Essays on time series econometrics
Chapter 1 develops an asymptotic theory for testing the presence of structural change in a weakly dependent time series regression model. The cases of full structural change and partial structural change are considered. A HAC estimator is involved in the construction of the test statistics. Depending on how the long run variance for pre and postbreak regimes is estimated, two types of heteroskedasticity and autocorrelation (HAC) robust Wald statistics, denoted by Wald(F) and Wald(S) are analyzed. The fixedb asymptotics established by Kiefer and Vogelsang (2005) is applied to derive the limits of the statistics with the break date being treated as a priori. The fixedb limits turn out to depend on the location of break fraction and the bandwidth ratio as well as on the kernel being used. For both Wald statistics the limits capture the finitesample randomness existing in the HAC estimators for the pre and postbreak regimes. The limit of Wald(F) further captures the finitesample covariance between the prebreak estimators of regression parameters and the postbreak estimators of the regression parameters. The fixedb limit stays the same and is pivotal for Wald(F) irregardless of whether some of the regressors are not subject to structural change. Critical values for the tests are obtained by simulation methods. Monte Carlo simulations compare the finite sample size properties of the two Wald statistics and a local power analysis is conducted to provide guidance on the power properties of the tests. This Chapter extends its analysis to cover the case of the break date being unknown. Supremum, mean and exponential Wald statistics are considered and finite sample size distortions are examined via simulations with newly tabulated fixedb critical values for these statistics.Chapter 2 generalizes the structural change test developed in Chapter 1 while allowing for a shift in the mean and(or) variance of the explanatory variable. Chapter 2 assumes the break date for the mean/variance is different from the possible break date for the regression parameters. The test is robust to serial correlation and heteroskedasticity of the error term and the explanatory variables. The fixedb theory is applied to derive the limits of the statistics. The asymptotic theory in this paper is based on a new set of high level conditions which incorporates the possibility of the moments shift and serves to provide pivotal limits of the test statistics.Chapter 3 proposes a test of the null hypothesis of integer integration against the alternative of fractional integration. The null of integer integration is satisfied if the series is either I(0) or I(1), while the alternative is that it is I(d) with 0
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Electronic Theses & Dissertations
 Copyright Status
 In Copyright
 Material Type

Theses
 Authors

Cho, CheolKeun
 Thesis Advisors

Vogelsang, Timothy J.
Schmidt, Peter
 Committee Members

Wooldridge, Jeffrey M.
Koul, Hira
 Date
 2014
 Program of Study

Economics  Doctor of Philosophy
 Degree Level

Doctoral
 Language

English
 Pages
 xii, 169 pages
 ISBN

9781321254334
1321254334
 Permalink
 https://doi.org/doi:10.25335/M5JN0K