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Essays on nonstationary time series
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Florence : European University Institute, 2002
EUI; ECO; PhD Thesis
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ARCHONTAKIS, Fragiskos, Essays on nonstationary time series, Florence : European University Institute, 2002, EUI, ECO, PhD Thesis - https://hdl.handle.net/1814/4904
Abstract
Table of Contents
-- An alternative proof of Granger's representation theorem for I(1) systems through Jordan matrices
-- Testing the order of integration in a VAR model for I(2) variables
-- Bartlett-type corrections for testing cointegration in the I(1) model : a Monte Carlo simulation study
Additional Information
Defence date: 28 June 2002
Examining board: Prof. Anindya Banerjee, EUI ; Prof. Niels Haldrup, University of Aarhus ; Prof. Søren Johansen, ext. EUI and Univ. of Copenhagen, Supervisor ; Prof. Paolo Paruolo, Università dell'Insubria
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
Examining board: Prof. Anindya Banerjee, EUI ; Prof. Niels Haldrup, University of Aarhus ; Prof. Søren Johansen, ext. EUI and Univ. of Copenhagen, Supervisor ; Prof. Paolo Paruolo, Università dell'Insubria
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017