Browsing FGV EPGE - Ensaios Econômicos by Subject "Análise de séries temporais"
Now showing items 1-6 of 6
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Análise de séries de tempo e modelo de formação de expectativas
1973É fato comum na teoria econômica que os indivíduos reagem a valores correntes de variáveis e a seus valores esperados no futuro. Como as expectativas se formam ainda é matéria de debates. É improvável que exista um único ... -
Do shocks permanently change output? : Local persistency in economic time series
2004-03-01While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary ... -
Growth, increasing returns, and public infrastructure : time series evidence
1995-03Initial endogenous growth models emphasized the importance of external effects and increasing retums in explaining growth. Empirically, this hypothesis can be confumed if the coefficient of physical capital per hour is ... -
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 ... -
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 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 ...
