Sökning: "Johan Lyhagen"

Visar resultat 1 - 5 av 18 avhandlingar innehållade orden Johan Lyhagen.

  1. 1. Essays on univariate long memory models

    Författare :Johan Lyhagen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Sammanfattning : This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. LÄS MER

  3. 2. On the use of wavelets in unit root and cointegration tests

    Författare :Abdul Aziz Ali; Ghazi Shukur; Johan Lyhagen; Linnéuniversitetet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time series; Unit roots; Wavelets; Statistics Econometrics; Statistik;

    Sammanfattning : This thesis consists of four essays linked with the use of wavelet methodologies in unit root testing and in the estimation of the cointegrating parameters of bivariate models.In papers I and II, we examine the performance of some existing unit root tests in the presence of error distortions. LÄS MER

  4. 3. VAR Models, Cointegration and Mixed-Frequency Data

    Författare :Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

    Sammanfattning : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. LÄS MER

  5. 4. Estimation and Inference for Quantile Regression of Longitudinal Data : With Applications in Biostatistics

    Författare :Andreas Karlsson; Johan Lyhagen; Ulf Olsson; Kenneth Carling; Uppsala universitet; []
    Nyckelord :Statistics; Bias correction; Bootstrap; Dependent errors; Hypothesis testing; Nonlinear model; Simulation study; Statistik;

    Sammanfattning : This thesis consists of four papers dealing with estimation and inference for quantile regression of longitudinal data, with an emphasis on nonlinear models.The first paper extends the idea of quantile regression estimation from the case of cross-sectional data with independent errors to the case of linear or nonlinear longitudinal data with dependent errors, using a weighted estimator. LÄS MER

  7. 5. Statistical Properties of Preliminary Test Estimators

    Författare :Nicklas Korsell; Rolf Larsson; Johan Lyhagen; Tore Schweder; Uppsala universitet; []
    Nyckelord :Statistics; Linear regression; Preliminary test; Model selection; Test for homoscedasticity; Variance components; Truncated estimators; Inertia of matrices; Statistik;

    Sammanfattning : This thesis investigates the statistical properties of preliminary test estimators of linear models with normally distributed errors. Specifically, we derive exact expressions for the mean, variance and quadratic risk (i.e. the Mean Square Error) of estimators whose form are determined by the outcome of a statistical test. LÄS MER