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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 1,581

1. Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates - Pastorello, Sergio
In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the theoretical restrictions. I also show that these works have almost always focused on “generalizations” of the theoretical model based on the inclusion of measurement errors in bills and bonds prices. I then suggest two approaches to statistical inference: the first is based on the Kalman filter, while the second follows...

2. Técnicas estadísticas espaciales y temporales para el análisis de la convergencia - Pino Mejías, Miguel Ángel
La presente tesis estudia los procesos de convergencia entre las economías, considerando las dos líneas principales de análisis que se han centrado históricamente en este fenómeno. En un primer gran bloque se procede a la revisión de los modelos econométricos clásicos, a la identificación de sus predicciones respecto a dichos procesos de crecimiento y al reconocimiento de los principales estudios empíricos realizados en este ámbito. En una segunda agrupación de contenidos, en consonancia con el desarrollo histórico de las investigaciones sobre la materia, se revisa el marco teórico que establece la econometría espacial y, de manera específica, se consideran distintas...

3. El Congreso de Praga - Aguirre de Yraola, Fernando
This article is a commentary of the matters discussed at the Prague Seminar on the evolution of the construction industry, of which the detailed headings are «Evolution of the relationship of the various people who take part in the construction industry» and «The continuity of demand and the technical continuity of production». The papers discussed were submitted by the delegates of Danemark, Poland, Holland and Ucrania. The study and discussion of the main themes was greatly aided by a number of auxiliary documents, submitted and discussed by the delegates of other countries. The analysis of production line and flow line...

4. La taxe Tobin : une synthèse des travaux basés sur la théorie des jeux et l’économétrie. - Francis Bismans; Olivier Damette
Alors que l’utilité de l’instauration d’une taxe Tobin fait l’objet de débats intenses, les travaux scientifiques qui y sont consacrés sont globalement méconnus. Le présent article en rend compte en se focalisant sur ceux d’entre eux qui font usage de la théorie des jeux er de l’économétrie.

5. Fatti stilizzati e metodi econometrici "Moderni": una rivalutazione della Curva di Phillips per l'Italia (1951-1996) - Golinelli, Roberto
A quarant’anni dalla sua introduzione, la curva di Phillips riveste ancora un ruolo importante negli studi applicati, nonostante le critiche cui è stata sottoposta dalla successiva letteratura. In questo lavoro, utilizzando tecniche di modellazione econometrica di serie storiche non stazionarie per l’Italia dal dopoguerra ad oggi, si evidenzia la stabilità di una relazione di lungo periodo fra il tasso di variazione del salario reale e il tasso di disoccupazione; questo risultato è robusto all’uso di stimatori alternativi. Nel breve periodo si propone un modello interpretativo caratterizzato da un meccanismo non lineare di correzione dell’errore.

6. Testing for Structural Change in Cointegrated Relationships. Analysis of price-wages models for Poland and Hungary - Golinelli, Roberto; Orsi, Renzo
In previous studies concerning short and long run relationships for price-wage models, the cointegration analysis has been developed assuming the existence of a unique cointegration parametrisation. These empirical results reveal the presence of significant relationships, both in the short and in the long run, among prices, wages, labour productivity and exchange rate. In this paper we intend to develop the possibility of a more general type of cointegration, allowing for a change at an unknown time period in the sample. At this end we will consider mainly the long run relationship among these variables using the testing procedure suggested by...

7. Joint Decisions on Household Membership and Human Capital Accumulation of Youths: The role of expected carnings and labour market rationing. - Monfardini, Chiara; Giannelli, Gianna Claudia
This paper focuses on the youth’s decisions on household formation and human capital investment - in further education or work experience - and the factors influencing these choices. While previous studies limited their analyses to decisions concerning the living arrangements and the labour market, the choice set is extended here to take into account other alternatives. The decisions of either remaining in the parental household or going to live with a partner are modelled jointly with those of either entering the labour market (i.e. investing in work experience) or investing in higher (university) education. Using the Bank of Italy 1995...

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

9. Modellazione Econometrica per la previsione congiunturale: un esercizio su produzione, prezzi e moneta - Golinelli, Roberto
Coloro che devono prendere decisioni di natura economica spesso si trovano di fronte il problema di quantificare il futuro. Scopo del presente lavoro è quello di indicare una possibile via da seguire per rispondere alle necessità di previsioni di breve periodo per produzione,prezzi e moneta. La modellazione economica delle variabili di interesse è ispirata dal filone di studi sul price gap. Le analisi grafica e univariata evidenziano che le caretteristiche principali delle serie storiche studiate sono la stagionalità e la non stazionarietà. Un opportuno trattamento della stagionalità ci ha spinto a sviluppare due modellazioni alternative: la prima basata sui dati...

