Sökning: "Non-stationary regressor"

Hittade 2 avhandlingar innehållade orden Non-stationary regressor.

  1. 1. Predictability in Equity Markets: Estimation and Inference

    Författare :Tamás Kiss; Erik Hjalmarsson; Ádám Faragó; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Non-stationary regressor; Persistence Adjustment; Predictive Regressions; Predictive System; Present-value relationship; Return Predictability; Stock-return Predictability; Non-stationary regressor Persistence Adjustment Predictive Regressions Predictive System Present-value relationship Return Predictability Stock-return Predictability;

    Sammanfattning : The thesis consists of three chapters dealing with predictability in equity markets. The first chapter analyses predictive regressions in a predictive system framework, where the predictor is an imperfect proxy for the expected returns. LÄS MER

  3. 2. 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