Essays on Unit root and Cointegration Tests for (near-) Integrated Limited series

• Grant number: 15/26287-0
• Support Opportunities: Scholarships in Brazil - Doctorate
• Start date: May 01, 2016
• End date: March 28, 2019
• Field of knowledge: Applied Social Sciences - Economics - Quantitative Methods Applied to Economics
• Principal Investigator: Marcelo Fernandes
• Grantee: Andre Guerra Esteves de Moraes
• Host Institution: Escola de Economia de São Paulo (EESP). Fundação Getúlio Vargas (FGV). São Paulo , SP, Brazil

Abstract

The PhD's Thesis proposed in this research project aims at complementing the literature of unit root and cointegration tests for (near-) integrated limited series. In order to achieve this goal, we seek to derivate the asymptotic distribution for tests in multivariate (in particular, cointegration tests) and panel data frameworks. Many economic and financial series, such as interest and exchange rates, look limited and (near-) integrated. However, most empirical papers on the subject are based on methods that do not take into account the bounded characteristic of the series (whose tests have different asymptotic distribution in comparison to tests that assume unlimited series). Therefore, as an empirical application, we seek to evaluate the Purchasing Power Parity (PPP) using the proposed methods because there are studies on PPP in which multivariate and panel data tests are performed.