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Elasticity of substitution between capital and labor: a panel data approach

Pessoa, Samuel de Abreu
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
85.91%
This paper estimates the elasticity of substitution of an aggregate production function. The estimating equation is derived from the steady state of a neoclassical growth model. The data comes from the PWT in which different countries face different relative prices of the investment good and exhibit different investment-output ratios. Then, using this variation we estimate the elasticity of substitution. The novelty of our approach is that we use dynamic panel data techniques, which allow us to distinguish between the short and the long run elasticity and handle a host of econometric and substantive issues. In particular we accommodate the possibility that different countries have different total factor productivities and other country specific effects and that such effects are correlated with the regressors. We also accommodate the possibility that the regressors are correlated with the error terms and that shocks to regressors are manifested in future periods. Taking all this into account our estimation resuIts suggest that the Iong run eIasticity of substitution is 0.7, which is Iower than the eIasticity that had been used in previous macro-deveIopment exercises. We show that this lower eIasticity reinforces the power of the neoclassical mo deI to expIain income differences across countries as coming from differential distortions.

The Budgeting of Portuguese Public Museums: A Dynamic Panel Data Approach

Oliveira, Maria Alberta; Coelho, João; Santos, Carlos
Fonte: Universidade Católica Portuguesa Publicador: Universidade Católica Portuguesa
Tipo: Artigo de Revista Científica
Publicado em //2012 Português
Relevância na Pesquisa
75.88%
In this paper, the first panel on sources of funding for Portuguese publicly owned museums is explored. There has been little work in this field worldwide, and none for Portugal. Evidence in this paper seems contrary to that relating to the UK and to the US. We find that incremental budgeting still plays a major role on the funding of Portuguese museums, allowing for inefficient management and moral hazard: the interests of museums’ management may diverge clearly from those of the authorities ruling them and from those of the general public. We also find that the ability to generate their own revenues plays no role in the funding allocated to museums every year. Budgeting is mainly determined by past operating costs. Policy changes seem to be advisable. The scarce relevance of museum patronage by the private sector makes a discussion of possible crowding out effects irrelevant in the current Portuguese context.

Feasible bias-corrected OLS, within-groups, and first-differences estimators for typical micro and macro AR(1) panel data models

Ramalho, Joaquim
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica Formato: 274084 bytes; application/pdf
Português
Relevância na Pesquisa
75.83%
In this paper we suggest several alternative ways of constructing feasible bias-corrected (FBC) pooled least squares, within-groups, and firstdifferences estimators for AR(1) panel data models. In a Monte Carlo simulation study involving data with the qualities normally encountered by both microeconomists and macroeconomists we found that the estimators proposed seem to possess better finite sample properties than the GMM estimators usually employed in this setting: most FBC estimators are unbiased, even when the time series is highly persistent, display less variability, and are not affected by the relative magnitude of the variances for the individual effect and the idiosyncratic error.

Feasible bias-corrected OLS, within-groups, and first-differences estimators for typical micro and macro AR(1) panel data models

Ramalho, Joaquim
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
85.95%
Dynamic panel data (DPD) models are usually estimated by the generalized method of moments. However, it is well documented in the DPD literature that this estimator suffers from considerable finite sample bias, especially when the time series is highly persistent. Application of the asymptotically equivalent continuous updating method eliminates this problem but the resultant estimator exhibits too much variability in small samples. Thus, other estimation methods are considered in this paper. Focussing in the AR(1) case with no exogenous regressors, we analyze several alternative ways of correcting the bias of the traditional estimators utilized in non-dynamic settings, showing how to construct feasible bias-adjusted ordinary least squares, within-groups, and first-differences estimators. We obtain very promising results for some of these estimators in a Monte Carlo simulation study involving data with the qualities normally encountered by both microeconomists and macroeconomists.

