Sökning: "common factor models"

Visar resultat 1 - 5 av 206 avhandlingar innehållade orden common factor models.

  1. 1. Likelihood-Based Panel Unit Root Tests for Factor Models

    Författare :Xingwu Zhou; Johan Lyhagen; Joakim Westerlund; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Panel unit root; Exact factor model; Dynamic factor model; Maximum likelihood; Principal components; Lagrange multiplier;

    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

  2. 2. Estimation and Testing in Panel Data with Cross-Section Dependence

    Författare :Simon Reese; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Factor-augmented panel regression; CCE estimation; cross-section dependence; common factor models; Factor-augmented panel regression; CCE estimation; cross-section dependence; common factor models;

    Sammanfattning : This thesis makes a contribution the econometrics of panel data with cross-section dependence (CSD). It consists of five self-contained papers. LÄS MER

  3. 3. Mostly Panel Econometrics : Essays on Asymptotic Analysis and Enhanced Inference

    Författare :Ovidijus Stauskas; Joakim Westerlund; Ignace De Vos; Milda Norkute; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometrics; Panel Data; Factor Models; Bootstrap; Forecasting; Non-Stationary Data; Common Correlated Effects; CCE;

    Sammanfattning : This thesis consists of five chapters which focus on panel data theory. Four of them analyze explicit panel data models and one chapter deals with time series forecasting model, where external panel data help us estimate unobserved explanatory variables. LÄS MER

  4. 4. Statistical models of TF/DNA interaction

    Författare :Aymeric Fouquier d'Herouel; Erik Aurell; Otto Berg; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; gene expression; regulation; transcription factor; binding motif; matrix representations; gibbs sampling; binding affinity; non-specific binding; Biological physics; Biologisk fysik;

    Sammanfattning : Gene expression is regulated in response to metabolic necessities and environmental changes throughout the life of a cell. A major part of this regulation is governed at the level of transcription, deciding whether messengers to specific genes are produced or not. LÄS MER

  5. 5. Bayesian inference for high dimensional factor copula models

    Författare :Hoang Nguyen; Maria Conception Ausin Olivera; Pedro Galeano San Miguel; Universidad Carlos III de Madrid; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : Copulas have been applied to many research areas as multivariate probability distributions for non-linear dependence structures. However, extending copula functions in high dimensions is challenging due to the increase of model parameters and computational intensity. LÄS MER