Se busca una raíz unitaria: evidencia para Chile

  • Rómulo Chumacero

Abstract

This paper presents compelling evidence against the null hypothesis of a unit
root in series such IMACEC, consumption or GDP for the Chilean economy.
This evidence builds on results derived by Chumacero (2000) that show that
when the scale variable is difference stationary, the returns on assets should
present a behavior that is not supported by the data. Thus, care should be taken
when using econometric models that impose unit roots based on traditional
tests.
Keywords Unit Root, Asset Pricing
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How to Cite
Chumacero, R. (2016). Se busca una raíz unitaria: evidencia para Chile. Estudios de Economía, 27(1), pp. 55-68. Retrieved from https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/40760/43567
Section
Articles
Published
2016-05-03