10. Unit root inference for non-stationary linear processes driven by infinite variance innovations - Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

11. Sieve-based inference for infinite-variance linear processes - Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

12. 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...

13. Exchange rate Inflation and Unemployment in East European Economies: the Case of Poland and Hungary - Golinelli, Roberto; Orsi, Renzo
The aim of this paper is to model the impact of exchange rate both inlation and unemployment variables in economics which are characterized by important structural changes, i.e. A transition phase moving from centralised economies towards market economies. This phenomeno, which is common to east european countries, stressed difefrent effects both for what concerns the behaviour of economic agents and for what concerns fiscal and monetary measures adopted by governments and aiming to keep under control the inflation-unemployment trade off. Time series relatioships between these variables are investigated within an econometric model. Economic theory and available data on the hypothetically...

14. Breves consideraciones acerca de la importancia de los árboles de decisión en el análisis de carteras - Riascos Hermoza, Julio Cesar
La cada vez más estrecha relación entre las ciencias y/o disciplinas no es ajena a la relación derivada en los últimos 50 años entre las ƒnanzas, la Econometría, la modelación estadística y los procesos de simulación computacional. El propósito de este artículo introductorio reside en exponer algunas breves consideraciones con respecto al potencial manejo de los árboles de decisión en la teoría ƒnanciera y particularmente como complemento al diseño de los tradicionales árboles de rentabilidad. El documento sugiere que la importancia atribuida a los árboles de rentabilidad así como el modelamiento de carteras propios de la teoría ƒnanciera debe ser complementada y aƒanzada por herramientas de simulación cuya aplicación...

15. Explaining diferences in labor market after the redesign of the Portuguese Labor Force Survey - Neves, David Leite das
Mestrado em Econometria Aplicada e Previsão

16. Modelling inflation in EU accession countries: the case of the Czech Republic, Hungary and Poland. - Golinelli, Roberto; Orsi, Renzo
Inflation in Central and East European countries varied considerably over the transition phase, and econometric relationships between prices, money, wages and exchange rates are said to have been unstable during this period. In order to shed some light on the issue, this paper analyses some empirical models of the inflation process in the three earliest east European transition economies: the Czech Republic, Hungary and Poland. In particular, we first look at inflation within the context of multivariate cointegration, where domestic and foreign price determinants are initially assessed in separate blocks (each single-theory based) in order to obtain a number of...

17. Disclosure of Personal Information under Risk of Privacy Shocks - 2nd ed - Feri, Francesco; Giannetti, Caterina; Jentzsch, Nicola
Breaches of the security of personal data collected by firms are reported almost daily. Companies are under an increasing political pressure to notify individuals whose privacy as been breached. At the moment, we know virtually nothing about the behavioral impact of data breach notifications. We present the results of an experimental study designed to investigate how breach notifications change the individual’s propensity to provide sensitive personal information to firms. In contrast to the theory (where breach notifications have no behavioral effect), our main result shows that notifications induce a sub-group of individuals to disclose less information to a firm, i.e. those with...

18. Women's Employment, Children and Transition: An Empirical Analysis on Poland - Bardasi, Elena; Monfardini, Chiara
The effect of transition from centrally planned to market economies on female employment is unclear a-priori. Many studies have pointed out that the emergence of labour markets created obstacles to but also new opportunities for women’s employment. A frequently mentioned potential explanation of the lower female participation during the transition period is represented by the reduction of childcare facilities, which created a major constraint on the participation of women with dependent children. However, we must not forget the effect of forces of opposite sign, first of all the household necessity of having two earners during the turbulent transition period. The aim of this paper is to give...

19. Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models - Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael
The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility process. The paper also checks the hypothesis of frictionless cross-market hedging, which implies perfectly correlated volatility changes, as suggested by Fleming et al. (1998). The paper uses the technique of Chesher (1984) in differentiating an integral that contains a degenerate density function in deriving...

20. Modelling volatility spillovers for bio-ethanol, sugarcane and corn - Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann
The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and agricultural commodities. There have been many papers concerned with analyzing crude oil and agricultural commodities separately. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal...

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