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

Purpose: By analyzing variables from the fields of business and neuropsychology, this document examines alternative combinations of behavioral economics and neuropsychological characteristics that would explain a successful entrepreneurial profile. Design/methodology/approach: The research is...

This paper identifies the output gap using the theoretical definition of the gap within a Phillips curve in the spirit of the New Keynesian framework. Using Peruvian data for the period 1980:1-2005:4, the results indicate a very flat slope of the Phillips curve but the output gap is large and...

This study is one of the …rst to utilize the SV model to model Peruvian …nancial series, as well as estimating and comparing with GARCH models with normal and t-student errors. The analysis in this study corresponds to Perus stock market and exchange rate returns. The importance of this...

In this study, we investigate the long term dependence or long memory present in the volatility of the stock market returns of Peru, Brazil, Mexico, Chile, Argentina, and the S&P500. We start analyzing the form of the autocorrelation function (ACF) and the estimated spectral density. Moreover,...

Though the econometrics literature on this area is extensive, in Peru few studies have been dedicated to the analysis of Önancial returns in general and volatility in particular. As part of an empirical research agenda suggested by Humala and RodrÌguez (2013), this paper represents one of the...

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

En este documento se muestra como las expectativas de inflacion son formadas y si cambios en la polÌtica o cambios estructurales influencian en dicha formacion. Cuatro experimentos son realizados con 75 individuos no experimentados donde se solicita predecir la inflacion domestica futura y...

Perron and Wada (2009) propose a new method of decomposition of the GDP in its trend and cycle components, which overcomes the identi.cation problems of models of unobserved components (UC) and ARIMA models and at the same time, admits non linearities and asym- metries in cycles. The method...