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Essays on econometrics. Multivariate Markov chains
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Orientador(es)
Resumo(s)
This Dissertation is about Markov chains and their role in economics and in econometrics theory. Four essays on the Markov chain ap- proach are presented.
We start by illustrating the analytical potential of multivariate Markov chains in the field of economic history, in particular with regard to a test of the Schumpeterian hypothesis of creative destruction.
Then, we ilustrate the flexibility of Markov chains, and their per- tinence to situations that go beyond their traditional applicability: i) how can a Markov chain play the role of covariates; ii) how can a Markov chain representation be useful to compute expected hitting times.
Finally, we present a new methodology for testing and detecting multiple structural breaks in multivariate Markov chains, where the dates at which the structural breaks occur are unknown.
Descrição
Tese de Doutoramento em Matemática aplicada à Economia e Gestão
Palavras-chave
Cadeias de Markov Econometria Matemática aplicada à economia
Contexto Educativo
Citação
Damásio, Bruno, (2018). " Essays on econometrics. Multivariate Markoc chains". Tese de Doutoramento. Universidade de Lisboa, Instituto Superior de Economia e Gestão.