Search for dissertations about: "Vector autoregressive models"

Showing result 1 - 5 of 19 swedish dissertations containing the words Vector autoregressive models.

2. 1. Bias approximation and reduction in vector autoregressive models

   Author : Tomas Brännström; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : In the last few decades, vector autoregressive (VAR) models have gained tremendous popularity as an all-purpose tool in econometrics and other disciplines. Some of their most prominent uses are for forecasting, causality tests, tests of economic theories, hypothesis-seeking, data characterisation, innovation accounting, policy analysis, and cointegration analysis. READ MORE

4. 2. Common features in vector nonlinear time series models

   Author : Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; Örebro universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; nonliearity; time series; econometrics; smooth transition; common features; cointegration; forecasting; residual-based; ppp; Statistics; Statistik; Complex Systems – Microdata Analysis;

   Abstract : This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in thesearea.Both stationary and nonstationary time series are concerned. READ MORE

5. 3. Nonlinear dynamics and smooth transition models

   Author : Andrés González Gómez; Handelshögskolan i Stockholm; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES;

   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

6. 4. VAR Models, Cointegration and Mixed-Frequency Data

   Author : Sebastian Ankargren; Johan Lyhagen; Yukai Yang; Gregor Kastner; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; vector error correction; small open economy; mixed-frequency data; Bayesian; steady state; nowcasting; state-space model; large VARs; simulation smoothing; factor stochastic volatility; R; Statistics; Statistik;

   Abstract : This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. READ MORE

7. 5. Uncertainty quantification for time varying quantities in turbulent flows

   Author : Donnatella Xavier; Philipp Schlatter; Saleh Rezaeiravesh; Ricardo Vinuesa; David Moxey; KTH; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; uncertainty; variance estimator; autoregressive models; turbulence; computational fluid dynamics; Teknisk mekanik; Engineering Mechanics;

   Abstract : Quantification of uncertainty in results is crucial in both experiments and simulations of turbulence, yet this practice is notably underutilized. This thesis project delves into statistical tools within the framework of uncertainty quantification to systematically quantify uncertainties that occur in the time varying quantities of turbulence. READ MORE