Search for dissertations about: "cointegration test"

Showing result 1 - 5 of 25 swedish dissertations containing the words cointegration test.

2. 1. Essays on Panel Cointegration

   Author : Joakim Westerlund; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Cross-Sectional Dependence; Common factor restriction; Feldstein-Horioka Puzzle; Fisher Hypothesis; economic policy; economic theory; economic systems; Economics; econometrics; Structural Break.; Sieve Bootstrap; Information Criteria; Residual-Based Cointegration Test; Panel Cointegration; Monte Carlo Simulation; Model Selection; International R D Spillovers; International Health Care Expenditures;

   Abstract : This thesis develops new techniques for analyzing cointegrated relationships in panel data. The first chapter is introductory while the remaining six contain the main contributions. READ MORE

4. 2. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

   Author : Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-stationary time series; unit root test; bootstrap; asymptotic refinement; cointegration; panel unit root test; cross-sectional dependence;

   Abstract : This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. READ MORE

5. 3. Testing and Applying Cointegration Analysis in Macroeconomics

   Author : Åsa Eriksson; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; Fiscal policy; Government consumption; Private consumption; Unemployment; Hypothesis testing; Wage formation; Panel cointegration; Cointegration analysis; ekonomisk teori; economic policy; Nationalekonomi; ekonomisk politik; ekonometri; ekonomiska system;

   Abstract : This thesis focuses on empirical applications and tests of macroeconomic theories. It consists of three fairly distinct essays, bound together by the common theme of the use of cointegration analysis in the empirical macroeconomic analysis. The first chapter is an introductory chapter, while chapter two, three and four contain the three essays. READ MORE

6. 4. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

   Author : Daniel Deng; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

   Abstract : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. READ MORE

7. 5. On seasonality and cointegration

   Author : Mårten Löf; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : This thesis, which consists of four essays, focus on seasonal and periodic cointegration models. These models are tools to describe changing seasonality.Essay 1 "Forecasting performance of seasonal cointegration models", with Johan Lyhagen. READ MORE