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Title page for ETD etd-05252011-223650


Type of Document Dissertation
Author Guo, Zhengfeng
Author's Email Address zhengfeng,guo@vanderbilt.edu
URN etd-05252011-223650
Title Three essays on nonlinear time series econometrics
Degree PhD
Department Economics
Advisory Committee
Advisor Name Title
Mototsugu Shintani Committee Chair
Ronald Masulis Committee Member
Tong Li Committee Member
Yanqin Fan Committee Member
Keywords
  • volatility
  • Lag selection
  • consistency
  • cointegration
  • cotrending
  • GARCH
Date of Defense 2011-02-25
Availability unrestricted
Abstract
This dissertation is comprised of three chapters on time series econometrics. The first chapter investigates the asymptotic and finite sample properties of the lag selection

procedure based on the final prediction error (FPE) when the additive structure is a priori

known in the nonparametric autoregression. The simulation results show a significant improvement in the finite sample performance over the case of unrestricted estimation. The

second chapter proposes a model-free cotrending rank selection procedure, in the presence

of both stochastic and nonlinear deterministic trends. Simulation results suggest good finite sample properties of the new rank selection criteria. The proposed method is then

illustrated through an application of Japanese money demand function allowing for the

cotrending relationship among money, income and interest rates. The third chapter develops a smooth transition GARCH model with an asymmetric transition function, which

allows an asymmetric response of volatility to the size and sign of shocks, and an asymmetric transition dynamics for positive shocks and negative shocks. The model is applied to the

empirical financial data: the NASDAQ index and the individual stock IBM daily returns.

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