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Los contrastes de raiz unitaria: una panorámica

Author

Listed:
  • María del Mar Sánchez de la Vega

    (Departamento de Métodos Cuantitativos para la Economía. Universidad de Murcia. Ronda de Levante, 10. 30008 Murcia.)

  • Arielle Beyaert

    (Departamento de Métodos Cuantitativos para la Economía. Universidad de Murcia. Ronda de Levante, 10. 30008 Murcia.)

Abstract

El objetivo de este artículo es presentar una panorámica de los contrastes de raíz unitaria propuestos en la literatura, que pretende servir de guía práctica para el investigador que necesite hacer uso de este tipo de técnicas. El estudio se ciñe a los contrastes aplicables a series no estacionales cuya media es homogénea en todo el recorrido muestral, en el sentido de que esa media toma el mismo valor constante, o sigue la misma función polinímica del tiempo a lo largo de toda la muestra. El análisis de los contrastes de raíz unitaria con cambio estructural, que conviene utilizar cuando la serie cambia de media, se realizará en un trabajo posterior. The aim of this paper is to present a survey of the unit root tests appeared in the literature. It intends to serve as a guide for the research who needs to apply this type of techniques. It is centered on tests to be applied on non-seasonal series without structural change. The teatment of seasonal series and/or series series with a mean that changes at discrete points of time is left for another paper.

Suggested Citation

  • María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 1, pages 109-154, Junio.
  • Handle: RePEc:lrk:eeaart:1_2_6
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Tests; Unit Roots; Integrated Series;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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