Search for dissertations about: "unit root test"

Showing result 1 - 5 of 23 swedish dissertations containing the words unit root test.

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

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Jianxin Wei; Uppsala universitet.; [2014]
    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

  2. 2. Essays on Unit-Root Testing and on Discrete-Response Modelling of Firm Mergers

    University dissertation from Uppsala : Nationalekonomiska institutionen

    Author : Nikolay Angelov; Uppsala universitet.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; unit root; structural break; LR test; stationary alternative; matching; firm mergers; discrete choice; Nationalekonomi; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi; nationalekonomi; Economics;

    Abstract : Essay 1 investigates the time-series properties of the price of iron ore. The focus is on unit-root testing in the presence of a structural break. Unit-root tests with or without structural breaks are applied to historical prices of five different qualities of Swedish and Brazilian iron ore. Tests with exogenous or endogenous breaks are analyzed. READ MORE

  3. 3. Likelihood-Based Panel Unit Root Tests for Factor Models

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Xingwu Zhou; Uppsala universitet.; [2014]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Panel unit root; Exact factor model; Dynamic factor model; Maximum likelihood; Principal components; Lagrange multiplier;

    Abstract : The thesis consists of four papers that address likelihood-based unit root tests for panel data with cross-sectional dependence arising from common factors.In the first three papers, we derive Lagrange multiplier (LM)-type tests for common and idiosyncratic unit roots in the exact factor models based on the likelihood function of the differenced data. READ MORE

  4. 4. Testing Homogeneity and Unit Root Restrictions in Panels

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Johan Blomquist; Lund University.; Lunds universitet.; [2012]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Non-stationary panels; Panel unit root tests; Cross-sectional dependence; Homogeneity testing;

    Abstract : This thesis is divided into two distinct parts. The first part contains three chapters, co-authored with Joakim Westerlund, that deal with the analysis of unit root testing, and the second part consists of two chapters on slope homogeneity testing. READ MORE

  5. 5. Testing for Unit Root against LISTAR Model : Wavelet Improvement under GARCH Distortion

    University dissertation from Växjö : Växjö university Press

    Author : Yushu Li; Växjö universitet.; [2008]
    Keywords : ;

    Abstract : In this paper we propose a Nonlinear Dickey-Fuller F test for unit root against first order Logistic Smooth Transition Autoregressive LISTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller F test statistics is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. READ MORE