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Limiting experiments for panel-data and jump-diffusion models

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  • Becheri, I.G.

    (Tilburg University)

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    Abstract

    Abstract: This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jump-diffusion models and we compare, by means of the limiting experiment, the statistical information contained in continuous-time observations with that contained in discrete-time observations sampled in high frequency. In Chapter 3, we establish the Local Asymptotic Quadratic condition for bivariate hidden Ornstein-Uhlenbeck models using continuous-time observations. We assume that the hidden process is highly persistent and, using the limiting experiment, we discuss some inference procedures. Chapter 4 provides the power envelope for tests of the unit root hypothesis in Gaussian panel data models with cross-sectional dependence. And, it proposes a test statistic which attains the power envelope.

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    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-5661649.

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    Length: 104
    Date of creation: 2012
    Date of revision:
    Publication status: Published
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-5661649

    Note: Dissertation
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    Web page: http://www.tilburguniversity.edu/

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