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Apreçamento de ativos com assimetria e curtose: um teste de comomentos com dados em painel; Asset pricing with skewness and kurtosis: testing co-moments with panel data

Castro Junior, Francisco Henrique Figueiredo de
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 17/07/2008 Português
Relevância na Pesquisa
66%
Ao longo dos anos, desde a concepção do CAPM, o modelo vem passando por um rigoroso escrutínio por parte da comunidade científica e dos agentes de mercado interessados na sua utilização prática. Evidências tanto a favor quanto contra a sua adequação foram surgindo. Várias foram as causas levantadas para o fraco desempenho do CAPM: omissão de variáveis no modelo, variação no tempo da medida de risco (β) ou, ainda, a ausência de outros momentos tais como assimetria e curtose. Esta pesquisa teve como objetivo a investigação empírica da relação entre momentos sistêmicos (covariância, coassimetria e cocurtose) e a taxa de retorno de ativos financeiros negociados no mercado brasileiro. Foi utilizada uma amostra de 179 empresas brasileiras regularmente negociadas na Bovespa entre os anos de 2003 e 2007. Para o teste do modelo de apreçamento, foi utilizado um procedimento em duas etapas. Na primeira, os comomentos de cada ativo foram estimados usando-se dados longitudinais de taxas de retorno. Os coeficientes estimados foram, então, utilizados em uma segunda etapa, na qual uma regressão com dados em painel buscou determinar a relação entre o prêmio pelo risco dos ativos e os comomentos estimados na primeira etapa. Foram estimados modelos com dados agrupados...

A demanda por energia elétrica residencial no Brasil: 1999 - 2006: uma estimativa das elasticidades-preço e renda por meio de painel; The residential electric power demand in Brazil from 1999 to 2006: an estimation of price and income elasticities using panel data

Gomes, Ludmila de Sá Fonseca e
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 24/03/2010 Português
Relevância na Pesquisa
66.05%
O objetivo deste trabalho é estimar as elasticidades-preço e renda da demanda residencial por energia elétrica no Brasil utilizando dados em painel. A heterogeneidade da economia brasileira faz com que existam diversos padrões de consumo residencial de energia elétrica e diferentes estruturas tarifárias entre as distribuidoras. Nesse sentido, este trabalho utiliza um banco de dados em painel formado por 63 distribuidoras de energia elétrica no Brasil, para o período 1999-2006. Isso permite controlar possíveis efeitos individuais não observáveis existentes entre as distribuidoras. Três métodos de estimação em painel foram aplicados: o Pooled OLS, o de Efeitos Fixos e o de Efeitos Aleatórios. Além disso, também foi testado se no período de racionamento de energia elétrica ocorrido no Brasil em 2001/2002, ocorreu alguma alteração na sensibilidade dos consumidores com relação a variações nas tarifas de energia elétrica e na renda dos consumidores no período. Os resultados mostraram que a utilização de dados em painel produz estimativas de elasticidades preço e renda de acordo com a teoria econômica. Além disso, os resultados ficaram próximos aos da literatura nacional. Os resultados também mostraram que no período do racionamento aumentou a sensibilidade dos consumidores com relação a alterações nas tarifas de energia elétrica.; The objective of this thesis is to estimate the price and income elasticities of residential electric power demand in Brazil using panel data. The heterogeneity of the Brazilian economy leads to the existence of different patterns of residential electric power consumption and different tariffs structures among the electric power utilities companies. In this regard...

Growth and exchange rate volatility: a panel data analysis

Brito, Márcio Holland de; Vieira, Flávio Vilela; Silva, Cleomar Gomes da; Bottecchia, Luiz Carlos
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Português
Relevância na Pesquisa
65.96%
The aim of this article is to assess the role of real effective exchange rate volatility on long-run economic growth for a set of 82 advanced and emerging economies using a panel data set ranging from 1970 to 2009. With an accurate measure for exchange rate volatility, the results for the two-step system GMM panel growth models show that a more (less) volatile RER has significant negative (positive) impact on economic growth and the results are robust for different model specifications. In addition to that, exchange rate stability seems to be more important to foster long-run economic growth than exchange rate misalignment

Non-Durable Consumption and Real-Estate Prices in Brazil: Panel-Data Analysis at the State Level

