**Всего публикаций в данном разделе:**467

**GRaph INterface (GRIN)**[компьютерная программа]

Опубликовано на портале: 16-10-2008

*Виталий Владимирович Печенкин*

Grin является полезной для студентов и преподавателей университетов программой, которая может быть использована не только математиками, но и экономистами, социологами, всеми теми, кто так или иначе интересуется дискретными моделями. Программа легка в освоении. Если пользователь имеет навыки работы с компьютером, ее освоение не вызовет трудностей.

Опубликовано на портале: 17-09-2008

*Patrick L. Bajari*,

*Charles Lanier Benkard*,

*Jonathan David Levin*Econometrica. 2007. Vol. 75. No. 5. P. 1331 - 1370.

We describe a two-step algorithm for estimating dynamic games under the assumption
that behavior is consistent with Markov Perfect Equilibrium. In the first step, the
policy functions and the law of motion for the state variables are estimated. In
the second step, the remaining structural parameters are estimated using the optimality
conditions for equilibrium. The second step estimator is a simple simulated minimum
distance estimator. The algorithm applies to a broad class of models, including I.O.
models with both discrete and continuous controls such as the Ericson and Pakes (1995)
model. We test the algorithm on a class of dynamic discrete choice models with normally
distributed errors, and a class of dynamic oligopoly models similar to that of Pakes
and McGuire (1994).

Опубликовано на портале: 24-12-2007

*Andreas Ammermueller*,

*Claudio Lucifora*,

*Federica Origo*,

*Thomas Zwick*ZEW Discussion Papers. 2007. No. 07-008.

This paper investigates the functioning of regional labour markets in Italy and Germany
for different employee groups. In the light of high and persistent differences in
unemployment and wage rates between the North and South of Italy and the West and
East of Germany, we first derive theoretical hypotheses on group specific correlations
between regional unemployment and individual wages. Using micro data on hourly wages
properly matched to local unemployment rates, we specify and empirically test different
wage equations. On the basis of our results, we find no evidence for the existence
of a “wage curve” in Italy. In the case of Germany, results are quite
sensitive to the model specification and the employee group considered. In both countries,
the reaction of wages to local unemployment varies significantly along the wage distribution,
being more sensitive around the median quantiles. We conclude that there is no uniform
wage curve and call for a differentiated analysis for various groups, taking into
account the respective institutional setting.

Опубликовано на портале: 24-12-2007

*Gundi Knies*,

*Simon Burgess*,

*Carol Propper*DIW Berlin Discussion Papers. 2007. No. 697.

We test empirically whether people’s life satisfaction depends on their relative
income position in the neighbourhood, drawing on a unique dataset, the German Socio-economic
Panel Study (SOEP) matched with micro-marketing indicators of population characteristics.
Relative deprivation theory suggests that individuals are happier the better their
relative income position in the neighbourhood is. To test this theory we estimate
micro-economic happiness models for the years 1994 and 1999 with controls for own
income and for neighbourhood income at the zip-code level (roughly 9,000 people).
There exist no negative and no statistically significant associations between neighbourhood
income and life satisfaction, which refutes relative deprivation theory. If anything,
we find positive associations between neighbourhood income and happiness in all cross-sectional
models and this is robust to a number of robustness tests, including adding in more
controls for neighbourhood quality, changing the outcome variable, and interacting
neighbourhood income with indicators that proxy the extent to which individuals may
be assumed to interact with their neighbours. We argue that the scale at which we
measure neighbourhood characteristics may be too large still to identify the comparison
effect sought after.

Опубликовано на портале: 24-12-2007

*Elena Schneider*,

*Pu Chen*,

*Joachim Frohn*Economics Discussion Papers. 2007. No. 2007-47.

The objective of this paper is to apply the method developed in Garratt, Lee, Pesaran,
and Shin (2000) to build a structural model for Germany with a transparent and theoretically
coherent foundation. The modelling strategy consists of a set of long-run structural
relationships suggested by economic theory and an otherwise unrestricted VAR model.
It turns out that we can rebuild the structure of the model in Garratt, Lee, Pesaran,
and Shin (2003b) for German data. Five long run relations : PPP, UIP, production
function, trade balance, and real money balance characterize the equilibrium state
of Germany as an open economy in our structural model.

