Three essays on nonstationary time series analysis

Three essays on nonstationary time series analysis

Financial and macroeconomic time series data are often nonstationary. My dissertation consists of three essays concerning time series models with nonstationarity. Chapter 1 develops a new jackknife estimator for nonstationary autoregressive model. The remaining two chapters explore the restricted ma...

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Bibliographic Details
Main Author: CHEN, Ye
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
bias reduction
jackknife estimator
predictive regression
restricted likelihood ratio test
localized drift
size distortion
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/etd_coll/519
https://ink.library.smu.edu.sg/context/etd_coll/article/1524/viewcontent/Three_Essays_on_Nonstationary_Time_Series_Analysis.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/519
https://ink.library.smu.edu.sg/context/etd_coll/article/1524/viewcontent/Three_Essays_on_Nonstationary_Time_Series_Analysis.pdf

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