© 2011

Unit Root Tests in Time Series

Key Concepts and Problems

  • Authors

Part of the Palgrave Texts in Econometrics book series (PTEC)

Table of contents

  1. Front Matter
    Pages i-xxxvii
  2. Kerry Patterson
    Pages 68-122
  3. Kerry Patterson
    Pages 123-157
  4. Kerry Patterson
    Pages 158-188
  5. Kerry Patterson
    Pages 189-259
  6. Kerry Patterson
    Pages 260-318
  7. Kerry Patterson
    Pages 319-347
  8. Kerry Patterson
    Pages 348-384
  9. Kerry Patterson
    Pages 385-433
  10. Kerry Patterson
    Pages 434-496
  11. Kerry Patterson
    Pages 519-596
  12. Back Matter
    Pages 597-641

About this book


Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.


random variable time series time series analysis unit roots

About the authors

KERRY PATTERSON is Professor of Econometrics at the University of Reading. He has established an international reputation in econometrics and has published over 50 articles in leading journals, including the Journal of the Royal Statistical Society, the Review of Economics and Statistics, the Economic Journal and the International Journal of Forecasting. He is author of A Primer for Unit Root Testing and co-editor, with Terence Mills, of the Palgrave Handbook of Econometrics, both published by Palgrave.

Bibliographic information

Industry Sectors
Finance, Business & Banking