Search for dissertations about: "Parameter constancy"
Found 5 swedish dissertations containing the words Parameter constancy.
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1. Nonlinear dynamics and smooth transition models
Abstract : During the last few years nonlinear models have been a very active area of econometric research: new models have been introduced and existing ones generalized. To a large extent, these developments have concerned models in which the conditional moments are regime-dependent. READ MORE
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2. Testing the unit root hypothesis in nonlinear time series and panel models
Abstract : The thesis contains the four chapters: Testing parameter constancy in unit root autoregressive models against continuous change; Dickey-Fuller type of tests against nonlinear dynamic models; Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed; Testing unit roots in nonlinear dynamic heterogeneous panels. In Chapter 1 we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. READ MORE
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3. Properties and evaluation of volatility models
Abstract : The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. READ MORE
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4. Modelling and forecasting economic time series with single hidden-layer feedforward autoregressive artificial neural networks
Abstract : This dissertation consists of 3 essays In the first essay, A Simple Variable Selection Technique for Nonlinear Models, written in cooperation with Timo Teräsvirta and Rolf Tschernig, I propose a variable selection method based on a polynomial expansion of the unknown regression function and an appropriate model selection criterion. The hypothesis of linearity is tested by a Lagrange multiplier test based on this polynomial expansion. READ MORE
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5. Time Varying Parameters in Exchange Rate Models
Abstract : This thesis consists of five papers on different aspects of parametervariation in some common exchange rate models.The first paper investigates the stability in the real exchange rate, witch is equivalent to purchasing power parity (PPP). READ MORE
