Browsing FGV EPGE - Ensaios Econômicos by Subject "Econometria"
Now showing items 1-9 of 9
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Decision rules and information provision: monitoring versus manipulation
2002-08-01The paper focuses on the organization of institutions designed to resolve disputes between two parties, when some information is not veriable and decision makers may have vested preferences. It shows that the choice of how ... -
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 ... -
Endogenous debt constraints in collateralized economies with default penalties
2011-06-30In infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral ... -
A generalization of judds method of out-steady-state comparisons in perfect foresight models
2003-02-01We show that Judd (1982)’s method can be applied to any finite system, contrary to what he claimed in 1987. An example shows how to employ the technic to study monetary models in presence of capital accumulation. -
Impossible inference in econometrics: theory and applications to regression discontinuity, bunching, and exogeneity tests
2017-10This paper presents necessary and su cient conditions for tests to have trivial power. By inverting these impractical tests, we demonstrate that the bounded con dence regions have error probability equal to one. This theo- ... -
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 ... -
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 ...
