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Thesis

Essays on model selection

Abstract:

This dissertation has two goals. Firstly, we consider the problem of model selection for nonlinear time series models and study an auxiliary-regression-based test for serial correlation. Under the assumption of martingale difference errors, rejection of the test would imply model misspecification in the adopted functional form or insufficient dynamic specification. The proposed test allows for the presence of stationary and/or non-stationary variables, and the test statistic follows a stan...

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Oxford college:
St Anne's College
Role:
Author

Contributors

Institution:
University of Oxford
Division:
SSD
Department:
Economics
Role:
Supervisor
ORCID:
0000-0002-1567-4652
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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