Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Lima, Luiz Renato Regis de Oliveira"

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    • 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 ...