Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional

Erik Figueiredo

Economia, 2006, vol. 7, issue 1, 1-28

Abstract: This study intends to characterize the permanent component of the International GDP series, taking into consideration two hypotheses: i) the existence of outliers from the supply shocks; ii) the asymmetry of the economic cycles. These suppositions have are a consequence of the non-normality of the temporal series, which implies that the OLS estimations are biased. Due to such problems, it was adopted the non-linear instrumental developed by Xiao e Lima (2004). This method is robust when the distributions are heavy-tails (infinitevariance). The results indicated that: a) all series present non-Gaussian distribution; b) the unit root hypothesis are not rejected except for the Italian and Brazilian series, and, c) it is observed that the basic cyclic components are equal to zero, which implies that all the fluctuations from the product are due to the real factors.

Keywords: Assimetria dos Ciclos Econômicos; Outliers; Distribuições de Caudas Pesadas; Raiz Unitária (search for similar items in EconPapers)
JEL-codes: C16 C22 E32 (search for similar items in EconPapers)
Date: 2006
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