Almost All about Unit Roots - In Choi

Almost All about Unit Roots

Foundations, Developments, and Applications

(Autor)

Buch | Hardcover
296 Seiten
2015
Cambridge University Press (Verlag)
978-1-107-09733-9 (ISBN)
109,95 inkl. MwSt
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
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.

In Choi is a Professor of Economics at Sogang University in Seoul, South Korea. His research focus has been on time series and panel data analysis, and he has published numerous articles in leading journals in economics and statistics. He is a Fellow of the Journal of Econometrics and has received the Plura Scripsit Award from Econometric Theory and the Chongram Award from the Korean Economic Association. He is currently an associate editor of the Journal of Business and Economic Statistics.

1. Introduction; 2. Inference on unit roots: basic methods; 3. Unit root tests under various model specifications; 4. Alternative approaches to inference on unit roots; 5. Other issues related to unit roots; 6. Seasonal unit roots; 7. Panel unit roots.

Erscheint lt. Verlag 12.5.2015
Reihe/Serie Themes in Modern Econometrics
Zusatzinfo 27 Tables, unspecified
Verlagsort Cambridge
Sprache englisch
Maße 158 x 235 mm
Gewicht 540 g
Themenwelt Mathematik / Informatik Mathematik Analysis
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 1-107-09733-9 / 1107097339
ISBN-13 978-1-107-09733-9 / 9781107097339
Zustand Neuware
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