onr:"swepub:oai:DiVA.org:lnu-78112"
Search: onr:"swepub:oai:DiVA.org:lnu-78112" > On the use of wavel...
- 1 of 1
- Previous record
- Next record
- To hitlist
- Ali, Abdul Aziz,1966-Linnéuniversitetet,Institutionen för nationalekonomi och statistik (NS) (author)
On the use of wavelets in unit root and cointegration tests
- BookEnglish2018
Publisher, publication year, extent ...
- Växjö :Linnaeus University Dissertations,2018
- 37 s.
- electronicrdacarrier
Numbers
- LIBRIS-ID:oai:DiVA.org:lnu-78112
- ISBN:9789188761262
- ISBN:9789188761279
- https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78112URI
Supplementary language notes
- Language:English
- Summary in:English
Part of subdatabase
- SwePubSwePub
Classification
Series
- Linnaeus University Dissertations ;309
Notes
- 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.
Subject headings and genre
- SAMHÄLLSVETENSKAP Ekonomi och näringsliv hsv//swe
- SOCIAL SCIENCES Economics and Business hsv//eng
- Time series
- Unit roots
- Wavelets
- Statistics/Econometrics
- Statistik
Added entries (persons, corporate bodies, meetings, titles ...)
- Shukur, Ghazi,ProfessorLinnéuniversitetet,Institutionen för nationalekonomi och statistik (NS) (thesis advisor)
- Lyhagen, Johan (opponent)
- LinnéuniversitetetInstitutionen för nationalekonomi och statistik (NS) (creator_code:org_t)
Internet link
- mailto:lnupress@lnu.se?subject=Order: Ali, On the use of wavelets in unit root and cointegration tests&body=Publication: On the use of wavelets in unit root and cointegration tests%0D%0AAuthor: Ali, Abdul Aziz%0D%0APrice per copy: SEK 250 + VAT and postage%0D%0A%0D%0ANo of Copies: %0D%0ACustomer name: %0D%0ABilling address: %0D%0APostal address:Buy Book (SEK 250 + VAT and postage) lnupress@lnu.se
- https://lnu.diva-portal.org/smash/get/diva2:1252413/FULLTEXT01.pdffulltext
- https://lnu.diva-portal.org/smash/get/diva2:1252413/PREVIEW01.jpgpreview image
- https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-78112
Find in a library
- On the use of wavelets in unit root and cointegration tests (Search the publication in LIBRIS)
To the university's database
- 1 of 1
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Ali, Abdul Aziz, ...
- Shukur, Ghazi, P ...
- Lyhagen, Johan
- About the subject
-
- SOCIAL SCIENCES
- SOCIAL SCIENCES
- and Economics and Bu ...
- Parts in the series
- Linnaeus Univers ...
- By the university
- Linnaeus University
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
