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

[img]
Preview
PDF
Dissertation_SvenOtto.pdf - Accepted Version
Bereitstellung unter der CC-Lizenz: Creative Commons Attribution Non-commercial Share Alike.

Download (994kB) | Preview

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:
CreatorsEmailORCID
Otto, Svensven.otto@uni-koeln.deUNSPECIFIED
URN: urn:nbn:de:hbz:38-100113
Subjects: General statistics
Economics
Uncontrolled Keywords:
KeywordsLanguage
structural breaks; change-point detection; unit roots; local power; factor models; functional data analysisEnglish
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
Language: English
Date: 8 October 2019
Date of oral exam: 8 October 2019
Referee:
NameAcademic Title
Breitung, JörgProf. Dr.
Wied, DominikProf. Dr.
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/10011

Downloads

Downloads per month over past year

Export

Actions (login required)

View Item View Item