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http://www.repositorio.ufop.br/jspui/handle/123456789/14624
Title: | Monte Carlo test for stochastic trend in linear structural models for the location-scale family. |
Authors: | Silva, Ivair Ramos Ernesto, Dulcidia Carlos Guezimane Oliveira, Fernando Luiz Pereira de Marques, Reinaldo Antônio Gomes Oliveira, Anderson Castro Soares de |
Keywords: | Time series |
Issue Date: | 2021 |
Citation: | SILVA, I. R. et al. Monte Carlo test for stochastic trend in linear structural models for the location-scale family. Brazilian review of econometrics, v. 40, n. 2, p. 215-231, nov. 2021. Disponível em: <https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/81082>. Acesso em: 25 ago. 2021. |
Abstract: | In linear structural models for time series, a key point is the decision between modeling the trend of non-stationary processes through a deterministic or a stochastic term. The present paper introduces a Monte Carlo hypothesis test procedure to guide in such a decision. The method works for any time series distribution belonging to the location-scale family, where the analytical shape of the distribution must be defined by the user prior to apply the method. The proposed method provides an alpha-level test for any time series of length greater than 3 and it does not demand assumptions on the distribution of the trend term when it is actually stochastic. |
URI: | http://www.repositorio.ufop.br/jspui/handle/123456789/14624 |
metadata.dc.identifier.uri2: | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/81082 |
metadata.dc.identifier.doi: | https://doi.org/10.12660/bre.v40n22020.81082 |
ISSN: | 2526-3722 |
Appears in Collections: | DEEST - Artigos publicados em periódicos |
Files in This Item:
File | Description | Size | Format | |
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ARTIGO_MonteCarloTest.pdf Restricted Access | 466,06 kB | Adobe PDF | View/Open |
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