The asymmetric behavior of the U.S. public debt

N

₅₉₃

_{ISSN 0104-8910}

The Asymmetric Behavior of the U.S. Public

Debt.

Luiz Renato Lima, Raquel Sampaio

Os artigos publicados são de inteira responsabilidade de seus autores. As opiniões

neles emitidas não exprimem, necessariamente, o ponto de vista da Fundação

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yt )

Qy (τ |yt− , ..., yt−p) =θ (τ) +θ (τ)yt− +...+θp(τ)yt−p

( ( & ( G " Qu(τ) =

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( @ ( T = [0.1,0.9] & 0.005 A @ " &

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yt= +α ,tyt− +α ,t∆yt− +ut.

& ) ( yt ) (

( ( ( ( 4 " /

Qy (τ|yt− , ..., yt−p) =θ (τ) +β (τ)yt− +β (τ)yt− , <8 B

Qy(τ |yt− , ..., yt−p) =θ (τ) +α (τ)yt− +α (τ) ∆yt− . <8:B

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80

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T = [0.1,0.9]& 0.005 & (

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< ##:B ! ( ( C

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A ( '

& E ( ( ) ) ( )

( E E ) " ( ( (

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& ) , $N b< @ b= 8"

& & J ) , 8#NB "

! )) ( ( ( ( )

+ & ( ( (

( " H : _y = 0 ) '

( ) =E[θ (Ut)] = 0 A

& ( θ (τ) = 0 ,@ ( % "

$ & & J θ (0.5) = 0 1 " (

) ( θ (Ut) " J

θ (0.5) = 0& ( J = 0 1 & " ( '

θ (Ut) E & ( " " $ (

( = 0 & J θ (τ) = 0

( ( ( ) ( " " τ = 0.3,0.4,0.5,0.6,0.7

A " ( θ (Ut) ) E & ( ( &

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+

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( )) @ ) ,

< )" ##92 ##9B" & ) ( '

( 3 E ( I < ##9 " ##9 B ( (

( (

* ( ) ( '

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( ( ( ) '

& & % " ) , &

( , (/ <8B & ( &" , 2 < B

( ( < ( ( )B ( " , '

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( &

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( & ( ( ( % &

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( ( & )'

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F " ) ( (

5

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( ( @ @ ( " ((

" & (

* , - t− .

@ ( ( supτ∈TLn(τ) 5% 10% H :

θ (τ) = 0

yt− : :8 ! :8 H :0 do not reject

* , - yt− .

@ ( ( sup_τ∈TLn(τ) 5% 10% H :

θ (τ) = 0

yt− :# !# ! :8 H :0 reject

* , $

. G 5% OLS

β_j

H :

β_j(τ) =β_j,OLS yt− 4.190 2.140 1.56 reject

yt− 3.123 2.140 −0.63 reject

' tn(τ).

τ α (τ) n(τ) δ H :α (τ) = 1

. 8 #:! !!D # #$8

. 8 #:8 : !$ # 8D9

. # !!H '# $ # 8#H

. ' # !08 ': D9 # 888

. + # !$# '9 HD0 # #!D

. / # !9: '9 H!$ # 89#

. 0 # DH! 'H DD9 # 80!

. 1 # D0: '8# 9$0 # :!9

+ * , &

τ (τ) n(τ) :

(τ) = 0

. '9: 0 ! 0 0:

. ':$!!9 9 $ #08

. '8 9D 0H # 09!

. ' 8 $9D H8 # D

. + #!!H !! # !!8

. / 009! $ 8 !8

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. 2 !0!98 8: 8: H98

/ $ , ,

τ $ 3 ) $

. ' ' '

. ' ' '

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. ' *E *E *E

. + *E *E *E

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0 . 1

4 , 5

6

8!H$ ) ,

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8!DD ) ) F

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1 .

4 , 5

6

8!0$ ( 8!0! F

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- ) , .

8!!H'!D . F (

2 * ,

E )

b QKS

5% 10%

H :α = 1

8 6.3139 6.4807 5.6270 reject at10% 12 6.3139 5.9743 5.1330 reject at5% 16 6.3139 5.8237 5.1770 reject at5%

. ,

t 2.5% critical value

97.5%

critical value H :intercept= 0

1,45 10− _{−1,84 10}− _{9,36 10}− _{do not reject at5%}

, tn(τ)

δ _{% % %}

. 2 ': :! ' D8 ' $#

. 1 ': :0 ' H$ ' 90

. 0 ': :# ' H ' 98

. / ': 9 ' 09 ' :

. + ': 8! ' $D ' $

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4 ) / ( ( ( # : ( '

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