Sökning: "Unit root tests"

Visar resultat 11 - 15 av 26 avhandlingar innehållade orden Unit root tests.

  1. 11. Pre-testing and specification search in an autoregressive moving average process with extension to unit root cases

    Författare :Thimothy Oke; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Sammanfattning : Several methods are applied in well defined contexts in the search for an appropriatestatistical model to fit a data set. Preliminary tests of significance for this end aretermed pre-testing. The aim of this study was to investigate some of the consequencesof such pre-testing in a few specific time series processes. LÄS MER

  3. 12. Simulation-Based Approaches in Financial Econometrics

    Författare :Pär Sjölander; Mohsen Bahmani-Oskooee; Jönköping University; []
    Nyckelord :Economics; Nationalekonomi;

    Sammanfattning : This doctoral thesis consists of four chapters all related to the field of financial econometrics. The main contributions are based on the empirical evaluation of theories in or related to financial economics supported by the recent advances of models and simulation-based methods in time-series econometrics. LÄS MER

  4. 13. Time Series and Macroeconomics: Studies in Demography and Monetary Policy

    Författare :Pär Österholm; Thomas Lindh; David Canning; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Macroeconomics; Time series econometrics; Nationalekonomi; Economics; Nationalekonomi;

    Sammanfattning : Chapter 1 provides a brief introduction to the topics of the thesis and summarises the main results.Chapter 2 studies the econometric properties of the Taylor (1993) rule when applied to U.S., Australian and Swedish data in order to judge its empirical relevance. LÄS MER

  5. 14. On seasonality and cointegration

    Författare :Mårten Löf; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : This thesis, which consists of four essays, focus on seasonal and periodic cointegration models. These models are tools to describe changing seasonality.Essay 1 "Forecasting performance of seasonal cointegration models", with Johan Lyhagen. LÄS MER

  7. 15. Four contributions to statistical inference in econometrics

    Författare :Bruno Eklund; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    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