STAR unit root test e os preços da cana-de-açúcar no Brasil: evidências empíricas não lineares
AbstractThe empirical models of analysis of non stationarity vis-à-vis the stationarity have been well explored in studies on time series. However, the same literature considers those issues in linear models, without considering the possibility of non linearity in time series behavior. Thus, this study analyzed the behavior of time series of sugar cane prices using the non linear unit root test KSS (Smooth Transition Autoregressive – STAR) by KAPETANIOS, SHIN e SNELL (2003).
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Bibliographic InfoPaper provided by Curso de Ciencias Economicas da Universidade Federal de Goias - FACE in its series Working papers - Textos para Discussao do Curso de Ciencias Economicas da UFG with number 001.
Length: 13 pages
Date of creation: Apr 2009
Date of revision:
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Postal: Universidade Federal de Goias UFG - Campus Samambaia (Campus II) Rodovia Goiania/Nova Veneza, Km 0 Caixa Postal 131, CEP 74001-970, Goiania, Brasil
Web page: http://www.face.ufg.br/eco/
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non linear unit root test; time series; prices;
Find related papers by JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-03 (All new papers)
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