Financial development and economic growth:a panel data approach

Leitão, Nuno Carlos
Fonte: General Association of the Economists in Romania Publicador: General Association of the Economists in Romania
Tipo: Artigo de Revista Científica
Publicado em //2010 Português
Relevância na Pesquisa
75.82%
The relationship between financial development and economic growth has been studied long time in economics (Adam Smith and Schumpeter). Structural reforms and the integration of financial markets have been attracting the interest of the academic community. This manuscript examines the link between financial development and economic growth. The European Union Countries (EU-27), and BRIC (Brazil, Russia, India and China) were examined, between 1980 and 2006. Using a static and dynamic panel data approach, the results demonstrate that the financial development contribute to economic growth. Our study also consider productivity and trade, these proxies confirm the positive effect on economic growth.

Tourism and economic growth:a panel data approach

Leitão, Nuno Carlos
Fonte: National Academy of Management Vul Publicador: National Academy of Management Vul
Tipo: Artigo de Revista Científica
Publicado em //2011 Português
Relevância na Pesquisa
65.91%
This article focuses on the importance of tourism by investigating the relationship between tourist arrivals and the tourism share in economic growth. The findings are consistent with the literature on tourism. Tourist arrivals have positive impact on economic growth. We also find that bilateral trade and investment output are determinants of economic growth. This paper specifies static and dynamic panel models for the period of 1995-2008 between Portugal and 20 partners. We apply the dynamic panel models to observe serial correlation and the endogeneity of some explanatory variables.

Bank credit and economic growth:a dynamic panel data analysis

Leitão, Nuno Carlos
Fonte: Instituto Politécnico de Santarém Publicador: Instituto Politécnico de Santarém
Tipo: Artigo de Revista Científica
Publicado em //2012 Português
Relevância na Pesquisa
85.9%
This study examines the link between bank lending and economic growth for European Union (EU-27) for the period 1990 to 2010. We apply a dynamic panel data (GMM-system estimator). This estimator permits to solve the problems of serial correlation, heteroskedasticity and endogeneity for some explanatory variables. As the results show, savings promotes growth. The inflation and bank credit have a negative impact on economic growth as previous studies.

Are There Non-linear Relationships between Ownership Structure and Operational Performance? Empirical Evidence from Portuguese SMEs Using Dynamic Panel Data

Pinto, António; Augusto, Mário
Fonte: sciedu.ca Publicador: sciedu.ca
Tipo: Artigo de Revista Científica
Publicado em /05/2014 Português
Relevância na Pesquisa
85.94%
This paper analyzes the causal relationship between the ownership concentration, insider ownership and operational performance using a sample of 4.163 Portuguese SMEs and panel data models. The main results show an endogenous and dynamic relationship between those variables. The quadratic specification established between ownership concentration and operational profitability suggests that for low levels of control rights the expropriation hypothesis prevails and for high levels the supervision hypothesis prevails. It was also possible to validate the effect of entrenchment and convergence of interests in the relationship established between the insider ownership and performance.

Immigration and Trade in Portugal: A Static and Dynamic Panel Data Analysis

Faustino, Horácio C.; Leitão, Nuno Carlos
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2008 Português
Relevância na Pesquisa
85.97%
This article tests the relation between immigration and Portuguese bilateral trade, considering the fifteen European partners (EU15). Using a static and dynamic panel data analysis, the results show that the stock of immigrants has a positive effect on Portuguese exports, imports and bilateral intra-industry trade. These results suggest that immigration affects all types of trade in a positive way. The underlying assumption is that immigration contributes to decrease the costs of transactions, which in turn promotes all trade flows. The static and dynamic results do not confirm the hypothesis of a negative effect of immigration on Portuguese exports. In the static model, a 10% increase in immigration induces a 5.98 % increase in exports and a 5.55% increase in imports. The effect on the Portuguese trade balance is positive. However, the dynamic results for the export and import equations are more reliable, showing a smaller positive effect on exports. A 10% increase in bilateral immigration induces a 0.47% and 2.34% increase in exports and imports, respectively. Our findings also suggest that when immigrants to Portugal originate from a Latin partner-country, the effects on trade are stronger than in the case of immigrants from non-Latin countries. The study is based on an extended gravitational model...

