VTechWorks staff will be away for the Thanksgiving holiday beginning at noon on Wednesday, November 22, through Friday, November 24, and will not be replying to requests during this time. Thank you for your patience, and happy holidays!
Monte Carlo Examination of Static and Dynamic Student t Regression Models
This dissertation examines a number of issues related to Static and Dynamic Student t Regression Models.
The Static Student t Regression Model is derived and transformed to an operational form. The operational form is then examined in a series of Monte Carlo experiments. The model is judged based on its usefulness for estimation and testing and its ability to model the heteroskedastic conditional variance. It is also compared with the traditional Normal Linear Regression Model.
Subsequently the analysis is broadened to a dynamic setup. The Student t Autoregressive Model is derived and a number of its operational forms are considered. Three forms are selected for a detailed examination in a series of Monte Carlo experiments. The modelsâ usefulness for estimation and testing is evaluated, as well as their ability to model the conditional variance. The models are also compared with the traditional Dynamic Linear Regression Model.