Sökning: "Unit root tests"
Visar resultat 1 - 5 av 21 avhandlingar innehållade orden Unit root tests.
Sammanfattning : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. LÄS MER
Sammanfattning : The thesis consists of four papers that address likelihood-based unit root tests for panel data with cross-sectional dependence arising from common factors.In the first three papers, we derive Lagrange multiplier (LM)-type tests for common and idiosyncratic unit roots in the exact factor models based on the likelihood function of the differenced data. LÄS MER
Sammanfattning : This thesis is divided into two distinct parts. The first part contains three chapters, co-authored with Joakim Westerlund, that deal with the analysis of unit root testing, and the second part consists of two chapters on slope homogeneity testing. LÄS MER
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
Sammanfattning : Essay 1 investigates the time-series properties of the price of iron ore. The focus is on unit-root testing in the presence of a structural break. Unit-root tests with or without structural breaks are applied to historical prices of five different qualities of Swedish and Brazilian iron ore. Tests with exogenous or endogenous breaks are analyzed. LÄS MER