Sökning: "unit root test"

Visar resultat 1 - 5 av 29 avhandlingar innehållade orden unit root test.

  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. Essays on Unit-Root Testing and on Discrete-Response Modelling of Firm Mergers

    Författare :Nikolay Angelov; Per Johansson; Steinar Strøm; Uppsala universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; unit root; structural break; LR test; stationary alternative; matching; firm mergers; discrete choice; Nationalekonomi; Economics; Nationalekonomi; nationalekonomi; Economics;

    Sammanfattning : Essay 1 investigates the time-series properties of the price of iron ore. The focus is on unit-root testing in the presence of a structural break. Unit-root tests with or without structural breaks are applied to historical prices of five different qualities of Swedish and Brazilian iron ore. Tests with exogenous or endogenous breaks are analyzed. LÄS MER

  4. 3. Likelihood-Based Panel Unit Root Tests for Factor Models

    Författare :Xingwu Zhou; Johan Lyhagen; Joakim Westerlund; Uppsala universitet; []
    Nyckelord :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

  5. 4. 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

  7. 5. 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