Search Results - "cointegration"

Comparação de testes de raiz unitária e cointegração em modelos de longa dependência by Alves, Fabiana Assis

“…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,q) models. …”
Get full text

Modelagem do processo de análise fundamentalista de uma empresa com utilização de vetores autoregressivos by Araújo Júnior, José Bonifácio

“…The final version of the estimated model is a Vector Error Correction Model (VECM), where cointegration relationships among the endogenous variables are taken into account. …”
Get full text