Three essays on nonstationary time series econometrics

• 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
• Institution: Singapore Management University

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...