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Factor-Augmented Error Correction Model with Time Varying Coefficients

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dc.contributor.advisor Zhu, Wei en_US
dc.contributor.author Hao, Xue en_US
dc.contributor.other Department of Applied Mathematics and Statistics. en_US
dc.date.accessioned 2017-09-20T16:52:42Z
dc.date.available 2017-09-20T16:52:42Z
dc.date.issued 2015-05-01 en_US
dc.identifier.uri http://hdl.handle.net/11401/77443 en_US
dc.description 89 pg. en_US
dc.description.abstract Factor-based models have been extensively used in economic and financial time series analyses. The Factor-augmented Error Correction Model (FECM) is a successful generalization of the Factor-augmented Vector Autoregression Model and the Error Correction Model for large panel nonstationary time series data. By combining the factors and error correction terms together, the FECM is able to utilize both the aggregated panel information summarized through the Dynamic Factor Model as well as the long-term equilibrium information introduced by the cointegration relationship. In this thesis we extend the FECM by allowing time-varying model parameters. There are ample evidences from both theoretical and empirical studies supporting the notion that the parameters of economic and financial models often change over time. By relaxing the parameters to be time-varying, the model will be more adaptable to complicated and realistic data structures, such as those with potential structural instability after a recession or crisis. We conclude this thesis by applying the newly developed time-varying FECM to provide more suitable models for PPNR (Pre-Provision Net Revenue) studies, part of the required modeling process in CCAR (Comprehensive Capital Analysis and Review) -- commonly known as the Federal Reserve’s Stress Test on big banks and other financial institutes. en_US
dc.description.sponsorship This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree. en_US
dc.format Monograph en_US
dc.format.medium Electronic Resource en_US
dc.language.iso en_US en_US
dc.publisher The Graduate School, Stony Brook University: Stony Brook, NY. en_US
dc.subject.lcsh Statistics en_US
dc.title Factor-Augmented Error Correction Model with Time Varying Coefficients en_US
dc.type Dissertation en_US
dc.mimetype Application/PDF en_US
dc.contributor.committeemember Wang, Xuefeng en_US
dc.contributor.committeemember Wu, Song en_US
dc.contributor.committeemember Xiao, Keli. en_US

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