Essays in time series econometrics

dc.contributor.advisorJentsch, Carsten
dc.contributor.authorReichold, Karsten
dc.contributor.refereeWagner, Martin
dc.contributor.refereeDemetrescu, Matei
dc.date.accepted2023-07-05
dc.date.accessioned2023-07-18T06:52:33Z
dc.date.available2023-07-18T06:52:33Z
dc.date.issued2023
dc.description.abstractThis cumulative dissertation consists of three self-contained papers all contributing to the cointegrating regression literature. The first chapter is devoted to classical linear cointegrating regressions, i.e., regressions that contain integrated processes as regressors. It combines traditional and self-normalized Wald-type test statistics with a vector autoregressive sieve bootstrap to reduce size distortions of hypothesis tests on the cointegrating vector. The second chapter focuses on panels of cointegrating polynomial regressions, i.e., panels of regressions that include an integrated process and its powers as regressors. It derives the asymptotic properties of a group-mean fully modified OLS estimator and hypothesis tests based upon it in a fixed cross-section and large time series dimension. The third chapter is devoted to testing for a cointegrating relationship between a fixed number of integrated processes. In particular, it derives asymptotic theory for an existing nonparametric variance ratio unit root test (originally proposed to test for an unit root in an observed univariate time series) when applied to regression residuals.en
dc.identifier.urihttp://hdl.handle.net/2003/42002
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-23838
dc.language.isoende
dc.subjectBootstrapen
dc.subjectCointegrationen
dc.subjectEstimationen
dc.subjectInferenceen
dc.subject.ddc310
dc.subject.rswkRegressionsanalysede
dc.subject.rswkKointegrationde
dc.subject.rswkBootstrap-Statistikde
dc.titleEssays in time series econometricsde
dc.typeTextde
dc.type.publicationtypePhDThesisde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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