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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 1,389

1. Test de bondad de ajuste para la distribución Poissón Bivariante - Novoa Muñoz, Francisco
Los datos de conteo pueden aparecer bajo diferentes circunstancias. En un marco univariante, la distribución Poisson es la distribución que con mayor frecuencia ha sido empleada para modelar tales datos (ver por ejemplo, Haight (1967, pp. 100�107) [12], Johnson y Kotz (1969, pp. 88�90) [18], Sahai y Khurshid (1993) [41]). En la práctica, los datos de conteo bivariantes surgen en varias disciplinas diferentes y la distribución Poisson bivariante (DPB), siendo una generalización de la distribución Poisson, juega un rol importante al momento de modelarlos, siempre que dichos datos presenten una correlación no negativa. Esta distribución ha sido usada para modelar...

2. Economic geography and development in the European space - Bruna Quintas, Fernando
El Capítulo 1 reinterpreta la ecuación de salarios de la Nueva Geografía Económica (NEG) distinguiendo dos tipos de dependencias espaciales: tendencia global y autocorrelación local. Se muestra que el Potencial de Mercado puede capturar un patrón global centro-periferia, mientras que la típica matriz de pesos en Econometría Espacial captura interacciones a cortas distancias. La "maldición de la distancia" es la tendencia de las regiones periféricas a tener menor ingreso por estar lejos de los principales mercados, medidos por el Potencial de Mercado. El Capítulo 2 encuentra indicios de que la elasticidad transversal del ingreso per cápita de las regiones europeas...

3. Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns - Nieto, Belén; Novales Cinca, Alfonso; Rubio, Gonzalo
This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.

4. Singularity of self-similar measures with respect to Hausdorff measures - Morán Cabré, Manuel; Rey Simó, José Manuel
Besicoviteh (1941) and Egglestone (1949) analyzed subsets of points of the unit interval with given frequencies in the figures of their base-p expansions. We extend this analysis to self-similar sets, by replacing the frequencies of figures with the frequencies of the generating similitudes. We focus on the interplay among such sets, self-similar measures, and Hausdorff measures. We give a fine-tuned classification of the Hausdorff measures according to the singularity of the self-similar measures with respect to those measures. We show that the self-similar measures are concentrated on sets whose frequencies of similitudes obey the law of the iterated logarithm

5. A statistical test for forecast evaluation under a discrete loss function - Eransus, Francisco Javier; Novales Cinca, Alfonso
We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal testing, or use tests statistics based just on the frequency distribution of (data , forecasts)-pairs. They can easily lead to misleading conclusions in some reasonable situations, because of the way they formalize the underlying null hypothesis that ‘the set of forecasts is not useful.’ Even though the ambiguity of the underlying null hypothesis precludes us from performing...

6. The Risk-Return binomial after rating changes - Abad Romero, Pilar; Robles Fernández, María Dolores
Risk-averse investors take into consideration risk-return tradeoff for decide their new position after the release of relevant information. This paper analyzes the informational content of rating change announcements focusing on the joint reaction they cause on the risk-return binomial. Our purpose is to identify the main factors that signal which announcements are informative. To do that we estimate a binomial logit model for the probability of informative content of credit rating announcements. We analyze a sample of rating events affecting Spanish listed firms from 2000 to 2010. Empirical results show significant differences in the informative content between positive and negative...

7. Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions - Eransus, Francisco Javier; Novales, Alfonso
We analyze the effect of parameter estimation error on the size of unconditional population level tests of predictive ability when they are implemented under a class of loss functions we refer to as ‘discrete functions’. The analysis is restricted to linear models in stationary variables. We obtain analytical results for no nested models guaranteeing asymptotic irrelevance of parameter estimation error under a plausible predictive environment and three subsets of discrete loss functions that seem quite appropriate for many economic applications. For nested models, we provide some Monte Carlo evidence suggesting that the asymptotic distribution of the Diebold and Mariano (1995)...

8. ICT and Non-ICT investments: short and long run macro dynamics - Bacchini, Fabio; Bontempi, Maria Elena; Golinelli, Roberto; Jona Lasinio, Cecilia
In this paper, we model business investment distinguishing between ICT (communication equipment, hardware and software) and Non-ICT (machinery and equipment, and nonresidential buildings) components and taking into account asset specific characteristics potentially affecting the reactivity of capital accumulation over the business cycle. Business investment and ICT and Non-ICT assets are estimated within a VECM model to test, in a unique framework, the assumptions of the flexible accelerator model (Clark, 1944, and Koyck, 1954) and of the neoclassical model of Hall and Jorgenson (1967), as well as how financial constraints and uncertainty influence investment behaviour (Hall and Lerner, 2010, and Bloom, 2007)....

9. Survival Analysis of Very Low Birth Weight Infant Mortality in Taiwan - Chang, Chia-Lin; Chen, Wen-Chen; McAleer, Michael

10. A Tourism Financial Conditions Index - Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael

11. Estimación recursiva de modelos lineales con restricciones entre los parámetros - Terceiro Lomba, Jaime; Sotoca López, Sonia
En este artículo se demuestra que la estimación recursiva de un modelo de regresión con restricciones lineales puede llevarse aplicando el estimador estándar (por mínimos cuadrados recursivos) a partir de unas condiciones iniciales adecuadas. Las ventajas de este método con respecto a su alternativa (filtros de dimensión reducida) consisten en que 1) el mismo algoritmo puede utilizarse para estimar modelos con y sin restricciones y 2) la contrastación del cumplimiento de dichas restricciones puede llevarse a cabo recursivamente. Los desarrollos teóricos se complementan con un ejemplo, en el que se muestra cómo la aplicación de las técnicas de estimación recursiva...

