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 SizeFormat 
ChalimourdasKonstantinosMsc2014.pdf2.59 MBAdobe PDFView/Open


Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.