Open Advanced Search

Log in
Enterprise Plans
Free Trial

Log in
Free Trial
Enterprise Plans
Browse
Features
Pricing

DeepDyve

Advanced Search

show/hide query preview

With all of the words or DOIs:

DeepDyve's default query mode: search by keyword or DOI.

With the exact phrase:

Require these words, in this exact order. Do not surround your terms in double-quotes ("") in this field.

With at least one of the words:

Find any of these words, separated by spaces

Without the words:

Exclude each of these words, separated by spaces

With words in the article title:

Search for these terms only in the title of an article

Published between the years:

With the following authors:

Most effective as: LastName, First Name or Lastname, FN

With words in the journal name:

Search for articles published in journals where these words are in the journal name

Reset filters

Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

DeepDyve requires Javascript to function. Please enable Javascript on your browser to continue.

Unit Root Tests in Time Series

Part of the Palgrave Texts in Econometrics Book Series

DOI: 10.1057/9780230299306

ISBN: 978-0-230-25025-3

Publisher: Palgrave Macmillan UK - Springer Journals

Oct 29, 2015

1 - 10 of 13 Chapters

Available

Introduction to Random Walks and Brownian Motion

Patterson, Kerry

Pages: 1 –37

[The first part of this chapter introduces the random walk initially in a form with stochastic shocks generated by a random variable with a binomial distribution. In the simplest version of this process the random variable has two equally likely outcomes resulting in a symmetric binomial random...
Available

Why Distinguish Between Trend Stationary and Difference Stationary Processes?

Patterson, Kerry

Pages: 38 –67

[This chapter provides some motivation for the continued interest in assessing whether a stochastic process has a unit root, particularly for series that exhibit trended behaviour. In part, such interest lies in a critique of a procedure that models the trend component of a series as a...
Available

An Introduction to ARMA Models

Patterson, Kerry

Pages: 68 –122

[The focus of this chapter is on autoregressive moving average (ARMA) models, which were introduced in a simple form in Chapter 1. These models are not only of interest in their own right, they serve to provide a background to interpret many of the issues arising in the context of unit roots and...
Available

Bias and Bias Reduction in AR Models

Patterson, Kerry

Pages: 123 –157

[The aim of this chapter is to introduce some of the problems that arise in estimating a simple AR model. At this stage an AR model is adequate to indicate the nature of the problems and because, even if an ARMA model is appropriate, an AR model of sufficient order can, under some circumstances,...
Available

Confidence Intervals in AR models

Patterson, Kerry

Pages: 158 –188

[This chapter is a continuation of the last. There were two central messages in that chapter, the first being that standard estimators of the coefficients in an AR(p) model have a finite sample bias. In response, and addressing the solution as obtaining an estimator with better mean bias, four...
Available

Dickey-Fuller and Related Tests

Patterson, Kerry

Pages: 189 –259

[This chapter is concerned with some of the basic issues underlying testing for a unit root using least squares (LS) and related estimation methods. An understanding of these issues is necessary to interpret developments subsequent to the seminal work of Dickey (1976), Fuller (1976) and Dickey...
Available

Improving the Power of Unit Root Tests

Patterson, Kerry

Pages: 260 –318

[The primary concern of this chapter is with tests that are designed, at least potentially, to improve the power of the DF-type tests. The first topic to be considered is the application of generalised least squares (GLS), which leads to two distinct formulations of the problem of unit root...
Available

Bootstrap Unit Root Tests

Patterson, Kerry

Pages: 319 –347

[A bootstrap procedure was described in Chapter 4 as a means of reducing the bias in LS estimators, and in Chapter 5 the grid bootstrap procedure, due to Hansen (1999), was outlined as a means of constructing a confidence interval in a situation where the underlying quantiles are not constant....
Available

Lag Selection and Multiple Tests

Patterson, Kerry

Pages: 348 –384

[The chapter is concerned with two related issues. The first concerns the need to select a lag or truncation parameter when there is serial dependence in the errors. Unit root tests can become severely mis-sized in the presence of serially correlated errors, especially if there is an MA component...
Available

Testing for Two (or More) Unit Roots

Patterson, Kerry

Pages: 385 –433

[This chapter is concerned with new issues that arise in testing for two unit roots. The techniques described here are easy to generalise to the less likely case of more than two unit roots. Series that are generated with two unit roots involve the double summation of shocks, a process that tends...

results per page

Browse All eBooks

Features

Search and discover articles on DeepDyve, PubMed, and Google Scholar
Read the full-text of open access and premium content
Organize articles with folders and bookmarks
Collaborate on and share articles and folders

Info

Pricing
Enterprise Plans
Browse Journals & Topics
About DeepDyve

Help

Help
Publishers
Contact Us

Sign up for your 14-Day Free Trial Now!

Read and print from thousands of top scholarly journals.

System error. Please try again!

Continue with Facebook

By signing up, you agree to DeepDyve’s Terms of Service and Privacy Policy.

Already have an account? Log in

Save Article to Bookmarks

Bookmark this article. You can see your Bookmarks on your DeepDyve Library.

To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.

Subscribe to Journal Email Alerts

To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.

Follow a Journal

To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.

Our policy towards the use of cookies

All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.

cookie policy