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Detección de raíces unitarias y cointegración mediante métodos de subespacios

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Author Info
Alfredo García-Hiernaux ()
José Casals ()
Miguel Jerez ()

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Abstract

"Proponemos un nuevo procedimiento para detectar raíces unitarias basado en métodos de subespacios. Su planteamiento comporta tres aspectos fundamentales. Primero, la misma metodología se puede aplicar a series individuales o a vectores de series temporales. Segundo, utiliza una familia flexible de criterios de información, cuyas funciones de pérdida se pueden adaptar a las propiedades estadísticas de los datos. Finalmente, no requiere especificar un proceso estocástico para las series analizadas. Se demuestra la consistencia del método y los ejercicios de simulación revelan buenas propiedades en muestras finitas. Además, su aplicación práctica se ilustra mediante el análisis de varias series reales."

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Publisher Info
Article provided by REVISTA COLOMBIANA DE ESTADISTICA in its journal Revista Colombiana de Estadística.

Volume (Year): (2007)
Issue (Month): ()
Pages:
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Handle: RePEc:col:000163:004031

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    Other versions:
  2. Casals, Jose & Sotoca, Sonia & Jerez, Miguel, 1999. "A fast and stable method to compute the likelihood of time invariant state-space models," Economics Letters, Elsevier, vol. 65(3), pages 329-337, December. [Downloadable!] (restricted)
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  5. Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane, 1999. "Multivariate unit root tests of the PPP hypothesis," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 335-353, October. [Downloadable!] (restricted)
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  6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  7. Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November. [Downloadable!] (restricted)
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  8. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
  9. Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June. [Downloadable!] (restricted)
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