Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Econometria"
Now showing items 61-71 of 71
-
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 for super-exogeneity in the presence of common deterministic shifts
2001-11-22This paper introduces the concept of common deterministic shifts (CDS). This concept is simple, intuitive and relates to the common structure of shifts or policy interventions. We propose a Reduced Rank technique to ... -
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 ... -
To cointegrate or not to cointegrate? That's a topological question
1997-10-16We 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 ... -
Tópicos clássicos de econometria
1987-11-01 -
Tópicos em Econometria Aplicada
2009-12-14This paper has three original contributions. The first is the reconstruction of employment and income series to allow the creation of a new coincident index for the Brazilian economic activity. The second is the construction ... -
Two heads may not be better than one : corporate board structure, managerial self-dealing,and common agency
2004-09-16This paper compares the effects on corporate performance and managerial self-dealing in a situation in which the CEO reports to a single Board that is responsible for both monitoring management and establishing performance ... -
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 ... -
The volatility outlook for commodities prices
2012-08Apresentação do palestrante Robert Engle - New York University no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: <http://epge.fgv.br/conferencias/commodity-prices/index.php>.
