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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

GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural

Perron, Pierre; Rodriguez, Gabriel - In: Economía : revista del Departamento de Economía, … 35 (2012), pp. 174-203

Persistent link: https://www.econbiz.de/10009628610

Persistence of unemployment in the Canadian provinces

Fallahi, Firouz; Rodriguez, Gabriel - 2010

Persistent link: https://www.econbiz.de/10008798915

Is there a link between unemployment and criminality in the US economy? : further evidence

Fallahi, Firouz; Rodriguez, Gabriel - 2010

Persistent link: https://www.econbiz.de/10008798923

The New Keynesian framework for a small open economy with structural breaks : empirical evidence from Peru

Bazán-Palomino, Walter; Rodriguez, Gabriel - In: Structural change and economic dynamics : SC+ED 46 (2018), pp. 13-25

Persistent link: https://www.econbiz.de/10012039859

Presidential approval in Peru : an empirical analysis using a fractionally cointegrated VAR

Boca Saravia, Alexander; Rodriguez, Gabriel - 2019

Persistent link: https://www.econbiz.de/10012240838

An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components

Rodriguez, Gabriel; Ojeda Cunya, Junior Alex; Gonzáles … - In: Portuguese economic journal 18 (2019) 2, pp. 107-123

Persistent link: https://www.econbiz.de/10012111301

Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets

Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18

Persistent link: https://www.econbiz.de/10012156142

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007

Stochastic volatility in mean : empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - 2020

Persistent link: https://www.econbiz.de/10012435606

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