Three major regression-based seasonal unit root tests: the DHF test introduced by Dickey et al (1984), the HEGY test proposed by Hylleberg et al. (1990) and the Kunst test introduced by Kunst (1997) are compared. The regression model for the DHF test is a reduced form of that for the Kunst test....

This dissertation relates to three recent methods of instrument selection in econometrics, namely, the Canonical Correlations Information Criterion (CCIC), the Relevant Moments Selection Criterion (RMSC) and the approximate Mean Square Error Criterion (MSE). Usual canonical correlations measure...

GMM provides a computationally convenient estimation method and the resulting estimator can be shown to be consistent and asymptotically normal under the fairly moderate regularity conditions. It is widely known that the information content in the population moment condition has impacts on the...

This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical...