN-13: 1137003316

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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.

Outlier Detection in Cointegration Analysis
Outlier Detection in Cointegration Analysis

Author: Philip Hans Franses

Publisher:

Published: 2014

Total Pages: 0

ISBN-13:

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Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of computing the robust estimator, we obtain weights for all observations in the sample. These weights can be used to identify approximate dates of those atypical events. We evaluate our method via some illustrative simulated data. Furthermore, since our robust approach involves a few additional decisions on the values of key parameters, we investigate the sensitivity of our method through extensive Monte- Carlo simulations. Finally, we present an empirical example based on real-life data to show that OLS based cointegration can yield spurious cointegration.