K. Patterson 
Unit Root Tests in Time Series Volume 1 [PDF ebook] 
Key Concepts and Problems

Preface Introduction to Random Walks and Brownian Motion Why Distinguish Between Trend Stationary and Difference Stationary Processes? An Introduction to ARMA Models Bias and Bias Reduction in AR Models Confidence Intervals in AR Models Dickey-Fuller and Related Tests Improving the Power of Unit Root Tests Bootstrap Unit Root Tests Lag Selection and Multiple Tests Testing for Two (or More) Unit Roots Tests with Stationarity As the Hypothesis Combining Tests and Constructing Confidence Intervals Unit Root Tests for Seasonal Data Appendix 1: Random Variables Appendix 2: The Lag Operator and Lag Polynomials References Author Index Subject Index

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.