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Una nota sobre la importancia del criterio de selecci�n de retardos en la potencia del test de ra�z unitaria de Elliott y M�ller

Author

Listed:
  • Hugo Ferrer-P�rez

    (Fundaci�n Centro de Investigaci�n en Econom�a y Desarrollo Agroalimentario (CREDA-UPC-IRTA))

  • Mar�a Isabel Ayuda

    (University of Zaragoza)

  • Antonio Aznar

    (University of Zaragoza)

Abstract

En este trabajo analizamos las propiedades en muestras peque�as del contraste de ra�z unitaria, propuesto por Elliott y M�ller (2006). El objetivo del trabajo es demostrar que el tama�o emp�rico y la potencia dependen del m�todo utilizado para seleccionar el n�mero de retardos de la regresi�n de Dickey-Fuller, utilizada para calcular la varianza a largo plazo. El art�culo concluye recomendando una nueva estrategia para determinar el n�mero de retardos

Suggested Citation

  • Hugo Ferrer-P�rez & Mar�a Isabel Ayuda & Antonio Aznar, 2017. "Una nota sobre la importancia del criterio de selecci�n de retardos en la potencia del test de ra�z unitaria de Elliott y M�ller," Documentos de Trabajo dt2017-07, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2017-07
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    More about this item

    Keywords

    ra�z unitaria; observaci�n inicial; selecci�n de retardos; robustez;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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