Search for dissertations about: "cointegration"

Showing result 1 - 5 of 45 swedish dissertations containing the word cointegration.

  1. 1. Aspecte of Bayesian Cointegration

    Author : Mattias Villani; Daniel Thorburn; Rolf Larsson; Stockholms universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Bayesian inference; Cointegration; Estimation; Lag-length; Prediction; Restrictions; statistik; Statistics;

    Abstract : .... READ MORE

  2. 2. Common Features in Vector Nonlinear Time Series Models

    Author : Dao Li; Sune Karlsson; Kenneth Carling; Thomas Holgersson; Högskolan Dalarna; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Nonlinearity; Time series; Econometrics; Smooth transition; Common features; Cointegration; Forecasting; Residual-based; PPP.; Complex Systems – Microdata Analysis; Komplexa system - mikrodataanalys; nonliearity; time series; econometrics; smooth transition; common features; cointegration; forecasting; residual-based; ppp; Statistics; Statistik;

    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 these area.Both stationary and nonstationary time series are concerned. READ MORE

  3. 3. Essays on Panel Cointegration

    Author : Joakim Westerlund; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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. 4. Testing and Applying Cointegration Analysis in Macroeconomics

    Author : Åsa Eriksson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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

  5. 5. On Bootstrap Evaluation of Tests for Unit Root and Cointegration

    Author : Jianxin Wei; Rolf Larsson; Thomas Holgersson; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; 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