Now showing items 1-2 of 2
Spurious regression problem in Kalman Filter estimation of time varying parameter models
(Bilkent University, 2010)
This thesis provides a simulation based study on Kalman Filter estimation of time varying parameter models when nonstationary series are included in regression equation. In this study, we have performed several simulations ...
Improving inference in integration and cointegration tests
(Bilkent University, 2016-05)
In this thesis, I address three di erent problems in unit root and cointegration models and I propose new methods to improve inference in testing procedures for these models. Two of these problems are related to unit ...