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Growth, increasing returns, and public infrastructure : time series evidence
(Escola de Pós-Graduação em Economia da FGV, 1995-03)
Initial endogenous growth models emphasized the importance of external effects and increasing retums in explaining growth. Empirically, this hypothesis can be confumed if the coefficient of physical capital per hour is ...
Consumption-wealth ratio and expected stock returns: evidence from panel data
(2015-03-20)
This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived ...
Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-07)
Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important ...
Tests for the hysteresis hypothesis in Brazilian industrialized exports: A threshold cointegration analysis
(ELSEVIER SCIENCE BV, 2008)
This paper examines the hysteresis hypothesis in the Brazilian industrialized exports using a time series analysis. This hypothesis finds an empirical representation into the nonlinear adjustments of the exported quantity ...
Seasonal adjustment and cointegration
(Editorial Universidad del RosarioUniversidad del Rosario. Facultad de Economía, 2002)
We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application. Our results indicate that the use of filters ...
Essays on bounded time series
(2019-08-28)
Essa tese é composta de dois ensaios sobre séries de tempo integradas ou quase-integradas cujo suporte é limitado de alguma forma. O primeiro capítulo introduz as séries em questão no âmbito multivariado, analisando sob ...
Residual Based Test for Cointegration with GLS Detrented DataTests de Cointegración basados en los Residuos utilizando MCG para eliminar los Componentes Determinísticos
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2015)
Testing the externalities hypothesis of endogenous growth using cointegration
(Escola de Pós-Graduação em Economia da FGV, 1994-04)
The initial endogenous growth models emphasized the importance of externaI effects in explaining sustainable growth across time. Empirically, this hypothesis can be confirmed if the coefficient of physical capital per hour ...