Sökning: "Unit root tests"

Visar resultat 16 - 20 av 26 avhandlingar innehållade orden Unit root tests.

  1. 16. Essays on Nonlinearities and Time Scales in Macroeconomics and Finance

    Författare :Kristofer Månsson; Börje Johansson; Peter Egger; Jönköping University; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis consists of four chapters concerning the topics of nonlinearities and time scales in economics. The focus is on market frictions and price rigidities that may cause nonlinearities and different relationships between economic variables over time. It also focuses on applying robust econometrical methods. LÄS MER

  3. 17. Essays on statistical testing using Wavelet methodologies

    Författare :Yushu Li; Ghazi Shukur; Håkan Locking; Golam B. M. Kibria; Linnéuniversitetet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Sammanfattning : This thesis consists of five essays on the application of wavelet methodology to different tests in time series analysis. Essay I proposes a nonlinear Dickey-Fuller F test for unit roots against the first order Logistic Smooth Transition Autoregressive LSTAR (1) model. LÄS MER

  4. 18. Macroeconometric Studies of Private Consumption, Government Debt and Real Exchange Rates

    Författare :Jesper Hansson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; econometrics; Economics; Real exchange rate; Public debt; Structural VAR model; Cointegration; Habits; Permanent income hypothesis PIH ; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : Advances in time series analysis during the last two decades have stimulated research in a number of areas in macroeconomics. This thesis is a compilation of five essays using cointegrated vector autoregressive (VAR) models, unit root tests and regime switching models to investigate the behavior of private consumption, public debt and the real exchange rate. LÄS MER

  5. 19. Essays on Purchasing Power Parity, Real Exchange Rate, and Optimum Currency Areas

    Författare :Beatrice Kalinda Mkenda; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis contains three separate papers. Paper I tests whether the theory of Purchasing Power Parity holds in a selected sample of twenty African countries. The paper employs a panel unit root test to test whether the real exchange rates in the panel are mean reverting or not. The test employed is the Im et al (1997) test. LÄS MER

  7. 20. Asymmetry and multiscale dynamics in macroeconomic time series analysis

    Författare :Olivier Habimana; Pär Sjölander; Kristofer Månsson; Guglielmo Maria Caporale; Jönköping University; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of three independent articles preceded by an introductory chapter. The first two articles focus on exchange rate dynamics in emerging market and developing economies, taking into account nonlinearities and asymmetries which are relevant for these countries and are potentially due to (i) transaction costs and other market frictions, and (ii) official intervention in the foreign exchange market. LÄS MER