Determinants of Economic Growth : A Bayesian Panel Data Approach

Moral-Benito, Enrique
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
65.93%
Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country, cross-sectional analyses have employed Bayesian Model Averaging to address the issue of model uncertainty. This paper extends that approach to panel data models with country-specific fixed effects. The empirical results show that the most robust growth determinants are the price of investment goods, distance to major world cities, and political rights. This suggests that growth-promoting policy strategies should aim to reduce taxes and distortions that raise the prices of investment goods; improve access to international markets; and promote democracy-enhancing institutional reforms. Moreover, the empirical results are robust to different prior assumptions on expected model size.

Dynamic panel data: a useful technique in experiments

Bra??as-Garza, Pablo; Bucheli, Marisa; Garc??a-Mu??oz, Teresa
Fonte: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica Publicador: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica
Tipo: Relatório
Português
Relevância na Pesquisa
96.09%
Numerous experimental studies use a panel approach to analyze repeated experiments involving a large number of periods. They use ???static??? panel techniques and do not incorporate any temporal dependency (lags) of the dependent variable. This paper introduces dynamic panel data techniques to experimental economists. This is a standard tool in many other fields of economics and might also be useful in our discipline. It uses the lags of the dependent variable as explanatory variables. Although the coefficients on lagged dependent variables might be far from our interest, the introduction of these lags becomes crucial to control for the dynamics of the process. To show the advantages of this technique, we have compared two datasets using static and dynamic panel data. We conclude that the use of dynamic panel data models in the context of experiments allows to unravel new relationships between experimental variables and highlighting new paths in behaviors.

Symmetrically normalized instrumental-variable estimation using panel data

Alonso-Borrego, César; Arellano, Manuel
Fonte: American Statistical Association Publicador: American Statistical Association
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf; text/plain
Publicado em /01/1999 Português
Relevância na Pesquisa
75.82%
We discuss the estimation of linear panel-data models with sequential moment restrictionsu sing symmetricallyn or malizedg eneralized method of moments( GMM) estimators( SNM)and limited information maximuml i kelihood( LIML)analogues These es imators are asymptotically equivalent to standardG MMb ut are invariantto normalizationan dt end to havea smallerf inite-samplbe ias, especiallyw hen the instruments are poor. We study their properties in relation to ordinary GMM and minimum distancee stimators for AR(1)model swith individual effects by mean of simulations. Finally, as empirical ilustrations, we estimate by SNM and LML employment and wage equations using panels of U.K. and Spanish firm.; The first author acknowledges research funding from a CEMFIP h.D. scholarship and from the Spanish DGES, Grant PB95-0292

Efficient inference on fractionally integrated panel data models with fixed effects

Robinson, Peter Michael; Velasco, Carlos
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article
Publicado em /04/2015 Português
Relevância na Pesquisa
75.82%
A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping withthe individual effects so as to estimate the parameters. Like models with autoregressive dynamics, ours nests I(1) behaviour, but unlike the nonstandard asymptotics in the autoregressive case, estimates of the fractional parameter can be asymptotically normal. For three of the estimates, establishing this property is made difficult due to bias caused by the individual effects, or by the consequences of eliminating them, which appears in the central limit theorem except under stringent conditions on the growth of the cross-sectional size N relative to the time series length T; though in case of two estimates these can be relaxed by bias correction, where the biases depend only on the parameters describing autocorrelation. For the fourth estimate, there is no bias problem, and no restrictions on N: Implications for hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates included. A Monte Carlo study of nite-sample performance is included.; Research supported by a Cátedra de Excelencia at Universidad Carlos III de Madrid...

