Three Essays On Econometrics
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Three Essays On The Econometrics Of Production Productivity And Capacity Utilization
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Author : Menahem Milo Prywes
language : en
Publisher:
Release Date : 1981
Three Essays On The Econometrics Of Production Productivity And Capacity Utilization written by Menahem Milo Prywes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Chemical industry categories.
Three Essays On Econometrics
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Author : Mijung Choi
language : en
Publisher:
Release Date : 2022
Three Essays On Econometrics written by Mijung Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Bonds categories.
In the first chapter titled, "A Factor Model for Functional Time Series", I construct a factor model for functional time series. Functions are infinite dimensional, and therefore, they have infinite dimensional features. I define functional factors as features affecting functional time series regularly and frequently. Other components are defined to be idiosyncratic since they only appear intermittently and sporadically. For determining the number of functional factors, asymptotic behaviors of the eigenvalues of the sample variance operator of the underlying functional time series are derived. I examine the time series of densities for the cross-sectional distributions of NYSE stock returns, and credit spread curves between US corporate bonds and Treasury bonds. In both examples, I find two functional factors characterize two main common features of the underlying functional time series. In the second chapter titled "A Factor Model for Functional Time Series with Unit Roots", I extend a factor model developed in the first chapter by allowing nonstationarity in the functional time series. I show functional factors and loadings can be consistently estimated after identifying potential unit roots subspace through functional principal component analysis. I apply the model to the U.S. yield curves and find the stationary fluctuations of the U.S. yield curves are mostly driven by curvature type of features. Also, I find one curvature feature appears regularly and is qualified being a functional factor.In the third chapter titled "A Factor Model for Functional Panels", I develop a factor model for functional panels with potentially large set of cross sections and time series. This model assumes that there are a finite number of common functional time series which keep generating response functions over time and its effects are non-trivial. I examine term structures of government bond yields for the US, the UK, Switzerland, Norway, South Korea, Germany, Canada and Australia. I find one global factor does exist and is important explaining fractions of variation in some country yield curves.
Three Essays In International Finance And Econometrics
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Author : Chien Nan Wang
language : en
Publisher:
Release Date : 1987
Three Essays In International Finance And Econometrics written by Chien Nan Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Econometrics categories.
Three Essays In Econometrics
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Author : Christoph Roling
language : en
Publisher:
Release Date : 2014
Three Essays In Econometrics written by Christoph Roling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Three Essays In Econometrics
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Author : Günter Menges
language : en
Publisher:
Release Date : 1962*
Three Essays In Econometrics written by Günter Menges and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1962* with Economics, Mathematical categories.
Three Essays On Econometrics
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Author : Jiahui Wang
language : en
Publisher:
Release Date : 1997
Three Essays On Econometrics written by Jiahui Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Econometrics categories.
Three Essays On Econometrics Of Moment Conditions In Time Series
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Author : Stanislav Anatolyev
language : en
Publisher:
Release Date : 2004
Three Essays On Econometrics Of Moment Conditions In Time Series written by Stanislav Anatolyev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Econometrics categories.
Three Essays On Econometrics
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Author : In Choi
language : en
Publisher:
Release Date : 1990
Three Essays On Econometrics written by In Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Three Essays In Econometrics
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Author : Panutat Satchachai
language : en
Publisher:
Release Date : 2009
Three Essays In Econometrics written by Panutat Satchachai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Econometrics categories.
Three Essays In Econometrics
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Author : Rui Fan
language : en
Publisher:
Release Date : 2018
Three Essays In Econometrics written by Rui Fan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.