Sökning: "Cointegration"

Visar resultat 1 - 5 av 52 avhandlingar innehållade ordet Cointegration.

1. 1. Aspecte of Bayesian Cointegration

   Författare :Mattias Villani; Daniel Thorburn; Rolf Larsson; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Bayesian inference; Cointegration; Estimation; Lag-length; Prediction; Restrictions; statistik; Statistics;

   Sammanfattning : .... LÄS MER

3. 2. Essays on Panel Cointegration

   Författare :Joakim Westerlund; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Cross-Sectional Dependence; Common factor restriction; Feldstein-Horioka Puzzle; Fisher Hypothesis; economic policy; economic theory; economic systems; Economics; econometrics; Structural Break.; Sieve Bootstrap; Information Criteria; Residual-Based Cointegration Test; Panel Cointegration; Monte Carlo Simulation; Model Selection; International R D Spillovers; International Health Care Expenditures;

   Sammanfattning : This thesis develops new techniques for analyzing cointegrated relationships in panel data. The first chapter is introductory while the remaining six contain the main contributions. LÄS MER

4. 3. Testing and Applying Cointegration Analysis in Macroeconomics

   Författare :Åsa Eriksson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; Fiscal policy; Government consumption; Private consumption; Unemployment; Hypothesis testing; Wage formation; Panel cointegration; Cointegration analysis; ekonomisk teori; economic policy; Nationalekonomi; ekonomisk politik; ekonometri; ekonomiska system;

   Sammanfattning : This thesis focuses on empirical applications and tests of macroeconomic theories. It consists of three fairly distinct essays, bound together by the common theme of the use of cointegration analysis in the empirical macroeconomic analysis. The first chapter is an introductory chapter, while chapter two, three and four contain the three essays. LÄS MER

5. 4. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

   Författare :Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-stationary time series; unit root test; bootstrap; asymptotic refinement; cointegration; panel unit root test; cross-sectional dependence;

   Sammanfattning : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. LÄS MER

7. 5. On seasonality and cointegration

   Författare :Mårten Löf; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This thesis, which consists of four essays, focus on seasonal and periodic cointegration models. These models are tools to describe changing seasonality.Essay 1 "Forecasting performance of seasonal cointegration models", with Johan Lyhagen. LÄS MER