Title page for etd-0726110-153330


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URN etd-0726110-153330
Author Meng-wei Lin
Author's Email Address No Public.
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Department Economics
Year 2009
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Impulse Response Analysis of General Inference on Cointegration Vector for Non-Stationary Process by Local Projection
Date of Defense 2010-07-13
Page Count 41
Keyword
  • Johansen MLE
  • Local Projection
  • Impulse Response Function
  • Cointegration
  • Non-Stationary
  • Abstract Jorda (2005) proposed the new method to estimate impulse response functions by local
    projection. The new method, local projection, can avoid the misspecification problem. That
    is, local projections are robust to misspecification of the data generating process (DGP). Wu,
    Lee, and Wang (2008) extended the Jorda’s local projection from stationary time series I(0) to
    non-stationary time series I(1). It makes the local projection be a more generally applicative
    method for the Macroeconomic. In the article, I relax the cointegration vector which assumed
    to be known in the Wu, Lee, and Wang (2008) and Lee(2010). From the inference of Johansen
    (1995) I can get the property of super-consistent between β and ˆ β in the cointegration vector. I
    use the above condition and OLS to estimate impulse response functions, and in the asymptotic
    theorem, the cointegration vectors which assumed to be known or estimated by Johansen MLE
    are both get the consistent coefficients of impulse responses.
    Advisory Committee
  • none - chair
  • none - co-chair
  • Ching-nun Lee - advisor
  • Files
  • etd-0726110-153330.pdf
  • indicate accessible in a year
    Date of Submission 2010-07-26

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