Browsing FGV EPGE - Seminários de Pesquisa Econômica by Author "Flôres Junior, Renato Galvão"

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    • Multivariate unit root tests 

      Flôres Junior, Renato Galvão
      1995-12-07
      A new multivariate test for the detection ofunit roots is proposed. Use is made ofthe possible correlations between the disturbances of difIerent series, and constrained and unconstrained SURE estimators are employed. The ...

    • To cointegrate or not to cointegrate? That's a topological question 

      Flôres Junior, Renato Galvão
      1997-10-16
      We show that for any multivariate I( 1) process which does not cointegrate, it is possible to find another process sufficient1y elose to it where cointegration applies. Closeness is defined in terms of the spectral density ...