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Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación

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  • PRESNO CASQUERO, Mª J.

    () (Departamento de Economía Aplicada.Universidad de Oviedo.)

  • LÓPEZ MENÉNDEZ, A.J.

    () (Departamento de Economía Aplicada.Universidad de Oviedo.)

Abstract

La presencia de cambios estructurales en las series económicas puede conducir a conclusiones equivocadas en cuanto a su estacionariedad, hecho que aconseja el desarrollo de contrastes ampliados para contemplar la presencia de rupturas. En el caso de los tests de raíces unitarias (tipo ADF) este objetivo fue abordado por Perron (1989, 1990), mientras que para los contrastes de estacionariedad (tipo KPSS) una propuesta de modificación aparece en Presno y López (1998). En este trabajo abordamos el análisis comparativo de ambas metodologías utilizando procedimientos de Monte Carlo para el estudio de diferentes series generadas según distintos procesos ARIMA que presentan cambios en nivel. The effects of structural breaks on economic series have been widely studied, in order to avoid wrong conclusions related to the stationarity analysis. Thus Perron (1989, 1990) analysed the behaviour of the Dickey-Fuller test (ADF) in the presence of structural breaks, proposing a modified version of this test. For the case of the stationarity test (KPSS), a modified stationarity test has also been developed by Presno and López (1998) being the null hypothesis the presence of stationary fluctuations around a trend containing a structural break.In this work both kind of tests are considered in order to make a comparative study. Using Monte Carlo simulation a number of series are generated following ARIMA processes including a structural break.

Suggested Citation

  • Presno Casquero, Mª J. & López Menéndez, A.J., 2001. "Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 18, pages 189-208, Agosto.
  • Handle: RePEc:lrk:eeaart:18_2_3
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    References listed on IDEAS

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    More about this item

    Keywords

    ADF; KPSS; breaks; Monte Carlo simulation; critical values.;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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