Comparação de testes de raiz unitária e cointegração em modelos de longa dependência
In this work two tests based on the bootstrap technique are considered to test the presence of unit root and relations of cointegration in long memory processes. The proposed tests use the GPH estimator considered by Geweke and Porter-Hudak (1983) for estimating the memory parameter d of ARFIMA(p,d,...
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| Format: | Dissertação |
| Sprache: | Portugiesisch |
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Universidade Federal de Minas Gerais
2025
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| Online-Zugang: | https://hdl.handle.net/20.500.14135/1627 |