Essays on bootstrap in econometrics

Kaffo Melou, Maximilien
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
66.07%
Ma thèse est composée de trois essais sur l'inférence par le bootstrap à la fois dans les modèles de données de panel et les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peut être faible. La théorie asymptotique n'étant pas toujours une bonne approximation de la distribution d'échantillonnage des estimateurs et statistiques de tests, je considère le bootstrap comme une alternative. Ces essais tentent d'étudier la validité asymptotique des procédures bootstrap existantes et quand invalides, proposent de nouvelles méthodes bootstrap valides. Le premier chapitre #co-écrit avec Sílvia Gonçalves# étudie la validité du bootstrap pour l'inférence dans un modèle de panel de données linéaire, dynamique et stationnaire à effets fixes. Nous considérons trois méthodes bootstrap: le recursive-design bootstrap, le fixed-design bootstrap et le pairs bootstrap. Ces méthodes sont des généralisations naturelles au contexte des panels des méthodes bootstrap considérées par Gonçalves et Kilian #2004# dans les modèles autorégressifs en séries temporelles. Nous montrons que l'estimateur MCO obtenu par le recursive-design bootstrap contient un terme intégré qui imite le biais de l'estimateur original. Ceci est en contraste avec le fixed-design bootstrap et le pairs bootstrap dont les distributions sont incorrectement centrées à zéro. Cependant...

Portuguese Intra-Industry Trade: A Dynamic Panel Data Analysis

Faustino, Horácio C.; Leitão, Nuno Carlos
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2006 Português
Relevância na Pesquisa
95.94%
This paper provides empirical evidence of the determinants of intra-industry trade (IIT), horizontal IIT and vertical IIT between Portugal and six European trading partners, using a dynamic panel data analysis. The paper introduces the distinction between the short-run and the long-run effects of the industry characteristics on IIT. The relationship between IIT and comparative advantages is also tested. The estimation results suggest that Portugal has comparative advantages in low-quality varieties and support Davis' (1995) hypothesis that decreasing costs are not necessary for IIT. The findings of the paper also provide an answer to Torstenson's (1996) question, namely that it is primarily human capital, rather than physical capital, that determines the quality of differentiated products.

Dynamic conditional score patent count panel data models

Blazsek, Szabolcs; Escribano, Álvaro
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/submitedVersion; info:eu-repo/semantics/workingPaper
Publicado em 01/11/2015 Português
Relevância na Pesquisa
66.04%
We propose a new class of dynamic patent count panel data models that is based on dynamic conditional score (DCS) models. We estimate multiplicative and additive DCS models, MDCS and ADCS respectively, with quasi-ARMA (QARMA) dynamics, and compare them with the finite distributed lag, exponential feedback and linear feedback models. We use a large panel of 4,476 United States (US) firms for period 1979 to 2000. Related to the statistical inference, we discuss the advantages and disadvantages of alternative estimation methods: maximum likelihood estimator (MLE), pooled negative binomial quasi-MLE (QMLE) and generalized method of moments (GMM). For the count panel data models of this paper, the strict exogeneity of explanatory variables assumption of MLE fails and GMM is not feasible. However, interesting results are obtained for pooled negative binomial QMLE. The empirical evidence shows that the new class of MDCS models with QARMA dynamics outperforms all other models considered.

Uniform Inference in High-dimensional Dynamic Panel Data Models

Kock, Anders Bredahl; Tang, Haihan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
65.89%
We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effect dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one can conduct simultaneous inference on the parameters of the model and construct a uniformly valid estimator of the asymptotic covariance matrix which is robust to conditional heteroskedasticity in the error terms. Allowing for conditional heteroskedasticity is important in dynamic models as the conditional error variance may be non-constant over time and depend on the covariates. Furthermore, our procedure allows for inference on high-dimensional subsets of the parameter vector of an increasing cardinality. We show that the confidence bands resulting from our procedure are asymptotically honest and contract at the optimal rate. This rate is different for the fixed effects than for the remaining parts of the parameter vector.; Comment: 52 pages

