Almost all about unit roots: Foundations, developments, and applications

By:

Choi, In

Material type: Text

TextPublication details: New York Cambridge University Press 2015Description: xx, 279 p. Includes bibliographical reference and indexISBN:

9781107482500

Other classification:

Summary: Unit root tests are one of the building blocks of modern time series analysis because processes that may be characterized as having a unit root appear in many areas of science such as economics, finance, political science and sociology. Furthermore, the presence or absence of a unit root has a decisive effect on the methodology used in subsequent inference. For these reasons, there have been an enormous number of papers studying unit root tests and their properties. In Choi's monograph accomplishes a monumental task: it delivers a comprehensive survey, an unabridged map of more than 30years of theoretical research on the subject.

Item type:

Textual

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Holdings
Item type	Current library	Home library	Status	Barcode
Textual	Ratan Tata Library	Ratan Tata Library	Available	RT1528543

Unit root tests are one of the building blocks of modern time series analysis because processes that may be characterized as having a unit root appear in many areas of science such as economics, finance, political science and sociology. Furthermore, the presence or absence of a unit root has a decisive effect on the methodology used in subsequent inference. For these reasons, there have been an enormous number of papers studying unit root tests and their properties. In Choi's monograph accomplishes a monumental task: it delivers a comprehensive survey, an unabridged map of more than 30years of theoretical research on the subject.

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