Sökning: "Unit root tests"

Visar resultat 6 - 10 av 26 avhandlingar innehållade orden Unit root tests.

1. 6. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model

   Författare :Martin Solberger; Rolf Larsson; Johan Lyhagen; Jean-Pieree Urbain; Uppsala universitet; []
   Nyckelord :panel unit root; dynamic factors; maximum likelihood; Lagrange multiplier; likelihood ratio; factor analysis; Statistics; Statistik;

   Sammanfattning : Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people, firms, regions, or countries, by pooling information over the cross-section. Though much of the panel research concerns inference in stationary models, macroeconomic data such as GDP, prices, and interest rates are typically trending over time and require in one way or another a nonstationary analysis. LÄS MER

3. 7. Testing the unit root hypothesis in nonlinear time series and panel models

   Författare :Rickard Sandberg; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : The thesis contains the four chapters: Testing parameter constancy in unit root autoregressive models against continuous change; Dickey-Fuller type of tests against nonlinear dynamic models; Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed; Testing unit roots in nonlinear dynamic heterogeneous panels. In Chapter 1 we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. LÄS MER

4. 8. On Non Parametric Regression and Panel Unit Root Testing

   Författare :Xijia Liu; Rolf Larsson; Johan Lyhagen; Niklas Ahlgren; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : In this thesis, two different issues in econometrics are studied, the estimation of regression coefficients and the non-stationartiy analysis in a panel setting.Regarding the first topic, we study a set of measure of location-based estimators (MLBEs) for the slope parameter in a linear regression model with a single stochastic regressor. LÄS MER

5. 9. Essays on Fiscal Policy, Private Consumption and Non-Stationary Panel Data

   Författare :Kristian Jönsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomiska system; ekonomisk politik; economic systems; economic theory; econometrics; Economics; Cross-Sectional Dependence; Output Convergence; Unit Root; Stationarity; Panel Data; Government Consumption; Non-Keynesian Effects; Private Consumption; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; Fiscal Policy;

   Sammanfattning : In the first essay of this thesis, we examine whether the effects of fiscal expansions and contractions exert a symmetric influence on the relationship between fiscal policy and private consumption. Our results indicate a considerable asymmetry across fiscal expansions and contractions. LÄS MER

7. 10. Two Essays in Empirical Finance: Unit-Root Testing in the Presence of Structural Breaks

   Författare :Florin G. Maican; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : Essay 1: Real Exchange Rate Adjustment in European Transition Countries Essay 1 presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries relative to the Euro during 1993:01-2005:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. LÄS MER