A Data Mining Approach to Indirect Inference

Creel, Michael
Fonte: Conselho Superior de Investigações Científicas Publicador: Conselho Superior de Investigações Científicas
Tipo: Documento de trabajo Formato: 434861 bytes; application/pdf
Português
Relevância na Pesquisa
75.87%
23 pages, 7 tables, 8 figures.; Consider a model with parameter phi, and an auxiliary model with parameter theta. Let phi be a randomly sampled from a given density over the known parameter space. Monte Carlo methods can be used to draw simulated data and compute the corresponding estimate of theta, say theta_tilde. A large set of tuples (phi, theta_tilde) can be generated in this manner. Nonparametric methods may be use to fit the function E(phi|theta_tilde=a), using these tuples. It is proposed to estimate phi using the fitted E(phi|theta_tilde=theta_hat), where theta_hat is the auxiliary estimate, using the real sample data. This is a consistent and asymptotically normally distributed estimator, under certain assumptions. Monte Carlo results for dynamic panel data and vector autoregressions show that this estimator can have very attractive small sample properties. Confidence intervals can be constructed using the quantiles of the phi for which theta_tilde is close to theta_hat. Such confidence intervals are found to have very accurate coverage.; I thank S.Bonhomme for helpful comments. This work was supported by grants MICINN-ECO2009-11857 and SGR2009-578.; Peer reviewed

Determinantes de estrutura de capital no mercado brasileiro: análise de regressão com painel de dados no período 1999-2003; Determinant factors of capital structure in the Brazilian market: an analysis of the regression with data covering the period from 1999 to 2003

Nakamura, Wilson Toshiro; Martin, Diogenes Manoel Leiva; Forte, Denis; Carvalho Filho, Antonio Francisco de; Costa, André Castilho Ferreira da; Amaral, Alexandre Cintra do
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/08/2007 Português
Relevância na Pesquisa
65.91%
This article presents the results of an investigation about the determinant factors of the capital structure of publicly held companies that operate in the Brazilian market. The sample group consisted of 91 companies, covering the period from 1999 to 2003. A stronger estimation technique conjugating Dynamic Panel Data, which combines cross-section data with time-series, with a generalized method of moments (GMM) tool was used in the performance of this study. The accounting and market concepts were used as capital structure and leverage proxies, and their results were compared. In conformity with literature from the area, the following variables were selected: current ratio, company size, return, growth opportunity, business risk, fiscal economy and sales growth, tangibility, coefficient of variation and bankruptcy risk. The GMM and AH econometric tools were used for the tests. The econometric results proved robust due to the techniques used. The analysis results obtained were largely consistent with the Pecking Order and Trade-off theories. These results are also in line with the results observed in similar studies carried out in several countries.; Este artigo apresenta os resultados de uma investigação sobre os fatores determinantes da estrutura de capital das companhias abertas que atuam no mercado brasileiro. Foi utilizada uma amostra de 91 empresas cobrindo o período de 1999 a 2003. Na realização deste trabalho foi utilizada uma técnica de estimativa mais forte...

Companies' investment determinants: Comparison of different panel data estimators

Serrasqueiro,Zelia; Mendes,Silvia; Nunes,Paulo Maçãs
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/12/2008 Português
Relevância na Pesquisa
66.06%
In this study, Aivazian, Ge and Qiu's (2005) analysis using static panel models is extended to using dynamic panel estimators, considering data for listed Portuguese companies. The results confirm Aivazian et al.'s (2005) conclusion that an Ordinary Least Squares (OLS) regression is not the best way to estimate the investment/determinant relationship. Investment decisions are probably dynamic, so the most suitable way to estimate the investment/determinant(s) relationship is using dynamic panel estimators. Alternatively a fixed effect panel model can be used, consistent with a first order autocorrelation. In this way, firstly, it is possible to determine more accurately the positive impact of sales (Neo-classic theory) and cash flow (Free Cash Flow theory) on the investments of listed Portuguese companies. Secondly, the positive effect of growth opportunities (Agency theory) is not overestimated when it seems to be the consequence of a first order autocorrelation. Using dynamic panel estimators permits correct measurement of dynamism in company investment decisions by examining the relationship between investment in the previous and the current periods.