Mostrando recursos 1 - 20 de 1.631

  1. ECONOMETRIE DES SERIES TEMPORELLES

    Hamisultane, Hélène
    Licence

  2. Testing Exogeneity in Overidentified Models

    Capuccio, Nunzio; Orsi, Renzo
    In this paper we analyze the consequences of model overidentification on testing exogeneity, when maximum likelihood technique for estimation an inference are used. This situation is viewed as a particular case of the more general problem of considering how restrictions on "nuisance" parameters could help in making inference on the parameters of interest. At first general model is considered. A suitable likelihood function factorization is used which permits to easily derive the information matrix and other tools useful for constructing hoint tests for exogeneity and overidentifying restrictions both of Wald and Lagrange Multiplier type. The asymptotic local power of the...

  3. Formulazione empirica di ipotesi teoriche e loro valutazione econometrica

    Gambetta, Guido; Orsi, Renzo
    Nel commentare l'attribuzione del premio Nobel per l'economia a Trygve Haavelmo, quasi tutti i giornali italiani riportavano la frase "per aver dimostrato come le teorie economiche possano essere provate". Così nonostante le cautele e le smentite degli econometrici sulla capacità della disciplina di raggiungere questo ambizioso obiettivo, sembra che la valutazione empirica delle teorie economiche sia ancora il risultato che renda l'econometria degna di nota.

  4. Aggregazione, separabilita' e verifica delle ipotesi di base del modello neo-classico

    Gardini, Attilio
    In questo lavoro saranno analizzate le caratteristiche delle funzioni di domanda dei prodotti alimentari e misurate le elasticità di sostituzione e le elasticità di reddito al fine di valutare la conformità della teoria economica del comportamento del consumatore rispetto all'evidenza statistica.

  5. Une introduction à la micro-économétrie de l'évaluation

    Legendre, François
    International audience

  6. Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

    Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting
    There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical,...

  7. An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

    Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun
    It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not...

  8. Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

    Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael
    The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of the previous research has sought to find a relationship among commodity prices....

  9. Remesas, crecimiento y convergencia regional en México: aproximación con un modelo panel-espacial

    Mendoza González, Miguel Angel; Valdivia López, Marcos
    Mexico receive flow of remittances similar to those depicted by the flow of foreign direct investment. The central purpose of this paper is to discuss weather remittances are a significant factor to promote regional economic growth. This research shows that remittances contribute to the growth of GDP per capita when heterogeneity and spatial dependence are taking into account. These two spatial components are introduced in the analysis by implementing a standard convergence growth model under spatial econometric methods of panel data at state level for the 2001-2010 period.

  10. Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

    Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong
    The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are...

  11. Un modello di Markow per l'analisi del mercato del lavoro

    Pastorello, Sergio
    Le inchieste nazionali sulla situazione del mercato del lavoro forniscono di solito osservazioni in tempo discreto. Gli individui vengono intervistati in corrispondenza di date distinte, per ognuna delle quali si conosce la loro posizione sul mercato (occupati, disoccupati), ma nulla è noto di quanto si è osservato fra le date di osservazione. Con questi dati non è possibile stimare modelli di durata multi-stato ed è necessario ricorrere a strumenti statistici fondati sulla classe dei processi markoviani omogenei in tempo continuo. Questo articolo applica un tale approccio a dati provenienti dalla Rilevazione Trimestrale sulle Forze di Lavoro, relativi alla regione Lombardia...

  12. Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country

    García-Enríquez, Javier; Universidad del País Vasco; Murillas-Maza, Arantza; AZTI. Unidad de Investigación Marina.; Arteche, Josu; Dpto. Economía Aplicada III (Econometría y Estadística) University of the Basque Country UPV/EHU.
    This paper analyses the activity of the Basque fleet during the mackerel fishing season and presents an economic analysis of the equilibrium of this fishery. It seeks to determine whether its economic structure represents an internal factor explaining the fishermen’s behaviour. The inverse demand function and the average cost function are therefore estimated. Moreover, the analysis conducted here also takes into account the institutional dimension by factoring in current fishery regulation measures. Conclusions are drawn as to whether the incentives provided by the management measures and the strategy of fishermen are optimal on the basis of the estimated economic functions.

