Search results for "Econometric"
showing 10 items of 3780 documents
Forecasting the Size Premium Over Different Horizons
2011
In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.
High Wage Workers Match with High Wage Firms: Clear Evidence of the Effects of Limited Mobility Bias
2012
Positive assortative matching implies that high productivity workers and firms match together. However, there is almost no evidence of a positive correlation between the worker and firm contributions in two-way fixed-effects wage equations. This could be the result of a bias caused by standard estimation error. Using German social security records we show that the effect of this bias is substantial in samples with limited inter-firm movement. The correlation between worker and firm contributions to wage equations is unambiguously positive.
Frank H. Knight, pragmatism, and American institutionalism: A note
2009
This note deals with the debated question of whether, and to what extent, Frank Knight's epistemology was consistent with the general philosophy of American pragmatism. First, in accord with recent interpretations, I provide new evidence illustrating that Knight's views on science, knowledge and related philosophical topics present some important similarities with the pragmatic tradition. Second, I attempt to demonstrate that Knight's unsympathetic reading of Dewy and pragmatism was, to a relevant extent, a consequence of his aversion to the so-called scientific wing of American interwar institutionalism. © 2009 Taylor & Francis.
The analysis of poverty in Italy. A fuzzy dynamic approach
2004
The commonly used criterion to sharply separate the poor from the non poor on the basis of a poverty threshold appears to be too severe in comparison with the nature of poverty. The latter is multidimensional in its components (domain) and continue in its states (codomain). Moreover an income-based poverty line allows for a remarkable number of spurious transitions below and over that line, which do not correspond to true variations in household’s standard of living. This study starts from the analysis of common (with crisp states) transition matrices; then a fuzzy multidimensional poverty indicator is built. In conclusion, fuzzy states transition matrices synthesize interpretative content …
Demographic determinants of the power of the state
2019
DEMOGRAPHIC DETERMINANTS OF THE POWER OF THE STATEConnections between demographic conditions of the state and its power have become a reason for the author’s attempt to identify key power-building factors featuring demographic nature. For this purpose, a statistical analysis based on data from selected European countries such as Poland, Czech Republic, Slovakia, Hungary, Germany and Romania was carried out. The outcome of the research allowed the author to obtain six groups of explanatory variables for the model of assessing the power of the state in the demographic area.
CraigVanGrasstek, Trade and American leadership: the paradoxes of power and wealth from Alexander Hamilton to Donald Trump (Cambridge: Cambridge Univ…
2021
Global and Local Clustering-Based Regression Models to Forecast Power Consumption in Buildings
2019
The study of energy efficiency in buildings is an active field of research. Modeling and predicting energy related magnitudes leads to analyze electric power consumption and can achieve economical benefits. In this study, classical time series analysis and machine learning techniques, introducing clustering in some models, are applied to predict active power in buildings. The real data acquired corresponds to time, environmental and electrical data of 30 buildings belonging to the University of León (Spain). Firstly, we segmented buildings in terms of their energy consumption using principal component analysis. Afterwards, we applied state of the art machine learning methods and compare bet…
Quantifying preferential trading in the e-MID interbank market
2015
Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…
Entry and exit in a vertically differentiated industry
2011
This paper presents a duopoly model of firm rivalry in a vertically differentiated industry when market dynamics is explicitly accounted for. It shows how the interplay between demand (degree of product differentiation, demand elasticity) and cost (fixed and quality costs) factors determine firms’ relative strength when quality is irreversible. The main strategic choices are product quality, price and the timing of entry and exit. Further, firms incur sunk quality costs at time of entry and operating fixed costs of maintaining quality. Although the low quality firm may outlast its rival in the declining phase, both firms wish to be the “quality leader”.
Price discrimination and market power in export markets: The case of the ceramic tile industry.
2005
This paper combines the pricing-to-market equation and the residual demand elasticity equation to measure the extent of competition in the export markets of ceramic tiles, which has been dominated by Italian and Spanish producers since the late eighties. The findings show that the tile exporters enjoyed substantial market power over the period 1988-1998, and limited evidence that the export market has become more competitive over time.