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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 1,460

1. Ensaios em modelagem de dependência em séries financeiras multivariadas utilizando cópulas - Tófoli, Paula Virgínia
O presente trabalho foi motivado pela forte demanda por modelos de dependência mais precisos e realistas para aplicações a dados financeiros multivariados. A recente crise financeira de 2007-2009 deixou claro quão importante é uma modelagem precisa da dependência para a avaliação correta do risco financeiro: percepções equivocadas sobre dependências extremas entre diferentes ativos foram um elemento importante da crise do subprime. O famoso teorema dc Sklar (1959) introduziu as cópulas como uma ferramenta para se modelar padrões de dependência mais sofisticados. Ele estabelece que qualquer função de distribuição conjunta ndimensional pode ser decomposta em suas n distribuições marginais e uma...

2. A business cycle characterization of the spanish economy: 1970 -1994 - García Ferrer, Antonio; Sebastián Gascón, Carlos
Every procedure used to characterize business cycles by filtering macroeconomic series have some arbitrary elements and, therefore, they should, at least, satisfied the weak criterion of replicating the peaks and throughs of business cycles from a historical perspective. In order to characterize Spanish business cycles from 1970 to 1994 we propose a trend-cycle model characterization based on a particular class of unobserved component models, that fulfils the aboye mentioned criterion (wich other procedure, like Hodrick-Prescott filter, do not). We carry out sensitivity analysis with respect to the arbitrary element of our procedure, in order to check for the robustness of...

3. Formalization and applications of the Precautionary Principle”, Working Paper, Laboratoire d’Économetrie de l’École Polytechnique - Claude Henry; Marc Henry; Cahier N; Claude Henry; Marc Henry; Cahier N; Mots Clés; Key Words
la connaissance scientifique relative à la plausibilité d'évènements dans l'espace des états, ainsi que les concepts d'évènements et d'actes scientifiquements non ambigus. Nous définissons un plannificateur non précautionneux comme maximisant une utilité espérée de Savage après avoir écarté les actes scientifiquement ambigus. Nous montrons que pour une classe étendue de préférences de l'agent représentatif dans cette économie, cette modalité de choix non précautionneuse est sous-optimale. Nous confrontons cette modélisation à des débats, nationaux ou internationaux, concernant le changement climatique, certains arbitrages à l'OMC, et la régulation en matière de sécurité des produits chimiques. A formalization of the Precautionary Principle is...

4. Université de Lausanne - Alberto Holly; Lucien Gardiol; Cahier No
Preliminary version. Please do not quote without the authors ’ explicit consent. Comments most welcome. authors ’ address Département d’économétrie et d’économie politique

5. REFERENCE GROUPS AND INDIVIDUAL DEPRIVATION - Walter Bossert; Walter Bossert; Walter Bossert
Conchita D’AMBROSIOLe Centre interuniversitaire de recherche en économie quantitative (CIREQ) regroupe des chercheurs dans les domaines de l'économétrie, la théorie économique, la macroéconomie et les marchés financiers, l'économie du travail et l'économie de l'environnement. Ils proviennent principalement des universités de Montréal, McGill et Concordia. Le CIREQ offre un milieu dynamique de recherche en économie quantitative grâce au grand nombre d'activités qu'il organise (séminaires, ateliers, colloques) et de collaborateurs qu'il reçoit chaque année. The Center for Interuniversity Research in Quantitative Economics (CIREQ) regroups researchers in the fields of econometrics, economic theory, macroeconomics and financial markets, labor economics, and environmental economics. They...

6. Pseudo Maximum Likelihood Estimation of a Dynamic Structural Investment Model,” Working Paper 02-62, Statistics and Econometrics Series. Departamento de Estadística y Econometría. Universidad Carlos III de - Rocío Sánchez-mangas; Victor Aguirregabiria; Pedro Mira; Alfonso R

7. NOTA TECNICA 2 AN EQUAL VARIANCE TEST - George G. Djolov
This article introduces (and hopes to encourage thereby) the econometrics practitioner to (use) a homoscedasticity test referred to in the field of statistics as the modified Levene test. Econometrics orthodoxy (from University to practice level) has focused mainly on three heteroscedasticity tests, namely the Goldfeld-Quandt (GQ), Breusch-Pagan-Godfrey (BPG), and the White (W) test. The difference between the aforementioned tests and the test elaborated on in this article is that the former are for regression whereas the latter is for ANOVA –analysis of variance – situations. Resumen Este artículo introduce (y espera animar por eso) al practicante de econometría a usar...

