Mostrando recursos 121 - 140 de 299

  1. Volatility, Jumps and Predictability of Returns: a Sequential Analysis

    Bordignon, Silvano; Raggi, Davide
    In this paper we propose a sequential Monte Carlo algorithm to estimate a stochastic volatility model with leverage effects and non constant conditional mean and jumps. We are interested in estimating the time invariant parameters and the non-observable dynamics involved in the model. Our idea relies on the auxiliary particle filter algorithm mixed together with Markov Chain Monte Carlo (MCMC) methodology. Adding an MCMC step to the auxiliary particle filter prevents numerical degeneracies in the sequential algorithm and allows sequential evaluation of the fixed parameters and the latent processes. Empirical evaluation on simulated and real data is presented to assess...

  2. La econometría aplicada al conocimiento educativo

    de Ibarrola, María

  3. Households Forming Inflation Expectations: Who Are the 'Active' and 'Passive' Learners?

    Easaw, Joshy; Golinelli, Roberto
    Recent research has established that households learn from professional forecasters as they form their inflation expectations. Professionals forecasts are transmitted, or ‘absorbed’, throughout the population slowly but eventually. This provides the microfoundations for ‘sticky information expectations’. The present paper considers whether absorption rates take place heterogeneously amongst households. We consider whether various segments of the population absorb the professional’s forecasts at different rates. Using a unique survey-based dataset covering various segments of the UK population we identify ‘active’ and ‘passive’ learners in the population. ‘Active’ and ‘passive’ learners are identified and distinguished by their respective absorption rates. The present analyses also consider...

  4. Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S.

    Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide
    This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence.

  5. Long memory and nonlinearities in realized volatility: a Markov switching approach

    Bordignon, Silvano; Raggi, Davide
    Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In particular, we propose a model that simultaneously captures long memory and nonlinearities in which level and persistence shift through a Markov switching dynamics. We consider an efficient Markov chain Monte Carlo (MCMC) algorithm to estimate parameters, latent process and predictive densities. The insample results show that both long memory and nonlinearities are significant and improve the description of the data. The out-sample results at several forecast horizons, show that introducing these nonlinearities produces superior forecasts over those obtained from nested models.

  6. The last fifteen years of stagnation in Italy: A Business Cycle Accounting Perspective

    Orsi, Renzo; Turino, Francesco
    In this paper, we investigate possible sources of declining economic growth performance in Italy starting around the middle of the ’90s. A long-run data analysis suggests that the poor performance of the Italian economy cannot be ascribed to an unfortunate business cycle contingency. The rest of the euro area countries have shown better performance, and the macroeconomic data show that the Italian economy has not grown as rapidly as these other European economies. We investigate the sources of economic fluctuations in Italy by applying the Business Cycle Accounting procedure introduced by Chari, Kehoe and McGrattan (2007). We analyze the relative...

  7. ¿Adónde va la ciencia política? Reflexiones sobre la afirmación del profesor Sartori de que «la ciencia política estadounidense no va a ningún lado»

    Laitin, David D.
    La ciencia política sigue siendo una disciplina joven, pero la investigación dentrode ella se ha solidificado en un conjunto de programas bien definidos que ha involucradoa una comunidad internacional de estudiosos. Aquí identificaré tres de esos programasa fin de mostrar la constante vitalidad intelectual de la disciplina. Primero, en teoríanormativa, los politólogos están desarrollando las implicaciones de la Teoría de la justiciade John Rawls (1971) en un programa que ha revitalizado el liberalismo para que tengaen cuenta temas políticos importantes de nuestro tiempo. Segundo, en un programaque alguna vez estuvo insertado de manera burocrática en la «Política Estadounidense»(American Politics), los...

  8. Satisfação e valor do recreio balnear

    Morais, Diogo Gonçalo Lima
    Dissertação de Mestrado, Ciências Económicas e Empresariais, 11 de Dezembro de 2015, Universidade dos Açores.

  9. On Intergenerational Transmission of Reading Habits in Italy: Is a Good Example the Best Sermon?

    Mancini, Anna Laura; Monfardini, Chiara; Pasqua, Silvia
    We use the last two waves of the Italian Time Use Survey to analyse the intergenerational transmission of reading habits. This can be explained by both cultural and educational transfers from parents to children and by imitative behaviour. Imitation is of particular interest, since it suggests the direct influence parents can have on a child’s preference and habit formation, and opens the way for active policies promoting good parenting behaviour. We investigate the imitative behaviour of children using a household fixed-effects model, where we identify the impact of the parents’ role by exploiting the different exposure of siblings to parents’...

  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. Aplicación de la econometría espacial para el análisis de la miseria en los municipios del departamento de Antioquia

    Torres, Gabriel Agudelo; Franco Ceballos, Luis Eduardo; Franco Arbeláez, Luis C.
    This article proves the existence of a spatial correlation when considering the per­centage of people living in extreme poverty in the municipalities of the Antioquia department. For thisp urpose, a Moran I test is used and an algorithm is proposed in order to discard the possibility of a spurious spatial dependency. Results prove that spatial econometrics must be bared in mind for an optima allocation of social expenditure, destined to effectively intervene extreme poverty in the Antioquia department..

  12. Building a Structural Model: Parameterization and Structurality

    Mouchart, Michel; Orsi, Renzo
    A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when considering alternative parameterizations of a same model are shown to have lead to ungrounded conclusions in the literature. Discussion of observationally equivalent models related to different economic mechanisms are used to make clear the connection between an economicall meaningful parameterization and an economically meaningful decomposition of a complex model. The design of economic policy is used for drawing some...

  13. 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...

  14. Économétrie spatiale appliquée des microdonnées

    Dubé , Jean; Legros , Diego
    220 pages

  15. L’analyse de la criminalité à Chicago : de nouvelles perspectives offertes par l’économétrie spatiale à une question ancienne

    Delbecq , Benoît; Guillain , Rachel; Legros , Diego
    International audience

  16. Matrices de pondérations et contexte spatio-temporel en économétrie spatiale

    Dubé , Jean; Baumont , Catherine; Legros , Diego
    International audience

  17. Économétrie spatiale des effets environnementaux et sociaux des mesures de développement rural de la politique agricole commune

    Dupraz , Pierre; Desjeux , Yann; Latruffe , Laure; Cahuzac , Eric; MAIGNE , Elise
    absent

  18. Determinación de la escala mínima eficiente en la provisión de bienes públicos locales. Evidencia para los municipios españoles

    Hortas Rico, Miriam; Salinas Peña, Paula
    escala mínima eficiente, gasto público local, asociación de municipios, econometría espacial

  19. Econométrie et données spatiales - Une introduction à la pratique

    Jayet , Hubert
    International audience

  20. Econométrie et données spatiales - Une introduction à la pratique

    Jayet, Hubert
    International audience

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