dc.contributor.author | Dyrhovden, Sigve Brix | |
dc.date.accessioned | 2016-08-19T16:24:02Z | |
dc.date.available | 2016-08-19T16:24:02Z | |
dc.date.issued | 2016-06-01 | |
dc.date.submitted | 2016-06-01 | eng |
dc.identifier.uri | https://hdl.handle.net/1956/12650 | |
dc.description.abstract | In practice there are many types of processes that have near unit roots and are very difficult to distinguish from standard unit-root processes, given a finite sample. In our thesis we study a particular class of such processes, also called STUR processes. They have a root that is stochastic and varying around unity. We also study standard unit-root processes and cointegration. In cointegration analysis, the first step is to test whether the variables of interest have a unit root, and thus, unit root tests are used in application of cointegration. | en_US |
dc.format.extent | 468522 bytes | eng |
dc.format.mimetype | application/pdf | eng |
dc.language.iso | eng | eng |
dc.publisher | The University of Bergen | en_US |
dc.subject | Tilfeldig gang | nob |
dc.title | Stochastic unit-root processes | en_US |
dc.type | Master thesis | |
dc.rights.holder | Copyright the Author. All rights reserved | en_US |
dc.description.degree | Master i Statistikk | en_US |
dc.description.localcode | MAMN-STAT | |
dc.description.localcode | STAT399 | |
dc.subject.realfagstermer | https://data.ub.uio.no/realfagstermer/c013089 | |
dc.subject.nus | 753299 | eng |
fs.subjectcode | STAT399 | |