Dias, Victor Pina; Diniz, Érica; Issler, João Victor
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
65.98%
Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the effect of real-estate price variation on welfare, trying to close a gap between the welfare literature in Brazil and that in the U.S., the U.K., and other developed countries. Our first motivation relates to the fact that real estate is probably more important here than elsewhere as a proportion of wealth, which potentially makes the impact of a price change bigger here. Our second motivation relates to the fact that real-estate prices boomed in Brazil in the last five years. Prime real estate in Rio de Janeiro and São Paulo have tripled in value in that period, and a smaller but generalized increase has been observed throughout the country. Third, we have also seen a recent consumption boom in Brazil in the last five years. Indeed, the recent rise of some of the poor to middle-income status is well documented not only for Brazil but for other emerging countries as well. Regarding consumption and real-estate prices in Brazil, one cannot imply causality from correlation, but one can do causal inference with an appropriate structural model and proper inference, or with a proper inference in a reduced-form setup. Our last motivation is related to the complete absence of studies of this kind in Brazil...

Distinguishing between potential sources of growth convergence for the Portuguese economy within the EU. A panel data - time series study of the aggregate production function

Simões, Marta Cristina Nunes; Duarte, Maria Adelaide Silva
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
66.04%
What are the potential sources of growth and how is the convergence process of the Portuguese economy within the EU characterised? We answer this question by determining the most suitable specification of the aggregate production function, CES or Cobb-Douglas, for the EU countries as in Duffy&Papageorgiou (2000). If the aggregate production technology is best described by a CES production function then the potential sources of growth are wider than the ones associated with a Cobb-Douglas technology. For instance, with an elasticity of substitution between inputs greater than one (ó>1) it is possible to have endogenous growth (see Jones&Manuelli (1990), Rebelo (1991)) while for ó<1 multiple equilibriums arise (see Azariadis (1993, 1996, 2001). To test for the most suitable production function specification we consider a sample of seventeen European countries between 1960 and 1987. The tests are conducted within a panel data and time series framework based on data retrieved from the STARS database of the World Bank. Three different kinds of samples were considered: a) all the seventeen countries; b) three of the cohesion countries, Portugal, Greece, Ireland, and Iceland; and c) each country separately, and two types of production functions – one with raw labour and one with human capital adjusted labour. By considering groups of countries and not only each country separately it is possible to distinguish between each country’s behaviour and that of the average economy and also to characterise ó according to the income level of the different countries in our sample. Previous to the estimation of the non-linear production function by maximum likelihood and GMM techniques we tested the series for stationarity both in a time series and a panel data framework. We also used linear estimation techniques...

Productivity spillovers from multinational corporations in the portuguese case: evidence from a short time period panel data

Proença, Isabel; Fontoura, Maria Paula; Crespo, Nuno
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2002 Português
Relevância na Pesquisa
65.98%
Empirical evidence on productivity spillovers - a concept that embodies the fact that foreign enterprises own intangible assets which can be transmitted to domestic firms, thus raising their productivity level - is ambiguous. With a panel data set at the firm level for the Portuguese manufacturing industry, we aim to uncover the possibility that the choice of statistical techniques will have profound effects on evidence of spillovers diffusion. We will consider the panel data models commonly used in the literature and the recent and more robust Extended GMM technique, specially devised for panels with a small number of time periods. We find that positive spillovers occur only when the technologic gap between domestic and foreign firms is moderate. Though all methods agree on this result, there are differences worth to be noted, revealing that the traditional estimates can sometimes be misleading.

A panel data investigation of real exchange rate misalignment and growth

Vieira,Flávio Vilela; MacDonald,Ronald
Fonte: Fundação Instituto de Pesquisas Econômicas - FIPE Publicador: Fundação Instituto de Pesquisas Econômicas - FIPE
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2012 Português
Relevância na Pesquisa
66.01%
The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects) for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples, which means that a more depreciated (appreciated) real exchange rate helps (harms) long-run growth. The estimated coefficients are higher for developing and emerging countries.