8. Análise de Convergência da Renda em Santa Catarina entre 2001 e 2012: PIB per capita, Espacialidade, Renda Pessoal e Demografia - Mendes, Krisley; Nishimura, Nobuo; Rodrigues, Márcio de Castro
Este trabalho analisa a convergência absoluta e condicional da renda em Santa Catarina. Primeiramente, com base no PIB per capita, analisando a dependência espacial entre os 293 municípios do estado. Posteriormente, com base em microdados da PNAD, analisando a dinâmica da desigualdade entre gerações. O modelo teórico provém de Solow (1956) e Jones (1997) e os instrumentos derivam das ferramentas da econometria espacial e da análise de dados em painel, utilizando as correções para amostras complexas. Os resultados mostram que há convergência de renda entre os municípios de Santa Catarina, podendo levar cerca de 20 anos para que a desigualdade...

9. Correcting for attrition in panel data using inverse probability weighting : an application to the european bank system - Afonso, Lutcy Menezes
Mestrado em Econometria Aplicada e Previsão

10. Size, Trend, and Policy Implications of the Underground Economy - Orsi, Renzo; Raggi, Davide; Turino, Francesco
We study the underground economy in a dynamic and stochastic general equilibrium framework. Our model combines limited tax enforcement with an otherwise standard two-sector neoclassical stochastic growth model. The Bayesian estimation of the model based on Italian data provides evidence in favor of an important underground sector in Italy, with a size that has steadily increased over the whole sample period. We show that this pattern is due to a persistent increase in taxation. Fiscal policy experiments suggest that a moderate tax cut, along with a stronger effort in the monitoring process, causes a sensitive reduction in the size of...

11. Misspecification and Expectations Correction in New Keynesian DSGE Models - Angelini, Giovanni; Fanelli, Luca
Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-scale New-Keynesian models and provides a `natural' remedy for the typical difficulties these models have in accounting for the rich contemporaneous and dynamic correlation structure of the data, generally faced with ad hoc shock specifications. We suggest using the `best fitting' statistical model for the data as a device through which it is possible to adapt the econometric specification of the New-Keynesian model. The statistical model may feature an autocorrelation structure that is more involved than the autocorrelation structure implied by the structural model's reduced form solution under rational expectations, and it is treated...

12. A MATLAB toolbox for reliable time series modeling and forecasting in State-Space - Terceiro Lomba, Jaime; Casals, José Manuel; Jerez Méndez, Miguel; Serrano García, Gregorio R.; Sotoca López, Sonia
Software reliability is a wide issue, depending not only on the use of stable implementations of well-reputed algorithms, but also on software design aspects. This philosophy is implemented in E4, a MATLAB Toolbox which uses state-space methods to achieve both, flexibility and reliability. E4 supports many standard formulations such as VARMAX, econometric models in structural form, transfer functions or general linear state-space models. These models are estimated by exact maximum likelihood, under standard conditions, or in an extended framework that allows for measurement errors, missing data, vector GARCH errors and constraints on the parameters. Ready-to-use functions are provided for model...

13. Aplicaciones del Filtro de Kalman a las calibraciones en modelos de ciclo real - Ruiz, Jesús
Este trabajo tiene dos objetivos. El primero de ellos es aportar una generalización del filtro de Kalman a la estimación de modelos dinámicos con expectativas racionales formadas en el presente de variables endógenas futuras. El segundo es mostrar dos aplicaciones de este procedimiento en modelos estocásticos de crecimiento bajo el supuesto de expectativas racionales. En particular, se presenta, por un lado, una metodología para calibrar parámetros de estos modelos que resultan difíciles de estimar debido a la ausencia de datos en la economía real (por ejemplo, el coeficiente de aversión relativa al riesgo). El procedimiento que se presenta tiene la...

