Mostrando recursos 261 - 280 de 367

  1. Estimation économétrique des coûts de production agricole

    Desbois, D.
    Session 6 : Econométrie et estimation

  2. Correcting for attrition in panel data using inverse probability weighting : an application to the european bank system

    Afonso, Lutcy Menezes
    Mestrado em Econometria Aplicada e Previsão

  3. Size, Trend, and Policy Implications of the Underground Economy

    Orsi, Renzo; Raggi, Davide; Turino, Francesco
    We study the underground economy in a dynamic and stochastic general equilibrium framework. Our model combines limited tax enforcement with an otherwise standard two-sector neoclassical stochastic growth model. The Bayesian estimation of the model based on Italian data provides evidence in favor of an important underground sector in Italy, with a size that has steadily increased over the whole sample period. We show that this pattern is due to a persistent increase in taxation. Fiscal policy experiments suggest that a moderate tax cut, along with a stronger effort in the monitoring process, causes a sensitive reduction in the size of...

  4. 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...

  5. A procura de gasolina em Portugal no período 1960-2008 : cálculo das elasticidades de curto e longo prazo

    Fonseca, Ricardo Jorge Medeiros
    Dissertação de Mestrado em Ciências Empresariais.

  6. Modelação do interesse de vídeos de música medido pelo número de procuras na internet via Google Trends

    Lima, Maria Mabel de Barros
    Mestrado em Econometria Aplicada e Previsão

  7. Assimetrias nos ciclos económicos : modelação não linear do PIB de alguns países

    Zsurkis, Gabriel Florin
    Mestrado em Econometria Aplicada e Previsão

  8. Semelhanças entre análise de variância com classificação simples e análise de regressão com variáveis dummy

    Valle, Patrícia Oom do; Rebelo, Efigénio
    Na sua abordagem aos procedimentos de análise da variância e covariância, os manuais de estatística limitam-se a proporcionar uma descrição mais ou menos extensiva destas técnicas, sem referir que os seus objectivos podem ser alcançados mediante a especificação de modelos de regressão linear com uma ou mais variáveis dummy. Do mesmo modo, alguns manuais de econometria referem, quanto muito, que um modelo de regressão linear que apenas considere regressores dummy pode ser encarado como um modelo de análise de variância enquanto que um modelo de regressão que combine regressores dummy com regressores quantitativos pode ser entendido como um modelo de análise de covariância....

  9. Análisis econométrico de los precios en los mercados agrícolas y energéticos: un enfoque GARCH desde una perspectiva global

    Riotorto Vicente, Victoria
    [Resumen] El crecimiento continuo de las necesidades globales de energía y el desarrollo de los mercados de futuros en los últimos años es un hecho conocido. El objetivo de este trabajo es responder a las siguientes cuestiones: 1) ¿Son las variables macroeconómicas significativas a la hora de explicar los precios en los mercados energéticos y no energéticos? 2) ¿Es la especulación financiera relevante en estos mercados? 3) ¿Existen relaciones significativas entre los precios de las diferentes commodities? Para responderlas se analizan los precios de tres commodities energéticas (crudo de petróleo, carbón y gas natural) y cinco commodities no energéticas (maíz,...

  10. Impacto de meios electrónicos de pagamento sobre as notas e moedas em circulação : o caso de Moçambique

    Arone, Samuel Garicai
    Mestrado em Econometria Aplicada e Previsão

  11. pca2: implementing a strategy to reduce the instrument count in panel GMM

    Bontempi, Maria Elena; Mammi, Irene
    The problem of instrument proliferation and its consequences (overfitting of the endogenous explanatory variables, biased IV and GMM estimators, weakening of the power of the overidentification tests) are well known. This paper introduces a statistical method to reduce the instrument count. The principal component analysis (PCA) is applied on the instrument matrix, and the PCA scores are used as instruments for the panel generalized method-of-moments (GMM) estimation. This strategy is implemented through the new command pca2.

