Browsing by Subject "Economics--Mathematical models."
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Item Open Access Comparison of several estimators for the covariance of the coefficient matrix(1995) Orhan, MehmetThe standard regression analysis assumes that the variances of the disturbance terms are constant, and the ordinary least squares (OLS) method employs this very crucial assumption to estimate the covariance of the disturbance terms perfectly, but OLS fails to estimate well when the variance of the disturbance terms vary across the observations. A very good method suggested by Eicker and improved by White to estimate the covariance matrix of the disturbance terms in case of heteroskedeisticity was proved to be biased. This paper evaluates the performance of White’s method as well as the OLS method in several different settings of regression. Furthermore, bootstrapping, a new method which very heavily depends on computer simulation is included. Several types of this method are used in several cases of homoskedastic, heteroskedastic, balanced, and unbalanced regressions.Item Open Access Detecting structural change when the change point is unknown(1995) Başçı, SıdıkaThere are various tests which are used to detect structural change when the change point is unknown. Among these widely used ones are Cumulated Sums (CUSUM) and CUSUM of Squares tests of Brown, Durbin and Evans (1975), Fluctuation test of Sen (1980) and Ploberger, Krämer and Kontrus (1989). More recently, Andrews (1990) suggests Sup F test and shows that it performs better than the above stated tests in terms of power. The problem with these tests is that they all assume stable variance although the regression coefficients change while moving from one regime to the other. In this thesis, we relax this assumption and suggest an alternative test which also allows heteroskedasticity. For this aim, we follow the Bayesian approach. We also present some of the Monte Carlo study results where we find that Bayesian test has superiority over the above stated tests in terms of power.Item Open Access Existence in an overlapping generations model with production(1995) Abdulkadiroğlu, AtilaThis thesis proves the existence of competitive equilibrium in an overlapping generations model (OLG) with production. In the proof, existence of equilibrium in the classical Arrow-Debreu Model is essential, and the work is similar in spirit to that-presented in Balasko, Cass and Shell [2], except some tricks used in the proof. The assumptions do not deviate from standard assumptions, so the model can be taken as a first step in developing more general models.Item Open Access Optimal timing of an energy saving technology adoption(2011) Harmankaya, Mehmet FatihIn this thesis, we use two stage optimal control techniques to analyze the optimal timing of energy saving technology adoptions. We assume that the physical capital goods sector is relatively more energy intensive than consumption goods sector. First, we solve a benchmark problem without exogenously growing energy saving technology frontier. In such a case, the economy sticks either to the initial technology or immediately switches to a new technology, depending on the growth rate advantage compared to the obsolescence and adjustment costs. In the second step, we introduce exogenously growing energy saving technology frontier. The anticipated level of the technology provides incentives to delay the adoption and generates an interior switching time. Finally, we analyze numerically the e§ects of the speed of adjustment to the new technology, growth rate of technology, subjective time preference and planning horizon on the optimal timing of technology adoption.Item Open Access Pooling time series and cross-sectional data: An Application to Turkish export demand analysis(1989) Ural, A SüreyyaIn this study. Pooling of time series and cross sectional data is used for constructing a demand model for the Turkish Exports. Two regression models are employed and compared by their fitness to the proposed pooling arrangements and demand relations. 25 Year time series (1963-1985) and cross sectional data covering top 10 exporters from Turkey are used for this purpose. Multiple regression analysis is conducted over different pooling arrangements and properness of pooling and fitness of model is tested by means of a series of F tests.Item Open Access Welfare-based evalution of alternative loss functions for small open economies(2009) Özhan, Galip KemalThis master’s thesis compares outcomes of alternative loss functions to optimal monetary policy in small open economies as the degree of openness increases. The small open economy model that is laid out by Gali and Monacelli (2005) is taken as the baseline framework. Based on a second order Taylor approximation to the utility function, the optimal monetary policy is derived. Then, using the optimal policy as a benchmark, four alternative loss functions are evaluated. Among others, minimizing the variance of domestic inflation achieves the minimum loss and is equivalent to optimal policy. Minimization of CPI inflation variance gives higher losses compared to minimization of domestic inflation variance. Lastly, attributing positive weight to dampening exchange rate fluctuations increases welfare losses.