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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 1.327

1. The Political Economy of Xenophobia and Distribution: The Case of Denmark, Laboratoire d’Econométrie de l’Ecole Polytechnique Working Paper no - John E. Roemer; Karine Van; Der Straeten; Cowles Foundation; Paper No; John E. Roemer; Karine Van Der Straeten
For the first time in some years, a conservative government came to power in Denmark in 2001, due primarily to the citizenry’s disaffection with social-democratic policies on immigration. We represent political competition in Denmark as taking place over two issues—the size of the public sector and immigration—and model political equilibrium using the party unanimity Nash equilibrium (PUNE) concept, which generates equilibria on multidimensional policy spaces where parties form endogenously. By fitting the model to Danish data, we argue that citizen xenophobia may be expected to decrease the size of the Danish public sector by an amount between 12 % and...

2. Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work? - Geraci, Andrea; Fabbri, Daniele; Monfardini, Chiara
We study a simple exogeneity test in count data models with possibly endogenous multinomial treatment. The test is based on Two Stage Residual Inclusion (2SRI). Results from a broad Monte Carlo study provide novel evidence on important features of this approach in nonlinear settings. We find differences in the finite sample performance of various likelihood-based tests under correct specification and when the outcome equation is misspecified due to neglected over-dispersion or non-linearity. We compare alternative 2SRI procedures and uncover that standardizing the variance of the first stage residuals leads to higher power of the test and reduces the bias of...

3. Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series - Allen, David E.; McAleer, Michael; Singh, Abhay K.
This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA) Index and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA) provided by SIRCA (The Securities Industry Research Centre of the Asia Pacic). The expansion of on-line nancial news sources, such as internet news and social media sources, provides instantaneous access to nancial news. Commercial agencies have started developing their own ltered nancial news feeds, which are used by investors and traders to support their algorithmic trading strategies. In this paper we use a sentiment series, developed by TRNA, to construct a series of daily...

4. A spatial viewpoint on fertility by regions in Portugal - Caleiro, António
Em termos gerais, Portugal caracteriza-se por um forte declínio na natalidade, sendo este um fenómeno que requer uma análise que sirva de base a uma intervenção, certamente necessária, dados os custos associados àquele fenómeno. Não obstante aquela tendência a nível nacional, uma observação dos dados suficientemente desagregada do ponto de vista regional permite verificar que, em determinadas regiões, o problema da baixa natalidade parece ser (bem) menos grave do que noutras, onde a desertificação humana parece eminente. Tendo em conta este contexto, o objectivo deste trabalho consiste em determinar, através de técnicas de econometria espacial, as variáveis determinantes das taxas...

5. Fatores de crescimento da Região Sul : 1960/1995 - Caetano, Gregório Silva; Portugal, Marcelo Savino

6. Aportaciones a la estimación, predicción y contenido informativo de la estructura temporal de tipos de interés - Fernández Pérez, Adrián
[ES] En esta Tesis Doctoral se ha estudiado la utilidad de la Estructura Temporal de los Tipos de Interés (ETTI) desde diferentes puntos de vista. Desde un punto de vista microeconómico, se ha desarrollado una novedosa metodología de estimación de la ETTI (Método de Doble Penalización) que busca simultáneamente curvas forward y spot con mejores propiedades que las ofrecidas por los modelos más empleados por los Bancos Centrales. Nuestra metodología aplicada sobre la Deuda Pública española estima unas curvas más suaves y estables que las obtenidas por las metodologías no paramétricas, y similares a la metodología paramétrica de Nelson y...

7. Attractivité des territoires et politiques publiques - Thierry Mayer
Les politiques en termes d’attractivité des IDE ont deux volets: 1 Un volet offensif: concurrence fiscale / subventions. 2 Un volet défensif: politiques régionales de compensation des régions en difficulté (ex: PAT, fonds structurels). Mais l’attractivité dépend de beaucoup d’autres facteurs qu’il faut prendre en compte. Lesquels? La théorie peut nous éclairer sur ces déterminants et l’économétrie mesurer leurs poids respectifs.

8. The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time - Girardi, Alessandro; Golinelli, Roberto; Pappalardo, Carmine
Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.

9. Microelectrónica y econometría. Una aplicación didáctica al modelo lineal simple - Hernández Alonso, José
Se desarrolla una aplicación sencilla que concluya en la resolución de los cálculos genéricos de los denominados econométricamente modelos lineales simples. El proceso de resolución que se adopta es el típico de quién se enfrenta por primera vez con la tarea de resolver un problema con un ordenador.

10. Métodos matemáticos de estatística e econometria: capítulos 1 e 2 - Leal, Carlos Ivan Simonsen
Rio de Janeiro

11. Exportaciones de plátano canario. ¿Son racionales las decisiones de pica? - Cáceres-Hernández, José Juan; Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Universidad de La Laguna.; Martín Rodríguez, Gloria; Departamento de Economía de las Instituciones, Estadística Económica y Econometría. Universidad de La Laguna.; González Gómez, José Ignacio; Departamento de Economía Financiera y Contabilidad. Universidad de La Laguna; Nuez Yánez, Juan Sebastián; Departamento de Historia e Instituciones Económicas. Universidad de La Laguna.
Los productores canarios de plátano han optado en los últimos años por no enviar al mercado peninsular una parte significativa de su oferta exportable. Este trabajo aporta una herramienta analítica que permite aproximar los efectos marginales en el ingreso y en el beneficio derivados de estas decisiones. El elemento clave del procedimiento radica en la estimación de un modelo de determinación de precios en función de la oferta exportada. Los volúmenes óptimos de exportación deducidos deben interpretarse con la necesaria cautela debido a las limitaciones en la información estadística, pero constituyen una ayuda que podría guiar la toma de decisiones.

