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Campo Dublin Core | Valor | Idioma |
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dc.contributor.author | Silva, Ivair Ramos | - |
dc.contributor.author | Ernesto, Dulcidia Carlos Guezimane | - |
dc.contributor.author | Oliveira, Fernando Luiz Pereira de | - |
dc.contributor.author | Marques, Reinaldo Antônio Gomes | - |
dc.contributor.author | Oliveira, Anderson Castro Soares de | - |
dc.date.accessioned | 2022-03-03T19:07:41Z | - |
dc.date.available | 2022-03-03T19:07:41Z | - |
dc.date.issued | 2021 | pt_BR |
dc.identifier.citation | SILVA, I. R. et al. Monte Carlo test for stochastic trend in linear structural models for the location-scale family. Brazilian review of econometrics, v. 40, n. 2, p. 215-231, nov. 2021. Disponível em: <https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/81082>. Acesso em: 25 ago. 2021. | pt_BR |
dc.identifier.issn | 2526-3722 | - |
dc.identifier.uri | http://www.repositorio.ufop.br/jspui/handle/123456789/14624 | - |
dc.description.abstract | In linear structural models for time series, a key point is the decision between modeling the trend of non-stationary processes through a deterministic or a stochastic term. The present paper introduces a Monte Carlo hypothesis test procedure to guide in such a decision. The method works for any time series distribution belonging to the location-scale family, where the analytical shape of the distribution must be defined by the user prior to apply the method. The proposed method provides an alpha-level test for any time series of length greater than 3 and it does not demand assumptions on the distribution of the trend term when it is actually stochastic. | pt_BR |
dc.language.iso | en_US | pt_BR |
dc.rights | restrito | pt_BR |
dc.subject | Time series | pt_BR |
dc.title | Monte Carlo test for stochastic trend in linear structural models for the location-scale family. | pt_BR |
dc.type | Artigo publicado em periodico | pt_BR |
dc.identifier.uri2 | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/81082 | pt_BR |
dc.identifier.doi | https://doi.org/10.12660/bre.v40n22020.81082 | pt_BR |
Aparece nas coleções: | DEEST - Artigos publicados em periódicos |
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ARTIGO_MonteCarloTest.pdf Restricted Access | 466,06 kB | Adobe PDF | Visualizar/Abrir |
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