Search for dissertations about: "econometrics"

Showing result 1 - 5 of 128 swedish dissertations containing the word econometrics.

  2. 1. Essays on Time Series Analysis : With Applications to Financial Econometrics

    Author : Daniel Preve; Rolf Larsson; Bent Nielsen; Uppsala universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; Statistics; Statistik;

    Abstract : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). READ MORE

  4. 2. Applications of Bayesian Econometrics to Financial Economics

    Author : Christoffer Bengtsson; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic systems; economic theory; econometrics; Economics; systemic risk; stochastic volatility; jump-diffusion; shrinkage; covariance matrix estimation; estimation risk; portfolio selection; mean-variance optimization; Markov chain Monte Carlo; Bayesian econometrics; ekonomisk politik; ekonomiska system; ekonomisk teori; ekonometri; Nationalekonomi; economic policy;

    Abstract : This PhD thesis consists of four separate papers. What these papers have in common is that Bayesian Econometrics, in combination with Markov chain Monte Carlo (MCMC) methods, is applied to study various problems in financial economics. READ MORE

  5. 3. Common features in vector nonlinear time series models

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

    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

  6. 4. On specification and inference in the econometrics of public procurement

    Author : David Sundström; Kurt Brännäs; Sofia Lundberg; Michael Visser; Umeå universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; auctions; dependent variable transformation model; green public procurement; indirect inference; instrumental variable; latent variable; log-generalized gamma distribution; maximum likelihood; measurement error; non-linear least squares; objective effectiveness; orthogonal polynomial regression; prediction; simulation estimation; structural estimation; nationalekonomi; Economics; ekonometri; Econometrics;

    Abstract : In Paper [I] we use data on Swedish public procurement auctions for internal regularcleaning service contracts to provide novel empirical evidence regarding green publicprocurement (GPP) and its effect on the potential suppliers’ decision to submit a bid andtheir probability of being qualified for supplier selection. We find only a weak effect onsupplier behavior which suggests that GPP does not live up to its political expectations. READ MORE

  7. 5. Essays on Econometric Theory

    Author : Peter Jochumzen; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; economic theory; econometrics; Economics; measure of fit; unemployment insurance; non proportionality; stochastic frontier production function; diffusion of technology; Duration analysis; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik;

    Abstract : This dissertation contains a variety of contributions to econometric theory. Broadly speaking, econometrics may be categorized depending on what type of data is being analyzed, the two main categories being time series data and cross sectional data. A third category is panel data, combining cross sectional data observed over time. READ MORE