Browsing FGV EPGE - Ensaios Econômicos by Subject "Análise de regressão"
Now showing items 1-7 of 7
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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 ... -
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 ...
