Sökning: "Unit roots"
Visar resultat 1 - 5 av 27 avhandlingar innehållade orden Unit roots.
1. On the use of wavelets in unit root and cointegration tests
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
2. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model
Sammanfattning : Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people, firms, regions, or countries, by pooling information over the cross-section. Though much of the panel research concerns inference in stationary models, macroeconomic data such as GDP, prices, and interest rates are typically trending over time and require in one way or another a nonstationary analysis. LÄS MER
3. Likelihood-Based Panel Unit Root Tests for Factor Models
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
4. Bayesian time series and panel models : unit roots, dynamics and random effects
Sammanfattning : This thesis consists of four papers and the main theme present is dependence, through time as in serial correlation, and across individuals, as in random effects. The individual papers may be grouped in many different ways. LÄS MER
5. Testing the unit root hypothesis in nonlinear time series and panel models
Sammanfattning : The thesis contains the four chapters: Testing parameter constancy in unit root autoregressive models against continuous change; Dickey-Fuller type of tests against nonlinear dynamic models; Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed; Testing unit roots in nonlinear dynamic heterogeneous panels. In Chapter 1 we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. LÄS MER
