Title:Dynamic factor models in estimation and forecasting Author(s):BYSTROV, VictorDate:2008Citation:
- Florence, European University Institute, 2008
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis addresses the issue of the relative performance of dynamic factor models in finite samples in the presence of structural breaks. It extends an existing literature by considering new data sets and evaluating ...
Title:Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis Author(s):DROUMAGUET, MatthieuDate:2012Citation:
- Florence : European University Institute, 2012
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, ...
Title:Three essays on EMU, exchange rates and time series econometrics Author(s):BOREIKO, DmitriDate:2006Citation:
- Florence : European University Institute, 2006
Type:ThesisSeries/Number:EUI PhD theses; Department of Economics