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Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico
[Different Techniques of Modelling Trend and its applications to Puerto Rico Sectoral Employment Series]

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  • Toledo, Wilfredo
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    Abstract

    Abstracts: This paper considers the principal approaches used for modelling trends in economic time series. Deterministic, stochastic, and segmented trends models with dates of break determined endogenously are considered. Also, a review of Quandt/Andrews/Bain method to identify structural changes and construct confidence intervals for the break dates is presented. These techniques are applied to Puerto Rico sectoral employment series.

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    File URL: http://mpra.ub.uni-muenchen.de/26871/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 26871.

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    Date of creation: Nov 2010
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    Handle: RePEc:pra:mprapa:26871

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    Keywords: Palabras Clave: Modelos de tendencia; filtro Hodrick-Prescott; descomposición Beveridge-Nelson; cambios estructurales con fechas endógenas; intervalos de confianza para fechas de cambios estructurales. Key Words: Modelling trends; structural break and confidence intervals; Hodrick-Prescott Filter; Beveridge-Nelson Decomposition.;

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    1. Jushan Bai, 1995. "Estimating Multiple Breaks One at a Time," Working papers 95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    3. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
    4. David G. Fernandez, 1997. "Breaking Trends And The Money-Output Correlation," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 674-679, November.
    5. Tai-leung Chong, Terence, 1995. "Partial parameter consistency in a misspecified structural change model," Economics Letters, Elsevier, vol. 49(4), pages 351-357, October.
    6. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
    7. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-50, July.
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