Search results for "050205 econometrics"
showing 10 items of 212 documents
The windowed scalogram difference: A novel wavelet tool for comparing time series
2017
Abstract We introduce a new wavelet-based tool called windowed scalogram difference (WSD), which has been designed to compare time series. This tool allows quantifying if two time series follow a similar pattern over time, comparing their scalograms and determining if they give the same weight to the different scales. The WSD can be seen as an alternative to another tool widely used in wavelet analysis called wavelet squared coherence (WSC) and, in some cases, it detects features that the WSC is not able to identify. As an application, the WSD is used to examine the dynamics of the integration of government bond markets in the euro area since the inception of the euro as a European single c…
Collusion constrained equilibrium
2018
We study collusion within groups in non-cooperative games. The primitives are the preferences of the players, their assignment to non-overlapping groups and the goals of the groups. Our notion of collusion is that a group coordinates the play of its members among different incentive compatible plans to best achieve its goals. Unfortunately, equilibria that meet this requirement need not exist. We instead introduce the weaker notion of collusion constrained equilibrium. This allows groups to put positive probability on alternatives that are suboptimal for the group in certain razor's edge cases where the set of incentive compatible plans changes discontinuously. These collusion constrained e…
Stackelberg-Cournot and Cournot equilibria in a mixed markets exchange economy
2012
In this note, we compare two strategic general equilibrium concepts: the Stackelberg-Cournot equilibrium and the Cournot equilibrium. We thus consider a market exchange economy including atoms and a continuum of traders, who behave strategically. We show that, when the preferences of the small traders are represented by Cobb-Douglas utility functions and the atoms have the same utility functions and endowments, the Stackelberg-Cournot and the Cournot equilibrium equilibria coincide if and only if the followers’ best responses functions have a zero slope at the SCE.
Goal Setting and Monetary Incentives: When Large Stakes Are Not Enough
2012
The aim of this paper is to test the effectiveness of wage-irrelevant goal setting policies in a laboratory environment. In our design, managers can assign a goal to their workers by setting a certain level of performance on the work task. We establish our theoretical conjectures by developing a model in which assigned goals act as reference points to workers’ intrinsic motivation. Consistent with our model, we find that managers set goals which are challenging but attainable for an average-ability worker. Workers respond to these goals by increasing effort, performance and by decreasing on-the-job leisure activities with respect to the no-goal setting baseline. Finally, we study the intera…
On the Computation of Symmetrized M-Estimators of Scatter
2016
This paper focuses on the computational aspects of symmetrized Mestimators of scatter, i.e. the multivariate M-estimators of scatter computed on the pairwise differences of the data. Such estimators do not require a location estimate, and more importantly, they possess the important block and joint independence properties. These properties are needed, for example, when solving the independent component analysis problem. Classical and recently developed algorithms for computing the M-estimators and the symmetrized M-estimators are discussed. The effect of parallelization is considered as well as new computational approach based on using only a subset of pairwise differences. Efficiencies and…
Register data in sample allocations for small-area estimation
2018
The inadequate control of sample sizes in surveys using stratified sampling and area estimation may occur when the overall sample size is small or auxiliary information is insufficiently used. Very small sample sizes are possible for some areas. The proposed allocation based on multi-objective optimization uses a small-area model and estimation method and semi-collected empirical data annually collected empirical data. The assessment of its performance at the area and at the population levels is based on design-based sample simulations. Five previously developed allocations serve as references. The model-based estimator is more accurate than the design-based Horvitz–Thompson estimator and t…
Progressive consumption tax, minimum consumption, and inequality
2020
Abstract In this note, we study the effects of a progressive consumption tax on wealth and consumption inequality in a model economy featuring minimum consumption. We show that increasing the lower and upper bounds of the progressive tax rate reduces wealth and consumption inequality in the long run but is not sufficient. The lower and upper bounds must not exceed the thresholds, which are decreasing functions of minimum consumption. The result is useful for empirical studies of the redistribution of wealth and consumption.
The Impact of Government Spending on the Private Sector: Crowding-out versus Crowding-in Effects
2011
Summary We contribute to the empirical literature on the effect of government spending on economic activity, by assessing the impact of changes in government spending-GDP ratio on (the short-term growth rates of) private consumption and investment. We do this by analysing a panel sample of 145 countries from 1960 to 2007. The results of our paper suggest that government spending produces important crowding-out effects, by negatively affecting both private consumption and investment. The result is broadly robust to both country and time effects, and different econometric specifications. In addition, we show that the effect of government consumption on private consumption and investment does …
Risk Management for Sustainable Sovereign Debt Financing
2021
We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade-off debt stock and flow risks subject to sustainability constraints. We optimize static and dynamic financing strategies and demonstrate economically significant savings from optimal financing compared with simple rules and consols, and find that optimizing the trade-offs can be critical for sustainability. The model quantifies minimum refinancing risk and maximum rate of debt reduction that a sovereign can achieve given its economic fundamentals, and an extension identifies optimal timing…
Incentive systems for risky investment decisions under unknown preferences
2017
Abstract Our paper examines how to design incentive systems for managers making multi-period risky investment decisions. We show how compensation functions and performance measures must be designed to ensure that managers implement the expected value-maximizing set of projects. The Relative Benefit Cost Allocation (RBCA) Scheme 1 and its extensions revealed in literature on unknown time preferences generally fail to do so under unknown time and risk preferences. We illustrate that when coping with such unknown preferences in a risky setting, a specific state-dependent allocation rule is required. We introduce such an allocation scheme, which we refer to as the State-Contingent RBCA Scheme, …