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Estacionariedad, cambios estructurales y crecimiento económico en México: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10010322550
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Estacionariedad, cambios estructurales y crecimiento económico en México : 1895-2008
Noriega-Muro, Antonio E.; Rodríguez-Pérez, Cid Alonso - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10009348003
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Stationarity, structural breaks, and economic growth in Mexico: 1895-2008
Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - Banco de México - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10009318030
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Una prueba simple para regresiones espurias
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10010322603
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Una prueba simple para regresiones espurias
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2011
Yule), we do not find (spurious) significant relationships between the variables. -- Spurious Regression ; Integrated …
Persistent link: https://www.econbiz.de/10009272239
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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaulària, Daniel - Banco de México - 2011
It has been found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes. This paper introduces a simple method which guarantees convergence of this t-statistic to a...
Persistent link: https://www.econbiz.de/10009275698
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Algunas Aplicaciones De La Teoría De Control Óptimo En Finanzas (Some Applications of the Optimum Control Theory in Finance)
Moreno Trujillo, John - 2017
Spanish Abstract: Se presentan los resultados básicos de la teoría de control óptimo en contextos estocásticos y su aplicación en el planteamiento y resolución de problemas financieros. En particular se consideran los problemas de selección óptima de portafolios y la valoración de...
Persistent link: https://www.econbiz.de/10012962579
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Restricción De Retorno Mínimo, Su Impacto En Los Fondos De Pensiones En Chile 2003-2014 (Minimum Return Constrain, Its Impact on Chilean Pension Funds 2003-2014)
Balbontín, Renato - 2016
Spanish Abstract: Los fondos de pensiones deben cumplir una restricción de retorno mínimo que se basa en un benchmark definido a partir de la diversificación promedio asociada a cada uno de los cinco tipos de fondos que cada empresa vigente en esta industria gestiona y que los trabajadores...
Persistent link: https://www.econbiz.de/10013003513
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Varianza condicional de medias móviles no-lineales.
Ventosa-Santaulària, Daniel; Velázquez, Alfonso Mendoza; … - In: Ensayos Revista de Economia XXVII (2008) 2, pp. 29-48
We present a new heteroskedastic conditional variance model using NonLinear Moving Average as the basis for this specification [NLMACH(q)]. The typical problem of this class of models-i.e., noninvertibility—is solved by means of an intuitive parametric restriction; this allows us to use...
Persistent link: https://www.econbiz.de/10009143765
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Regresión espuria en especificaciones dinámicas.
Zaldivar, Manuel Gómez; Castro, Oscar Manjarrez; … - In: Ensayos Revista de Economia XXVIII (2009) 1, pp. 1-20
The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact …, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend … specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious …
Persistent link: https://www.econbiz.de/10009141609