Universität zu Köln

Otto, Sven (2019). Three Essays on Structural Stability of Time Series Models. PhD thesis, Universität zu Köln.

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Abstract

The analysis of the inherent structure of time-dependent data is crucial for the selection of a suitable model. This thesis is comprised of three self-contained essays on time series models and the identification of their stability properties. Hypothesis tests are particularly useful in this context. While the first chapter presents a unit root test that is robust against an unknown nonparametric trend, the second chapter deals with testing for structural change in linear regression models. The third chapter is devoted to the analysis of the functional dependence structure of bond yields with different maturities, and discusses the identification and estimation of a functional factor model for yield curves from the perspective of functional data analysis.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Otto, Sven sven.otto@uni-koeln.de UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-100113
Date:	8 October 2019
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Faculty of Management, Economics and Social Sciences > Economics > Econometrics and Statistics > Professorship for Statistics and Econometrics
Subjects:	General statistics Economics
Uncontrolled Keywords:	Keywords Language structural breaks; change-point detection; unit roots; local power; factor models; functional data analysis English
Date of oral exam:	8 October 2019
Referee:	Name Academic Title Breitung, Jörg Prof. Dr. Wied, Dominik Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/10011