Mostrando recursos 181 - 200 de 288

  1. Unconditional and Conditional Quantile Treatment Effect: Identification Strategies and Interpretations A

    Fort, Margherita
    This paper reviews strategies that allow one to identify the effects of policy interventions on the unconditional or conditional distribution of the outcome of interest. This distiction is irrelevant when one focuses on average treatment effects since identifying assumptions typically do not affect the parameter's interpretation. Conversely, finding the appropriate answer to a research question on the effects over the distribution requires particular attention in the choice of the identification strategy. Indeed, quantiles of the conditional and unconditional distribution of a random variable carry a different meaning even if identification of both these set of parameters may require conditioning on...

  2. Information and Learning in Oligopoly: an Experiment

    Bigoni, Maria; Fort, Margherita
    This paper presents an experiment on learning in repeated games, which complements the analysis of players' actual choices with data on the information acquisition process they follow. Subjects play a repeated Cournot oligopoly, with limited a priori information. The econometrics hinges on a model built upon Experience Weighted Attraction learning, and the simultaneous analysis of data on the information gathered and on actions taken by the subjects. Results suggest that learning is a composite process, in which different components coexist. Adaptive learning emerges as the leading element, but when subjects look at the strategies individually adopted by their competitors they tend to imitate...

  3. Contagio financiero entre economías: análisis exploratorio desde la econometría: caso Colombia-Estados Unidos

    Meneses Cerón, Luis Ángel; Macuacé Otero, Ronald Alejandro

  4. Inflation expectations in Spain: The Spanish PwC Survey

    Ramos-Herrera, María del Carmen; Sosvilla-Rivero, Simón
    We examine the predictive ability, the consistency properties and the possible driving forces of inflation expectations, using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. When analysing the headline inflation rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9, improving when it comes to predict the core inflation rate. Nevertheless, the results indicate that predictions made by survey participants are neither unbiased nor efficient predictors of future inflation rates, regardless of the measures of inflation used. As for the consistency properties of the inflation...

  5. Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing

    Asai, Manabu; McAleer, Michael
    The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of the AMWSV models. The paper also suggests estimating the AMWSV model by the generalized method of moments using information not only of stock prices but also of realized volatilities and covolatilities. The empirical results for the bivariate data of the NASDAQ 100 and S&P 500 indices show that the general AMWSV model is preferred among several nested models.

  6. Exploiting infinite variance through Dummy Variables in non-stationary autoregressions

    Cavaliere, Giuseppe; Georgiev, Iliyan
    We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out large innovations, i.e., exceeding a given threshold. These estimators reflect the common practice of dealing with large residuals by including impulse dummies in the estimated regression. Iterative versions of the dummy-variable estimator are also discussed. We provide conditions on the preliminary parameter estimator and on the threshold which ensure that (i) the dummy-based estimator is consistent at higher rates than the OLS estimator, (ii) an asymptotically normal test statistic for the unit root...

  7. Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

    Jaskowski, Marcin; McAleer, Michael
    Credit risk models should reect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where marginal utilities are high. Although the negative correlation between recovery rates and default probabilities is well documented, the majority of pricing models does not allow for correlation between the two. In this paper, we propose a relatively parsimonious reduced-form continuous time model that estimates expected recovery rates and default probabilities from the term structure of CDS...

  8. O Software open source como instrumento pedagógico: aplicação prática à econometria e à matemática

    Nunes, Alcina; Balsa, Carlos
    Em co-autoria com Alcina Nunes do Departamento de Economia e Gestão.

  9. A influência das tecnologias de informação e de comunicação na procura turística: uma abordagem com dados em macro panel

    Ramos, Célia M. Q.
    Tese de Doutoramento em Métodos Quantitativos Aplicados à Economia e à Gestão, Especialização em Econometria, Universidade do Algarve

  10. Análise e monitorização do ciclo económico português: uma abordagem centrada no método de Kalman

    Guerreiro, Raul Filipe
    Tese de dout., Métodos Quantitativos Aplicados à Economia e à Gestão (Econometria), Faculdade de Economia, Univ. do Algarve, 2010

  11. Studies in economics : a volume in memory of Lluís Nicolau d'Olwer and Manuel Reventós i Bordoy on the occasion of the first centenary of their birth = Estudios de economía política, hacienda pública, econometría, economía de la empresa e historia de las doctrinas y de los hechos económicos en homenaje a Lluís Nicolau d'Olwer y Manuel Reventós i Bordoy por el primer centenario de su nacimiento /

    Peláes, Manuel J., 1952-; Reventós, Manuel, 1889-1942.; Nicolau d'Olwer, Lluís, 1888-1961.; "Ferran Valls i Taberner's Library." Archive.
    Includes bibliographical references.

