dc.contributorValderio Anselmo Reisen
dc.contributorGlaura da Conceicao Franco
dc.contributorGlaura da Conceicao Franco
dc.contributorFlávio Augusto Ziegelmann
dc.contributorBruno de Paula Rocha
dc.contributorGyörgy Terdik
dc.contributorMárton Ispány
dc.creatorIgor Viveiros Melo Souza
dc.date.accessioned2019-08-13T05:13:51Z
dc.date.accessioned2022-10-03T23:21:37Z
dc.date.available2019-08-13T05:13:51Z
dc.date.available2022-10-03T23:21:37Z
dc.date.created2019-08-13T05:13:51Z
dc.date.issued2014-10-24
dc.identifierhttp://hdl.handle.net/1843/BUOS-9U8HG9
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/3821271
dc.description.abstractThis 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.publisherUniversidade Federal de Minas Gerais
dc.publisherUFMG
dc.rightsAcesso Aberto
dc.subjectEstimador semiparamétrico
dc.subjectDeterminante da matriz de densidade espectral
dc.subjectCointegração fracionária
dc.subjectDomínio da frequência
dc.titleTests for Non-Cointegration based on the Frequency Domain
dc.typeTese de Doutorado


Este ítem pertenece a la siguiente institución