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Se busca una raíz unitaria: evidencia para Chile

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Author Info
Rómulo Chumacero Escudero ()

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Abstract

Este documento presenta evidencia contundente en contra de la hipótesis nula de que series tales como el IMACEC, el consumo o el PIB chilenos presentan una raíz unitaria. Esta evidencia se apoya en resultados derivados en Chumacero (2000) que muestran que en caso que alguna de estas variables de escala sea estacionaria en diferencia, los retornos de activos disponibles para los agentes deben presentar un comportamiento que se encuentra reñido con el observado en Chile. Por ello, debe tenerse gran cautela en no utilizar modelos econométricos en los que se impongan raíces unitarias sobre la base de tests tradicionales.

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File URL: http://econ.uchile.cl/public/Archivos/pub/457e2bc6-7597-42d6-852d-b620fde8e0cf.pdf
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Publisher Info
Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

Volume (Year): 27 (2000)
Issue (Month): 1 Year 2000 (June)
Pages: 55-68
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Handle: RePEc:udc:esteco:v:27:y:2000:i:1:p:55-68

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Web page: http://www.econ.uchile.cl/
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Related research
Keywords: Unit Root; Asset Pricing.;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
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  2. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November. [Downloadable!] (restricted)
  3. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January. [Downloadable!] (restricted)
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  4. Rómulo Chumacero & Jorge Quiroz, 1996. "La Tasa Natural de Crecimiento de la Economía Chilena: 1985-1996," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(100), pages 453-472. [Downloadable!]
  5. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
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  6. Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile. [Downloadable!]
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  7. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
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  8. Philip Rothman, . "More Uncertainty About the Unit Root in U.S. Real GNP," Working Papers 9616, East Carolina University, Department of Economics.
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  9. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pablo S. García & Luis Oscar Herrera & Rodrigo Valdés, 2001. "New Frontiers for Monetary Policy in Chile," Working Papers Central Bank of Chile 125, Central Bank of Chile. [Downloadable!]
  2. Gilberto A. Libanio, 2004. "Unit roots in macroeconomic time series: theory, implications, and evidence," Textos para Discussão Cedeplar-UFMG td228, Cedeplar, Universidade Federal de Minas Gerais. [Downloadable!]
    Other versions:
  3. Rómulo A. Chumacero & J. Rodrigo Fuentes, 2002. "On the determinants of the Chilean Economic Growth," Working Papers Central Bank of Chile 134, Central Bank of Chile. [Downloadable!]
  4. Rómulo Chumacero, 2003. "A Toolkit for Analyzing Alternative Policies in The Chilean Economy," Working Papers Central Bank of Chile 241, Central Bank of Chile. [Downloadable!]
  5. Carlos Castellar & Jose Ignacio Uribe, 2004. "Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis?," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Un, vol. 2(1), pages 121-155, November. [Downloadable!]
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