Three Essays on Nonstationary Time Series Analysis

• المؤلف الرئيسي: CHEN, Ye
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2014
• الموضوعات: bias reduction; jackknife estimator; predictive regression; restricted likelihood ratio test; localized drift; size distortion; Econometrics; Economics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll_smu/41; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1040&context=etd_coll_smu
• المؤسسة: Singapore Management University

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...