Mostrando recursos 181 - 200 de 212

  1. Testing exogeneity in the bivariate probit model: Monte Carlo evidence and an application to health economics

    Fabbri, Daniele; Monfardini, Chiara; Radice, Rosalba
    Many economic applications involve the modeling of a binary variable as simultaneously determined with one of its dycotomous regressors. In this paper we deal with a prominent health economics case study, that of cesarean section delivery utilization across public and private hospitals. Estimating the probability of cesarean section in a univariate framework neglecting the potential endogeneity of the hospital type dummy might lead to invalid inference. Since little is known about the exact sampling properties of alternative statistics for testing exogeneity of a dycotomous regressor in probit models, we conduct an extensive Monte Carlo experiment. Equipped with the simulation results we apply a comprehensive battery of tests to an Italian...

  2. Price vs quantity in a duopoly supergame with nash punishments

    Baldelli, Serena; Lambertini, Luca
    We examine the endogenous choice between price and quantity behaviour in a duopoly supergame with product differentiation. We find that (i) if cartel profits are evenly split between firms, then only symmetric equilibria obtains; (i) if instead the additional profits available through collusion are split according to the Nash bargaining solution, there are parameter regions where all subgame perfect equilibria are asymmetric, with firms colluding in price-quantity supergames.

  3. Non-linearity in the canadian and us labour markets: univariate and multivariate evidence from a battery of tests

    Panagiotidis, Theodore; Pelloni, Gianluigi
    The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates and the employment sectoral shares growth rates; construction, finance, manufacturing and trade. An AR(p) model was used to remove any linear structure from the series. Evidence of non-linearity is found for the sectoral shares with all five statistical tests in the US case but not in the aggregate level. The results for Canada are not so clear-cut. Evidence of unspecified non-linearity is found in the unemployment rate and in the sectoral shares. Overall important asymmetries are found in disaggregated labour market variables in the univariate setting. The linearity hypothesis was...

  4. The impact of sales promotions on store performance: a structural vector autoregressive (SVAR) approach

    Freo, Marzia
    The present paper analyses the impact of sales promotions on store performance, in the short and long term, from the retailer’s point of view. Relationships among promoted and regular sales in the hypermarkets of a large-scale retail chain of national importance, are investigated by means of a structural vector autoregressive model (SVAR). Statistically significant effects of sales promotions in the heavy household section on store sales are found in the short-run; these promotions produce additional sales and thus act as an attractive factor. Promotions in textile category, on the contrary, produce an immediate negative effect on net sales. In the long-run,...

  5. Il "capitale mancante" nel Mezzogiorno italiano

    Picci, Lucio
    Il confronto tra indici di infrastrutturazione basati sulla consistenza fisica degli stock, e misure derivate da stime degli stock ottenute per mezzo della tecnica dell’inventario permanente, permette di giudicare l’efficienza relativa di diverse unita’ territoriali nel trasformare risorse economiche in opere finite. Un’analisi di questo tipo sul capitale pubblico nelle regioni italiane, indica la presenza di un ampio divario tra il Nord e il Centro, piu’ efficienti, e il Mezzogiorno.

  6. Lo Stock di Capitale nelle Regioni Italiane

    Picci, Lucio
    In questo lavoro si descrive la costruzione di una base di dati dello stock di capitale, sia privato che pubblico, nelle regioni italiane. Il capitale privato e’ calcolato utilizzando come riferimento una ripartizione regionale dello stock aggregato per l’anno 1981. Le stime per gli altri anni, dal 1970 al 1991, si ottengono ripartendo le variazioni dello stock aggregato in base all’andamento degli investimenti regionali. Il capitale pubblico e’ calcolato con la tecnica dell’inventario permanente. L’investimento pubblico aggregato e’ ripartito per regione e per tipologia di bene utilizzando i dati contenuti nella pubblicazione annuale dell’ISTAT "Opere Pubbliche". Si ottengono cosi’ delle...

