Download or read book Three Essays on Nonstationary Time Series Analysis written by and published by . This book was released on 2014 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Financial and macroeconomic time series data are often nonstationary. My dissertation consists of three essays concerning time series models with nonstationarity. Chapter 1 develops a new jackknife estimator for nonstationary autoregressive model. The remaining two chapters explore the restricted maximum likelihood (REML hereafter) estimation and the restricted maximum likelihood based likelihood ratio test (RLRT hereafter) in predictive regression...."--Author's abstract.