12. © European Organisation for the Safety of Air Navigation (EUROCONTROL)
EUROCONTROL This Technical Note is produced by the Performance Review Unit (PRU) in collaboration with Dr. Christian Bontemps from the Centre d’Etude de la Navigation Aérienne (CENA) and the Laboratoire d’Economie et d’Econométrie de l’Aérien (LEEA). This collaboration was facilitated by the French Civil Aviation Authority, Direction de la Navigation Aérienne (DNA). The PRU was established in 1998 to support the Performance Review Commission (PRC) in its task of helping to “ensure the effective management of the European ATM system through a strong, transparent and independent performance review and target-setting system”. The PRU’s e-mail address is pru@eurocontrol.int The PRC’s website...

13. Mean-variance portfolio methods for energy policy risk management - Marrero , Gustavo A.; Puch, Luis A.; Ramos-Real , Francisco J.
The risks associated with current and prospective costs of different energy technologies are crucial in assessing the efficiency of the energy mix. However, energy policy typically relies on the evolution of average costs, neglecting the covariances in the costs of the different energy technologies in the mix. Mean-Variance Portfolio Theory is implemented to evaluate jointly the average costs and the associated volatility of alternative energy combinations. In addition systematic and non-systematic risks associated with the energy technologies are computed based on a Capital Asset Pricing Model and considering time varying betas. It is shown that both electricity generation and fuel...

14. Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis - Abad Romero, Pilar; Benito Muela, Sonia; Sánchez Granero, Miguel Angel; López, Carmen
This paper evaluates the performance of several skewed and symmetric distributions in modeling the tail behavior of daily returns and forecasting Value at Risk (VaR). First, we used some goodness of fit tests to analyze which distribution best fits the data. The comparisons in terms of VaR have been carried out examining the accuracy of the VaR estimate and minimizing the loss function from the point of view of the regulator and the firm. The results show that the skewed distributions outperform the normal and Student-t (ST) distribution in fitting portfolio returns. Following a two-stage selection process, whereby we initially...

15. The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations - Nawata , Kazumitsu; McAleer, Michael
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative hypotheses. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Moreover, in calculating the Hausman test there is a maximum number of parameters which is the number of different equations that are used to obtain the two estimators. Three illustrative examples are used,...

16. Un enfoque " moderno " de la docencia de la Econometría - Novales Cinca, Alfonso
Como en ediciones anteriores, el texto del profesor Wooldridge enfoca la docencia de la Econometría desde las necesidades de la práctica profesional, lo que facilita la motivación del alumno por la materia. Utiliza un fuerte énfasis en la interpretación de los modelos estimados y una menor concentración en los desarrollos formales. Los distintos temas son introducidos mediante ejemplos con datos, que son analizados con detalle posteriormente. Es un paso importante en una buena dirección, que podría conducir a resolver deficiencias en la docencia y práctica profesional de la Econometría, aún no satisfactoriamente tratadas en los manuales existentes.

17. Essays in taxation and savings - Monteiro, Marcos José Pérez
Esta tese é composta por três artigos. Dois deles investigam assuntos afeitos a tributação e o terceiro é um artigo sobre o tema “poupança”'. Embora os objetos de análise sejam distintos, os três possuem como característica comum a aplicação de técnicas de econometria de dados em painel a bases de dados inéditas. Em dois dos artigos, utiliza-se estimação por GMM em modelos dinâmicos. Por sua vez, o artigo remanescente é uma aplicação de modelos de variável dependente latente. Abaixo, apresenta-se um breve resumo de cada artigo, começando pelos dois artigos de tributação, que dividem uma seção comum sobre o ICMS...

18. Birth order and child outcomes: does maternal quality time matter? - Monfardini, Chiara; See, Sarah Grace
Higher birth order positions are often associated with poorer outcomes, possibly due to fewer resources received within the household. Using a sample of PSID-CDS children, we investigate whether the birth order effects in their outcomes are due to unequal allocation of the particular resource represented by maternal quality time. OLS regressions show that the negative birth order effects on various test scores are only slightly diminished when maternal time is included among the regressors. This result is confirmed when we account for unobserved heterogeneity at the household level, exploiting the presence of siblings in the data. Our evidence therefore suggests...

19. Self investments of adolescents and their cognitive development - Del Boca, Daniela; Monfardini, Chiara; Nicoletti, Cheti
While a large literature has focused on the impact of parental investments on child cognitive development, very little is known about the role of child's own investments. Information on how children invest their time separately from parents is probably little informative for babies and toddlers, but it becomes more and more important in later stages of life, such as adolescence, when children start to take decisions independently. By using the Child Development Supplement of the PSID (Panel Study of Income Dynamics), we model the production of cognitive ability of adolescents and extend the set of inputs to include the child's...

20. Household Inflation Expectations: Information Gathering, Inattentive or ‘Stubborn’? - Easaw, Joshy; Golinelli, Roberto
The purpose of this paper is to investigate the microfoundations of how non-experts’ (or general public) form inflation expectations. Using a unique dataset we investigate the range of near rational inflation expectations. An important contribution to understanding how non-experts form their expectations is ‘sticky information expectations’, specifically the epidemiological model. Our analysis uses an extended version of the epidemiological model. We find that the general public are best depicted as those who are either information gathers or inattentive. In addition, the inattentive general public can be either forward-looking or ‘stubborn’, that is persistent.

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