Unit Root Tests in Time Series Volume 2

Unit Root Tests in Time Series Volume 2

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An accessible overview of tests for a unit root, including a comprehensive explanation of common pitfalls and extensionsA model of this form gives rise to heteroscedasticity that is linked to the lagged dependent variable, which is a scale variable in the heteroscedasticity function. The chapter then covers the impact of ARCH/GARCH-type heteroscedasticity on unit root tests. ... Martinez and Martinez (2002) again provided an invaluable guide to the use of MATLAB, and time and time again Hanselman and Littlefield ( 2005)anbsp;...

Title:Unit Root Tests in Time Series Volume 2
Author: Kerry Patterson, Palgrave Connect (Online service)
Publisher:Palgrave Macmillan - 2012-07-06

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