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Nomenclatura Unesco > (53) Ciencias Económicas > (5302) Econometría
(5302.01) Indicadores económicos (5302.02) Modelos econométricos
(5302.03) Proyección económica (5302.04) Estadística económica
(5302.05) Series cronológicas económicas

Mostrando recursos 1 - 20 de 1,377

1. Learning and coordinating in a multilayer network - Lugo, Haydée; San Miguel, Maxi
We introduce a two layer network model for social coordination incorporating two relevant ingredients: a) different networks of interaction to learn and to obtain a pay-off, and b) decision making processes based both on social and strategic motivations. Two populations of agents are distributed in two layers with intralayer learning processes and playing interlayer a coordination game. We find that the skepticism about the wisdom of crowd and the local connectivity are the driving forces to accomplish full coordination of the two populations, while polarized coordinated layers are only possible for all-to-all interactions. Local interactions also allow for full coordination...

2. A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process - Hafner, Christian M.; McAleer, Michael
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the Quasi-Maximum Likelihood Estimators. The paper shows that the DCC model can be obtained from a vector random coefficient moving average process, and derives the stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns...

3. European Market Portfolio Diversification Strategies across the GFC - Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and subsequent European Debt Crisis (EDC), is challenging one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety of hold-out periods and...

4. On the Invertibility of EGARCH - Martinet, Guillaume Gaetan; McAleer, Michael
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimators (QMLE) of the EGARCH parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is...

5. Computation and analysis of multiple structural - Perron, Pierre

6. Trend, unit root and structural change in macroeconomic time series - Perron, Pierre

7. A political-economy theory of trade agreements - Maggi, Giovani, 1964-

8. Co-movement between two processes with local persistence - Lima, Luiz Renato
This paper introduces a residual based test where the null hypothesis of c:&InOvement between two processes with local persistenc~ can be tested, even under the presence of an endogenous regressor. It, therefore, fills in an existing lacuna in econometrics, in which longrun relationships can also be tested if the dependent and independent variables do not have a unit root, but do exhibit local persistence.

9. A unit root test based on partially adaptive estimation - Lima, Luiz Renato
This paper constructs a unit root test baseei on partially adaptive estimation, which is shown to be robust against non-Gaussian innovations. We show that the limiting distribution of the t-statistic is a convex combination of standard normal and DF distribution. Convergence to the DF distribution is obtaineel when the innovations are Gaussian, implying that the traditional ADF test is a special case of the proposed testo Monte Carlo Experiments indicate that, if innovation has heavy tail distribution or are contaminated by outliers, then the proposed test is more powerful than the traditional ADF testo Nominal interest rates (different maturities) are shown to be stationary according to the...

10. Assimetrias nos ciclos económicos : modelação não linear do PIB de alguns países - Zsurkis, Gabriel Florin
Mestrado em Econometria Aplicada e Previsão

11. To cointegrate or not to cointegrate? That's a topological question - Flôres Junior, Renato Galvão
We show that for any multivariate I( 1) process which does not cointegrate, it is possible to find another process sufficient1y elose to it where cointegration applies. Closeness is defined in terms of the spectral density matrices of the respective processes in differences, i.e., a metric which takes into account only the information in the (centred) second moments. The result may explain why in practice cointegration is found a bit "too often". Examples developing this point and simulations giving an insight on the metric used are also presented.

12. Multivariate unit root tests - Flôres Junior, Renato Galvão
A new multivariate test for the detection ofunit roots is proposed. Use is made ofthe possible correlations between the disturbances of difIerent series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions, for the case oftwo series, are obtained and a table with criticai vaIues is generated. Some simulations indivate that the procedure performs better than the existing alternatives.

