Contrastes de raíces unitarias y cambios estructurales: un estudio con aplicaciones

John Glynn; Nelson Perera; Reetu Verma

doi:10.46661/revmetodoscuanteconempresa.2065

Autores/as

John Glynn Graduate School of Business University of Wollongong
Nelson Perera Graduate School of Business University of Wollongong
Reetu Verma School of Economics University of Wollongong

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2065

Palabras clave:

Unit root, structural breaks, multiple breaks, raíces unitarias, cambios estructurales, cambios múltiples

Resumen

El tema de las raíces unitarias en series temporales macroeconómicas ha recibido gran atención, tanto desde el punto de vista teórico como de investigación aplicada, en las últimas tres décadas. Desde el trabajo clave de Nelson y Plosser (1982), contrastar la presencia de una raíz en datos temporales ha llegado a ser un asunto de gran interés. Esta cuestión ganó incluso preponderancia con el artículo de Perron de 1989, que destaca la importancia de los cambios estructurales al contrastar procesos de raíces unitarias.

Este trabajo revisa la literatura disponible sobre contrastes de raíces unitarias, teniendo en cuenta los posibles cambios estructurales. Se explica la diferencia entre contrastar cambios cuando la fecha del cambio es conocida (o exógena) y cuando el cambio es determinado endógenamente. También describimos contrastes tanto para cambios simples como para cambios múltiples. Además, el artículo revisa los estudios empíricos y da una aplicación para que los lectores puedan comprender los problemas subyacentes que se están afrontando en el estudio de las series temporales con cambios estructurales.

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