Functional Central Limit Theorems and Unit Root Testing

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This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the asymptotic theory for n...

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Detalles Bibliográficos
Autor: Aquino Chávez, Juan Carlos
Formato: tesis de maestría
Fecha de Publicación:2011
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Tesis
Lenguaje:inglés
OAI Identifier:oai:tesis.pucp.edu.pe:20.500.12404/28158
Enlace del recurso:http://hdl.handle.net/20.500.12404/28158
Nivel de acceso:acceso abierto
Materia:Teorema del límite central
Series (Matemáticas)
https://purl.org/pe-repo/ocde/ford#1.01.02
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dc.title.es_ES.fl_str_mv Functional Central Limit Theorems and Unit Root Testing
title Functional Central Limit Theorems and Unit Root Testing
spellingShingle Functional Central Limit Theorems and Unit Root Testing
Aquino Chávez, Juan Carlos
Teorema del límite central
Series (Matemáticas)
https://purl.org/pe-repo/ocde/ford#1.01.02
title_short Functional Central Limit Theorems and Unit Root Testing
title_full Functional Central Limit Theorems and Unit Root Testing
title_fullStr Functional Central Limit Theorems and Unit Root Testing
title_full_unstemmed Functional Central Limit Theorems and Unit Root Testing
title_sort Functional Central Limit Theorems and Unit Root Testing
author Aquino Chávez, Juan Carlos
author_facet Aquino Chávez, Juan Carlos
author_role author
dc.contributor.advisor.fl_str_mv Rodríguez Briones, Gabriel Hender
dc.contributor.author.fl_str_mv Aquino Chávez, Juan Carlos
dc.subject.es_ES.fl_str_mv Teorema del límite central
Series (Matemáticas)
topic Teorema del límite central
Series (Matemáticas)
https://purl.org/pe-repo/ocde/ford#1.01.02
dc.subject.ocde.es_ES.fl_str_mv https://purl.org/pe-repo/ocde/ford#1.01.02
description This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the asymptotic theory for nonstationary time series proposed by Phillips (1987a), which is applied by Perron (1989) to study the e¤ects of an (assumed) exogenous structural break on the power of the augmented Dickey- Fuller test and by Zivot and Andrews (1992) to criticize the exogeneity assumption and propose a method for estimating an endogenous breakpoint. A systematic method for dealing with e¢ ciency issues is introduced by Perron and Rodríguez (2003), which extends the Generalized Least Squares detrending approach due to Elliott, Rothenberg, and Stock (1996).
publishDate 2011
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dc.date.accessioned.none.fl_str_mv 2024-06-28T16:40:08Z
dc.date.available.none.fl_str_mv 2024-06-28T16:40:08Z
dc.date.issued.fl_str_mv 2024-06-28
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dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/20.500.12404/28158
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dc.language.iso.es_ES.fl_str_mv eng
language eng
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dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú
dc.publisher.country.es_ES.fl_str_mv PE
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spelling Rodríguez Briones, Gabriel HenderAquino Chávez, Juan Carlos2024-06-28T16:40:08Z2024-06-28T16:40:08Z20112024-06-28http://hdl.handle.net/20.500.12404/28158This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the asymptotic theory for nonstationary time series proposed by Phillips (1987a), which is applied by Perron (1989) to study the e¤ects of an (assumed) exogenous structural break on the power of the augmented Dickey- Fuller test and by Zivot and Andrews (1992) to criticize the exogeneity assumption and propose a method for estimating an endogenous breakpoint. A systematic method for dealing with e¢ ciency issues is introduced by Perron and Rodríguez (2003), which extends the Generalized Least Squares detrending approach due to Elliott, Rothenberg, and Stock (1996).Este documento analiza y usa dos versiones del Teorema del Límite Central Funcional y su aplicación al contexto de raices unitarias con un quiebre estructural. La atención inicial se enfoca en la estructura probabilística de las series de tiempo a considerarse. Luego, la atención se situa en la teoría asintótica para series de tiempo no estacionarias propuesta por Phillips (1987a), la cual es aplicada por Perron (1989) para estudiar los efectos de un quiebre estructural (asumido) exógeno sobre la potencia de la prueba Dickey-Fuller aumentada y por Zivot y Andrews (1992) para criticar el supuesto de exogeneidad y proponer un método para estimar el punto de quiebre de manera endógena. Un método sistemático para abordar aspectos de e ciencia es introducido por Perron y Rodríguez (2003), quienes extienden el enfoque de extracción de tendencia porMínimos Cuadrados Generalizados atribuido a Elliott, Rothenberg, y Stock (1996).engPontificia Universidad Católica del PerúPEinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Teorema del límite centralSeries (Matemáticas)https://purl.org/pe-repo/ocde/ford#1.01.02Functional Central Limit Theorems and Unit Root Testinginfo:eu-repo/semantics/masterThesisreponame:PUCP-Tesisinstname:Pontificia Universidad Católica del Perúinstacron:PUCPSUNEDUMaestro en Matemáticas AplicadasMaestríaPontificia Universidad Católica del Perú. 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Functional Central Limit Theorems and Unit Root Testing
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