  7. Productivity and Infrastructure in the Italian Regions

    Picci, Lucio
    We address the issue of whether public infrastructure play an important role in determining factor productivity in Italy, and we show that the evidence is mixed. Public capital is significant in explaining output in most cases. However, whenthe attention is drawn on the long-run properties of the data, or when care is taken to rule out contemporaneous short-run effects, then public capital results to be either non-significant, or significant but of negligible importance. Weconclude that the influence of infrastructure on output is probably due, to a great extent, to short-run demand-side phenomena.

  8. International Business Cycle: Does Trade Matter?

    Picci, Lucio
    This paper addresses the question of whether trade interdependencies are significant in explaining the international synchronization of business cycles, or "international business cycles". Using an econometric framework that combines the concept of separate cointegration (Granger an Konishi, 1992) with that of common feature analysis (Engle and Kozicki, 1993; Vahid and Engle, 1993), we are able to formulate meaningful ways of characterizing the links between trade flow dynamics and international output dynamics. We conclude that trade interdependencies do have an effect in explaining the international business cycle.

  9. Fatti stilizzati e metodi econometrici «moderni»: una rivisitazione 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.

  10. 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...

  11. Lo stock di capitale nelle regioni italiane

    Bonaglia, Federico; Picci, Lucio
    L'interesse per lo studio delle dinamiche economiche regionali è stato a lungo ostacolato dalla carenza di dati utilizzabili. In questo lavoro si descrive la costruzione di una banca dati dello stock di capitale, sia privato che pubblico, nelle regioni italiane. Entrambi sono costruiti con la tecnica dell'inventario permanente. Il capitale privato - disponibile dal 1970 al 1995 per tre tipologie di beni è costruito utilizzando le serie degli investimenti fissi per branca utilizzatrice dell'industria, ottenute a partire da dati di diversa provenienza. L'investimento pubblico aggregato è ripartito per regione e per tipologia di bene utilizando i dati contenuti nella pubblicazione...

  12. Is financial leverage mean-reverting? Unit root tests and corporate financing models

    Bontempi, Maria Elena; Golinelli, Roberto
    In this paper we use the unit root test at both individual company (Dickey-Fuller) and panel (Im-Pesaran-Shin) level, in order to provide some quantitative evidence of the univariate behaviour of Italian companies’ debt-ratio. If it is mean-reverting, then at least a share of companies are going to behave according to the trade-off model, whereas if it is non-stationary, then companies may behave according to pecking order theory. Individual company test results support the pecking order theory in the case of more than 80% of firms, while the panel test rejects the unit root null. These contradictory results can be explained...

  13. 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...

  14. Proposal for a New Measure of Corruption, and Tests using Italian Data

    Golden, Miriam A.; Picci, Lucio
    Standard crossnational measures of corruption draw on information collected through surveys. We propose a novel alternative measure based on objective data, namely, the difference between a measure of the physical quantities of public infrastructure and a measure of the value of public capital stocks. Where the difference between the value of existing infrastructure and the actual physical infrastructure is larger, more money is being siphoned off in mismanagement, fraud, bribes, kickbacks, and embezzlement; that is, corruption is greater. We create this measure for Italy's 20 regions as of the mid-1990s, controlling for possible regional differences in the costs of public...

  15. Los modelos de equilibrio general estocástico y el tipo de cambio

    Jiménez Martín, Juan Ángel
    Una parte muy importante de la investigación en economía financiera inernacional se ha dedicado a explicar el comportamiento del tipo de cambio. A partir de los años 80, Lucas (1978,1982), Helpman y Razin (1979,1982) y Stockman (1980,1983,1987) implementan los modelos de equilibrio dinámicos como herramienta para analizar teóricamente algunos de los problemas más relevantes que se estaban produciendo en los mercados de divisas, sobre todo, los relacionados con los posibles efectos de la política económica sobre este mercado. Las extensiones a esta formulación han ido en la línea de Svensson (1985), y Grilli y Roubini (1992). Este enfoque se ha...

