{"id":130957,"date":"1996-01-01T00:00:00","date_gmt":"1996-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/contrastes-de-raiz-unitaria-y-ruptura-estructural-un-estudio-asintotico\/"},"modified":"1996-01-01T00:00:00","modified_gmt":"1996-01-01T00:00:00","slug":"contrastes-de-raiz-unitaria-y-ruptura-estructural-un-estudio-asintotico","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/contrastes-de-raiz-unitaria-y-ruptura-estructural-un-estudio-asintotico\/","title":{"rendered":"Contrastes de raiz unitaria y ruptura estructural: un estudio asintotico."},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Reyes Garcia Marcelo Adrian <\/strong><\/h2>\n<p>El objetivo de este trabajo es estudiar el comportamiento asintotico de los contrastes dickey-fuller ante series que incluyen una ruptura estructural.La investigacion se desarrollo siguiendo el marco metodologico planteado en el articulo de p. Perron publicado en econometrica en el a\u00f1o 1989 y titulado \u00abthe great crash, the oil shock and de unit root hypothesis\u00bb.  en dicho articulo se analizo el problema causado por una ruptura estructural en el contraste mas utilizado para evaluar la posible existencia de una raiz unitaria, conocido como contraste dickey-fuller. La conclusion obtenida se resume en la frase \u00abal analizar series con ruptura estructural, los contrastes dickey-fuller estan sistematicamente sesgados hacia la hipotesis de raiz unitaria\u00bb. Es esta la idea que ha predominado en la literatura econometrica desde entonces, y nosotros hemos encontrado que dicha apreciacion debe ser seriamente matizada.  basandonos en el esquema metodologico dise\u00f1ado por perron, hemos ampliado la diversidad de situaciones estudiadas. Concretamente, estudiamos la posibilidad de que los procesos generadores de datos sean estacionarios alrededor de una tendencia determinista o bien incluyan una raiz unitaria; en cada supuesto hemos contemplado la existencia de los tres tipos posibles de rupturas planteadas por perron: en el termino independiente, en la pendiente y mixta. Ademas, abordamos el estudio de la version aumentada del contraste dickey-fuller, la cual es la mas utilizada al estudiar series economicas.  de la amplia informacion obtenida, podemos resumir las principales conclusiones diciendo que si, la ruptura en el proceso generador de datos es del tipo camio en el termino independiente, asintoticamente la familia de contrastes dickey-fuller funciona correctamente. Por otra parte, si las segmentaciones son en la pendiente de dicho proceso, o bien mixta, la familia de contrastes dickey-fuller no es valida para efectuar el analisis integ<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Contrastes de raiz unitaria y ruptura estructural: un estudio asintotico.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Contrastes de raiz unitaria y ruptura estructural: un estudio asintotico. <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Reyes Garcia Marcelo Adrian <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Zaragoza<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1996<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Antonio Monta\u00f1es Bernal<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Antonio Aznar Grasa <\/li>\n<li>Jes\u00fas Gonzalo Mu\u00f1oz (vocal)<\/li>\n<li>Arielle Beyaert Stevens (vocal)<\/li>\n<li>Vicente Esteve Garcia (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Reyes Garcia Marcelo Adrian El objetivo de este trabajo es estudiar el comportamiento asintotico de los contrastes [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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