El presente documento analiza el impacto de las expectativas políticas (medida como la probabilidad de que un candidato gane las elecciones) sobre los retornos del índice general de la Bolsa de Valores de Lima (IGBVL) utilizando información para los períodos electorales de 1995 y 2000. La...

The application of different unit root statistics is by now a standard practice in empirical work. Even when it is a practical issue, these statistics have complex nonstandard distributions depending on functionals of certain stochastic processes, and their derivations represent a barrier even...

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg...