Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Análise de regressão"
Now showing items 1-17 of 17
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A class of improved heteroskedasticity-consistent covariance matrix estimators
2002-09-05The heteroskedasticity-consistent covariance matrix estimator proposed by White (1980), also known as HC0, is commonly used in practical applications and is implemented into a number of statistical software. Cribari–Neto, ... -
Determinantes do crescimento: uma comparação das regressões em sistemas de equações cross-section com regressões em painel
1999-05-05Essa tese se propõe fazer uma comparação entre duas técnicas alternativas para estudo de impactos marginais de variáveis sócio-econômicas sobre as taxas de crescimento per-capita de grupos de países durante período de 1965 ... -
Estimação de regressões aditivas via backfitting e integração marginal: performance em pequenas amostras
2001-05-31In this thesis we conduct a Monte Carlo investigation to reveal some characteristics of the small sample distributions of the Backfitting (B) and Marginal Integration (MI) estimators for an additive bivariate regression. ... -
Improved combinations of parametric and nonparametric Regression estimators
1999-08-18This paper provides a systematic and unified treatment of the developments in the area of kernel estimation in econometrics and statistics. Both the estimation and hypothesis testing issues are discussed for the nonparametric ... -
Invariant tests in an instrumental variables model with unknown data generating process
2015-04-28In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests ... -
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap
2004-12-02Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was ... -
Is there a price puzzle in Brazil? An application of Bias-Corrected Bootstrap
2004-12-01Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price level. The result was ... -
Mixed causal-noncausal autoregressions with exogenous regressors
The mixed causal-noncausal autoregressive (MAR) model has been proposed to estimate time series processes involving explosive roots in the autoregressive part, as it allows for stationary forward and backward solutions. ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2009-02-05We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2011-01-27We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2010-03-29We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
A new perspective on the PPP hypothesis
2004-03-01This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies ... -
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
2015-02-12This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ... -
Purchasing power parity and the unit root tests: a robust analysis
2004-07-01Empirical evidence suggests that real exchange rate is characterized by the presence of near-unity and additive outliers. Recent studeis have found evidence on favor PPP reversion by using the quasi-differencing (Elliott ... -
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 ... -
Tree-structured smooth transition models
2005-11-03The goal of this paper is to introduce a class of tree-structured models that combines aspects of regression trees and smooth transition regression models. The model is called the Smooth Transition Regression Tree (STR-Tree). ... -
Wald tests for IV regression with weak instruments
2013-09-17This dissertation deals with the problem of making inference when there is weak identification in models of instrumental variables regression. More specifically we are interested in one-sided hypothesis testing for the ...
