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Showing 1 to 3 of 3 for “"Multiple Breaks"”.
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Robust Inference in Multiple Nonstationary Time Series
… of a number of cointegrating vectors band no breaks in the constant term of the vector autoregression. Under the alternative, there are additional cointegrating vectors that are potentially obscured by multiple breaks in the deterministic terms. The test is based on the likelihood ratio test …
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Studies on break detection in financial time series volatility
… of a non-parametric approach for single and multiple breaks detection by employing a large number of different long run variance estimators and different types of breaks. However it cannot be supported the adoption of a single long run variance estimator to inflate the algorithm for the break …
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Three Essays on Natural Rates
<p>Chapter 1. Non-accelerating inflation rate of unemployment and Non-accelerating inflation rate of output We followed Ball and Mankiw (2002) to estimate the natural rates of output and unemployment. The primary purposes of this paper are to provide more accurate estimates of a varying …