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Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional

Author

Listed:
  • Erik Alencar de Figueirêdo

    (UFRGS)

Abstract

This study intends to characterize the permanent component of the International GDP series, taking into consideration two hypotheses: i) the existence of outliers from the supply shocks; ii) the asymmetry of the economic cycles. These suppositions have are a consequence of the non-normality of the temporal series, which implies that the OLS estimations are biased. Due to such problems, it was adopted the non-linear instrumental developed by Xiao e Lima (2004). This method is robust when the distributions are heavy-tails (infinitevariance). The results indicated that: a) all series present non-Gaussian distribution; b) the unit root hypothesis are not rejected except for the Italian and Brazilian series, and, c) it is observed that the basic cyclic components are equal to zero, which implies that all the fluctuations from the product are due to the real factors.

Suggested Citation

  • Erik Alencar de Figueirêdo, 2006. "Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 7(1), pages 1-28.
    • Handle: RePEc:anp:econom:v:7:y:2006:i:1:p:1-28
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    File URL: http://www.anpec.org.br/revista/vol7/vol7n1p1_28.pdf
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    More about this item

    Keywords

    Assimetria dos Ciclos Econômicos; Outliers; Distribuições de Caudas Pesadas; Raiz Unitária;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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