12. Sexual Inversion: Contexto y análisis del concepto de inversión sexual femenina en la obra de Havellock Ellis. - Hernández Arias, : Laura; Bernárdez Rodal, Asunción
Este estudio se centra en analizar desde un punto de vista teórico, uno de los textos decisivos para el nacimiento de la sexología moderna y el surgimiento de las identidades sexuales a principios del siglo XX. La obra de Havelock Ellis, Sexual inversion, crea y desarrolla ampliamente el concepto de inversión sexual, situado entre los términos utilizados para referirse las personas homosexuales. A diferencia de otros textos, en el de Ellis, la homosexualidad femenina recibe un tratamiento específico cuyas implicaciones serán de especial relevancia en posteriores discursos en torno a la sexualidad y los roles de género.

13. Efficiency of the Services Sector: a Parametric Approach - Meglio, Gisela Di; Visintin, Stefano
The question if countries are achieving their maximum production given resource allocation is at the very centre of contemporary debates. The issue becomes even more relevant when directed to service activities, due to their cardinal role in modern societies. However, hardly any studies perform cross-country efficiency comparison of service sectors at aggregated level. The paper aims at measuring and comparing technical efficiency of (total and market) services across 16 developed economies during the past three decades. The empirical estimations are performed by means of frontier parametric techniques applied to both panel data and cross-sectional data. Benchmark figures, useful for cross-country...

14. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay - McAleer, Michael
This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying conditional covariance and correlation models.

15. El problema de las condiciones iniciales en los algoritmos de estimación recursiva de modelos lineales - Sotoca López, Sonia
En este artículo se proponen dos soluciones para independizar los resultados del criterio de estimación recursiva estándar de la influencia de condiciones iniciales arbitrarias. La primera solución consiste en utilizar un algoritmo recursivo corregido que descuenta el efecto de condiciones iniciales elegidas arbitrariamente sobre la estimación final de los parámetros de un modelo de regresión. La segunda solución consiste en la utilización de los filtros basados en la propagación de la matriz de información en lugar de la matriz de covarianzas. Estos algoritmos disponen, por construcción, de condiciones iniciales exactas y son robustos numéricamente.

16. Valoración hedónica de la vivienda: Una aplicación con variables ambientales - Ramírez Ospina, Duván Emilio; Valencia Giraldo, Lázaro
Through the utilization of spatial econometrics techniques, it was estimated the effect of some environmental variables on the price of urban housing in the city of Manizales, having as a source the council tax database with resulting use of the update done by IGAC in 2010. Finding that in average houses near to risky areas reduce their price up to 11%, the ones near a slope by 37% and those located in geotechnical treatment area up to 53%.

17. Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay - McAleer, Michael
This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying conditional covariance and correlation models.

18. Observaciones anómalas en modelos de elección binaria - García Díez, Mercedes; Serrano García, Gregorio R.
En este trabajo se trata el problema de la existencia de observaciones anómalas en modelos de elección binaria. Se demuestra que la presencia de estas observaciones afecta a la consistencia de los estimadores de máxima verosimilitud. En cuanto a su detección: se muestra que el análisis de residuos no es un instrumento adecuado, debido a la censura de la variable dependiente y se deriva un estadístico, similar al propuesto por Cook (1977) para modelos lineales, que resulta apropiado para la detección de anomalías en este tipo de modelos. Los resultados teóricos se contrastan con datos simulados.

19. Geometry, Correlated Equilibria and Zero-Sum Games - Yannick Viossat
This paper is concerned both with the comparative geometry of Nash and correlated equilibria, and with a generalization of zero-sum games based on correlated equilibria. The set of correlated equilibrium distributions of any finite game in strategic form is a polytope, which contains the Nash equilibria. I characterize the class of games such that this polytope (if not a singleton) contains a Nash equilibrium in its relative interior. This class of games, though not defined by some antagonistic property, is shown to include and generalize two-player zero-sum games.

20. Transferring landscape values using discrete choice experiments: Is meta-analysis an option? - de Ayala, Amaia; Universidad del País Vasco (UPV/EHU); Mariel, Petr; Departamento de Economía Aplicada III (Econometría y Estadística). Universidad del País Vasco (UPV/EHU).; Meyerhoff, Jürgen; Institute for Landscape and Environmental Planning. Technische Universität Berlin.
Discrete Choice Experiment (DCE) is an increasingly used valuation method to guide policy-makers in their landscape management decision-making. However, due to time and budget constraints, conducting an original DCE for every single policy decision may not be possible in practice. In this context, meta-analyses are becoming a popular tool for supporting benefit transfer in environmental valuation. This paper raises the question whether meta-analysis is an option for transferring landscape values using DCEs within Europe. We argue that the use of specific and different attributes, definitions and units of measurement makes it hard to compare willingness-to-pay values across current DCE studies

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