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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| 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 |