Non-linear cointegrating regression: Theory and Applications

Summary

This project will develop estimation and inference theory in non-linear cointegrating regression.  Empirical applications in money demand, trading data and various real time series data will also be considered.

Supervisor(s)

Professor Qiying Wang

Research Location

School of Mathematics and Statistics

Program Type

PHD

Synopsis

Using the fundamental advances raised in the past decade, we will explore non-linear regression models with non-stationary time series.  The main targets will be threshold effects in linear and non linear cointegrating regression, testing for non linear cointergration and model checks in non linear cointergrating regression.

The aim is to develop parametric and non parametric methods so that they are comparable to those appearing in linear cointegrating regression.  We will adopt some conventional estimators in the development of our asymptotic theory.  This will lead to a major simplification in the context of non linear cointegrating regression and structural non linear functional regression, and open up new possiblity for empirical research.

Additional Information

HDR Inherent Requirements

In addition to the academic requirements set out in the Science Postgraduate Handbook, you may be required to satisfy a number of inherent requirements to complete this degree. Example of inherent requirement may include:

- Confidential disclosure and registration of a disability that may hinder your performance in your degree;
- Confidential disclosure of a pre-existing or current medical condition that may hinder your performance in your degree (e.g. heart disease, pace-maker, significant immune suppression, diabetes, vertigo, etc.);
- Ability to perform independently and/or with minimal supervision;
- Ability to undertake certain physical tasks (e.g. heavy lifting);
- Ability to undertake observatory, sensory and communication tasks;
- Ability to spend time at remote sites (e.g. One Tree Island, Narrabri and Camden);
- Ability to work in confined spaces or at heights;
- Ability to operate heavy machinery (e.g. farming equipment);
- Hold or acquire an Australian driver’s licence;
- Hold a current scuba diving license;
- Hold a current Working with Children Check;
- Meet initial and ongoing immunisation requirements (e.g. Q-Fever, Vaccinia virus, Hepatitis, etc.)

You must consult with your nominated supervisor regarding any identified inherent requirements before completing your application.

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Keywords

cointergration. unit root testing, non linear regression, non linear cointergrating regression, non-stationary time series, non-parametric estimation, threshold model, latent estimation, martingale, functional limit theorem, convergence to stochastic integrals

Opportunity ID

The opportunity ID for this research opportunity is: 1439