  12. ICT and Non-ICT investments: short and long run macro dynamics

    Bacchini, Fabio; Bontempi, Maria Elena; Golinelli, Roberto; Jona Lasinio, Cecilia
    In this paper, we model business investment distinguishing between ICT (communication equipment, hardware and software) and Non-ICT (machinery and equipment, and nonresidential buildings) components and taking into account asset specific characteristics potentially affecting the reactivity of capital accumulation over the business cycle. Business investment and ICT and Non-ICT assets are estimated within a VECM model to test, in a unique framework, the assumptions of the flexible accelerator model (Clark, 1944, and Koyck, 1954) and of the neoclassical model of Hall and Jorgenson (1967), as well as how financial constraints and uncertainty influence investment behaviour (Hall and Lerner, 2010, and Bloom, 2007)....

  13. Do Households Anchor their Inflation Expectations? Theory and Evidence from a Household Survey

    Easaw, Joshy; Golinelli, Roberto; Malgarini, Marco
    The purpose of the present paper is to study how households form inflation expectations. Using a novel survey-base dataset of Italian households’ opinions of inflation we investigate two separate, but related, types of behavior: ‘inattentiveness’ and ‘anchoring’. The present analysis extends the existing literature by incorporating explicitly inflation targets and distinguishing between aggregate and disaggregate dynamics based on demographic groups. In addition, we extend the literature by considering both the short- and long-run dynamics as households update their inflation expectations while also accounting for their state-varying behavior. All these issues provide important insights into understanding actual inflation dynamics and the...

  14. A strategy to reduce the count of moment conditions in panel data GMM

    Bontempi, Maria Elena; Mammi, Irene
    The problem of instrument proliferation and its consequences (overfitting of endogenous variables, bias of estimates, weakening of Sargan/Hansen test) are well known. The literature provides little guidance on how many instruments is too many. It is common practice to report the instrument count and to test the sensitivity of results to the use of more or fewer instruments. Strategies to alleviate the instrument proliferation problem are the lag-depth truncation and/or the collapse of the instrument set (the latter being an horizontal squeezing of the instrument matrix). However, such strategies involve either a certain degree of arbitrariness (based on the ability and...

  15. Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?

    Geraci, Andrea; Fabbri, Daniele; Monfardini, Chiara
    We study a simple exogeneity test in count data models with possibly endogenous multinomial treatment. The test is based on Two Stage Residual Inclusion (2SRI). Results from a broad Monte Carlo study provide novel evidence on important features of this approach in nonlinear settings. We find differences in the finite sample performance of various likelihood-based tests under correct specification and when the outcome equation is misspecified due to neglected over-dispersion or non-linearity. We compare alternative 2SRI procedures and uncover that standardizing the variance of the first stage residuals leads to higher power of the test and reduces the bias of...

  16. The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time

    Girardi, Alessandro; Golinelli, Roberto; Pappalardo, Carmine
    Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.

  17. External debt as long-run equilibrium lever

    Silvestre, Martinho de Matos
    Mestrado em Econometria Aplicada e Previsão

  18. Análise do perfil longitudinal da pobreza monetária em Portugal

    Martins, Pedro Miguel Guerra
    Mestrado em Econometria Aplicada e Previsão

  19. Birth order and child outcomes: does maternal quality time matter?

    Monfardini, Chiara; See, Sarah Grace
    Higher birth order positions are often associated with poorer outcomes, possibly due to fewer resources received within the household. Using a sample of PSID-CDS children, we investigate whether the birth order effects in their outcomes are due to unequal allocation of the particular resource represented by maternal quality time. OLS regressions show that the negative birth order effects on various test scores are only slightly diminished when maternal time is included among the regressors. This result is confirmed when we account for unobserved heterogeneity at the household level, exploiting the presence of siblings in the data. Our evidence therefore suggests...

  20. Self investments of adolescents and their cognitive development

    Del Boca, Daniela; Monfardini, Chiara; Nicoletti, Cheti
    While a large literature has focused on the impact of parental investments on child cognitive development, very little is known about the role of child's own investments. Information on how children invest their time separately from parents is probably little informative for babies and toddlers, but it becomes more and more important in later stages of life, such as adolescence, when children start to take decisions independently. By using the Child Development Supplement of the PSID (Panel Study of Income Dynamics), we model the production of cognitive ability of adolescents and extend the set of inputs to include the child's...

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