Essays in time series econometrics
This doctoral thesis develops new methods for time series analysis and applies these to prominent empirical problems in macroeconomics. It contains three chapters. Chapter one proposes a new non-parametric generalized method of moments estimator for handling time-varying parameters. Chapter two prop...
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| Tipo de recurso: | tesis doctoral |
| Estado: | Versión publicada |
| Fecha de publicación: | 2023 |
| País: | España |
| Institución: | CBUC, CESCA |
| Repositorio: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/688224 |
| Acceso en línea: | http://hdl.handle.net/10803/688224 |
| Access Level: | acceso abierto |
| Palabra clave: | Time series analisys Macroeconomics Anàlisi de sèries temporals Macroeconomia 33 |
| Sumario: | This doctoral thesis develops new methods for time series analysis and applies these to prominent empirical problems in macroeconomics. It contains three chapters. Chapter one proposes a new non-parametric generalized method of moments estimator for handling time-varying parameters. Chapter two proposes a simple and practical method for estimating impulse response functions based on using a single flexible and interpretable function to approximate the impulse response. Chapter three discusses a large-scale simulation study to compare impulse response estimates obtained from vector autoregressive model average models with vector autoregressive and local projection methods. |
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