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 language | English |
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Qualification | Doctor of Philosophy |
Awarding Institution |
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Supervisors/Advisors |
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Award date | 21 Dec 2012 |
Place of Publication | Tilburg |
Publisher | |
Print ISBNs | 9789056683382 |
Publication status | Published - 2012 |