Browsing FGV EPGE - Seminários de Pesquisa Econômica by Author "Lima, Luiz Renato Regis de Oliveira"

Now showing items 1-3 of 3

    • Co-movement between two processes with local persistence 

      Lima, Luiz Renato Regis de Oliveira
      2001
      This paper introduces a residual based test where the null hypothesis of c:&InOvement between two processes with local persistenc~ can be tested, even under the presence of an endogenous regressor. It, therefore, fills in ...

    • Testing covariance stationarity 

      Lima, Luiz Renato Regis de Oliveira
      2005-10-27
      In this paper, we show that the widely used stationarity tests such as the KPSS test has power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing ...

    • A unit root test based on partially adaptive estimation 

      Lima, Luiz Renato Regis de Oliveira
      2003-09-11
      This paper constructs a unit root test baseei on partially adaptive estimation, which is shown to be robust against non-Gaussian innovations. We show that the limiting distribution of the t-statistic is a convex combination ...