Similar Search Results

Inflation expectations formation in the presence of policy shifts and structural breaks : an experimental analysis

Ricardo Maertens, Luis; Rodriguez, Gabriel - 2012

Persistent link: https://www.econbiz.de/10009739043

Presidential approval in Peru : an empirical analysis using a fractionally cointegrated VAR

Boca Saravia, Alexander; Rodriguez, Gabriel - 2019

Persistent link: https://www.econbiz.de/10012240838

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Selecting the lag length for the MGLS unit root tests with structural change : a warning note for practitioners based on simulations

Quineche, Ricardo; Rodriguez, Gabriel - In: Econometrics : open access journal 5 (2017) 2, pp. 1-10

This is a simulation-based warning note for practitioners who use the M GLS MGLS unit root tests in the context of structural change using different selection lag length criteria. With T=100 T=100 , we find severe oversize problems when using some criteria, while other criteria produce an...

Persistent link: https://www.econbiz.de/10011654451