Purdue University Graduate School
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ESSAYS IN NONSTATIONARY TIME SERIES ECONOMETRICS

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posted on 2022-07-26, 04:49 authored by Xuewen YuXuewen Yu

This dissertation is a collection of four essays on nonstationary time series econometrics, which are grouped into four chapters. The first chapter investigates the inference in mildly explosive autoregressions under unconditional heteroskedasticity. The second chapter develops a new approach to forecasting a highly persistent time series that employs feasible generalized least squares (FGLS) estimation of the deterministic components in conjunction with Mallows model averaging. The third chapter proposes new bootstrap procedures for detecting multiple persistence shifts in a time series driven by nonstationary volatility. The last chapter studies the problem of testing partial parameter stability in cointegrated regression models.

History

Degree Type

  • Doctor of Philosophy

Department

  • Economics

Campus location

  • West Lafayette

Advisor/Supervisor/Committee Chair

Mohitosh Kejriwal

Additional Committee Member 2

Yong Bao

Additional Committee Member 3

Joshua C.C. Chan

Additional Committee Member 4

Justin Tobias

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