Search results for "Econometria"

Territorial capital and the economic crisis: The role of spatial effects

2013

Activity-geospatial approach forms methodological basis of the concept of geospatial self-organization of a society as new theoretical paradigm of societal geography (SG) with next main principles: a) Self-organization of society and its key subsystems (economical, social, political, spiritual) in specifically localised natural and societal qualities of geospace (Earth's surface space) forms the process of geospatial self-organization of a society and its results - geospatial interests, processes, systems, structures as societal-geospatial phenomena of different scale (global, regional, local, etc.). So societal processes acquire specific geospatial shapes that combine a geospatial (geograp…

Wavelet analysis of financial contagion

2011

The aim is to estimate a factor model fitted to financial returns to disentagle the role played by common shock and idiosincratic shocks in shaping the comovement between asset returns during periods of calm and financial turbulence. For this purpose, we use wavelet analysis and, in particular, the Maximum Overlapping Discrete Wavelet Transform, to decompose the covariance matrix of the asset returns on a scale by scale basis, where each scale is associated to a given frequency range. This decomposition will give enough moment conditions to identify the role played by common and idiosincratic shocks. A Montecarlo simulation experiment shows that our testing methodology has good size and power …

Non-Dyadic Wavelet Analysis

2006

The conventional dyadic multiresolution analysis constructs a succession of frequency intervals in the form of $(\pi/2^j, \pi/2^{j-1});j = 1, 2, \ldots, n$ of which the bandwidths are halved repeatedly in the descent from high frequencies to low frequencies. Whereas this scheme provides an excellent framework for encoding and transmitting signals with a high degree of data compression, it is less appropriate to the purposes of statistical data analysis. This paper describes a non-dyadic mixed-radix wavelet analysis which allows the wave bands to be defined more flexibly than in the case of a conventional dyadic analysis. The wavelets that form the basis vectors for the wave bands are derive…

Sampling properties of the Bayesian posterior mean with an application to WALS estimation

2022

Many statistical and econometric learning methods rely on Bayesian ideas, often applied or reinterpreted in a frequentist setting. Two leading examples are shrinkage estimators and model averaging estimators, such as weighted-average least squares (WALS). In many instances, the accuracy of these learning methods in repeated samples is assessed using the variance of the posterior distribution of the parameters of interest given the data. This may be permissible when the sample size is large because, under the conditions of the Bernstein--von Mises theorem, the posterior variance agrees asymptotically with the frequentist variance. In finite samples, however, things are less clear. In this pa…

Asymmetric semi-volatility spillover effects in EMU stock markets

2018

Abstract The aim of this paper is to quantify the strength and the direction of semi-volatility spillovers between five EMU stock markets over the 2000–2016 period. We use upside and downside semi-volatilities as proxies for downside risk and upside opportunities. In this way, we aim to complement the literature, which has focused mainly on the contemporaneous correlation between positive and negative returns, with the evidence of asymmetry also in semi-volatility transmission. For this purpose, we apply the Diebold and Yilmaz (2012) methodology, based on a generalized forecast error variance decomposition, to downside and upside realized semi-volatility series. While the analysis of Diebol…

Sampling design and weighting strategies in SHARE Wave 6

2017

Estimating Engel curves under unit and item nonresponse

2010

SUMMARY This paper estimates food Engel curves using data from the first wave of the Survey on Health, Aging and Retirement in Europe (SHARE). Our statistical model simultaneously takes into account selectivity due to unit and item nonresponse, endogeneity problems, and issues related to flexible specification of the relationship of interest. We estimate both parametric and semiparametric specifications of the model. The parametric specification assumes that the unobservables in the model follow a multivariate Gaussian distribution, while the semiparametric specification avoids distributional assumptions about the unobservables. Copyright © 2011 John Wiley & Sons, Ltd.

Sampling Design in SHARE Wave 8 and Recruitment of Refreshment Samples until the Suspension of Fieldwork

2022

The aim of the SHARE survey design is to be able to draw inferences about the population of people aged 50 years or older across countries by using probability-based sampling. This chapter documents the sampling design adopted in the eighth wave of SHARE that had to be suspended due to COVID-19 in March 2020. Starting with a definition of the SHARE target population, we describe the protocol for harmonizing and documenting the sampling procedure and present the sampling frames used by the countries that recruited a baseline or refreshment sample in Wave 8. We then discuss some important aspects of the SHARE sampling designs, such as stratification, clustering, variation in selection probabi…

Regression with Imputed Covariates: A Generalized Missing Indicator Approach

2011

A common problem in applied regression analysis is that covariate values may be missing for some observations but imputed values may be available. This situation generates a trade-off between bias and precision: the complete cases are often disarmingly few, but replacing the missing observations with the imputed values to gain precision may lead to bias. In this paper we formalize this trade-off by showing that one can augment the regression model with a set of auxiliary variables so as to obtain, under weak assumptions about the imputations, the same unbiased estimator of the parameters of interest as complete-case analysis. Given this augmented model, the bias-precision trade-off may then…

Sample design and weighting strategies in SHARE Wave 5

2015

This chapter provides a description of the sampling design and weighting strategies adopted in the fifth wave of SHARE. We begin by defining the target population that SHARE aims to represent. Next, we describe the sampling design focusing on the basic principles guiding the construction of the SHARE sample, the role played by sampling frames for coverage of the target population, and other important aspects of sampling - such as stratification, clustering and variation in selection probabilities - that affect the efficiency of sample-based inference. The chapter concludes with a description of the weighting strategies adopted by SHARE to handle problems of unit nonresponse in the baseline …