Search results for "Econometria"

showing 10 items of 61 documents

Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues

2011

In this article, we describe the estimation of linear regression models with uncertainty about the choice of the explanatory variables. We introduce the Stata commands bma and wals, which implement, respectively, the exact Bayesian model-averaging estimator and the weighted-average least-squares estimator developed by Magnus, Powell, and Prüfer (2010, Journal of Econometrics 154: 139–153). Unlike standard pretest estimators that are based on some preliminary diagnostic test, these model-averaging estimators provide a coherent way of making inference on the regression parameters of interest by taking into account the uncertainty due to both the estimation and the model selection steps. Spec…

Mathematical optimizationWalsBayesian probabilityStability (learning theory)Bayesian analysisSettore SECS-P/05 - EconometriaInferenceBmaBayesian inference01 natural sciencesLeast squares010104 statistics & probabilityMathematics (miscellaneous)st0239 bma wals model uncertainty model averaging Bayesian analysis exact Bayesian model averaging weighted-average least squares0502 economics and businessLinear regressionWeighted-average least squares0101 mathematicsSettore SECS-P/01 - Economia Politica050205 econometrics Mathematicsst0239Exact bayesian model averagingModel selection05 social sciencesEstimatorModel uncertaintyAlgorithmModel averaging
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How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study

2019

Abstract This paper replicates the Diebold and Yilmaz (2012) study on the connectedness of the commodity market and three other financial markets: the stock market, the bond market, and the FX market, based on the Generalized Forecast Error Variance Decomposition, GEFVD. We show that the net spillover indices (of directional connectedness), used to assess the net contribution of one market to overall risk in the system, are sensitive to the normalization scheme applied to the GEFVD. We show that, considering data generating processes characterized by different degrees of persistence and covariance, a scalar-based normalization of the Generalized Forecast Error Variance Decomposition is pref…

Normalization (statistics)Economics and EconometricsSocial connectedness020209 energySettore SECS-P/05 - Econometria02 engineering and technologyNormalization schemeconnectednessSpillover effect0502 economics and business0202 electrical engineering electronic engineering information engineeringEconometrics050207 economicsMathematicsspillover normalization connectednessVector autoregression models05 social sciencesFinancial marketCovarianceCausalitySpilloverGeneral EnergynormalizationGeneralized forecast error variance decompositionCommodity price fluctuations Driving forces Nonparametric additive regression modelsVariance decomposition of forecast errorsBond marketStock marketSimulationNormalization schemes
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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…

Normalization (statistics)Multivariate statisticsEconomics and Econometrics050208 financeForecast error variance decomposition05 social sciencessemi-volatility asymmetry forecast error variance decompositionVolatility spilloverDownside riskSemi-volatilitySettore SECS-P/05 - EconometriaAsymmetryFull sampleSpilloverSpillover effect0502 economics and businessVHAREconometricsVariance decomposition of forecast errorsEconomicsSemi-volatility Asymmetry Forecast error variance decomposition Spillover VHAR050207 economicsStock (geology)FinanceInternational Review of Financial Analysis
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Computers and young workers' wages in europe

2013

In this work evidence was found that wage differentials are in favour of those workers who have a home computer. In order to achieve these results the frontier stochastic method and the Kernel filter for analising errors was used. The research is based on the data provided by the survey of the European Community Household Panel (ECHP). Taking this survey as a starting point, a data panel is built containing those individuals that have remained in the sample for seven consecutives years. The results demonstrate that with the execption of Denmark, workers in each analised country, i.e. Germany, Italy, Spain and the United Kingdom have a wage premium measured by its closeness to the wage front…

Ordinadors i alfabetitzacióTreballadorsSalarisEconometria
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Testing for public debt sustainability using band spectrum regression analysis "

2014

In this note we focus on the response of the primary surplus to debt (ratios to GDP)over a low frequency band (associated with cycles with period between eight and sixteen years) to filter out business cycle effects. For this purpose, we use band spectrum regression, using both the Fourier Transform and the Discrete Wavelet transform, fitted to pooled panel dataset of 18 EMU countries. The empirical findings give evidence of fiscal fatigue within Eurozone:the response of primary surplus to debt will decrease over a finite debt limit.

Public debt sustainability fiscal fatigue band spectrum regressionSettore SECS-P/05 - Econometria
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Shrinkage efficiency bounds: An extension

2023

Hansen (2005) obtained the efficiency bound (the lowest achievable risk) in the p-dimensional normal location model when p≥3, generalizing an earlier result of Magnus (2002) for the one-dimensional case (p=1). The classes of estimators considered are, however, different in the two cases. We provide an alternative bound to Hansen's which is a more natural generalization of the one-dimensional case, and we compare the classes and the bounds.

RiskStatistics and ProbabilityLower boundSettore SECS-P/05 - EconometriaShrinkage estimatorNormal location modelCommunications in Statistics - Theory and Methods
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Weights and Imputations in SHARE Wave 8

2022

In this chapter, we first use the different patterns of participation to define three subsamples of primary interest for the analysis of the SHARE data collected in Wave 8: CAPI, CATI and CAPI & CATI. We then describe the procedure used to construct calibrated cross-sectional and longitudinal weights for handling, respectively, problems of unit non-response and attrition in the CAPI subsample. Afterwards, we describe the model used to obtain multiple imputations of the missing values due to item non-response in the CAPI data.

SHARE wave 8 Calibrated weights ImputationsSettore SECS-P/05 - Econometria
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Sample Design in SHARE Wave Four

2013

SHARE Sampling Design Wave 4Settore SECS-P/05 - Econometria
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Sampling Design and Weighting Strategies in the Second Wave of SHARE

2008

SHARE Sampling Design Weighting StrategiesSettore SECS-P/05 - Econometria
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Item nonresponse and imputation strategies in SHARE Wave 5

2015

This chapter focuses on item nonresponse in the fifth wave of SHARE and the imputation strategies adopted to fill-in the missing values.

SHARE; Item nonresponse; Imputation strategiesSHARESettore SECS-P/05 - EconometriaImputation strategiesItem nonresponse
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