Three essays on nonstationary financial econometrics

Three essays on nonstationary financial econometrics

This dissertation consists of three essays that contribute to the theory of nonstationary time-series analysis. The first chapter explores the inference procedures for predictive regressions with time-varying characteristics. We extend the self-generated instrumentation, called IVX, to incorporate p...

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Bibliographic Details
Main Author: ZHANG, Yajie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
IVX method
Time-varying coefficient
Sieve estimation
Predictive regression
Robustness
Econometrics
Online Access:https://ink.library.smu.edu.sg/etd_coll/350
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1343&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/350
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1343&context=etd_coll

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