  16. La emancipación juvenil : un análisis estadístico aplicado a la comunidad de Madrid

    Hernández March, Julio
    El objeto de esta tesis es el estudio de los factores que, en el período 1966-91, han intervenido en la emancipación de los jóvenes de la Comunidad de Madrid, entendiendo por tal el abandono definitivo del hogar paterno. Dichos factores se integran en siete grupos distintos, a saber: características demográficas, composición de la familia, nivel socioeconómico de la familia, nivel de formación y actividad económica del joven, situación económica de la región en estudio y destino de la emancipación. Por otro lado, el período de edad analizado ha sido desde los 15 hasta los 34 años distinguiendo, a su vez,...

  17. La renta regional en España : análisis y estimación de sus determinantes

    Alañón Pardo, Ángel
    La concentración y la distribución de los recursos y de los agentes económicos en el espacio juegan un papel importante en el proceso de generación de renta. En esta tesis se estima un modelo explicativo de la renta per cápita en función de variables que dan cuenta de dicha concentración y distribución, o variables territoriales, y de variables convencionales no territoriales. La contrastación se lleva a cabo para tres niveles de agregación territorial distintos y referidos al conjunto del territorio español: provincias, comarcas y municipios. Dado que ni a nivel comarcal ni municipal existen cifras de renta se realiza una...

  18. Contrastes de raíces unitarias y cointegración con datos atípicos y cambios estructurales : soluciones en muestras finitas

    Arranz Cuesta, Miguel Ángel
    En la Tesis se analizan los problemas que la presencia de observación atípicas y cambios estructurales plantean para la contrastación de raíces unitarios y cointegración en las series temporales. En el caso de que tengamos observaciones atípicas aditivas la solución propuesta es la aplicación de los contrastes al componente tendencial obtenido tras aplicar filtros de tipo pasa-baja combinado con metodología bootstrap. La solución a los problemas de cambios estructurales con algún tipo de co-ruptura parcial en variables cointegradas es la utilización de modelos ECM extendidos, también con bootstrap. Si no hay cambios estructurales, sino sólo observaciones atípicas aditivas, se aplica...

  19. Observaciones anómalas en modelos de variable dependiente cualitativa

    Serrano García, Gregorio R
    En este trabajo se estudian los problemas que aparecen en los modelos de variable dependiente cualitativa cuando, entre la muestra, se encuentra una proporción de observaciones generadas por un proceso estocástico distinto que para el resto. Se demuestra que la consecuencia de la presencia de datos anómalos es la inconsistencia del estimador máximo- verosímil. Por otro lado, se cuestiona el tratamiento dado en la literatura a este problema, derivando estadísticos de influencia adecuados a modelos de elección cualitativa. Todos los resultados teóricos desarrollados se ilustran tanto con experimentos de Montecarlo, como con aplicaciones a datos reales

  20. Evaluacion y maximización de la función de verosimilitud de procesos arma multivariantes : Evaluacion y maximizacion de la funcion de verosimilitud de procesos arma multivariantes

    Mauricio Arias, José Alberto
    Se estudian por separado los problemas de la evaluación y posterior maximización de la función de verosimilitud de procesos ARMA multivariantes. Se proponen tanto un nuevo algoritmo para evaluar dicha función, que tiene ciertas ventajas sobre los procedimientos disponibles actualmente para tal fin, como una posible forma de maximizarla. Combinando ambos procedimientos, se obtiene un nuevo algoritmo para estimar por máxima verosimilitud procesos ARMA multivariantes, cuyo funcionamiento en la práctica se contrasta mediante un amplio conjunto de ejercicios de estimación, en situaciones simuladas y con datos económicos reales. Los resultados sugieren un buen funcionamiento de los métodos propuestos, en general,...

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