Опубликовано на портале: 24-12-2007

*Peter Charles Bonest Phillips*Cowles Foundation Discussion Paper. 2002. No. 1264.

Some challenges for econometric research on trending time series are discussed in
relation to some perceived needs of macroeconomics and macroeconomic policy making.

Опубликовано на портале: 23-12-2007

*Emmanuel Skoufias*Economics of Transition. 2003. Vol. 11. No. 1. P. 67-91.

This paper uses panel data from rounds VÐIX of the Russian Longitudinal
Monitoring Survey (RLMS) to examine the extent to which households are able to
protect their consumption from fluctuations in their income.
It is found that consumption is only partially protected from idiosyncratic shocks
to income with food consumption being better protected than non-food consumption
expenditures. This suggests that adjustments in non-food expenditures may be
an important component of the risk management tools of Russian households. The
analysis also provides evidence on the extent and nature of the coping strategies
adopted by households. It is demonstrated that households complement their selfinsurance
strategies, of borrowing, adjusting their labour supply, and selling assets,
with informal risk sharing arrangements with households within their community.
An examination of the role of sample selection confirmed that these findings are
quite robust to this potential source of bias. Furthermore, accounting for the role
of measurement and imputation errors in the measure of household income
revealed that OLS estimates may yield a misleading picture about the extent to

**A Note on the Coefficient of Determination in Regression Models with Infinite-Variance Variables**[статья]

Опубликовано на портале: 03-12-2007

*Jeong-Ryeol Kurz-Kim*,

*Michael Stanislaus Loretan*Discussion Paper Series 1: Economic Studies. 2007. No. 10/2007.

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite
variance have been regarded as a more realistic distributional assumption than the
normal distribution for some economic variables, especially financial data. After
providing a brief survey of theoretical results on estimation and hypothesis testing
in regression models with infinite-variance variables, we examine the statistical
properties of the coefficient of determination in regression models with infinite-variance
variables. These properties differ in several important aspects from those in the
well-known finite variance case. In the infinite-variance case when the regressor
and error term share the same index of stability, the coefficient of determination
has a nondegenerate asymptotic distribution on the entire [0,1] interval, and the
probability density function of this distribution is unbounded at 0 and 1. We provide
closedform expressions for the cumulative distribution function and probability density
function of this limit random variable. In an empirical application, we revisit the
Fama-MacBeth two-stage regression and show that in the infinite variance case the
coefficient of determination of the second-stage regression converges to zero asymptotically.

Опубликовано на портале: 26-11-2007

*Helmut Herwartz*Economics Working Papers of Department of Economics and Business, Universitat Pompeu Fabra. 2007. No. 2007-09.

The paper provides Monte Carlo evidence on the performance of general-to-specific
and specific-to-general selection of explanatory variables in linear (auto)regressions.
In small samples the former is markedly inefficient in terms of ex-ante forecasting
performance.

Опубликовано на портале: 26-11-2007

*Annamaria Fiore*,

*Andrea Morone*Discussion Paper. 2007. No. 2007-21.

Seminal models of herd behaviour and informational cascades point out existence of
negative information externalities, and propose to ‘destroy’ information
in order to achieve social improvements. Although in the last years many features
of herd behaviour and informational cascades have been studied, this particular aspect
has never been extensively analysed. In this article we try to fill this gap, investigating
both theoretically and experimentally whether and to which extent destroying information
can improve welfare. Our empirical results show that this decisional mechanism actually
leads to a behaviour more consistent with the theory that in turn produces the predicted
efficiency gain.

**An Efficient Filtering Approach to Likelihood Approximation for State-Space Representations**[статья]

Опубликовано на портале: 26-11-2007

*David N. DeJong*,

*Hariharan Dharmarajan*,

*Roman Liesenfeld*,

*Jean-Francois Richard*Economics Working Papers of Department of Economics and Business, Universitat Pompeu Fabra. 2007. No. 2007-25.

