Disentangling low-frequency versus high-frequency economic relationships via regression parameter stability tests

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dc.contributor.authorTan, Hui Boonen
dc.contributor.committeechairAshley, Richard A.en
dc.contributor.committeememberSalehi-Isfahani, Djavaden
dc.contributor.committeememberNuxoll, Daniel A.en
dc.contributor.committeememberMichalopoulos, Charlesen
dc.contributor.committeememberAhn, Hyungtaiken
dc.contributor.departmentEconomicsen
dc.date.accessioned2014-03-14T21:14:54Zen
dc.date.adate2006-06-07en
dc.date.available2014-03-14T21:14:54Zen
dc.date.issued1995en
dc.date.rdate2006-06-07en
dc.date.sdate2006-06-07en
dc.description.abstractThis dissertation develops and applies new tools for distinguishing and disentangling high-frequency and low-frequency relationships among stationary economic time series. The new approach proposed here is a three-step procedure; the first step transforms the regression model in the time domain to a real-valued model in the frequency domain, which is functionally identical to an ordinary regression model, the only different being that "observations" of this model correspond to different frequencies rather than to different time periods. Consequently, in the second step, well established regression parameter stability tests are used to detect and assess the frequency dependence of relationships among economics time series. This new approach allows one to not only detect model misspecification of this type but also to correct it. In the third step, the results of the parameter stability across frequency tests is used to sensibly choose the best varying-parameter model in the frequency domain, which is then back-transformed to a time domain model and to be used for forecasting. The empirical example (using macroeconomic data) presented in this dissertation shows that the back-transformed model that allows varying parameter across frequencies significantly improves the forecasting performance of the misspecified fixed-parameter model.en
dc.description.degreePh. D.en
dc.format.extentxi, 116 leavesen
dc.format.mediumBTDen
dc.format.mimetypeapplication/pdfen
dc.identifier.otheretd-06072006-124227en
dc.identifier.sourceurlhttp://scholar.lib.vt.edu/theses/available/etd-06072006-124227/en
dc.identifier.urihttp://hdl.handle.net/10919/38575en
dc.language.isoenen
dc.publisherVirginia Techen
dc.relation.haspartLD5655.V856_1995.T36.pdfen
dc.relation.isformatofOCLC# 34650215en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subject.lccLD5655.V856 1995.T36en
dc.titleDisentangling low-frequency versus high-frequency economic relationships via regression parameter stability testsen
dc.typeDissertationen
dc.type.dcmitypeTexten
thesis.degree.disciplineEconomicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.leveldoctoralen
thesis.degree.namePh. D.en

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