Listagem por autor "Saraiva, Diogo Vinícius Menezes"
Itens para a visualização no momento 1-5 of 5
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Essays in macroeconometrics
2015-11-27The knowledge of the current state of the economy is crucial for policy makers, economists and analysts. However, a key economic variable, the gross domestic product (GDP), are typically colected on a quartely basis and ... -
Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
2014-06-02This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2013-07-01It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2015-02-26Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ... -
Previsão de preços de ativos usando restrições do modelo de valor presente
2012-12-21Motivados pelo debate envolvendo modelos estruturais e na forma reduzida, propomos nesse artigo uma abordagem empírica com o objetivo de ver se a imposição de restrições estruturais melhoram o poder de previsibilade vis-a-vis ...