We develop a numerical filtering procedure that facilitates efficient likelihood
evaluation in applications involving non-linear and non-gaussian state-space models.
The procedure approximates necessary integrals using continuous or piecewise-continuous
approximations of target densities. Construction is achieved via efficient importance
sampling, and approximating densities are adapted to fully incorporate current information.

Опубликовано на портале: 23-11-2007

*Daniel L. McFadden*,

*Charles F. Manski*

Cambridge: The MIT Press, 1981

This volume deals with parametric statistical inference on structural conditional
probability models in which some or all of the endogenous variables are discrete
valued. Within this broad theme the models posed and inferential questions addressed
arise out of each author's work in econometric analysis. Taken together, these chapters
provide a methodological foundation for the analysis of economic problems involving
discrete data and chart the current frontiers of this subject. Some chapters are
also relevant to other literatures concerned with structural analysis of discrete
data: biometrics, psychometrics, sociometrics, discrete multivariate analysis, and
applied subjects such as finance, marketing, geography, and transportation. Workers
in these areas will recognize that econometric methods for discrete data analysis
have benefited from their own literatures. This volume is intended to be useful not
only for econometricians but also for the wider community of researchers involved
in the structural analysis of discrete data.

Опубликовано на портале: 03-11-2007

*Marjorie Flavin*Journal of Political Economy. 1981. Vol. 89. No. 5. P. 974-1009.

The paper analyzes the role of current income in providing new
information about future income and thus signaling changes in
permanent income. Using time-series analysis to quantify the revision
in permanent income induced by an innovation in the current
income process, a structural econometric model of consumption is
developed. The rejection of the joint rational expectations permanent
income hypothesis is both statistically and quantitatively
significant. The paper also shows that the test of the rational
expectations-permanent income hypothesis proposed by Hall is
based on the reduced form of this structural model and reconciles
Sargent's consumption paper with Hall's

Опубликовано на портале: 31-10-2007

*Mototsugu Shintani*,

*Oliver Linton*Vanderbilt University, Working Paper. 2001. No. 01-W11. P. 331-357.

A positive Lyapunov exponent is one practical definition of chaos. We develop a formal
test for chaos in a noisy system based on the consistent standard errors of the nonparametric
Lyapunov exponent estimators. When our procedures are applied to international real
output series, the hypothesis of the positive Lyapunov exponent is significantly
rejected in many cases. One possible interpretation of this result is that the traditional
exogenous models are better able to explain business cycle fluctuations than is the
chaotic endogenous approach. However, our results are subject to a number of caveats,
in particular our results could have been influenced by small sample bias, high noise
level, incorrect filtering, and long memory of the data.

Опубликовано на портале: 30-10-2007

*Stephane Dees*,

*Sean Holly*,

*M. Hashem Pesaran*,

*L. Vanessa Smith*Economics. 2007. No. 3.

This paper presents tests of long run macroeconomic relations involving interest
rates, equity, prices and exchange rates suggested by arbitrage in financial and
goods markets. It uses the global vector autoregressive (GVAR) model to test for
long run restrictions in each country/region conditioning on the rest of the world.
Bootstrapping is used to compute both the empirical distribution of the impulse responses
and the log-likelihood ratio statistic for over-identifying restrictions. The paper
also examines the speed with which adjustments to the long run relations take place
via the persistence profiles. It finds strong evidence in favour of a long run version
of uncovered interest parity and to a lesser extent the Fisher equation across a
number of countries, but the test results for the purchasing power parity relation
are much weaker. Also the transmission of shocks and subsequent adjustments in financial
markets are much faster than those in goods markets.

Опубликовано на портале: 25-10-2007

*Svend Hylleberg*,

*Robert F. Engle*,

*Clive W. J. Granger*,

*Byung Sam Yoo*Journal of Econometrics. 1990. Vol. 44. No. 1. P. 215-238.

