Tests of Unit Roots in Time Series Data.

GUEST LECTURER
Sastry G Pantula, Professor

AFFILIATION
North Carolina State University, Department of Statistics

ABSTRACT
Unit root tests in time series analysis have received a considerable
attention since the seminal work of Dickey and Fuller(1976). In this talk,
some of the existing unit root test criteria will be reviewed. Size, power
and robustness to model misspecification of various unit root test
criteria will be discussed. More recent work on unit root tests where the
alternative hypothesis is a unit root process will be discussed. Tests for
trend stationarity versus difference stationary models will be discussed
briefly. Current work on unit root test criteria on random coefficient
models and seasonal series will also be discussed. Examples of unit root
time series and future directions in unit root hypothesis testing will be
presented.

DATE & TIME
Thursday, March 13, 2008 -- 11:00 AM

DURATION
1 hour

LOCATION
Executive Room