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Deteccióon de Raíces Unitarias y Cointegración mediante Métodos de Subespacios

Author

Listed:
  • Alfredo García Hiernaux

    (Universidad Complutense de Madrid, Departamento de Fundamentos del Análisis Económico II.)

  • Miguel Jerez

    (Universidad Complutense de Madrid, Departamento de Economía Cuantitativa)

  • José Casals

    (Universidad Complutense de Madrid, Dpto. de Economía Cuantica)

Abstract

En este trabajo se propone un nuevo procedimiento para detectar ra´ıces unitarias basado en m´etodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales o a vectores de series temporales. Segundo, utiliza una familia flexible de criterios de información, cuyas funciones de p´erdida pueden adaptarse a las propiedades estadísticas de los datos. Finalmente, no requiere especificar un proceso estocástico para las series analizadas. Un ejercicio de simulación muestra que el m´etodo tiene buenas propiedades en muestras finitas y su aplicaci´on práctica se ilustra mediante el análisis de varias series reales.

Suggested Citation

  • Alfredo García Hiernaux & Miguel Jerez & José Casals, 2005. "Deteccióon de Raíces Unitarias y Cointegración mediante Métodos de Subespacios," Documentos de Trabajo del ICAE 0503, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:0503
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    References listed on IDEAS

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