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Эконометрика - наука о применении статистических и математических методов в экономическом анализе для проверки правильности экономических теоретических моделей и способов решения экономических проблем. (подробнее...)
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.
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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).
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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.
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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.
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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.
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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.
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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
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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.
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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.
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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.
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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.
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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.
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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
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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.
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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.
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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.
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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.
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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.
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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
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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
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