A Primer for Unit Root Testing

This book provides an introduction to the technical background of unit roottesting one of the most heavily researched areas in econometrics over the lasttwenty ... » 

This book provides an introduction to the technical background of unit roottesting one of the most heavily researched areas in econometrics over the lasttwenty years. Starting from an elementary understanding of probability and timeseries it develops the key concepts necessary to understand the structure ofrandom walks and brownian motion and their role in tests for a unit root. Thetechniques are illustrated with worked examples data and programs available onthe books website which includes more numerical and theoretical examplesThis book is indispensable reading for all interested in Time SeriesEconometrics Econometrics and Applied Econometrics «