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Degan, Arianna; Merlo, Antonio - C.E.P.R. Discussion Papers - 2007

In this paper we address the following question: To what extent is the hypothesis that voters vote sincerely testable or falsifiable? We show that using data only on how individuals vote in a single election, the hypothesis that voters vote sincerely is irrefutable, regardless of the number of...

Persistent link: https://www.econbiz.de/10005662163

Ageing Gracefully? A Bootstrap Analysis of Poverty Among Pensioners Using Evidence from the PACO Databases

Heinrich, Georges - C.E.P.R. Discussion Papers - 1998

In 1998 Hungary embarked on a course of comprehensive pension reform. The reforms are likely to change the distribution of incomes of future generations. The purpose of this paper is two-fold. From a policy point of view, we analyse poverty and income inequality among pensioners in Hungary...

Persistent link: https://www.econbiz.de/10005791337

Selecting Copulas for Risk Management

Koedijk, Kees; Kole, Erik; Verbeek, Marno - C.E.P.R. Discussion Papers - 2006

portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting … favour of the Student’s t copula, and reject both the correlation-based Gaussian copula and the extreme value-based Gumbel …

Persistent link: https://www.econbiz.de/10005792215

Learning by Doing and Multiproduction Effects Over the Life Cycle: Evidence from the Semiconductor Industry

Siebert, Ralph - C.E.P.R. Discussion Papers - 2003

In this study we derive a structural econometric model of learning by doing with multiproduct competition from a dynamic oligopoly game. We show the importance to account for multiproduction effects through product differentiation when measuring learning by doing. Using quarterly firm-level data...

Persistent link: https://www.econbiz.de/10005497705

Choosing the variables to estimate singular DSGE models

Canova, Fabio; Ferroni, Filippo; Matthes, Christian - C.E.P.R. Discussion Papers - 2013

We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second the vector that minimizes the informational discrepancy between the...

Persistent link: https://www.econbiz.de/10011083464

Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - C.E.P.R. Discussion Papers - 2014

Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive...

Persistent link: https://www.econbiz.de/10011084047

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - C.E.P.R. Discussion Papers - 2009

We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are...

Persistent link: https://www.econbiz.de/10004990850

Persistence and Mobility in International Trade

Proudman, James; Redding, Stephen J. - C.E.P.R. Discussion Papers - 1998

The theoretical literature on endogenous growth and international trade suggests that comparative advantage is endogenous. Sector-specific learning by doing and technology transfer respectively provide reasons why initial patterns of international specialization may persist or exhibit mobility...

Persistent link: https://www.econbiz.de/10005067579

Country and Industry Dynamics in Stock Returns

Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...

Persistent link: https://www.econbiz.de/10005067673

A Measure of Comovement for Economic Variables: Theory and Empirics

Croux, Christophe; Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1999

transformations. In the bivariate case, the measure reduces to dynamic correlation and is related, but not equal, to the well …-known quantities coherence and coherency. Dynamic correlation on a frquency band equals (static) correlation of band-pass filtered … series. Moreover, long run correlation and cohesion relate in a simple way to cointegration. Cohesion is useful to study …

Persistent link: https://www.econbiz.de/10005656204