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Model selection and loss functions for structural time series: networks, spatial models, causality measures, and misspecified or redundant moment conditions

Description:
This dissertation is comprised of the following three chapters: (1) "Causality and Markovianity: Information Theoretic Measures" (joint work with Eric Renault), my job market paper …
Year:
2016
Contributor:
Scidá, Daniela (creator)
Renault, Eric (Director)
McCloskey, Adam (Reader)
Dungey, Mardi (Reader)
Brown University. Economics (sponsor)
Genre:
theses
Subject:
Kullback causality measures
Granger causality
Markov property
non-nested hypotheses
financial networks
SVAR models
spatial models
GMM
misspecified moment conditions
AMSE reduction
optimal weighting matrix
redundancy
Financial institutions--Computer networks
Spatial systems--Mathematical models
Collection:
Economics
Theses and Dissertations
Full Record
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