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dc.contributor.advisorYiğit, Taneren_US
dc.contributor.authorYüksel, Serkanen_US
dc.date.accessioned2016-07-01T11:06:52Z
dc.date.available2016-07-01T11:06:52Z
dc.date.issued2006
dc.identifier.urihttp://hdl.handle.net/11693/29847
dc.descriptionCataloged from PDF version of article.en_US
dc.description.abstractAim of this thesis is to propose a test statistic that can test for true structural model in time series. Main concern of the thesis is to suggest a test statistic, which has joint null of unit root and no structural break (difference stationary model). When joint null hypothesis is rejected, source of deviation from the null model may be structural break or (and) stationarity. Sources of the deviation correspond to different structural models: Pure stationary model, trendbreak stationary model and trend-break with unit root model. The thesis suggests a test statistic that can discriminate null model from alternative models and more importantly, one alternative model from another. The test statistic that is proposed in the thesis is able to detect specific source of deviation from the null model. By doing so, we can determine the true structure model in time series. The thesis compares power properties of the test statistic that is proposed with the most favorable test in the literature. Simulation results indicate the power dominance over the test statistics in the literature. Moreover, we are able to specify true alternative model.en_US
dc.description.statementofresponsibilityYüksel, Serkanen_US
dc.format.extentix, 107 leaves, tablesen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectUnit rooten_US
dc.subjectStructural Breaken_US
dc.subjectJoint Hypothesis Testingen_US
dc.subjectMonte Carlo Simulationsen_US
dc.subject.lccQC174.85.M64 Y85 2006en_US
dc.subject.lcshMonte Carlo method.en_US
dc.titleJoint test for structural model specificationen_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US
dc.identifier.itemidBILKUTUPB100126


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