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Three Essays on Unit Roots and Nonlinear Co-Integrated Processes

dc.contributor.advisorBreitung, Jörg
dc.contributor.authorGaul, Jürgen
dc.date.accessioned2020-04-11T19:10:37Z
dc.date.available2020-04-11T19:10:37Z
dc.date.issued2008
dc.identifier.urihttp://hdl.handle.net/20.500.11811/3324
dc.description.abstract

Many macroeconomic and financial key variables such as e.g. consumption, investment, gross domestic product and interest rates, display non-stationary features such as trends or changing variances. A non-stationary stochastic process that can be made stationary by taking first differences, is called ingrated of order one. If several variables are integrated of order one, then there may exist a linear combination of the variables such that the resulting process is stationary. Integrated processes with this property are said to be cointegrated. The concept of cointegration, introduced by Granger (1981) and Engle and Granger (1987), allows to describe equilibrium relationships between economic variables and, hence, bridges the gap between time series analysis and economics. For this reason, cointegration has become a popular tool for applied econometric work, e.g. Johansen and Juselius (1992).
In the last 25 years, both integrated and cointegrated processes have attracted a lot of attention in theoretical and applied time series econometrics. The seminal contributions by Dickey and Fuller (1979), Engle and Granger (1987), Phillips and Perron (1988) and Johansen (1988, 1991) have provided a solid basis for numerous extensions of this field of research.
This dissertation sheds light on two important extensions of the unit root model and the linear vector error correction model (VECM). In the first chapter, I extend several state-of-the-art unit root tests in the presence of permanent variance changes and compare their finite sample behavior in an extensive simulation study. In the two remaining chapters, I concentrate on error correction models that allow for a nonlinear adjustment process. The second chapter is devoted to the statistical inference of a general three regime threshold VECM. In chapter three, I explore the dynamics of spot and future prices using a novel nonlinear error correction model.

dc.language.isoeng
dc.rightsIn Copyright
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleThree Essays on Unit Roots and Nonlinear Co-Integrated Processes
dc.typeDissertation oder Habilitation
dc.publisher.nameUniversitäts- und Landesbibliothek Bonn
dc.publisher.locationBonn
dc.rights.accessRightsopenAccess
dc.identifier.urnhttps://nbn-resolving.org/urn:nbn:de:hbz:5-15913
ulbbn.pubtypeErstveröffentlichung
ulbbnediss.affiliation.nameRheinische Friedrich-Wilhelms-Universität Bonn
ulbbnediss.affiliation.locationBonn
ulbbnediss.thesis.levelDissertation
ulbbnediss.dissID1591
ulbbnediss.date.accepted2008-10-07
ulbbnediss.fakultaetRechts- und Staatswissenschaftliche Fakultät
dc.contributor.coRefereeTheissen, Erik


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