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A comparative note about estimation of the fractional parameter under additive outliers

Rodriguez, Gabriel - 2013

Persistent link: https://www.econbiz.de/10010260195

Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru

Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10011924649

Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

Baldé, Thierno A.; Rodriguez, Gabriel - In: Applied economics letters 12 (2005) 13, pp. 841-844

Persistent link: https://www.econbiz.de/10003196212

Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?

Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011548319

A note on the size of the ADF test with additive outliers and fractional errors : a reappraisal about the (non)stationarity of the Latin-American inflation series

Rodriguez, Gabriel; Ramirez, Dionisio - In: Economía : revista del Departamento de Economía, … 37 (2014), pp. 113-132

Persistent link: https://www.econbiz.de/10011554055

Selecting the lag length for the MGLS unit root tests with structural change : a warning note for practitioners based on simulations

Quineche, Ricardo; Rodriguez, Gabriel - In: Econometrics : open access journal 5 (2017) 2, pp. 1-10

This is a simulation-based warning note for practitioners who use the M GLS MGLS unit root tests in the context of structural change using different selection lag length criteria. With T=100 T=100 , we find severe oversize problems when using some criteria, while other criteria produce an...

Persistent link: https://www.econbiz.de/10011654451