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Deteccióon de Raíces Unitarias y Cointegración mediante Métodos de Subespacios

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Author Info

  • Alfredo García Hiernaux

    ()
    (Universidad Complutense de Madrid, Departamento de Fundamentos del Análisis Económico II.)

  • Miguel Jerez

    (Universidad Complutense de Madrid, Departamento de Economía Cuantitativa)

  • José Casals

    (Universidad Complutense de Madrid, Dpto. de Economía Cuantica)

Abstract

En este trabajo se propone un nuevo procedimiento para detectar ra´ıces unitarias basado en m´etodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales o a vectores de series temporales. Segundo, utiliza una familia flexible de criterios de información, cuyas funciones de p´erdida pueden adaptarse a las propiedades estadísticas de los datos. Finalmente, no requiere especificar un proceso estocástico para las series analizadas. Un ejercicio de simulación muestra que el m´etodo tiene buenas propiedades en muestras finitas y su aplicaci´on práctica se ilustra mediante el análisis de varias series reales.

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Bibliographic Info

Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico in its series Documentos de Trabajo del ICAE with number 0503.

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Length: 27 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:ucm:doicae:0503

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Related research

Keywords: Espacio de los Estados; Métodos de subespacios; Raíces unitarias; Cointegración.;

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References

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  1. Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November.
  2. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  3. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
  4. Carl Eckart & Gale Young, 1936. "The approximation of one matrix by another of lower rank," Psychometrika, Springer, vol. 1(3), pages 211-218, September.
  5. Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995. "Multivariate unit root tests," Working Papers CEB 95-001.RS, ULB -- Universite Libre de Bruxelles.
  6. 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.
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  8. 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.
  9. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
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