Recent Developments in Time Series: Volumes I and II
这两卷书收录了1990-2000年间时间序列领域的重要论文，涵盖单位根检验、平稳性检验等主题，适合计量经济学研究者快速了解该时期的关键进展。
The two volumes edited by Paul Newbold and Stephen Leybourne reproduce many important developments that occurred on various time series topics in the 1990–2000 decade. The books represent (and they are meant to) a follow up to Harvey’s (1994) editorial effort also published in the Elgar Reference Collection. The two volumes consist of 50 articles that have been divided in twelve parts corresponding to different aspects of time series. The first set of articles of the first volume cover unit roots and stationarity tests. Among the unit root test papers we find important articles like the one by Elliot, Rothenberg, and Stock, which propose efficient tests for a unit root, and Ng and Perron, which analyse the problem of choosing the truncation lag in the context of augmented Dickey‐Fuller tests for a unit root. Stationarity tests are represented by important papers like the one from Kwiatkowski, Phillips, Schmidt and Shin which develops a test for the null of stationarity against the alternative of a unit root (the famous KPSS), and the paper by Leybourne and McCabe which provide methods for the improvement of the performance of tests for stationarity. Also, Lobato and Robinson offer a non‐parametric test for the null of I(0) against the alternative of I(d) where d may correspond to a fractional alternative.