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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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File URL: http://eprints.ucm.es/7874/1/0503.pdf
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Bibliographic Info

Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico 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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