Showing 1 - 10 of 12
In a recent paper, Fajardo et al. (2009) propose an alternative semiparametric estimator of the fractional parameter in ARFIMA models which is robust to the presence of additive outliers. The results are very interesting, however, they use samples of 300 or 800 observations which are rarely...
Persistent link: https://www.econbiz.de/10010990276
We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We …nd and simulate the limiting distributions of these statistics when GLS demeaned and GLS detrended data are used. The distributions depend of the number of right-hand side variables, the...
Persistent link: https://www.econbiz.de/10010990282
Perron and Rodríguez (2003) claimed that their procedure to detect for additive outliers (Tau-d) is powerful even when we have departures from the unit root case. In this note, we use Monte-Carlo simulations to show that Tau-d is powerful when we have ARFIMA(p; d; q) errors. Using simulations,...
Persistent link: https://www.econbiz.de/10010990294
This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposed by Perron and Rodríguez (2003) when the errors are frac- tional. This ADF is based on a searching procedure for additive outliers based on …rst-differences of the data named Tau- d. Simulations...
Persistent link: https://www.econbiz.de/10010990308
El estudio tiene 2 objetivos. Primero establecer las principales características de la movilidad laboral; segundo analizar los determinantes de las principales transiciones entre los distintos estados de la ocupación. Para lograr el primer objetivo se utiliza matrices de transición que...
Persistent link: https://www.econbiz.de/10010990314
Some stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied to these ?nancial returns. Dynamic correlations and di¤erent kernel...
Persistent link: https://www.econbiz.de/10009320819
This paper analyzes and distinguishes the role and importance of the shocks related to the aggregate demand and aggregate supply on the behavior of the Peruvian inflation during the period 1997:1-2009:2. We use the methodology based on structural vector autoregressive (SVAR) models using a...
Persistent link: https://www.econbiz.de/10008764933
The literature has shown that the volatility of Stock and Forex rate market returns shows the characteristic of long memory. Another fact that is shown in the literature is that this feature may be spurious and volatility actually consists of a short memory process contaminated with random level...
Persistent link: https://www.econbiz.de/10011079222
We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by GalÌ and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the change of the policy rule (January-2006 and May-2009) induces a break in the...
Persistent link: https://www.econbiz.de/10011079223
Empirical research indicates that the volatility of stock return time series have long memory. However, it has been demonstrated that short memory processes contaminated with random level shifts can often be confused as being long memory. Often this feature is referred to as spurious long...
Persistent link: https://www.econbiz.de/10011105601