Search for dissertations about: "unit root test"

Showing result 11 - 15 of 29 swedish dissertations containing the words unit root test.

  2. 11. Count data modelling and tourism demand

    Author : Jörgen Hellström; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time series; Count data; INARMA; Unit root; Aggregation; Forecasting; Tourism; Truncation; Inflation; Simulated maximum likelihood; Bivariate hurdle model.;

    Abstract : This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the ENAR(l) model. READ MORE

  4. 12. Two Essays in Empirical Finance: Unit-Root Testing in the Presence of Structural Breaks

    Author : Florin G. Maican; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : Essay 1: Real Exchange Rate Adjustment in European Transition Countries Essay 1 presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries relative to the Euro during 1993:01-2005:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. READ MORE

  5. 13. Pre-testing and specification search in an autoregressive moving average process with extension to unit root cases

    Author : Thimothy Oke; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

    Abstract : Several methods are applied in well defined contexts in the search for an appropriatestatistical model to fit a data set. Preliminary tests of significance for this end aretermed pre-testing. The aim of this study was to investigate some of the consequencesof such pre-testing in a few specific time series processes. READ MORE

  6. 14. Bayesian time series and panel models : unit roots, dynamics and random effects

    Author : Mickael Salabasis; Handelshögskolan i Stockholm; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of four papers and the main theme present is dependence, through time as in serial correlation, and across individuals, as in random effects. The individual papers may be grouped in many different ways. READ MORE

  7. 15. Asymptotic distribution theory for some test statistics in autoregressive and Galton-Watson processes

    Author : Rolf Larsson; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Feynman-Kac’ formula; Saddlepoint approximation.; matematisk statistik; Mathematical Statistics;

    Abstract : In this thesis, we study asymptotic distributions of some unit root test statistics in autoregressive processes. We then generalize, at first to the situation when the true parameter value is close to one^(thenear integrated case), and secondly to the corresponding test problems in the Galton-Watson process (i.e. READ MORE