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Essays in Econometrics.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Econometrics./
作者:	Pellatt, Daniel.
面頁冊數:	1 online resource (300 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-01, Section: B.
Contained By:	Dissertations Abstracts International85-01B.
標題:	Applied mathematics. -
電子資源:	click for full text (PQDT)
ISBN:	9798379847364

Essays in Econometrics.
Pellatt, Daniel.

Essays in Econometrics. - 1 online resource (300 pages)

Source: Dissertations Abstracts International, Volume: 85-01, Section: B.

Thesis (Ph.D.)--University of California, San Diego, 2023.

Includes bibliographical references

Each chapter of this dissertation examines a different econometric problem of interest and proposes a new approach to the data analysis problem at hand. The chapter titles may give the impression that some of these topics lie in disparate areas of focus. The topic and approach of Chapter 3, for example, shares less commonalities with Chapters 1 and 2 than the first two chapters share with one another. A connecting theme between all three chapters is the combination of foundational problems with modern data or methodologies designed to accommodate modern data analysis techniques. In the first two chapters, the PAC-Bayesian analytical framework, which has developed alongside the growth of machine learning applications, drives analyses of more traditional problems involving binary decision and individual treatment rules. In Chapter 1, this facilitates the derivation of new individual treatment rule estimators in the setting where a policy maker faces a general budget or resource constraint. In Chapter 2, this suggests new decision rules when a policy maker has a general utility function over payoffs that may have asymmetries and vary with covariates relevant to the decision problem. In each case the rules possess desirable theoretical properties, perform competitively against state-of-the-art alternatives, and have additional advantages in terms of applicability, estimation options, and modeling flexibility. Chapter 3 considers hypothesis testing in linear regressions when observations may be sampled at short time intervals. Whereas monthly or even quarterly observations were once ubiquitous in time series regression applications, it is becoming more common to have weekly, daily or even intraday observations. However, higher frequency data can pose challenges for classical inference procedures. F tests are proposed that utilize series long run variance estimation. Under reasonable discrete-time or continuous-time settings, the procedures yield valid inference so that the proposed hypothesis tests are robust to the sampling interval available to the practitioner. The tests have competitive size and power properties against the limited set of alternatives in a simulation study. Finally, an empirical example examining a relationship between interest rates associated with shorter and longer duration bonds illustrates the usefulness of the procedure.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379847364Subjects--Topical Terms:

1069907
Applied mathematics.
Subjects--Index Terms:

Econometric problemIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Econometrics.
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