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Autoregressive Models with Sample Selectivity for Panel Data

Arellano, M.; Bover, O.; Labeaga, J.M. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

The purpose of this paper is to formulate procedures for the analysis of the time series behaviour of micro panel data subject to censoring. We assume an autoregressive model with random effects for a latent variable which is only partly observed due to a selection mechanism. Our methods are...

Persistent link: https://www.econbiz.de/10005661209

Quadratic Arch Models.

Sentana, E. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995

Persistent link: https://www.econbiz.de/10005776176

Monitoring,Liquidation,and Security Design.

Repullo, R.; Suarez, J. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995

Persistent link: https://www.econbiz.de/10005776177

Testing the CCAPM on Spanish Data: A New Approach.

Rubio, E.M. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1996

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

Persistent link: https://www.econbiz.de/10005776182

Analytic Derivatives and the Computation of Garch Estimates.

Fiorentini, G.; Calzolari, G.; Panattoni, L. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995

Persistent link: https://www.econbiz.de/10005776187

Entrepreneurial Moral Hazard and Bank Monitoring: A Model of the Credit Channel.

Repullo, R.; Suarez, J. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1996

This paper considers a model of firms' financing based on the existence of a moral hazard problem in the choice of investment projects by a heterogeneous population of entrepreneurs. Two alternative ways of funding these projects, called unmonitored (or market) and monitored (or bank) lending,...

Persistent link: https://www.econbiz.de/10005625747

Unemployment Duration, Benefit Duration, and the Business Cycle

Bover, O.; Arellano, M.; Bentolila, S. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

discrete hazard models indicate that receipt of unemployment benefits significantly reduces the hazard of leaving unemployment. …

Persistent link: https://www.econbiz.de/10005625760

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model

Sentana, E.; Fiorentini, G. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

We investigate several important inference issues for factor models with dynamic heteroskedasticity in the common … factors. First, we show that such models are identified if we take into account the time-variation in the variances of the … factors. Our results also apply to dynamic versions of the APT, dynamic factor models, and vector autoregressions. Secondly …

Persistent link: https://www.econbiz.de/10005625772

Least Squares Predictions and Mean-Variance Analysis

Sentana, E. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...

Persistent link: https://www.econbiz.de/10005475098

A Quantitative Analysis of Swedish Fertility Dynamics: 1751-1990

Eckstein, Z.; Mira, P.; Wolpin, K.I. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997

This paper analyzes the relationship between age-specific fertility, mortality and real wages in Sweden during the demographic transition. We take an overlapping generations model of life cycle fertility and fit it to actual Swedish time-series data over the past two and a half centuries. The...

Persistent link: https://www.econbiz.de/10005475100