Sökning: "heteroscedasticity"

Visar resultat 6 - 10 av 19 avhandlingar innehållade ordet heteroscedasticity.

  1. 6. Issues of multicollinearity and conditional heteroscedasticy in time series econometrics

    Författare :Kristofer Månsson; Ghazi Shukur; Sneh Gulati; Jönköping University; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This doctoral thesis consists of four chapters all related to the field of time series econometrics. The main contribution is firstly the development of robust methods when testing for Granger causality in the presence of generalized autoregressive conditional heteroscedasticity (GARCH) and causality-in-variance (i.e. spillover) effects. LÄS MER

  3. 7. Five essays on models and methods for the analysis of survival data with single and multiple causes of failure : With applications in family demography

    Författare :Gebrenegus Ghilagaber; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Informatics; computer and systems science; Informatik; data- och systemvetenskap; Informatics; computer and systems science; Informatik; data- och systemvetenskap; statistik; Statistics;

    Sammanfattning : The dissertation consists of five self-contained essays dealing with analytical investigations, simulation studies, and demographic applications of statistical models and associated methods for the analysis of the so-called survival data.Our analytical results in the first paper indicate that models for grouped survival data which, depending on the application, are labeled different names, practically, make use of the same method in the process of parameter estimation and inference. LÄS MER

  4. 8. Evaluation of climate model simulations by means of statistical methods

    Författare :Ekaterina Fetisova; Gudrun Brattström; Rolf Sundberg; Anders Moberg; Peter Guttorp; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Climate models; Climate proxy; Pseudo-proxy experiment; Factor analysis; the Wald confidence interval; the Fieller confidence set.; Mathematical Statistics; matematisk statistik;

    Sammanfattning : Evaluation of climate model simulations is a key issue within climate research. The statistical framework proposed by Sundberg et al., 2012, provides a theoretical underpinning of methods for evaluation of climate models by use of climateproxy data from the last millennium. LÄS MER

  5. 9. On the use of wavelets in unit root and cointegration tests

    Författare :Abdul Aziz Ali; Ghazi Shukur; Johan Lyhagen; Linnéuniversitetet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time series; Unit roots; Wavelets; Statistics Econometrics; Statistik;

    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

  7. 10. 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