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Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Front Matter
Some Common Themes
Functional Form and Nonparametric Tests for a Unit Root
Fractional Integration
Semi-Parametric Estimation of the Long-memory Parameter
Smooth Transition Nonlinear Models
Threshold Autoregressions
Structural Breaks in AR Models
Structural Breaks with Unknown Break Dates
Conditional Heteroscedasticity and Unit Root Tests
Back Matter