Three essays on nonstationary time series econometrics

Three essays on nonstationary time series econometrics

This dissertation comprises three papers that separately study different nonstationary time series models. The first paper, titled as "The Grid Bootstrap for Continuous Time Models", is a joint work with Professor Jun Yu and Professor Weilin Xiao. It considers the grid bootstrap for constr...

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Bibliographic Details
Main Author: LUI, Yiu Lim
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Grid bootstrap
Infill asymptotics
Continuous-time models
Long-span asymptotics
Double asymptotics
unit root
explosive model
long memory
antipersistence
Econometrics
Online Access:https://ink.library.smu.edu.sg/etd_coll/288
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1285&context=etd_coll
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/etd_coll/288
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1285&context=etd_coll

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