  13. Sull'uso dei test in econometria

    Orsi, Renzo
    Si presentano le diverse utilizzazioni dei test in econometria e si considerano le critiche che ad essi vengono rivolte, in particolare con riguardo alle proprietà statiche di tali procedure. Viene precisato il concetto di replicazione in econometria, cercando di motivare perchè esso non venga utilizzato nei lavori di econometria applicata. Vengono precisate le relazioni esistenti tra la teoria economica e i dati empirici, in considerazione del fatto che la prima non si applica direttamente ai dati ma tra essa e i secondi si colloca il modello empirico. Al fine di tenere conto della natura non sperimentale dei dati economici viene...

  14. Paralelización de aplicaciones econométricas que requieren estimación de los modelos de elección discreta

    Trigila, Mariano; Di Pasquale, Ricardo
    En las últimas dos décadas, el uso eficiente del hardware para aplicaciones científicas fue creciendo en dificultad. Además, muchas de estas aplicaciones requieren mejorar el rendimiento del procesamiento y tratar datos masivos. Estos son sistemas complejos de implementar y en especial para aquellos que no son especialista en computación. Es necesario desarrollar e implementar abstracciones de programación de alto nivel que permitan modelos de programación simples de usar. Las aplicaciones econométricas que requieren modelos de elección discreta son aplicaciones de este tipo. En este proyecto, se aplicarán las metodologías para crear abstracciones de programación de alto nivel para extender el framework R, para...

  15. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  16. Modelos de desarrollo y sistemas de gestión pública: el SNIP peruano, 2000-2014

    Alegría Varona, Gonzalo Ricardo
    Esta Tesis tiene dos partes. La Primera Parte es Teórica y Metodológica y trata de la actual crisis de paradigma en las Ciencias Sociales, y de cómo se puede remontar con la Teoría del Pensamiento Complejo, siempre que sus propuestas se centren en modelos empíricos de Análisis de Redes Sociales debidamente matematizados y estadísticamente refrendados. La propuesta del tesista propone enriquecer el actual homo economicus, incorporando la importancia de las relaciones con el grupo (coactivas, coercitivas o motivacionales), a través de un nuevo objeto de estudio: los Proyectos. Es mediante los Proyectos, donde los individuos y los grupos en los...

  17. Metodologías de medición del riesgo de mercado♦

    John Jairo Salinas Ávila
    El riesgo financiero puede ser definido como la volatilidad de los resultados esperados. En particular, el riesgo de mercado se refiere a la posibilidad de sufrir pérdidas en los mercados financieros. Hasta el momento, se han propuesto en la literatura numerosas metodologías para medir el riesgo de mercado, aunque la inmensa mayoría de estas son variantes de tratamientos estadísticos paramétricos y no paramétricos. Merece destacar entre los primeros el método de varianzas-covarianzas y el de simulación Montecarlo, y entre los segundos el método de simulación histórica. El propósito de este artículo es realizar una valoración de las tres metodologías anteriores,...

  18. Price-Wage Dynamics is A Transition Economy: The Case of Poland

    Golinelli, Roberto; Orsi, Renzo
    In this paper we analyse the wage price relationship of an economy in transition characterized by important structural changes. It is known (see Perron 1989) that structural breaks in stationary time series can induce apparent unit roots. The stationarity analysis of the series employed in the present model is conducted jointly with the assumption that the breakpoint location is unknown. We follow a testing procedure recently proposed by Zivot and Andrews (1992). Cointegration analysis of wages and prices in presence of structural breaks permits to find empirical evidence in favour of two cointegration vectors involving prices and wages. Our analyses...

  19. Una aproximación hedónica al efecto de las preferencias por segregación en el precio del suelo urbano en Bogotá

    Leonardo Santana Viloria; Liliana Núñez Camargo
    El valor del suelo urbano se fija en función de variables de localización y entorno, pues su precio aumenta en la medida en que exista mayor acceso a vías principales, centros de comercio y servicios urbanos. Sin embargo, la búsqueda de distinción, expresada como preferencia por segregación socioeconómica, es otra variable que tiene incidencia en este valor. El presente artículo busca comprobar que esta preferencia es una variable significativa en la determinación del valor del suelo urbano residencial, usando la distancia a estratos socioeconómicos como una variable proxy de la preferencia por segregación, y estimando un modelo hedónico con herramientas...

  20. 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...

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