The relationship between market sentiment index and stock rates of return: a panel data analysis

Yoshinaga,Claudia Emiko; Castro Junior,Francisco Henrique Figueiredo de
Fonte: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração Publicador: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2012 Português
Relevância na Pesquisa
65.94%
This article analyzes the relationship between market sentiment and future stock rates of return. We used a methodology based on principal component analysis to create a sentiment index for the Brazilian market with data from 1999 to 2008. The sample consisted of companies listed on BM&F BOVESPA which were grouped into quintiles, each representing a portfolio, according to the magnitude of the following characteristics: market value, total annualized risk and listing time on BM&F BOVESPA. Next, we calculated the average return of each portfolio for every quarter. The data for the first and last quintiles were analyzed via two-factor ANOVA, using sentiment index of the previous period (positive or negative) as the main factor and each characteristic as controlling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicate a significant and negative relationship between the market sentiment index and the future rates of return. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative, and vice-versa.

A new diagnostic test for cross-section independence in nonlinear panel data models

Chen, Jia; Gao, Jiti; Li, Degui
Fonte: ANU Publicador: ANU
Tipo: Conference paper
Publicado em //2009 Português
Relevância na Pesquisa
65.99%
In this paper, we propose a new diagnostic test for residual cross section in dependence in a nonparametric panel data model. The proposed test is a nonparametric counterpart of an existing test proposed in Pesaren (2004) for the parametric case. First of all, we establish an asymptotic distribution of the proposed test statistic under the null hypothesis. As shown in the parametric case, the asymptotic distribution is a standard normality. We then analyze the power function of the proposed test statistic under an alternative hypothesis that involves a nonlinear multi-factor model. In order to compute both the sizes and the power values, we select a simulated critical value in each case based on a simple bootstrap simulation scheme in the context of nonparametric panel data models. We finally provide several numerical examples and an empirical analysis of a set of CPI data in Australian capital cities to illustrate the finite sample performance of the proposed test statistic.; http://wise.xmu.edu.cn/english/viewNews.asp?id=1955; Jia Chen, Jiti Gao and Degui Li

Non-parametric time-varying coefficient panel data models with fixed effects

Li, Degui; Chen, Jia; Gao, Jiti
Fonte: Wiley-Blackwell Publishing Ltd. Publicador: Wiley-Blackwell Publishing Ltd.
Tipo: Artigo de Revista Científica
Publicado em //2011 Português
Relevância na Pesquisa
65.99%
This paper is concerned with developing a non-parametric time-varying coefficient model with fixed effects to characterize non-stationarity and trending phenomenon in a non-linear panel data model. We develop two methods to estimate the trend function and the coefficient function without taking the first difference to eliminate the fixed effects. The first one eliminates the fixed effects by taking cross-sectional averages, and then uses a non-parametric local linear method to estimate both the trend and coefficient functions. The asymptotic theory for this approach reveals that although the estimates of both the trend function and the coefficient function are consistent, the estimate of the coefficient function has a rate of convergence of (Th)−1/2, which is slower than (NTh)−1/2 as the rate of convergence for the estimate of the trend function. To estimate the coefficient function more efficiently, we propose a pooled local linear dummy variable approach. This is motivated by a least squares dummy variable method proposed in parametric panel data analysis. This method removes the fixed effects by deducting a smoothed version of cross-time average from each individual. It estimates both the trend and coefficient functions with a rate of convergence of (NTh)−1/2. The asymptotic distributions of both of the estimates are established when T tends to infinity and N is fixed or both T and N  tend to infinity. Both the simulation results and real data analysis are provided to illustrate the finite sample behaviour of the proposed estimation methods.; Degui Li...

Linear Regression Models for Panel Data Using SAS, Stata, LIMDEP, and SPSS

Park, Hun Myoung
Fonte: Universidade de Indiana Publicador: Universidade de Indiana
Português
Relevância na Pesquisa
66.08%
Panel (or longitudinal) data are cross-sectional and time-series. There are multiple entities, each of which has repeated measurements at different time periods. U.S. Census Bureau’s Census 2000 data at the state or county level are cross-sectional but not time-series, while annual sales figures of Apple Computer Inc. for the past 20 years are time series but not cross-sectional. If annual sales data of IBM, LG, Siemens, Microsoft, and AT&T during the same periods are also available, they are panel data. The cumulative General Social Survey (GSS), American National Election Studies (ANES), and Current Population Survey (CPS) data are not panel data in the sense that individual respondents vary across survey years. Panel data may have group effects, time effects, or the both, which are analyzed by fixed effect and random effect models.

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
66.07%
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.

Panel-data estimates of the production function and the revenue function: What differences does it make?

