Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 14 of 14 for “"Serially correlated"”.
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Inference in linear panel data models with serial correlation and an essay on the impact of 401 (k) participation on the wealth distribution
This thesis considers inference issues in serially correlated multilevel and panel data and presents a separate essay that examines the impact of 401(k) participation on wealth. The first chapter examines generalized least squares (GLS) estimation in data with a grouped structure where the groups …
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The effect of length on tensile strength parallel-to-grain in structural lumber
… an MOE variability model which generated serially correlated MOE's along 30-inch segments for a piece of lumber using a second order Markov model. The segment MOE values were then used in a first-order Markov model to generate serially correlated tensile strength residuals for each 30-inch …
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Testing for Changes in Trend in Water Quality Data
… presented. The test is made valid for use with serially correlated data by use of a new bootstrap method titled the effective sample size bootstrap. Further issues involved in applying this test to water quality variables are also addressed.
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Modelling Locally Changing Variance Structured Time Series Data By Using Breakpoints Bootstrap Filtering
… by fitting the linear regression model with serially correlated errors. In the second stage, we partition the time series into consecutive non-overlapping intervals of quasi stationary increments where the coefficients shift from one stable regression relationship to a different one using a …
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Procurement Contracts and Second Sourcing
… that is, the random components of quality are serially correlated. The contractor should find a new supplier when in a bad match. The observed quality is a signal of the goodness of the match. Since quality is not verifiable and the switching decision cannot be contracted upon, the contractor …
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Power aspects of analysis of variance in various models.
… variances but only slightly affected by the serially correlated error variables. By using the permutation theory an approximate method is developed to study the effect of non-normality of the errors on the probability of type two errors in the above situation. Having studied the most general …
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What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures
… it was found that hedge fund returns are highly serially correlated compared to the returns of more traditional investment vehicles such as mutual funds. Several sources of such high serial correlation were explored and the research illustrated that the most likely explanation of this derived …
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A Rational Expectations Equilibrium Model Of A Small, Specialized Economy
… trade and the world price level, as well as by a serially correlated productivity shock. The model also makes predictions about the balance of payments, the price level, and the exchange rate but these are contingent upon the predictions for output being correct.;The predictions of the model for …
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Essays on Platform Mergers and Dynamic Price Competition
… by firms that possess private information about serially correlated state variables, such as their marginal costs, and can use prices to signal information to rivals. In a dynamic game, signaling can raise prices significantly above static complete information Nash levels even when the privately …
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Control chart procedures based on cumulative gauging scores
… have heavy a tailed distribution or which are serially correlated. For multivariate quality control. A procedure based on gauging the x² statistic has better performance than the x² chart. Also, a new multivariate control chart procedure which is more robust to the misspecification of the …
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Essays on Testing Hypotheses When Non-stationarity Exists in Panel Data Models
… model with random individual effects and serially correlated disturbances. Following Baltagi, Kao and Liu (2008), I allow for the possibility of non-stationarity in the regressor and/or the disturbance term. While Baltagi et al. (2008) focus on the asymptotic properties and distributions …
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Three Essays on Testing for Cross-Sectional Dependence and Specification in Large Panel Data Models
… in</p> <p>large panel data models with serially correlated errors. It finds that</p> <p>existing tests for cross-sectional independence encounter size distortions</p> <p>with serial correlation in the errors. To control the size, it</p> <p>proposes a modification of Pesaran's CD\ test to …
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An analysis of monetary policy and its effect on inflation and economic growth in South Africa
… study models are normally distributed, none are serially correlated nor heteroscedastic and are both stable. This, in turn, ensured that the results of the study are not inaccurate or misleading.