Search for dissertations about: "Residual Based Cointegration Test"

Found 4 swedish dissertations containing the words Residual Based 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. 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. 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

6. 4. Essays on Panel Data with Multidimensional Unobserved Heterogeneity

   Author : Yana Petrova; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Econometrics; Factor-Augmented Panel Regression; Interactive Effects; Unknown Factors; CCE Estimation; Principal Components;

   Abstract : This thesis contributes to econometric methodology in terms of estimation and inference in static panel data models with unobserved multidimensional heterogeneity. When not properly accounted for, unobserved heterogeneity may introduce bias into the parameter estimates associated with covariates of interest, such as treatment indicators or determinants of macroeconomic indicators. READ MORE