Sökning: "non-stationary time series"

Visar resultat 1 - 5 av 13 avhandlingar innehållade orden non-stationary time series.

  1. 1. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

    Författare :Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; non-stationary time series; unit root test; bootstrap; asymptotic refinement; cointegration; panel unit root test; cross-sectional dependence;

    Sammanfattning : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. LÄS MER

  3. 2. 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; 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. 3. 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

  5. 4. Stochastic modelling and analysis of early mouse development

    Författare :Sofia Tapani; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; correlation; CUSUM; mouse; non-stationarity; pronucleus; stochastic differential equation; time series; wavelet decomposition; yeast; CUSUM;

    Sammanfattning : The aim of this thesis is to model and describe dynamical events for biological cells using statistical and mathematical tools. The thesis includes five papers that all relate to stochastic modelling of cells. LÄS MER

  7. 5. Testing the unit root hypothesis in nonlinear time series and panel models

    Författare :Rickard Sandberg; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    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