Issues of multicollinearity and conditional heteroscedasticy in time series econometrics

Månsson, KristoferJönköping University,IHH, Statistik,IHH, Economics, Finance and Statistics (author)

This doctoral thesis consists of four chapters all related to the field of time series econometrics. The main contribution is firstly the development of robust methods when testing for Granger causality in the presence of generalized autoregressive conditional heteroscedasticity (GARCH) and causality-in-variance (i.e. spillover) effects. The second contribution is the development of different shrinkage estimators for count data models which may be used when the explanatory variables are highly inter-correlated.The first essay investigated the effect of spillover on some tests for causality in a Granger sense. As a remedy to the problem of over-rejection caused by the spillover effects White’s heteroscedasticity consistent covariance matrix is proposed. In the second essay the effect of GARCH errors on the statistical tests for Granger causality is investigated. Here some wavelet denoising methods are proposed and by means of Monte Carlo simulations it is shown that the size properties of the tests based on wavelet filtered data is better than the ones based on raw data.In the third and fourth essays ridge regression estimators for the Poisson and negative binomial (NB) regression models are investigated respectively. Then finally in the fifth essaya Liu type of estimator is proposed for the NB regression model. By using Monte Carlo simulations it is shown that the estimated MSE is lower for the ridge and Liu type of estimators than maximum likelihood (ML).

Shukur, Ghazi,ProfessorJönköping University,IHH, Statistik,IHH, Economics, Finance and Statistics(Swepub:hj)ShGh (thesis advisor)
Gulati, Sneh,ProfessorFlorida International University (opponent)
Jönköping UniversityIHH, Statistik (creator_code:org_t)

By the author/editor: Månsson, Kristof ...; Shukur, Ghazi, P ...; Gulati, Sneh, Pr ...

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NATURAL SCIENCES: NATURAL SCIENCES; and Mathematics; and Probability Theo ...

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