Mairesse, J.; Jaumandreu, Jordi
Fonte: Blackwell Publicador: Blackwell
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article
Publicado em /12/2005 Português
Relevância na Pesquisa
65.98%
The lack of individual firm information on output prices is a major problem in the econometrics of production. In particular, it may be expected to account for a significant share of the large discrepancies found between the cross-sectional and time-series estimates of capital and scale elasticities. However, taking advantage of two panel-data samples for which we had such information, we find that estimating the revenue function (using a nominal output measure) or the production function proper (using a real output measure) makes very little difference for our results. The biases due to other sources of specification errors are probably more important.; This is the accepted version of the following article: Mairesse, J. and Jaumandreu, J. (2005), Panel-data Estimates of the Production Function and the Revenue Function: What Difference Does It Make?. The Scandinavian Journal of Economics, 107(4), 651–672, which has been published in final form at: http://dx.doi.org/10.1111/j.1467-9442.2005.00431.x

Essays on Productivity and Panel Data Econometrics

Liu, Junrong
Fonte: Universidade Rice Publicador: Universidade Rice
Tipo: Thesis; Text Formato: application/pdf
Português
Relevância na Pesquisa
66.11%
There are four essays on productivity and Panel data econometrics in this dissertation, with the first two essays on empirical research and the last two more focused on theory improvement. The first chapter is study of productivity and efficiency in the Mexican Energy Industry. The second chapter analyzes the productivity and efficiency of U.S. largest banks productivity and efficiency. The third incorporates a Bayesian treatment to two different panel data models. The last chapter introduces a semi-nonparametric method in panel data models. These four chapters have been developed into four working papers. They are Liu et al. (2011), Inanoglu et al. (2012), Liu et al. (2013) and Liu et al. (2014). The first chapter studies the optimizing behavior of Pemex by estimating a cost model of Pemex's production of energy. The estimation using duality between the cost and production function is undertaken, which facilitates the specification. This approach makes it convenient to find the cost shares under different levels of returns to scale. The results indicate the presence of substantial distortions in cost shares. That would be brought back to equilibrium were the Mexican government willing to allow more foreign investment in its energy extraction industry and thus increase the capital use and decrease the labor use. The second chapter utilizes a suite of panel data models in order to examine the extent to which scale economy and efficiencies exist in the largest U.S. banks. The empirical results are assessed based on the consensus among the findings from the various econometric treatments and models. This empirical study is based on a newly developed dataset based on Call Reports from the FDIC for the period 1994-2013. The analyses point to a number of conclusions. First...

Bootstrap for panel data models with an application to the evaluation of public policies

Hounkannounon, Bertrand G. B.
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
66.17%
Le but de cette thèse est d étendre la théorie du bootstrap aux modèles de données de panel. Les données de panel s obtiennent en observant plusieurs unités statistiques sur plusieurs périodes de temps. Leur double dimension individuelle et temporelle permet de contrôler l 'hétérogénéité non observable entre individus et entre les périodes de temps et donc de faire des études plus riches que les séries chronologiques ou les données en coupe instantanée. L 'avantage du bootstrap est de permettre d obtenir une inférence plus précise que celle avec la théorie asymptotique classique ou une inférence impossible en cas de paramètre de nuisance. La méthode consiste à tirer des échantillons aléatoires qui ressemblent le plus possible à l échantillon d analyse. L 'objet statitstique d intérêt est estimé sur chacun de ses échantillons aléatoires et on utilise l ensemble des valeurs estimées pour faire de l inférence. Il existe dans la littérature certaines application du bootstrap aux données de panels sans justi cation théorique rigoureuse ou sous de fortes hypothèses. Cette thèse propose une méthode de bootstrap plus appropriée aux données de panels. Les trois chapitres analysent sa validité et son application. Le premier chapitre postule un modèle simple avec un seul paramètre et s 'attaque aux propriétés théoriques de l estimateur de la moyenne. Nous montrons que le double rééchantillonnage que nous proposons et qui tient compte à la fois de la dimension individuelle et la dimension temporelle est valide avec ces modèles. Le rééchantillonnage seulement dans la dimension individuelle n est pas valide en présence d hétérogénéité temporelle. Le ré-échantillonnage dans la dimension temporelle n est pas valide en présence d'hétérogénéité individuelle. Le deuxième chapitre étend le précédent au modèle panel de régression. linéaire. Trois types de régresseurs sont considérés : les caractéristiques individuelles...

