Unit Root Distribution Theory

This seminar was given 23 April 2009 as part of the PhD seminar series organised by the School of Economics & Finance of the University of St Andrews. The first lecture discusses the underpinnings of unit root distribution theory, especially from the point of view of functional central limit theory. The second lecture considers how to derive and compute the densities of relevant test statistics, using the stochastic process approach, the Fredholm approach and the Imhof method, attempting to relate this material to the wider probability literature.

Videos are in MP4 format. Handouts are PDF.

Morning video 1 (42 minutes) Download MP4 | (Part 1, slides 1-27)

Morning video 2 (23 minutes) Download MP4 | (Part 1, slides 28-48)

Afternoon video 1 (50 minutes) Download MP4 | (Part 2, slides 1-37)

Afternoon video 2 (28 minutes) Download MP4 | (Part 2, slides 38-66)

About the Speaker

Professor Rod McCrorie is Professor in the School of Economics and Finance at the University of St Andrews. His research interests are Econometric Theory, Applied Macroeconomics and Time Series Analysis.