Essays on long memory time series and panel models
This dissertation studies different long memory models. The first chapter considers a time series regression model where both the regressors and error term are locally stationary long memory processes with time-varying memory parameters, and the regression coefficients are also allowed to be time-va...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2022
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| Online Access: | https://ink.library.smu.edu.sg/etd_coll/430 https://ink.library.smu.edu.sg/context/etd_coll/article/1428/viewcontent/GPEC_AY2017_PhD_Ke_Shuyao.pdf |
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| Institution: | Singapore Management University |
| Language: | English |