Search for dissertations about: "cointegration test"
Showing result 1 - 5 of 25 swedish dissertations containing the words cointegration test.
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1. Essays on Panel Cointegration
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
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2. On Bootstrap Evaluation of Tests for Unit Root and Cointegration
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
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3. Testing and Applying Cointegration Analysis in Macroeconomics
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
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4. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange
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
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5. On seasonality and cointegration
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