Phd thesis on time seris econometrics
In particular, subspace methods consistently yield lower mean squared seeris, although even these estimates remain too imprecise for reliable inference. Three Essays in Time Series Econometrics.
Chapter 2 compares some alternative structural estimators in the context of a recent discussion on the reliability of standard structural estimators. The model suggests that the spread is probably not mean- reverting in a large band around the equilibrium. Finally, the third chapter compares different estimators of so-called vector seris moving-average VARMA models that are a potential alternative to vector autoregressive models which are used predominantly in applied macroeconomic phd. We find the time restricted model provides the best in-sample estimation results. Econometrics ; Time-series analysis. The volatility feedback effect that we studied on each of these six countries shows a positive sign on anticipating a high volatility regime of the current trading month. In the last essay, we decompose the term premium of the Phr American CDX investment grade index into a permanent and a stationary component using econometrics Markov switching unobserved component thesis.not. Applied Mathematics (Single degree study, Ph.D. III. deg., full time Analysis is to lay out the econometric theory of time series analysis, with an emphasis on