Sökning: "KPSS"

Visar resultat 1 - 5 av 9 uppsatser innehållade ordet KPSS.

  1. 1. A Comparative Study of the KPSS and ADF Tests in terms of Size and Power

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Lina Sjösten; [2022]
    Nyckelord :Stationarity; unit root; time series; simulation; trend; ARIMA; parameter value; sample size;

    Sammanfattning : This thesis investigates through simulation why tests of unit root and stationarity occasionally result in different conclusions. The thesis focusses on the KPSS test and the ADF test and both review cases with and without a trend. LÄS MER

  3. 2. Georgian Environmental Kuznets Curve: An Appropriate Estimation.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Farahim Suleymanli; [2022]
    Nyckelord :Environmental Kuznets Curve; integrated processes; Planetary Boundary; Environmental Degradation Index; Business and Economics;

    Sammanfattning : Empirical EKC literature has conceptual flaws that arise due to the inclusion of polynomials and cointegrating relationships of powers of integrated processes. Additionally, previous studies focused on a narrow nexus between environmental degradation and economic growth that yield only a partial EKC. LÄS MER

  4. 3. Uppvisar den svenska aktiemarknaden mean reversion? : En studie om Stockholmsbörsen, dess sektorer och olika marknadsförhållanden

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Oskar Fors Rosén; Stefan Liderfelt; [2021]
    Nyckelord :Den effektiva marknadshypotesen; mean reversion; fraktionell integrering; långsiktigt minne; random walk;

    Sammanfattning : The purpose of this study is to examine whether the returns on the Stockholm Stock Exchange and its different sectors is mean reverting during the period 2003–2019. In addition to the examination of the entire period, the study also examines the periods before, during and after the global financial crisis. LÄS MER

  5. 4. Svenska aktiemarknaden : Hur påverkas den svenska aktiemarknaden av makroekonomiska variabler

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Oscar Bodin; Jenny Nielsen; [2013]
    Nyckelord :Makroekonomiska variabler; OMX; aktiemarknad; Granger Causality test; Johansens Cointegration test; Impulse Response Function test; ADF test; KPSS test; Mulitpel regression.;

    Sammanfattning : Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. LÄS MER

  7. 5. Is there hysteresis in unemployment rates?

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Niclas Lavesson; [2012]
    Nyckelord :Hysteresis; unemployment; ARFIMA; fractional integration; time series; Mathematics and Statistics;

    Sammanfattning : This paper investigates if there is hysteresis in unemployment rates for 8 OECD countries. Univariate unit root tests (ADF and KPSS tests) are performed as an initial analysis of the unemployment rates. These tests suggest that the hysteresis hypothesis is true. LÄS MER