An accessible overview of tests for a unit root, including a comprehensive explanation of common pitfalls and extensionsExtensions and Developments Kerry Patterson, Palgrave Connect (Online service) ... The testing framework is to first rank the observations in the sample, but then use an AR/ADF model on the ranked ... Another possibility is to take the parametric score or LM unit root test (see Schmidt and Phillips, 1992), and apply it to theanbsp;...
|Title||:||Unit Root Tests in Time Series Volume 2|
|Author||:||Kerry Patterson, Palgrave Connect (Online service)|
|Publisher||:||Palgrave Macmillan - 2012-07-06|