Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por Assunto "Análise de séries temporais"
Itens para a visualização no momento 21-30 of 30
-
Previsão da inflação no Boletim Focus: uma avaliação
2010-07-05This work investigates and analyzes the differences between inflation’s annual rates and the forecasts by economic agents, for a year ahead. The inflation index examined, were the IPCA, IPA-M, IGP-M and IGP-DI. For each ... -
Projeção de preços do minério de ferro: uma análise do comportamento e da eficiência da projeção no curto prazo
2015-08-24Propomos um modelo econométrico reduzido para explicar a variação mensal dos preços de minério de ferro para o período entre janeiro de 2008 e julho de 2015 e o utilizamos para realizar projeções mensais a partir de janeiro ... -
Robustness of stationary tests under long-memory alternatives
2004-04-01This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and ... -
A study on time-varying quantile and its applications
2006-06-12This Thesis is the result of my Master Degree studies at the Graduate School of Economics, Getúlio Vargas Foundation, from January 2004 to August 2006. am indebted to my Thesis Advisor, Professor Luiz Renato Lima, who ... -
Testing covariance stationarity
2006-11-01In this paper, we show that the widely used stationarity tests such as the KPSS test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing ... -
Testing covariance stationarity
2005-10-27In 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 ... -
Testing unit root based on partially adaptive estimation
2004-03-01This paper proposes unit tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler ... -
Time series mixtures of generalized t experts
2004-10-14 -
A unit root test based on partially adaptive estimation
2003-09-11This 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 ...