This paper develops tests for roots in linear time series which have a modulus of
one but which correspond to seasonal frequencies. Critical values for the tests are
generated by Monte Carlo methods or are shown to be available from Dickey-Fuller
or Dickey-Hasza-Fuller critical values. Representations for multivariate processes
with combinations of seasonal and zero-frequency unit roots are developed leading
to a variety of autoregressive and error-correction representations. The techniques
are used to examine cointegration at different frequencies between consumption and
income in the U.K.

Опубликовано на портале: 25-10-2007

*Xenia Matschke*Public Choice. 2003. No. 114. P. 103-135.

In this article, the possibility of Nordhaus political wage cycles in the West German
public services during 1961–1995 is investigated. Since wage negotiations are
centralized,
one might expect a systematically higher wage increase shortly before a federal election.
A
regression of wage increases from 30 consecutive public sector pay contracts is run
on an
election variable and several additional explanatory variables. The null of no election
influence
is rejected for worker wage increases. The estimated increase in wages due to an
imminent
election is predicted to be in the range of 2.5 to 3 percentage points.

**Poverty in Russia**[статья]

Опубликовано на портале: 22-10-2007

*Bernard M.S. van Praag*,

*Ada Ferrer-i-Carbonell*Journal of Happiness Studies. 2001.

This paper is intended to shed light on the extent of poverty in the Russian
Federation.We present estimates of poverty lines and poverty ratios derived from
subjective questions used in a data collection for a large household panel (RUSSET).
We estimate poverty using a subjective approach, where the level of the poverty line
is derived using the opinion of the individual, rich or poor, on poverty. This approach
differs from the objective approach to poverty, which defines poverty according to
the opinion of experts. Three subjective poverty lines are presented: one the Financial
Satisfaction Poverty Line, two the Leyden Poverty Line, and three the Subjective
Well-Being Poverty Line. The first two poverty lines are based on subjective questions
regarding income and economic welfare while the last concept focuses on satisfaction
with life as a whole. The results obtained are compared with each other and with
results derived using objective measures and official figures.

**Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach**[статья]

Опубликовано на портале: 18-09-2007

*Ben S. Bernanke*,

*Jean Boivin*,

*Piotr Eliasz*Quarterly Journal of Economics. 2005. Vol. 120. No. 1. P. 387-422.

Structural vector autoregressions (VARs) are widely used to trace out the effect
of monetary policy innovations on the economy. However, the sparse information sets
typically used in these empirical models lead to at least three potential problems
with the results. First, to the extent that central banks and the private sector
have information not reflected in the VAR, the measurement of policy innovations
is likely to be contaminated. Second, the choice of a specific data series to represent
a general economic concept such as "real activity" is often arbitrary to some degree.
Third, impulse responses can be observed only for the included variables, which generally
constitute only a small subset of the variables that the researcher and policy-maker
care about. In this paper we investigate one potential solution to this limited information
problem, which combines the standard structural VAR analysis with recent developments
in factor analysis for large data sets. We find that the information that our factor-augmented
VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary
transmission mechanism. Overall, our results provide a comprehensive and coherent
picture of the effect of monetary policy on the economy

Опубликовано на портале: 18-09-2007

*Francesco Belviso*,

*Fabio Milani*Topics in Macroeconomics. 2006. Vol. 6. No. 3. P. p1-44,.

Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to
exploit large data sets in the study of monetary policy. FAVARs enjoy a number of
advantages over VARs: they allow a better identification of the monetary policy shock;
they avoid the use of a single variable to proxy theoretical constructs; they allow
researchers to compute impulse responses for hundreds of variables. Their shortcoming,
however, is that the factors are not identified and lack an economic interpretation.
This paper seeks to provide an interpretation to the factors. We propose a novel
Structural Factor-Augmented VAR (SFAVAR) model, where the factors have a clear meaning:
Real Activity factor, Inflation factor, Financial Market factor, Credit factor, Expectations
factor, and so forth. The paper employs a Bayesian approach to jointly estimate the
factors and the dynamic model. This framework is then used to study the effects of
monetary policy on a wide range of macroeconomic variables