Now showing items 1-5 of 5

    • Do shocks permanently change output? : Local persistency in economic time series 

      Lima, Luiz Renato Regis de Oliveira; Xiao, Zhijie
      While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary ...
    • Purchasing power parity and the unit root tests: a robust analysis 

      Xiao, Zhijie; Lima, Luiz Renato Regis de Oliveira
      Empirical evidence suggests that real exchange rate is characterized by the presence of near-unity and additive outliers. Recent studeis have found evidence on favor PPP reversion by using the quasi-differencing (Elliott ...
    • Robustness of stationary tests under long-memory alternatives 

      Lima, Luiz Renato Regis de Oliveira; Xiao, Zhijie
      This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and ...
    • Testing covariance stationarity 

      Xiao, Zhijie; Lima, Luiz Renato Regis de Oliveira
      In this paper, we show that the widely used stationarity tests such as the KPSS test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing ...
    • Testing unit root based on partially adaptive estimation 

      Xiao, Zhijie; Lima, Luiz Renato
      This paper proposes unit tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler ...