dc.contributor | Valderio Anselmo Reisen | |
dc.contributor | Glaura da Conceicao Franco | |
dc.contributor | Glaura da Conceicao Franco | |
dc.contributor | Flávio Augusto Ziegelmann | |
dc.contributor | Bruno de Paula Rocha | |
dc.contributor | György Terdik | |
dc.contributor | Márton Ispány | |
dc.creator | Igor Viveiros Melo Souza | |
dc.date.accessioned | 2019-08-13T05:13:51Z | |
dc.date.accessioned | 2022-10-03T23:21:37Z | |
dc.date.available | 2019-08-13T05:13:51Z | |
dc.date.available | 2022-10-03T23:21:37Z | |
dc.date.created | 2019-08-13T05:13:51Z | |
dc.date.issued | 2014-10-24 | |
dc.identifier | http://hdl.handle.net/1843/BUOS-9U8HG9 | |
dc.identifier.uri | http://repositorioslatinoamericanos.uchile.cl/handle/2250/3821271 | |
dc.description.abstract | This thesis proposes to study the fractional cointegration in the frequency domain. Here is investigated the restrictions that the absence or the presence of cointegration imposes on the determinant of the spectral density matrix of a vector of bivariate series, integrated of order 1, when evaluated at the rst dierence. The errors of the cointegration relationship are allowed to be fractionally integrated. In this study it is shown that the determinant of the spectral density matrix is a power function of the parameter that measures reduction of the order of integration of the error series (denoted here by b) for a set of Fourier frequencies close to the origin. From this, two proposals for the estimation of the cointegrating parameter b are suggested. Tests under the null hypothesis of noncointegration are derived from these estimators and their asymptotic properties are discussed. A nite sample investigation was conducted in order to evaluate the empirical performance of the estimators and tests by calculating the bias, the mean square error, the signicance levels and the power. The results suggest that tests have empirical signicance levels close to nominal levels. Furthermore, the power of the tests shows a similar performance compared with the performance of other classical tests in cointegration literature. | |
dc.publisher | Universidade Federal de Minas Gerais | |
dc.publisher | UFMG | |
dc.rights | Acesso Aberto | |
dc.subject | Estimador semiparamétrico | |
dc.subject | Determinante da matriz de densidade espectral | |
dc.subject | Cointegração fracionária | |
dc.subject | Domínio da frequência | |
dc.title | Tests for Non-Cointegration based on the Frequency Domain | |
dc.type | Tese de Doutorado | |