The concept of ‘pro-poor growth’ focuses on the interrelation between economic growth, inequality and poverty. The literature has often considered the concept of pro-poor growth within a country by using household data in one or in a large cross-section of countries. In this paper, we adopt...

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. The following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of "n" economic variables.

This paper condiders an extension of Tran Van Hoa's family of 2SHI (two stage hierarchical information) estimators for the coefficient vector of a linear regression model and derives the conditions for the dominance of 2SHI estimator over the OLS and Stein rule estimators under a Generalised...

We consider multicointegration in the sense of Granger and Lee (1990), that is, the cumulated equilibrium error cointegrates with the process itself. It is shown, that if the process is given by the cointegrated VAR model for I(1) variables, then multicointegration cannot occur. If, however, the...

Consider a vertex-reinforced jump process defined on a regular tree, where each vertex has exactly b children, with b = 3. We prove the strong law of large numbers and the central limit theorem for the distance of the process from the root. Notice that it is still unknown if vertex-reinforced...

Das ifo Institut für Wirtschaftsforschung in München führt seit seiner Gründung im Jahr1949 regelmäßige Unternehmensbefragungen durch. Bisher bestand kein institutionalisierterDatenzugang zu den Mikrodaten für Forscher außerhalb des Institutes. Die Mikrodatenwerden nunmehr im ifo...

This article analyzes the work polarization in Brazil. We can define polarization as the difference between the observed ratio of workless households and the ratio that would prevailed if the work was randomly assigned to people. For example, imagine a simplified world with only two households...

The economic paradigms of Ludwig von Mises on the one hand and of John Maynard Keynes on the other have been correctly recognized as antithetical at the theoretical level, and as antagonistic with respect to their practical and public policy implications. Characteristically they have also been...

We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. To the best of our knowledge, all existing models for cointegration require the choice of a fixed sampling frequency Delta t. By contrast, our proposed model is constructed at the...