Abstract
Original language  English 

Qualification  Doctor of Philosophy 
Awarding Institution 

Supervisors/Advisors 

Award date  21 Dec 2012 
Place of Publication  Tilburg 
Publisher  
Print ISBNs  9789056683382 
Publication status  Published  2012 
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Limiting experiments for paneldata and jumpdiffusion models. / Becheri, I.G.
Tilburg : CentER, Center for Economic Research, 2012. 104 p.Research output: Thesis › Doctoral Thesis › Scientific
TY  THES
T1  Limiting experiments for paneldata and jumpdiffusion models
AU  Becheri, I.G.
PY  2012
Y1  2012
N2  This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jumpdiffusion models and we compare, by means of the limiting experiment, the statistical information contained in continuoustime observations with that contained in discretetime observations sampled in high frequency. In Chapter 3, we establish the Local Asymptotic Quadratic condition for bivariate hidden OrnsteinUhlenbeck models using continuoustime observations. We assume that the hidden process is highly persistent and, using the limiting experiment, we discuss some inference procedures. Chapter 4 provides the power envelope for tests of the unit root hypothesis in Gaussian panel data models with crosssectional dependence. And, it proposes a test statistic which attains the power envelope.
AB  This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jumpdiffusion models and we compare, by means of the limiting experiment, the statistical information contained in continuoustime observations with that contained in discretetime observations sampled in high frequency. In Chapter 3, we establish the Local Asymptotic Quadratic condition for bivariate hidden OrnsteinUhlenbeck models using continuoustime observations. We assume that the hidden process is highly persistent and, using the limiting experiment, we discuss some inference procedures. Chapter 4 provides the power envelope for tests of the unit root hypothesis in Gaussian panel data models with crosssectional dependence. And, it proposes a test statistic which attains the power envelope.
M3  Doctoral Thesis
SN  9789056683382
T3  CentER Dissertation Series
PB  CentER, Center for Economic Research
CY  Tilburg
ER 