Econometric inference in models with nonstationary time series

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Econometric inference in models with nonstationary time series

We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector autoregressive (VAR) models. The data generating process is assumed to be a purely nonstationary first-order VAR. Using Monte Carlo simulation and numerical optimization we derive response surfaces for...

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Bibliographic Details
Main Author:	Stamatogiannis, Michalis P.
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2010
Subjects:	nonstationarity time series Vector Autoregressions Stock return predictability
Online Access:	https://eprints.nottingham.ac.uk/11950/

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