Essays on bounded time series

Detalhes bibliográficos
Ano de defesa: 2019
Autor(a) principal: Moraes, André Guerra Esteves de
Orientador(a): Fernandes, Marcelo
Banca de defesa: Não Informado pela instituição
Tipo de documento: Tese
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Séries limitadas
Teste de raiz unitária
Testes de coitegração
Palavras-chave em Inglês:
Bounded time series
Unit root test
Cointegration test
Link de acesso: http://hdl.handle.net/10438/28180
Resumo: 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 hipóteses mais simples a distribuição assintótica de testes de raiz unitária para o caso onde a matriz de coeficientes de regressão é irrestrito. No Segundo capítulo, os resultados vistos no primeiro capítulo são utilizados para se derivar a distribuição assintótica dos testes de cointegração tanto baseados nos resíduos como no ranking do modelo de correção de erros.
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spelling Moraes, André Guerra Esteves deEscolas::EESPPereira, Pedro L. VallsMasini, Ricardo PereiraMedeiros, Marcelo C.Mendes, Eduardo FonsecaFernandes, Marcelo2019-09-30T14:38:17Z2019-09-30T14:38:17Z2019-08-28http://hdl.handle.net/10438/28180Essa 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 hipóteses mais simples a distribuição assintótica de testes de raiz unitária para o caso onde a matriz de coeficientes de regressão é irrestrito. No Segundo capítulo, os resultados vistos no primeiro capítulo são utilizados para se derivar a distribuição assintótica dos testes de cointegração tanto baseados nos resíduos como no ranking do modelo de correção de erros.This thesis consists of two essays about integrated and near-integrated time series whose range is constrained. The first chapter introduces such series in the multivariate framework. The asymptotic distribution for unit root tests are derived under simple assumptions when the matrix of coefficients in the regression is non restricted. In the second chapter, the results seen in the first chapter are used to derive the asymptotic distribution of cointegration tests based on the residuals and for the rank in the error correction model.engBounded time seriesUnit root testCointegration testSéries limitadasTeste de raiz unitáriaTestes de coitegraçãoEconomiaEconometriaAnálise de séries temporaisCointegraçãoEssays on bounded time seriesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALTese_final_Andre_Moraes_2019.pdfTese_final_Andre_Moraes_2019.pdfPDFapplication/pdf1322932https://repositorio.fgv.br/bitstreams/cc39fdd9-78e9-4384-89d3-c9569c9818b1/download54cbbd25f25f7837f75a08f85426837eMD53LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Essays on bounded time series
title Essays on bounded time series
spellingShingle Essays on bounded time series
Moraes, André Guerra Esteves de
Bounded time series
Unit root test
Cointegration test
Séries limitadas
Teste de raiz unitária
Testes de coitegração
Economia
Econometria
Análise de séries temporais
Cointegração
title_short Essays on bounded time series
title_full Essays on bounded time series
title_fullStr Essays on bounded time series
title_full_unstemmed Essays on bounded time series
title_sort Essays on bounded time series
author Moraes, André Guerra Esteves de
author_facet Moraes, André Guerra Esteves de
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Pereira, Pedro L. Valls
Masini, Ricardo Pereira
Medeiros, Marcelo C.
Mendes, Eduardo Fonseca
dc.contributor.author.fl_str_mv Moraes, André Guerra Esteves de
dc.contributor.advisor1.fl_str_mv Fernandes, Marcelo
contributor_str_mv Fernandes, Marcelo
dc.subject.eng.fl_str_mv Bounded time series
Unit root test
Cointegration test
topic Bounded time series
Unit root test
Cointegration test
Séries limitadas
Teste de raiz unitária
Testes de coitegração
Economia
Econometria
Análise de séries temporais
Cointegração
dc.subject.por.fl_str_mv Séries limitadas
Teste de raiz unitária
Testes de coitegração
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Econometria
Análise de séries temporais
Cointegração
description 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 hipóteses mais simples a distribuição assintótica de testes de raiz unitária para o caso onde a matriz de coeficientes de regressão é irrestrito. No Segundo capítulo, os resultados vistos no primeiro capítulo são utilizados para se derivar a distribuição assintótica dos testes de cointegração tanto baseados nos resíduos como no ranking do modelo de correção de erros.
publishDate 2019
dc.date.accessioned.fl_str_mv 2019-09-30T14:38:17Z
dc.date.available.fl_str_mv 2019-09-30T14:38:17Z
dc.date.issued.fl_str_mv 2019-08-28
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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