Essays on nonstationary econometrics

• المؤلف الرئيسي: LIU, Yanbo
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2020
• الموضوعات: Nonstationary; Near Unit Root; Robust Inference; Panel Data; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/286; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1287&context=etd_coll

My dissertation consists of three essays that contribute new theoretical results to robust inference procedures and machine learning algorithms in nonstationary models. Chapter 2 compares OLS and GLS in autoregressions with integrated noise terms. Grenander and Rosenblatt (2008) gave sufficient cond...