Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Análise de séries temporais"

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 ...

Time series mixtures of generalized t experts

Carvalho, Alexandre
2004-10-14

Trend, unit root and structural change in macroeconomic time series

Perron, Pierre
1995-04-18

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 ...