Performance of unit root tests with change in level cross-section dependence

Detalhes bibliográficos
Autor(a) principal: Jose Iranildo da Silva Araujo
Data de Publicação: 2013
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações da UFC
Texto Completo: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9872
Resumo: Unit root tests have been widely used to validate or reject economic modelâs hypotheses. Because of this, many authors have created different versions of this kind of test in order to generate statistics which are more precise in identifying the presence of a unit root. Some authors have increased the power of these statistics using panel data. However, the use of panel data brings the possibility of dependence between cross-sections, this has been initially handled by the independence between cross-sections hypothesis. Only the second generation tests consider dependence between cross-sections. Nevertheless, in the literature there is no test which allows changes in the dependence between cross-sections over time. Thus, this paper uses Monte Carlo experiments to analyze the small sample properties of some statistics used to identify the presence of a unit root. It is noticed that the size of these statistics has a large distortion when the level of dependence between cross-sections changes.
id UFC_4ceb1f905232b3e36887493b24c4afff
oai_identifier_str oai:www.teses.ufc.br:6761
network_acronym_str UFC
network_name_str Biblioteca Digital de Teses e Dissertações da UFC
spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisPerformance of unit root tests with change in level cross-section dependenceDesempenho dos testes de raiz unitÃria com mudanÃa no nÃvel de dependÃncia cross-section2013-02-26FabrÃcio Carneiro Linhares45504849349http://lattes.cnpq.br/8577355400988841Roberto Tatiwa Ferreira41059689200http://lattes.cnpq.br/9723758439733361Luiz Ivan de Melo Castelar04506766334http://lattes.cnpq.br/871049035699965701309602336http://lattes.cnpq.br/9296974196214566Jose Iranildo da Silva AraujoUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRRaiz UnitÃria DependÃncia Cross-Sectional Monte CarloUnit Root Cross-Sectional Dependence Monte CarloCIENCIAS SOCIAIS APLICADASUnit root tests have been widely used to validate or reject economic modelâs hypotheses. Because of this, many authors have created different versions of this kind of test in order to generate statistics which are more precise in identifying the presence of a unit root. Some authors have increased the power of these statistics using panel data. However, the use of panel data brings the possibility of dependence between cross-sections, this has been initially handled by the independence between cross-sections hypothesis. Only the second generation tests consider dependence between cross-sections. Nevertheless, in the literature there is no test which allows changes in the dependence between cross-sections over time. Thus, this paper uses Monte Carlo experiments to analyze the small sample properties of some statistics used to identify the presence of a unit root. It is noticed that the size of these statistics has a large distortion when the level of dependence between cross-sections changes.Teste de raiz unitÃria tem sido muito importante no sentido de validar ou rejeitar as hipÃteses dos modelos econÃmicos. Devido essa importÃncia, diversos autores tÃm criado diferentes versÃes desse teste, a fim de gerar estatÃsticas que sejam mais precisas em identificar a presenÃa de raiz unitÃria. Usando dados em painel, alguns autores conseguiram aumentar o poder dessas estatÃsticas. No entanto, o uso de dados em painel trÃs a possibilidade de dependÃncia cross-section nos dados, fato esse inicialmente tratado pela hipÃtese de independÃncia cross-section. Somente nos testes chamados de segunda geraÃÃo à que se trata dependÃncia cross-section. Entretanto, nÃo hà na literatura nenhum teste que permita mudanÃas nesse nÃvel de dependÃncia ao longo do tempo. Com isso, esse trabalho pretende avaliar, por meio de um experimento de Monte Carlo, as propriedades de pequenas amostras de algumas estatÃsticas usadas para identificar a presenÃa de raiz unitÃria. Percebe-se que o tamanho dessas estatÃsticas sofre uma grande distorÃÃo para as situaÃÃes de mudanÃa no nÃvel de dependÃncia cross-section.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9872application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:22:51Zmail@mail.com -
dc.title.en.fl_str_mv Performance of unit root tests with change in level cross-section dependence
dc.title.alternative.pt.fl_str_mv Desempenho dos testes de raiz unitÃria com mudanÃa no nÃvel de dependÃncia cross-section
title Performance of unit root tests with change in level cross-section dependence
spellingShingle Performance of unit root tests with change in level cross-section dependence
Jose Iranildo da Silva Araujo
Raiz UnitÃria
DependÃncia Cross-Sectional
Monte Carlo
Unit Root
Cross-Sectional Dependence
Monte Carlo
CIENCIAS SOCIAIS APLICADAS
title_short Performance of unit root tests with change in level cross-section dependence
title_full Performance of unit root tests with change in level cross-section dependence
title_fullStr Performance of unit root tests with change in level cross-section dependence
title_full_unstemmed Performance of unit root tests with change in level cross-section dependence
title_sort Performance of unit root tests with change in level cross-section dependence
