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,...

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...

En este documento se muestra como las expectativas de inflacion son formadas y si cambios en la polÌtica o cambios estructurales influencian en dicha formacion. Cuatro experimentos son realizados con 75 individuos no experimentados donde se solicita predecir la inflacion domestica futura y...

Perron and Wada (2009) propose a new method of decomposition of the GDP in its trend and cycle components, which overcomes the identi.cation problems of models of unobserved components (UC) and ARIMA models and at the same time, admits non linearities and asym- metries in cycles. The method...

En este documento se analizan los determinantes de la frecuencia de intervenciÛn del Banco Central de Reserva en el mercado cambiario Peruano (compras y ventas). Se usan datos en frecuencia semanal para el periodo Enero 2001 hasta Diciembre 2010 usando la metodologia de modelos de conteo. Los...

This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the asymptotic theory...