Hung, King Chi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 78-52). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Non-linear Time Series Models and Their Applications --- p.2 / Chapter 1.2 --- The SETAR Model --- p.4 / Chapter 1.3 --- Objectives and Organization of the Thesis --- p.6 / Chapter 2 --- The SETAR Model and Robust Test for Non-linearity --- p.8 / Chapter 2.1 --- A Brief Review of Existing Tests for Threshold-type Non-linearity --- p.9 / Chapter 2.2 --- Robust Tests for Threshold-type Non-linearity --- p.11 / Chapter 2.2.1 --- Tsay´ةs F Test --- p.12 / Chapter 2.2.2 --- The Proposed Test --- p.15 / Chapter 2.3 --- The Choice of the ψ-function --- p.23 / Chapter 2.4 --- A Simulation Study --- p.26 / Chapter 2.4.1 --- Data Generation Process (DGP) --- p.26 / Chapter 2.4.2 --- Simulation Findings --- p.29 / Chapter 3 --- Robust Estimation and Asymptotic Properties --- p.34 / Chapter 3.1 --- Least Squares Estimation --- p.37 / Chapter 3.2 --- Robust Estimation --- p.38 / Chapter 3.2.1 --- Asymptotic Properties --- p.40 / Chapter 3.3 --- A Simulation Study --- p.52 / Chapter 3.3.1 --- Data Generation Process (DGP) --- p.53 / Chapter 3.3.2 --- Simulation Findings --- p.55 / Chapter 3.3.3 --- Objective Function over r --- p.56 / Chapter 4 --- Numerical Example --- p.67 / Chapter 4.1 --- Methodology --- p.68 / Chapter 4.2 --- ASEAN Background --- p.69 / Chapter 4.2.1 --- Non-linearity tests on ASEAN Exchange Rate --- p.72 / Chapter 4.2.2 --- Estimation of the Return of Singaporean Dollar --- p.73 / Chapter 5 --- Conclusions and Further Research --- p.76 / References --- p.78
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326267 |
| Date | January 2008 |
| Contributors | Hung, King Chi., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, viii, 52 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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