This paper calculates effective tariffs by economic sector for Brazil from 2000 to 2015. The effective tariff differs from the nominal tariff in that it takes into consideration the protection given to inputs along the production chain. A sector whose products are protected by high tariffs may...

This discussion paper presents a methodology to visualize the effects of various influences on the income distribution. The methodology, although not new, has become very popular in the past few years. It is the method of counterfactual simulations. In other words, it is the use of "what if …"...

This discussion paper presents a methodology to visualize the effects of various influences on the income distribution. The methodology, although not new, has become very popular in the past few years. It is the method of counterfactual simulations. In other words, it is the use of "what if...

In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH innovations. We show that, given a set of initial weights, the adaptive Lasso selects the relevant variables with probability converging to one. Afterwards, we show that the...

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially or geometrically). In other...

The number of Covid-19 cases is increasing dramatically worldwide, with several countries experiencing a second and worse wave. Therefore, the availability of reliable forecasts for the number of cases and deaths in the coming days is of fundamental importance. We propose a simple statistical...

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...