Teste e raiz unitária na presença de aditive outlier

Authors

  • Cleyzer Adrian da Cunha

DOI:

https://doi.org/10.20397/2177-6652/2005.v5i1.148

Abstract

O objetivo deste trabalho foi avaliar empiricamente os efeitos da presença de

 

outliers, em séries temporais brasileiras no período de janeiro de 1990 a dezembro de 2000. Nesta avaliação, foram utilizados testes de raiz unitárias com quebra estrutural, desenvolvido por VOGELSANG (1999) e PERRON & RODRIGUEZ (2001). Os resultados obtidos evidenciam que as quebras estruturais levam a mudanças na ordem de integração das series estudadas economia brasileira. Assim os testes de raiz unitária tradicionais levam a imprecisões quanto a ordem de integração no período estudado.

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Published

2010-09-21

How to Cite

Cunha, C. A. da. (2010). Teste e raiz unitária na presença de aditive outlier. Journal of Management & Technology, 5(1). https://doi.org/10.20397/2177-6652/2005.v5i1.148

Issue

Vol. 5 No. 1 (2005): janeiro/junho

Section

ARTIGO

License

Copyright (c) 2005 Revista Gestão & Tecnologia

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