14. Vintage capital and the dynamics of the AK model - Boucekkine, Raouf; Licandro, Omar; Puch, Luis A.; Rio, Fernando del
This paper analyzes the equilibrium dynamics of an AK-type endogenous growth model with vintage capital. The inclusion of vintage capital leads to oscillatory dynamics governed by replacement echoes, which additionally influence the intercept of the balanced growth path. These features, which are in sharp contrast to those from the standard AK model, can contribute to explaining the short-run deviations observed bctween investment and growth rates time series. To characterize the convergence properties and the dynamics of the model we develop analytical and numencaJ rnethods that should be of interest for the general resolution of endogenous growth models with vintage capital.

15. A fast and stable method to compute the likelihood of state-space models with unit roots - Casals Carro, José; Sotoca López, Sonia; Jerez Méndez, Miguel
We propose two fast and stable methods to compute the likelihood of econometric models in state-space form, allowing for unit roots. The first one exploits the properties of the Kalman filter when applied to models in steady-state innovations form. Afterwards we derive a procedure with similar properties that can be applied to any state-space model satisfying weak assumptions.

16. An econometric model for international tourism flows to Spain - Garín-Muñoz, Teresa; Pérez Amaral, Teodosio
The purpose oC this study is to measure the impact of the economic determinants of the intemational demand for tourist services in Spain. We use a panel data set of seventeen countries over the perlad 1985-1995. By using appropriate panel data techniques we estimate the effects of real per capita income, exchange rates, and real prices on the demand for Spanish tourist services. The estimated elasticities are +1.40, +0.50, and -0.30, respectively. The negative effect of the Gulf War is also detected, with a coefficient of -0.15. These results are comparable to previous empirical studies for other countries.

17. A general fixed-interval smoother with exact initial conditions - Casals Carro, José; Sotoca López, Sonia; Jerez Méndez, Miguel
In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial conditions, that can be applied to stationary, nonstationary or partially nonstationary systems, with deterministic and/or stochastic inputs. Besides an easy analytical derivation, other advantages of this smoother are its computational efficiency and numerical stability.

18. Business Telephone Traffic Demand in Spain; 1980-1991, An econometric Approach - Pérez Amaral, Teodosio; Álvarez González, Francisco; Moreno Jiménez, Bernardo
In this paper we use a theoretical model for the demand of telecommunication services to derive econometric models of the business demand for telephone traffic in Spain for the period 1980-1991. Using quaterly data, we estimate separate equations for the different types of toll traffic: local, long distance, national and international. We use cointegration techniques to obtain long run and short run equations, both estimated separately in two steps and jointly, in one step. A battery of diagnostics is applied to each of the equations, Price and output elasticies agree with previous findings and could be used for analizing the revenue...

19. The exact likelihood function for the vector ARMA model - Mauricio Arias, José Alberto
This paper implements in Fortran 77 a new algorithm which has the same purpose as algorithm AS 242 of Shea (1989), namely to compute the exact likelihood function of a vector ARMA model. The new algorithm turns out to be faster in many relevant cases and not appreciably slower in any. In addition to advantages offered by the algorithm of Shea (1989), including the calculation of an appropiate set of residuals, it also permits the automatic detection of noninvertible models as a byproduct. The Fortran 77 code presented here combines improved versions of the algorithms due to Ljung and Box...

20. Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models - Mauricio Arias, José Alberto
The problems of evaluating and maximizing the exact likelihood function of vector ARMA models are considered separately. A new and efficient procedure for evaluating the exact likelihood function is presented. This method puts together a set of useful features which can only be found separately in currently available algorithms. A procedure for maximizing the exact likelihood function, which takes full advantage of the properties offered by the evaluation algorithm, is also considered. Combining these two procedures, a new algorithm for exact maximum likelihood estimation of vector ARMA models is obtained. Comparisons with existing procedures, in terms of both analytical arguments and...

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