lnu.sePublikasjoner
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
On the use of wavelets in unit root and cointegration tests
Linnéuniversitetet, Ekonomihögskolan (FEH), Institutionen för nationalekonomi och statistik (NS).
2018 (engelsk)Doktoravhandling, med artikler (Annet vitenskapelig)
Abstract [en]

This thesis consists of four essays linked with the use of wavelet methodologies in unit root testing and in the estimation of the cointegrating parameters of bivariate models.

In papers I and II, we examine the performance of some existing unit root tests in the presence of error distortions. We suggest wavelet-based unit root tests that have better size fidelity and size-adjusted power in the presence of conditional heteroscedasticity and additive measurement errors. We obtain the limiting distribution of the proposed test statistic in each case and examine the small sample performance of the tests using Monte Carlo simulations.

In paper III, we suggest a wavelet-based filtering method to improve the small sample estimation of the cointegrating parameters of bivariate models. We show, using Monte Carlo simulations, that wavelet filtering reduces the small sample estimation bias.

In paper IV, we propose a wavelet variance ratio unit root test for a system of equations. We obtain the limiting distributions of the test statistics under different specifications of the deterministic components of the estimating equations. We also investigate the small sample properties of the test by conducting Monte Carlo simulations. Results from the Monte Carlo simulations show that the test has good size fidelity for small sample sizes (of up to 100 observations per equation, and up to 10 equations), and has better size-adjusted power for these sample sizes, compared the Cross-sectionally Augmented Dickey-Fuller test.

sted, utgiver, år, opplag, sider
Växjö: Linnaeus University Dissertations, 2018. , s. 37
Serie
Linnaeus University Dissertations ; 309
Emneord [en]
Time series, Unit roots, Wavelets
HSV kategori
Forskningsprogram
Statistik
Identifikatorer
URN: urn:nbn:se:lnu:diva-78112ISBN: 978-91-88761-26-2 (tryckt)ISBN: 978-91-88761-27-9 (digital)OAI: oai:DiVA.org:lnu-78112DiVA, id: diva2:1252413
Disputas
2018-03-16, Weber, Hus K, Växjö, 13:00
Opponent
Veileder
Tilgjengelig fra: 2018-10-03 Laget: 2018-10-01 Sist oppdatert: 2018-11-15bibliografisk kontrollert

Open Access i DiVA

Doctoral Thesis (Comprehensive Summary)(951 kB)88 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 951 kBChecksum SHA-512
c3412ca6c63d619db350e2dc66c4c5bcc1b688b56ae557d60294bc219be653dad7729a9b5f7367466f89095dbaeb1770ee2be7a75004b011bd2198a24a782617
Type fulltextMimetype application/pdf

Personposter BETA

Ali, Abdul Aziz

Søk i DiVA

Av forfatter/redaktør
Ali, Abdul Aziz
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 88 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

isbn
urn-nbn

Altmetric

isbn
urn-nbn
Totalt: 199 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf