Please use this identifier to cite or link to this item:
http://dspace.lib.uom.gr/handle/2159/16052
Author: | Χαλιμούρδας, Κωνσταντίνος Chalimourdas, Konstantinos |
Title: | The impact of small sample bias on impulse response analysis. |
Date Issued: | 2014 |
Department: | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη |
Supervisor: | Παντελίδης, Θεολόγος Pantelidis, Theologos |
Abstract: | This study investigates (i) the small sample bias of the coefficients of AR models, (ii) the effect of the bias on the estimated half-life of a shock and (iii) the ability of three alternative procedures proposed in the literature to account for the small sample bias. In addition, an empirical application to the Purchasing Power Parity Puzzle is provided. |
Keywords: | Small sample bias Half-life |
Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2014. |
Appears in Collections: | ΔΠΜΣ Οικονομική Επιστήμη (M) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
ChalimourdasKonstantinosMsc2014.pdf | 2.59 MB | Adobe PDF | View/Open |
Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.