Comparing two multivariate unit root tests

Detalhes bibliográficos
Autor(a) principal: Rocha, Guilherme Norman Leal Veiga da
Data de Publicação: 2003
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/193
Resumo: In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic power of the tests the asymptotic distributions under the null hypothesis and under the set of alternative hypotheses described in Phillips (1988) are determined. In addition, a test which combines characteristics of both tests is proposed and its distributions under the null hypothesis and the same set of alternative hypotheses are determined. This allows us to determine what causes any difference in the asymptotic power of the two tests against the set of alternative hypotheses considered
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spelling Rocha, Guilherme Norman Leal Veiga daEscolas::EPGEFGVFlôres Junior, Renato Galvão2008-05-13T13:16:45Z2008-05-13T13:16:45Z2003-01-242003-01-24ROCHA, Guilherme Norman Leal Veiga da. Comparing two multivariate unit root tests. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2003.https://hdl.handle.net/10438/193In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic power of the tests the asymptotic distributions under the null hypothesis and under the set of alternative hypotheses described in Phillips (1988) are determined. In addition, a test which combines characteristics of both tests is proposed and its distributions under the null hypothesis and the same set of alternative hypotheses are determined. This allows us to determine what causes any difference in the asymptotic power of the two tests against the set of alternative hypotheses consideredengComparing two multivariate unit root testsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisEconomiaEconometriainfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFapplication/pdf236168https://repositorio.fgv.br/bitstreams/a2154a7e-2295-4be5-88b9-3c77a8a7eb17/download43ed6f00244487fc3ef4a8387024c991MD51TEXT1467.pdf.txt1467.pdf.txtExtracted Texttext/plain57307https://repositorio.fgv.br/bitstreams/3c9647a4-b13c-4a94-b16f-9db212301d12/download3b8b2fc6d919ab03ea451f554d04c0cfMD52THUMBNAIL1467.pdf.jpg1467.pdf.jpgGenerated Thumbnailimage/jpeg1410https://repositorio.fgv.br/bitstreams/889ea07a-fb1c-469d-84bb-45c7a89ad9e8/downloadb0d4caaab44289afa3d6ac473ab35a24MD5310438/1932024-05-13 15:36:08.142open.accessoai:repositorio.fgv.br:10438/193https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-05-13T15:36:08Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Comparing two multivariate unit root tests
title Comparing two multivariate unit root tests
spellingShingle Comparing two multivariate unit root tests
Rocha, Guilherme Norman Leal Veiga da
Economia
Econometria
title_short Comparing two multivariate unit root tests
title_full Comparing two multivariate unit root tests
title_fullStr Comparing two multivariate unit root tests
title_full_unstemmed Comparing two multivariate unit root tests
title_sort Comparing two multivariate unit root tests
author Rocha, Guilherme Norman Leal Veiga da
author_facet Rocha, Guilherme Norman Leal Veiga da
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Rocha, Guilherme Norman Leal Veiga da
dc.contributor.advisor1.fl_str_mv Flôres Junior, Renato Galvão
contributor_str_mv Flôres Junior, Renato Galvão
dc.subject.area.por.fl_str_mv Economia
topic Economia
Econometria
dc.subject.bibliodata.por.fl_str_mv Econometria
description In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic power of the tests the asymptotic distributions under the null hypothesis and under the set of alternative hypotheses described in Phillips (1988) are determined. In addition, a test which combines characteristics of both tests is proposed and its distributions under the null hypothesis and the same set of alternative hypotheses are determined. This allows us to determine what causes any difference in the asymptotic power of the two tests against the set of alternative hypotheses considered
publishDate 2003
dc.date.submitted.none.fl_str_mv 2003-01-24
dc.date.issued.fl_str_mv 2003-01-24
dc.date.accessioned.fl_str_mv 2008-05-13T13:16:45Z
dc.date.available.fl_str_mv 2008-05-13T13:16:45Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv ROCHA, Guilherme Norman Leal Veiga da. Comparing two multivariate unit root tests. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2003.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/193
identifier_str_mv ROCHA, Guilherme Norman Leal Veiga da. Comparing two multivariate unit root tests. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2003.
url https://hdl.handle.net/10438/193
dc.language.iso.fl_str_mv eng
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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