Sökning: "Misspecification tests"

Visar resultat 1 - 5 av 7 avhandlingar innehållade orden Misspecification tests.

  1. 1. Essays on nonlinear time series modelling och hypothesis testing

    Författare :Birgit Strikholm; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : There seems to be a common understanding nowadays that the economy is nonlinear. Economic theory suggests features that can not be incorporated into linear frameworks, and over the decades a solid body of empirical evidence of nonlinearities in economic time series has been gathered. LÄS MER

  3. 2. Four Essays on Building Conditional Correlation GARCH Models

    Författare :Tomoaki Nakatani; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of four research papers. The main focus is on building the multivariate Conditional Correlation (CC-) GARCH models. In particular, emphasis lies on considering an extension of CC-GARCH models that allow for interactions or causality in conditional variances. LÄS MER

  4. 3. Quantitative New Keynesian Macroeconomics and Monetary Policy

    Författare :Peter Welz; Nils Gottfries; Annika Alexius; Paul Söderlind; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; New Keynesian Economics; Monetary Policy; Bayesian Econometrics; Nationalekonomi; Economics; Nationalekonomi; nationalekonomi; Economics;

    Sammanfattning : This thesis consists of four self-contained essays.Essay 1 compares the dynamic behaviour of an estimated New Keynesian sticky-price model with one-period delayed effects of monetary policy shocks to the dynamics of a structural vector autoregression model. The model is estimated with Bayesian techniques on German pre-EMU data. LÄS MER

  5. 4. Essays on international comparisons of health care expenditure

    Författare :Ulf Gerdtham; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; International comparisons; Health care expenditure; Econometric analysis; cross-national; Determinants of health care expenditure; INTERDISCIPLINARY RESEARCH AREAS; TVÄRVETENSKAPLIGA FORSKNINGSOMRÅDEN;

    Sammanfattning : The five papers of this thesis continue the tradition of international comparisons of aggregate health care expenditure. The studies focus on econometric aspects, such as temporal stability of the estimated relationships, their functional form, and discrimination between different regression models. LÄS MER

  7. 5. Properties and evaluation of volatility models

    Författare :Hans Malmsten; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. LÄS MER