{"id":28641,"date":"2004-12-02T00:00:00","date_gmt":"2004-12-02T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/contrastes-basados-en-recorridos-para-raices-unitarias-y-cointegracion\/"},"modified":"2004-12-02T00:00:00","modified_gmt":"2004-12-02T00:00:00","slug":"contrastes-basados-en-recorridos-para-raices-unitarias-y-cointegracion","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/carlos-iii-de-madrid\/contrastes-basados-en-recorridos-para-raices-unitarias-y-cointegracion\/","title":{"rendered":"Contrastes basados en recorridos para raices unitarias y cointegracion"},"content":{"rendered":"<h2>Tesis doctoral de <strong>  Garcia Sipols Ana Elizabeth <\/strong><\/h2>\n<p>En esta tesis se proponen nuevos contrastes de ra\u00edces unitarias y de cointegraci\u00f3n basados en recorridos, los resultados muestran que los contrastes propuestos son robustos ante situaciones comunes en series reales. La tesis se divide en tres partes fundamentales.  en la primera parte (cap\u00edtulos 1 y 2 de la tesis), adem\u00e1s de una revisi\u00f3n notable de la literatura de series temporales con ra\u00edces unitarias y los contrastes asociados, nos sit\u00faa en el problema que se abordar\u00e1 dejando claros cu\u00e1les son los principales inconvenientes con los que se tropiezan los contrastes de ra\u00edces unitarias: transformaciones no lineales de las series, cambios estructurales y observaciones at\u00edpicas. Para entonces, desarrollar varios contrastes no param\u00e9trico de ra\u00edces unitarias robustos frente a las situaciones mencionadas. Antes de pasar a comentar los contrastes propuestos quiero se\u00f1alar la dificultad y variedad de los desarrollos y manejos te\u00f3ricos de esta primera parte de la tesis que incluyen teor\u00eda de la renovaci\u00f3n y procesos recurrentes, adem\u00e1s de los resultados de consistencia en procesos i(1). Un primer contraste, j0(n), se basa en los recorridos de la serie temporal, sucintamente j0(n) se puede interpretar como el n\u00famero de saltos en una serie de tama\u00f1o n, entendidos \u00e9stos como la llegada de nuevos m\u00e1ximos o m\u00ednimos, y convenientemente normalizado. Se estudian las propiedades asint\u00f3ticas del contraste propuesto y mediante estudios de simulaci\u00f3n se estudia el tama\u00f1o, la potencia del contraste, su robustez frente a cambios estructurales, a transformaciones no lineales de la serie y a observaciones at\u00edpicas del tipo aditivo. En este \u00faltimo caso, muestran que el comportamiento j0(n)  depende de la posici\u00f3n del at\u00edpico aditivo en la serie lo que motiva el desarrollo y estudio de la modificaci\u00f3n basada en los recorridos de la serie temporal revertida, j0,*(n). Se muestra que es superior a j0(n) y al contraste de dickey-fuller e<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Contrastes basados en recorridos para raices unitarias y cointegracion<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Contrastes basados en recorridos para raices unitarias y cointegracion <\/li>\n<li><strong>Autor:<\/strong>\u00a0  Garcia Sipols Ana Elizabeth <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Carlos III de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 12\/02\/2004<\/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>Alvaro Escribano Saez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: daniel Pe\u00f1a s\u00e1nchez de rivera <\/li>\n<li>arielle Beyaert stevens (vocal)<\/li>\n<li>andreu Sanso (vocal)<\/li>\n<li>Jos\u00e9 ram\u00f3n Casar corredera (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Garcia Sipols Ana Elizabeth En esta tesis se proponen nuevos contrastes de ra\u00edces unitarias y de cointegraci\u00f3n [&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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