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Author : Jin-Lung Lin
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Nonlinear Time Series written by Jin-Lung Lin and published by . This book was released on 1991 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhengfeng Guo
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (846 download)
Download or read book Three Essays on Nonlinear Time Series Econometrics written by Zhengfeng Guo and published by . This book was released on 2011 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles Shaw
Publisher :
ISBN 13 :
Total Pages : 101 pages
Book Rating : 4.:/5 (13 download)
Download or read book Three Essays on Nonlinear Time-series Econometrics written by Charles Shaw and published by . This book was released on 2019 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is submitted ...
Author : Chor-Yiu Sin
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Non-linear Time Series written by Chor-Yiu Sin and published by . This book was released on 1993 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Novella Maugeri
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (955 download)
Download or read book Three Essays on Nonlinear Time-series Econometrics written by Novella Maugeri and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Niels Haldrup
Publisher : OUP Oxford
ISBN 13 : 0191669547
Total Pages : 393 pages
Book Rating : 4.1/5 (916 download)
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Panel and Nonlinear Time Series Analysis written by Namwon Hyung and published by . This book was released on 1999 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhongyun Zhao
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (396 download)
Download or read book Three Essays on Time Series Analysis written by Zhongyun Zhao and published by . This book was released on 1997 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (945 download)
Download or read book Three Essays on Nonstationary Time Series Analysis written by and published by . This book was released on 2014 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial and macroeconomic time series data are often nonstationary. My dissertation consists of three essays concerning time series models with nonstationarity. Chapter 1 develops a new jackknife estimator for nonstationary autoregressive model. The remaining two chapters explore the restricted maximum likelihood (REML hereafter) estimation and the restricted maximum likelihood based likelihood ratio test (RLRT hereafter) in predictive regression...."--Author's abstract.
Author : Xiaoye Li
Publisher :
ISBN 13 :
Total Pages : 123 pages
Book Rating : 4.:/5 (875 download)
Download or read book Three Essays on Non-stationary Time Series written by Xiaoye Li and published by . This book was released on 2013 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 386 pages
Book Rating : 4.:/5 (921 download)
Download or read book Essays in Nonlinear Time Series written by and published by . This book was released on 2006 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan R. Michel
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays in Nonlinear Time Series Analysis written by Jonathan R. Michel and published by . This book was released on 2019 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of six papers. Each of these papers are on a different aspect of statistical analysis of nonlinear time series. In the first paper, we study the behavior of a nonstationary time series which has different behavior for "high" and "low" levels. This consists of the introduction of a new nonlinear time series model, a mathematical analysis of the functional limit theorem for this model, a statistical test for behavior similar to this new model, and a proposed technique for robust cointegration in the presence of this new model. The second paper consists of an extension of this idea into volatility modeling. The third paper considers experimental design and sampling of Markov chains. In particular, it focuses on how to feasibly optimally sample a continuous two-state Markov chain. The fourth paper is on integer valued time series. The focus here is on studying the properties of the INGARCH(1,1) model in the nonstationary case. This consists of applying mathematical machinery rarely used in econometrics. Additionally, in this paper extensions towards stationarity tests are considered. The fifth paper studies the dynamic Tobit, a time series model often used when data is censored below. In this paper, weak dependence and mixing properties are shown to hold, which is relevant for studying the statistical properties of estimation for this model. The sixth paper studies the reciprocal of the random walk. This is relevant in time series econometrics as such a process is a possible model for time series with a stochastic diminishing trend.
Author : Paul Tjeerd Bruin (de.)
Publisher :
ISBN 13 : 9789051706413
Total Pages : 133 pages
Book Rating : 4.7/5 (64 download)
Download or read book Essays on Modeling Nonlinear Time Series written by Paul Tjeerd Bruin (de.) and published by . This book was released on 2002 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Econometrics written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 : 9789036104180
Total Pages : pages
Book Rating : 4.1/5 (41 download)
Download or read book Essays on Nonlinear Panel Time Series Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mario Giacomazzo
Publisher :
ISBN 13 :
Total Pages : 187 pages
Book Rating : 4.:/5 (115 download)
Download or read book Three Essays on Shrinkage Estimation and Model Selection of Linear and Nonlinear Time Series Models written by Mario Giacomazzo and published by . This book was released on 2018 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective in time series analysis is forecasting. Raw data often exhibits nonstationary behavior: trends, seasonal cycles, and heteroskedasticity. After data is transformed to a weakly stationary process, autoregressive moving average (ARMA) models may capture the remaining temporal dynamics to improve forecasting. Estimation of ARMA can be performed through regressing current values on previous realizations and proxy innovations. The classic paradigm fails when dynamics are nonlinear; in this case, parametric, regime-switching specifications model changes in level, ARMA dynamics, and volatility, using a finite number of latent states. If the states can be identified using past endogenous or exogenous information, a threshold autoregressive (TAR) or logistic smooth transition autoregressive (LSTAR) model may simplify complex nonlinear associations to conditional weakly stationary processes. For ARMA, TAR, and STAR, order parameters quantify the extent past information is associated with the future. Unfortunately, even if model orders are known a priori, the possibility of over-fitting can lead to sub-optimal forecasting performance. By intentionally overestimating these orders, a linear representation of the full model is exploited and Bayesian regularization can be used to achieve sparsity. Global-local shrinkage priors for AR, MA, and exogenous coefficients are adopted to pull posterior means toward 0 without over-shrinking relevant effects. This dissertation introduces, evaluates, and compares Bayesian techniques that automatically perform model selection and coefficient estimation of ARMA, TAR, and STAR models. Multiple Monte Carlo experiments illustrate the accuracy of these methods in finding the "true" data generating process. Practical applications demonstrate their efficacy in forecasting.
Author : Naci Hüseyin Mocan
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (244 download)
Download or read book Three Essays in Applied Time Series Analysis written by Naci Hüseyin Mocan and published by . This book was released on 1989 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
