Sökning: "Econometric model specification"

Visar resultat 1 - 5 av 23 avhandlingar innehållade orden Econometric model specification.

  1. 1. Essays on Econometric Theory

    Författare :Peter Jochumzen; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic theory; econometrics; Economics; measure of fit; unemployment insurance; non proportionality; stochastic frontier production function; diffusion of technology; Duration analysis; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : This dissertation contains a variety of contributions to econometric theory. Broadly speaking, econometrics may be categorized depending on what type of data is being analyzed, the two main categories being time series data and cross sectional data. A third category is panel data, combining cross sectional data observed over time. LÄS MER

  3. 2. A new non-linear GARCH model

    Författare :Gustaf E. Hagerud; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This dissertation contains four papers in the field of financial econometrics. In the first paper, A Smooth Transition ARCH Model for Asset Returns, a new class of ARCH models is introduced. The model class allows for non-linearity in the equation for the conditional variance. LÄS MER

  4. 3. On estimation in econometric systems in the presence of time-varying parameters

    Författare :Kurt Brännäs; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometric systems; time-varying parameters; Kalman filtering; stochastic regressors; unknown transition matrix; robustness; simulation;

    Sammanfattning : Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. LÄS MER

  5. 4. The Analysis of Duration and Panel Data in Economics

    Författare :Wolfgang Hess; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monetary Exchange Rate Model; Homogeneity Testing; Panel Cointegration; Pooling; Duration of Trade; Unemployment Duration; Proportional Hazards; Unobserved Heterogeneity; Hazard Rate; Discrete-Time Duration Model; Threshold Excess Model;

    Sammanfattning : This thesis is divided into two distinct parts. The first part contains three chapters dealing with the analysis of duration data from an econometric perspective and with application to trade durations. LÄS MER

  7. 5. Essays on Consumption : - Aggregation, Asymmetry and Asset Distributions

    Författare :Mårten Bjellerup; Jan Ekberg; Katarina Juselius; Växjö universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Aggregate consumption; Aggregation; Asymmetry; Wealth distribution; Income distribution; Concavity; Permanent Income Hypothesis; Buffer stock saving; Precautionary saving; consumption; saving; Euler equation; error correction; skew-t distribution; gamma distribution; dispersion; non-linear model; durable goods; nondurable goods; household level data; consumption function; marginal propensity to consume; current resources; consumption expenditure; life-cycle model; univariate test; multivariate test; Sweden; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Sammanfattning : The dissertation consists of four self-contained essays on consumption. Essays 1 and 2 consider different measures of aggregate consumption, and Essays 3 and 4 consider how the distributions of income and wealth affect consumption from a macro and micro perspective, respectively. LÄS MER