Sökning: "heteroscedasticity"

Visar resultat 11 - 15 av 19 avhandlingar innehållade ordet heteroscedasticity.

  1. 11. Essays on univariate long memory models

    Författare :Johan Lyhagen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Sammanfattning : This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. LÄS MER

  3. 12. Asymmetry and multiscale dynamics in macroeconomic time series analysis

    Författare :Olivier Habimana; Pär Sjölander; Kristofer Månsson; Guglielmo Maria Caporale; Jönköping University; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of three independent articles preceded by an introductory chapter. The first two articles focus on exchange rate dynamics in emerging market and developing economies, taking into account nonlinearities and asymmetries which are relevant for these countries and are potentially due to (i) transaction costs and other market frictions, and (ii) official intervention in the foreign exchange market. LÄS MER

  4. 13. Generalized linear models with clustered data

    Författare :Henrik Holmberg; Erling Häggström Lundevaller; Göran Broström; Douglas Bates; Umeå universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; statistik;

    Sammanfattning : In situations where a large data set is partitioned into many relatively small groups, and where the members within a group have some common unmeasured characteristics, the number of parameters requiring estimation tends to increase with sample size if a fixed effects model is applied. This fact causes the assumptions underlying asymptotic results to be violated. LÄS MER

  5. 14. Essays on Capital Structure

    Författare :Hossein Asgharian; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic theory; econometrics; Economics; Extreme Bound Analysis; Selection bias; Lisrel; Semiparametric; Nonparametric; Financial distress; Panel data analysis; Leverage; Capital structure; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Sammanfattning : Chapter 2 analyses the relationship between capital structure and industry classification of Swedish firms. This study also analyses the determinants of the capital structure at the industry level. LÄS MER

  7. 15. Testing Homogeneity and Unit Root Restrictions in Panels

    Författare :Johan Blomquist; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Non-stationary panels; Panel unit root tests; Cross-sectional dependence; Homogeneity testing;

    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