Browsing by Subject "Unit root"
Now showing items 1-3 of 3
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Characterizing real exchange rate misalignments in Latin America: the case of Argentina, Brazil, Chile, Colombia, Costa Rica, Ecuador, El Salvador, Mexico, Peru, Uruguay and Venezuela
(2016-11)This research finds that the persistence of the real exchange rate misalignment varies between Latin-American countries and for different real exchange rate measures (the purchasing power parity concept, the wholesale/consumer ... -
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
(2014-10)In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence ... -
Unit root testing under structural breaks
(2017-10)In this paper are analyzed eleven stock market indices in order to conclude about their integration orders. With this objective in mind, three tests are performed. The first test, is the standard Augmented Dickey-Fuller ...