author Jose Iranildo da Silva Araujo
author_facet Jose Iranildo da Silva Araujo
author_role author
dc.contributor.advisor1.fl_str_mv FabrÃcio Carneiro Linhares
dc.contributor.advisor1ID.fl_str_mv 45504849349
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/8577355400988841
dc.contributor.referee1.fl_str_mv Roberto Tatiwa Ferreira
dc.contributor.referee1ID.fl_str_mv 41059689200
dc.contributor.referee1Lattes.fl_str_mv http://lattes.cnpq.br/9723758439733361
dc.contributor.referee2.fl_str_mv Luiz Ivan de Melo Castelar
dc.contributor.referee2ID.fl_str_mv 04506766334
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/8710490356999657
dc.contributor.authorID.fl_str_mv 01309602336
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/9296974196214566
dc.contributor.author.fl_str_mv Jose Iranildo da Silva Araujo
contributor_str_mv FabrÃcio Carneiro Linhares
Roberto Tatiwa Ferreira
Luiz Ivan de Melo Castelar
dc.subject.por.fl_str_mv Raiz UnitÃria
DependÃncia Cross-Sectional
Monte Carlo
topic Raiz UnitÃria
DependÃncia Cross-Sectional
Monte Carlo
Unit Root
Cross-Sectional Dependence
Monte Carlo
CIENCIAS SOCIAIS APLICADAS
dc.subject.eng.fl_str_mv Unit Root
Cross-Sectional Dependence
Monte Carlo
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS
dc.description.sponsorship.fl_txt_mv nÃo hÃ
dc.description.abstract.por.fl_txt_mv Unit root tests have been widely used to validate or reject economic modelâs hypotheses. Because of this, many authors have created different versions of this kind of test in order to generate statistics which are more precise in identifying the presence of a unit root. Some authors have increased the power of these statistics using panel data. However, the use of panel data brings the possibility of dependence between cross-sections, this has been initially handled by the independence between cross-sections hypothesis. Only the second generation tests consider dependence between cross-sections. Nevertheless, in the literature there is no test which allows changes in the dependence between cross-sections over time. Thus, this paper uses Monte Carlo experiments to analyze the small sample properties of some statistics used to identify the presence of a unit root. It is noticed that the size of these statistics has a large distortion when the level of dependence between cross-sections changes.
Teste de raiz unitÃria tem sido muito importante no sentido de validar ou rejeitar as hipÃteses dos modelos econÃmicos. Devido essa importÃncia, diversos autores tÃm criado diferentes versÃes desse teste, a fim de gerar estatÃsticas que sejam mais precisas em identificar a presenÃa de raiz unitÃria. Usando dados em painel, alguns autores conseguiram aumentar o poder dessas estatÃsticas. No entanto, o uso de dados em painel trÃs a possibilidade de dependÃncia cross-section nos dados, fato esse inicialmente tratado pela hipÃtese de independÃncia cross-section. Somente nos testes chamados de segunda geraÃÃo à que se trata dependÃncia cross-section. Entretanto, nÃo hà na literatura nenhum teste que permita mudanÃas nesse nÃvel de dependÃncia ao longo do tempo. Com isso, esse trabalho pretende avaliar, por meio de um experimento de Monte Carlo, as propriedades de pequenas amostras de algumas estatÃsticas usadas para identificar a presenÃa de raiz unitÃria. Percebe-se que o tamanho dessas estatÃsticas sofre uma grande distorÃÃo para as situaÃÃes de mudanÃa no nÃvel de dependÃncia cross-section.
description Unit root tests have been widely used to validate or reject economic modelâs hypotheses. Because of this, many authors have created different versions of this kind of test in order to generate statistics which are more precise in identifying the presence of a unit root. Some authors have increased the power of these statistics using panel data. However, the use of panel data brings the possibility of dependence between cross-sections, this has been initially handled by the independence between cross-sections hypothesis. Only the second generation tests consider dependence between cross-sections. Nevertheless, in the literature there is no test which allows changes in the dependence between cross-sections over time. Thus, this paper uses Monte Carlo experiments to analyze the small sample properties of some statistics used to identify the presence of a unit root. It is noticed that the size of these statistics has a large distortion when the level of dependence between cross-sections changes.
publishDate 2013
dc.date.issued.fl_str_mv 2013-02-26
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
status_str publishedVersion
format masterThesis
dc.identifier.uri.fl_str_mv http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9872
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9872
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.publisher.program.fl_str_mv Programa de PÃs-GraduaÃÃo em Economia - CAEN
dc.publisher.initials.fl_str_mv UFC
dc.publisher.country.fl_str_mv BR
publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UFC
instname:Universidade Federal do Ceará
instacron:UFC
reponame_str Biblioteca Digital de Teses e Dissertações da UFC
collection Biblioteca Digital de Teses e Dissertações da UFC
instname_str Universidade Federal do Ceará
instacron_str UFC
institution UFC
repository.name.fl_str_mv -
repository.mail.fl_str_mv mail@mail.com
_version_ 1643295173113806848

Registros relacionados