Capital mobility in developing countries: evidence from panel data

Rocha,Fabiana
Fonte: Fundação Instituto de Pesquisas Econômicas - FIPE Publicador: Fundação Instituto de Pesquisas Econômicas - FIPE
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2007 Português
Relevância na Pesquisa
66%
The purpose of this paper is to show that the use of panel data can shed some light on the Feldstein-Horioka puzzle. The use of panel data would bring in two advantages. First, it would avoid the bias towards low capital mobility brought by the use of time-averaged data. Second, it would make possible to take into account specific effects (heterogeneity) like a country's size. Pooling annual data for the period 1960-1996 for 29 developing countries, the estimated impact of saving on investment is considerably smaller and it is possible to conclude that there is some degree of capital mobility in developing countries. Therefore, the high estimated saving-investment correlation seems to be due more to the existence of specific individual country effects than to capital immobility. The coefficient stability through time remains a puzzle though.

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
66.01%
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.

A Panel Data Investigation of Real Exchange Rate Misalignment and Growth; Uma Investigação com Dados em Painel do Desalinhamento da Taxa de Câmbio Real e do Crescimento

Vieira, Flávio Vilela; MacDonald, Ronald
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; Formato: application/pdf
Publicado em 01/09/2012 Português
Relevância na Pesquisa
66.01%
O trabalho investiga o papel do desalinhamento da taxa de câmbio real no crescimento de longo prazo para um conjunto de noventa países para o período de 1980 a 2004. Primeiramente estima-se um modelo de dados em painel (efeitos fixos e aleatórios) para a taxa de câmbio real, no intuito de se obter estimações da taxa de câmbio real de equilíbrio que são utilizadas para construir as medidas de desalinhamento da taxa de câmbio real. O trabalho utiliza também estimações adicionais do desalinhamento da; taxa de câmbio real com base em análise de cointegração em painel. Os resultados dos modelos de crescimento em painel (two-step System GMM) indicam que os coeficientes do desalinhamento da taxa de câmbio real são positivos para diferentes especificações e amostras, indicando que uma taxa de câmbio real mais depreciada (apreciada) estimula (prejudica) o crescimento de longo prazo. Os coeficientes estimados são maiores para os países emergentes e em desenvolvimento.; The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects) for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples...

Capital mobility in developing countries: evidence from panel data

Rocha, Fabiana
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/09/2007 Português
Relevância na Pesquisa
66%
The purpose of this paper is to show that the use of panel data can shed some light on the Feldstein-Horioka puzzle. The use of panel data would bring in two advantages. First, it would avoid the bias towards low capital mobility brought by the use of time-averaged data. Second, it would make possible to take into account specific effects (heterogeneity) like a country's size. Pooling annual data for the period 1960-1996 for 29 developing countries, the estimated impact of saving on investment is considerably smaller and it is possible to conclude that there is some degree of capital mobility in developing countries. Therefore, the high estimated saving-investment correlation seems to be due more to the existence of specific individual country effects than to capital immobility. The coefficient stability through time remains a puzzle though.; O objetivo deste artigo é mostrar que dados em painel podem ajudar a entender o puzzle de Feldstein-Horioka. O uso de dados em painel traria duas vantagens. Primeiro, faria com que fosse evitado o viés em direção à baixa mobilidade de capitais resultante do uso da média dos dados. Segundo, tornaria possível levar em conta efeitos específicos (heterogeneidade), como o tamanho do país. Usando dados em painel para o período 1960-1996 para 29 países em desenvolvimento...

Wage differentials and mobility in the urban labour market: a panel data analysis for Mexico

Gong, Xiaodong; van Soest, Arthur
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
65.98%
We analyze wage differentials and transitions between the formal and informal sectors in urban Mexico. We use panel data on five quarterly waves from Mexico's Urban Employment Survey. We develop a dynamic random effects panel data model consisting of separate wage equations for the two sectors and a logit part explaining the labour market state with wages included as explanatory variables. The model is estimated using simulated maximum likelihood. The estimates show that wage differentials increase with education level. The probability of formal sector employment strongly increases with the wage differential. For male workers, the choice between formal and informal sector is driven by wage differentials and unobserved heterogeneity, and true state dependence is not important. For women, non-participation is the most common labour market state, and true state dependence plays a much larger role.