Chan Chi-Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 68-69). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Integration and Fractional Integration --- p.1 / Chapter 1.2 --- Classical and Fractional Cointegration --- p.3 / Chapter 1.3 --- Residual-Based Test for Cointegration --- p.6 / Chapter 1.4 --- The Fractional Dickey-Fuller Test --- p.9 / Chapter 2 --- Preliminary Limit Theorems --- p.12 / Chapter 2.1 --- Limit Theorem for 0 ≤d < 0.5 --- p.14 / Chapter 2.2 --- Limit Theorem for 0.5 < d ≤1 --- p.23 / Chapter 3 --- The Asymptotics of the Residual-Based FDF --- p.26 / Chapter 3.1 --- Asymptotics for OLS-FDF --- p.30 / Chapter 3.2 --- Asymptotics for CO-FDF --- p.36 / Chapter 4 --- Finite Sample Experiment --- p.41 / Chapter 4.1 --- Empirical Size --- p.43 / Chapter 4.2 --- Empirical Power with Known d1 --- p.48 / Chapter 4.3 --- Empirical Power with Estimated d1 --- p.55 / Chapter 4.4 --- The Augmented Fractional Dickey-Fuller --- p.60 / Chapter 5 --- Conclusions --- p.66 / Reference --- p.68
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324919 |
| Date | January 2004 |
| Contributors | Chan, Chi-Ho., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, viii, 69 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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