Sökning: "ekonometri"

Visar resultat 1 - 5 av 109 avhandlingar innehållade ordet ekonometri.

  1. 1. Four contributions to statistical inference in econometrics

    Detta är en avhandling från Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI)

    Författare :Bruno Eklund; Handelshögskolan i Stockholm.; [2003]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonlinearity; Heteroskedasticity; Unit root tests; Limit results; Density estimation; Ekonometri; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri;

    Sammanfattning : This thesis, which consists of four chapters, focuses on three topics: discriminating between stationary and nonstationary time series, testing the constancy of the error covariance matrix of a vector model, and estimating density functions over bounded domains using kernel techniques.In Chapter 1, “Testing the unit root hypothesis against the logistic smooth transition autoregressive model”, and Chapter 2, “A nonlinear alternative to the unit root hypothesis”, the joint hypothesis of unit root and linearity allows one to distinguish between random walk processes, with or without drift, and stationary nonlinear processes of the smooth transition autoregressive type. LÄS MER

  2. 2. On Risk Prediction

    Detta är en avhandling från Umeå : Umeå universitet

    Författare :Carl Lönnbark; Umeå universitet.; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Time series; GARCH; Estimation error; Asymmetry; Supply and demand; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri; Econometrics; ekonometri;

    Sammanfattning : This thesis comprises four papers concerning risk prediction.Paper [I] suggests a nonlinear and multivariate time series modelframework that enables the study of simultaneity in returns and involatilities, as well as asymmetric effects arising from shocks. LÄS MER

  3. 3. Modelling and forecasting economic time series with single hidden-layer feedforward autoregressive artificial neural networks

    Detta är en avhandling från Stockholm : Economic Research Institute, Stockholm School of Economics (EFI)

    Författare :Gianluigi Rech; Handelshögskolan i Stockholm.; [2001]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Neural networks; Nonlinear time series; Nonparametric variable selection; Misspecification tests; Parameter constancy; Autocorrelation; Lagrange multiplier test; Model specification; Forecasting; Ekonometri; Tidsserieanalys; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri;

    Sammanfattning : This dissertation consists of 3 essaysIn the first essay, A Simple Variable Selection Technique for Nonlinear Models, written in cooperation with Timo Teräsvirta and Rolf Tschernig, I propose a variable selection method based on a polynomial expansion of the unknown regression function and an appropriate model selection criterion. The hypothesis of linearity is tested by a Lagrange multiplier test based on this polynomial expansion. LÄS MER

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

    Detta är en avhandling från Stockholm : Economic Research Institute, Stockholm School of Economics (EFI)

    Författare :Rickard Sandberg; Handelshögskolan i Stockholm.; [2004]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonlinear panel data models; Hypothesis testing; Parameter constancy; Smooth transition models; Unit root; Ekonometri; SOCIAL SCIENCES Business and economics Economics Econometrics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi Ekonometri;

    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

  5. 5. Applications of Bayesian Econometrics to Financial Economics

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Christoffer Bengtsson; Lunds universitet.; Lund University.; [2006]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic theory; economic systems; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

    Sammanfattning : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. LÄS MER