Limiting experiments for panel-data and jump-diffusion models

I.G. Becheri

Research output: ThesisDoctoral Thesis

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Abstract

This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jump-diffusion models and we compare, by means of the limiting experiment, the statistical information contained in continuous-time observations with that contained in discrete-time observations sampled in high frequency. In Chapter 3, we establish the Local Asymptotic Quadratic condition for bivariate hidden Ornstein-Uhlenbeck models using continuous-time 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 cross-sectional dependence. And, it proposes a test statistic which attains the power envelope.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Drost, Feike C., Co-promotor
  • van den Akker, Ramon, Co-promotor
  • Werker, Bas, Promotor
Award date21 Dec 2012
Place of PublicationTilburg
Publisher
Print ISBNs9789056683382
Publication statusPublished - 2012

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    Becheri, I. G. (2012). Limiting experiments for panel-data and jump-diffusion models. CentER, Center for Economic Research.