{"id":60634,"date":"2018-03-09T22:48:29","date_gmt":"2018-03-09T22:48:29","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/likelihood-analysis-of-fractionally-cointegrated-systems\/"},"modified":"2018-03-09T22:48:29","modified_gmt":"2018-03-09T22:48:29","slug":"likelihood-analysis-of-fractionally-cointegrated-systems","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/likelihood-analysis-of-fractionally-cointegrated-systems\/","title":{"rendered":"Likelihood analysis of fractionally cointegrated systems"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Aleksandra Lasak Katarzyna <\/strong><\/h2>\n<p>En esta tesis doctoral se desarrolla una nueva metodolog\u00eda para el an\u00e1lisis de sistemas co-integrados fraccionalmente usando t\u00e9cnicas de m\u00e1xima verosimilitud siguiendo el trabajo previo de johansen (1988, 1991, 1995). El problema es relevante para determinar si existe una relaci\u00f3n de largo plazo entre una serie de variables econ\u00f3micas, y para describir la naturaleza de dicha relaci\u00f3n. Este estudio se ha realizado anteriormente desde diversos enfoques, pero el enfoque de johansen basado en t\u00e9cnicas de regresi\u00f3n de rango reducido es preferido en gran parte del trabajo emp\u00edrico porque proporciona una forma simple de contrastar el rango de cointegraci\u00f3n, de realizar inferencia sobre sistemas cointegrados complejos y sugiere m\u00e9todos para contrastar los supuestos de modelizaci\u00f3n. El an\u00e1lisis tradicional asume un nivel pre-especificado de memoria en las series observadas y en la relaci\u00f3n de equilibrio, por lo que es natural extender el an\u00e1lisis a la situaci\u00f3n donde dichos niveles son desconocidos y considerar un marco de trabajo fraccional que anide los modelos est\u00e1ndar. en el cap\u00edtulo \u00ablikelihood based testing for fractional cointegration\u00bb se considera el problema de contrastar la existencia de cointegraci\u00f3n fraccional dentro de una estructura var. El orden de cointegraci\u00f3n fraccionales estima por m\u00e1xima verosimilitud (bajo la alternativa de cointegraci\u00f3n) y entonces se propone dos contrastes de cointegraci\u00f3n, los llamados contrastes del m\u00e1ximo valor propio y del a traza, que son las herramientas de inferencia b\u00e1sicas en el an\u00e1lisis de cointegraci\u00f3n en el marco de modelos de ra\u00edces unitarias. El par\u00e1metro de cointegraci\u00f3n no est\u00e1 identificado bajo la nula en la nueva situaic\u00f3n, por lo que dichos contrastes se pueden interreptar como \u00absup tests\u00bb y dan lugar a distribuciones asint\u00f3ticas que no dependne de un valor prefijado o estimado de dicho par\u00e1metro. Tambi\u00e9n se consideran las situaciones donde la memoria de los observables es deconoc<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Likelihood analysis of fractionally cointegrated systems<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Likelihood analysis of fractionally cointegrated systems <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Aleksandra Lasak Katarzyna <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Aut\u00f3noma de barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 27\/09\/2007<\/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>Carlos Velasco Gomez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: soren Johansen <\/li>\n<li>jordi Caballe vilella (vocal)<\/li>\n<li>Jos\u00e9 Dolado Juan (vocal)<\/li>\n<li>Javier Hualde (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Aleksandra Lasak Katarzyna En esta tesis doctoral se desarrolla una nueva metodolog\u00eda para el an\u00e1lisis de sistemas [&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 center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[82],"tags":[133897,83847,133899,13876,57480,133898],"class_list":["post-60634","post","type-post","status-publish","format-standard","hentry","category-ciencias-economicas","tag-aleksandra-lasak-katarzyna","tag-carlos-velasco-gomez","tag-javier-hualde","tag-jordi-caballe-vilella","tag-jose-dolado-juan","tag-soren-johansen"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/60634","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=60634"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/60634\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=60634"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=60634"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=60634"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}