13. Algunos desarrollos recientes en la metodología de la econometría aplicada - Thomas, John James
Debido a diversos factores o prejuicios que afectan el trabajo econométrico de la mayoría de los economistas, usualmente se siguen secuencias ad-hoc para la construcción de modelos. Esto es, se prueba una serie de ecuaciones que comienza con una forma funcional simple a la cual se le introducen o eliminan otras variables con base en criterios exclusivamente estadísticos (significancia, bondad de ajuste, etc.). En los últimos años, algunos autores han considerado que tales procedimientos pueden conducir a conclusiones espurias. Proponen como alternativa iniciar la serie de pruebas con base en un modelo lo más general posible (que incluya o "encajone"...

14. European Market Portfolio Diversification Strategies across the GFC - Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and subsequent European Debt Crisis (EDC), is challenging one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety of hold-out periods and...

15. Is there a price puzzle in Brazil? an application of bias- corrected bootstrap - Cysne, Rubens Penha
Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was confirmed by other authors and, as a consequence of its non-expectable nature, was given the name "price puzzle" by Eichenbaum (1992). In this paper I investigate the existence of a price puzzle in Brazil using the same type of estimation and benchmark identification scheme employed by Christiano et aI. (2000). In a methodological improvement over these studies, I qualify the results with the construction of bias-corrected bootstrap confidence intervals. Even though the data does show...

16. Algunos tópicos econométricos de interés: Series de tiempo, pronósticos, no linealidad - Castro Franco, Elsa M.
El propósito de este artículo es presentar una revisión conceptual, técnica y de apli- caciones de algunos tópicos de econometría, considerados de relevancia, por sus aportes al análisis, entendimiento e interpretación de problemas teórico-aplicadosde la economía, así como por el nivel de desarrollo alcanzado en los últimos años. Series de tiempo univariadas y multivariadas, pronósticos y no linealidad, son contextualizados y revisados.

17. Econometría, teoría y política económica: el Nóbel de Economía 2003 - Marconi, Salvador
No es intención del presente ensayo reiterar las motivaciones de la Real Academia Sueca al haber concedido -en octubre de 2003- el premio Nóbel de Economía a dos ilustres econometristas: Robert F. Engle y Clive Granger. Para el recuerdo, ese galardón fue otorgado “...por haber desarrollado métodos de análisis de series temporales con tendencias comunes (cointegración)”. Si bien se analizarán varios aspectos de sus aportes académicos, el propósito de estas líneas es el de recordar algunos elementos del debate -afortunadamente todavía presente sobre la relación entre teoría y política económica y el avance que han registrado los métodos matemáticos y...

18. Introducción a la econometría. Un enfoque moderno - Wooldridge, Jeffrey M.

19. Semelhanças entre análise de variância com classificação simples e análise de regressão com variáveis dummy - Valle, Patrícia Oom do; Rebelo, Efigénio
Na sua abordagem aos procedimentos de análise da variância e covariância, os manuais de estatística limitam-se a proporcionar uma descrição mais ou menos extensiva destas técnicas, sem referir que os seus objectivos podem ser alcançados mediante a especificação de modelos de regressão linear com uma ou mais variáveis dummy. Do mesmo modo, alguns manuais de econometria referem, quanto muito, que um modelo de regressão linear que apenas considere regressores dummy pode ser encarado como um modelo de análise de variância enquanto que um modelo de regressão que combine regressores dummy com regressores quantitativos pode ser entendido como um modelo de análise de covariância....

20. Essays on the investment climate and its effects on firms ´efficiency - Pena Izquierdo, Jorge
La búsqueda de una mayor competitividad y un mejor clima de inversión han llevado a muchos países a acometer sus propios estudios para establecer prioridades de intervención y reforma. El instrumento más utilizado ha sido una serie de encuestas a nivel de empresa, conocidas como Encuestas de Clima de Inversión (ECI), en las que se recogen tanto evaluaciones subjetivas de los principales obstáculos para las actividades económicas, como medidas objetivas de la calidad de las infraestructuras sociales y físicas disponibles para la producción, con enlaces directos a costes y productividad. La literatura sobre el clima de inversión ha puesto de...

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