  12. Sobrepeso y obesidad en Argentina: un análisis basado en técnicas de econometría espacial

    Viego, Valentina; Temporelli, Karina Luján
    According to World Health Organization obesity has become a global epidemic. Its increasing prevalence is leading to a greater incidence of associated diseases, with a significant impact on health costs and a decline in life quality. This problem is especially important in low-income households whose members often suffer a double burden of disease arising from the coexistence of obesity and malnutrition. In this paper we analyze the results from the Risk Factors National Survey relating the prevalence of obesity and overweight in Argentinean provinces with socioeco-nomic determinants based on a spatial regression model.

  13. Bootstrap determination of the co-integration rank in VAR models

    Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert
    This paper discusses a consistent bootstrap implementation of the likelihood ratio [LR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates of the underlying VAR model which obtain under the reduced rank null hypothesis. A full asymptotic theory is provided which shows that, unlike the bootstrap procedure in Swensen (2006) where a combination of unrestricted and restricted estimates from the VAR model is used, the resulting bootstrap data are I(1) and satisfy the null co-integration rank, regardless of the true rank. This ensures that the bootstrap LR...

  14. Crecimiento, convergencia y espacio en las regiones chilenas: 1960-1998

    Aroca, Patricio; Bosch, Mariano
    El objetivo de este trabajo es investigar la popular hipotesis de convergencia en el proceso de crecimiento economico en Chile. Usando herramientas de la econometria espacial, replicamos la mayoria de los resultados de la literatura previa sobre el tema para Chile. Sin embargo, encontramos nueva evidencia que muestra que en la ultima decada, la de mayor crecimiento del pais, el proceso de crecimiento no ha sido convergente, desde el punto de vista de cohesion regional. Los resultados revelan una alta y creciente concentracion espacial del PIBpc regional. Ademas, dos �gclusters�h espaciales regionales son detectados para esa misma variable, indicando que el desarrollo economico de Chile puede estar segmentando espacialmente...

  15. The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis

    Sosvilla-Rivero, Simón; Ramos-Herrera, María del Carmen
    This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)’s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality running one-way from bond yield differentials to the exchange rate, but not the other way around.

  16. Robust identification conditions for determinate and indeterminate linear rational expectations models

    Fanelli, Luca
    It is known that the identifiability of the structural parameters of the class of Linear(ized) Rational Expectations (LRE) models currently used in monetary policy and business cycle analysis may change dramatically across different regions of the theoretically admissible parameter space. This paper derives novel necessary and sufficient conditions for local identifiability which hold irrespective of whether the LRE model as a determinate (unique stable) reduced form solution or indeterminate (multiple stable) reduced form solutions. These conditions can be interpreted as prerequisite for the likelihood-based (classical or Bayesian) empirical investigation of determinacy/indeterminacy in stationary LRE models and are particular useful for...

  17. Determinacy, Indeterminacy and Dynamic Misspecification in Linear Rational Expectations Models

    Fanelli, Luca
    This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model has a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). Under a proper set of identification restrictions, determinacy is investigated by a misspecification-type approach in which the result of the overidentifying restrictions test obtained from the estimation of the LRE model through a version of generalized method of moments is combined with the result of a likelihood-based test for the cross-equation restrictions that the LRE places on its finite order reduced form under determinacy. This approach (i) circumvents...

  18. Examen de Econometría I del 2010-1s de la 2° evaluación

    Rojas Dávila, Muman Andrès
    Examen de ECONOMETRIA I del 2010-1S de la 2° Evaluación

  19. Examen de Econometría II del 2010-1s de la 2° evaluación

    Campuzano Sotomayor, Juan Carlos
    Examen de ECONOMETRIA II del 2010-1S de la 2° Evaluación

  20. Examen de Econometría I del 2010-1s de la 1° evaluación

    Rojas Dávila, Muman Andrès
    Examen de ECONOMETRIA I del 2010-1S de la 1° Evaluación

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