Unobserved Heterogeneity In Regression Models: A Semiparametric Approach
Brazilian Review of Econometrics
V 35, N 1, P 47-63, 24/02/2015Priscilla Burity, Juliano Assunção, Marcelo Medeiros.
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Brazilian Review of Econometrics
V 35, N 1, P 47-63, 24/02/2015Priscilla Burity, Juliano Assunção, Marcelo Medeiros.
Brazilian Review of Econometrics
V 34, N 1, P 3-23, 11/02/2015Gustavo Gonzaga, Cristina Terra, Beatriz Cristina Muriel Hernández.
EconomiA
V 16, N 1, P 1-21, 22/01/2015Nonlinear time series models, especially those with regime-switching and/or conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little theoretical or statistical analysis associated with the structure of the processes or the associated asymptotic theory. In this paper, we derive sufficient conditions for strict stationarity and ergodicity of three different specifications of the first-order smooth transition autoregressions with heteroskedastic errors. This is essential, among other reasons, to establish the conditions under which the traditional LM linearity tests based on Taylor expansions are valid. We also provide sufficient conditions for consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors.
Marcelo Medeiros.
Brazilian Review of Econometrics
V 33, N 1, 08/10/2014The Roy model predicts that migrants will be disproportionately drawn from the lower
half of the educational distribution of the sending country if the sending country has
a higher return to schooling. However, Mexican immigrants in the U.S. tend to be
disproportionately drawn from the middle of the distribution. We argue that nancial
constraints may explain why. We study migrants' selectivity when agents that face credit
constraints make joint decisions about how much to invest in education and whether
to migrate. Our results show that nancial constraints can explain the intermediate
selection of migrants observed in the data.
Juliano Assunção, Leandro Siqueira Carvalho.
Brazilian Review of Econometrics
V 33, N 2, P 145-170, 02/10/2014Existing tests for nonlinearity in vector error correction models are highly intensive computationally
and have nuisance parameters in the asymptotic distribution, what calls for
cumbersome bootstrap calculations in order to assess the distribution. Our work proposes
a consistent test which is implementable in any statistical package and has Chi-Squared
asymptotics. Moreover, Monte Carlo experiments show that in small samples our test
has nice size and power properties, often better than the preexisting tests. We also provide
a condition under which a two step estimator for the model parameters is consistent
and asymptotically normal. Application to international agricultural commodities prices
show evidence of nonlinear adjustment to the long run equilibrium on the wheat prices.
Marcelo Medeiros, Rafael Ribeiro Magri.
Revista Brasileira de Finanças
V 12, N 2, P 257-284, 25/08/2014In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the results with the value and equal weighted portfolios and with a Markowitz based portfolio. We performed statistical inference in the parametric optimization using bootstrap techniques in order to build the parameters empirical distributions. Our results showed that the parametric optimization is a very efficient technique out of sample. It consistently showed superior results when compared with the VW, EW and Markowitz portfolios even when transaction costs were included. Finally, we consider the parametric approach to be very flexible to the inclusion of constraints in weights, transaction costs and listing and delisting of stocks.
Gabriel Vasconcelos, Marcelo Medeiros, Artur Manoel Passos.
Journal of Economic Behavior and Organization
V 106, P 109-126, 04/06/2014We use data on immigrants who live in the United States to study the effects of exposure to hyperinflation on occupational choice. To do so, we calculate the number of years an individual had lived under hyperinflation before arriving to the US. We find that its marginal effect on the probability of being self-employed instead of wage-earner is 0.87 percentage point. This finding suggests that the macroeconomic environment one lives in permanently affects his economic behavior. The estimated effect depends on the age individuals had when exposed to hyperinflation. In particular, it vanishes for those over the age of 40.
Eduardo Zilberman, João Manoel Pinho de Mello, Caio Waisman.
The Economic History Review
V 67, N 2, P 535-555, 30/05/2014The British effort in the Second World War required massive external financing which depended on Lend-Lease and the accumulation of sterling balances. Indebtedness in sterling balances corresponded to almost 38 per cent of this total at the end of the war. Portuguese sterling balances, although a small share of the total, were important because of pre-emptive purchases, especially of wolfram, and because of the ‘gold clause’ which was to be applied to outstanding balances. Portugal's willingness to finance British purchases contrasts with the requirement of German payments in goods or cash for their purchases in Portugal. The settlement of Portuguese sterling balances in August 1945 was singular as it preceded the Anglo-American settlement of December 1945 which had important consequences for sterling balance holders, as the US insisted that the US$3.75 billion loan should not be used to settle British war debts. Postwar settlement of British debt through a long-term loan from Portugal to Britain contrasts with settlements that involved the sale of British assets. Salazar's concerns about the postwar international position of Portugal, the Portuguese Empire, and the survival of the Portuguese regime are relevant in explaining his pro-British stance during and after the war.
Marcelo de Paiva Abreu.
Journal of Monetary Economics
V 66, P 108-123, 24/04/2014We combine questions from the Michigan Survey about future inflation, unemployment, and interest rates to investigate whether households are aware of the basic features of U.S. monetary policy. Our findings provide evidence that some households form their expectations in a way that is consistent with a Taylor (1993)-type rule. We also document a large degree of variation in the pattern of responses over the business cycle. In particular, the negative relationship between unemployment and interest rates that is apparent in the data only shows up in households׳ answers during periods of labor market weakness.
Carlos Viana de Carvalho, Fernanda Feitosa Nechio.
Revista Brasileira de Economia
V 68, N 2, P 197-223, 24/02/2014Propomos e implementamos uma medida da credibilidade do
Banco Central do Brasil, fazendo uso de uma base de dados com
expectativas desagregadas. A hipótese é de que a heterogeneidade
das expectativas de longo prazo advenha de crenças distintas com
relação à aversão do Banco Central à inflação. Desse modo, a existência
de agentes persistentemente otimistas ou pessimistas indicaria falta
de credibilidade. Com base neste argumento, construímos um
índice utilizando Cadeias de Markov. Nosso índice inova em
relação aos disponíveis na literatura por considerar a dispersão das
expectativas. Nossos resultados são comparados com os de outros
artigos, corroborando o aprimoramento advindo da nova medida da
credibilidade
Márcio Garcia, Diogo Abry Guillén.
Journal of Financial Intermediation
V 23, P 129-139, 12/02/2014Diversification through a financial intermediary has the benefit of transforming loans that need costly monitoring into bank deposits that do not. We show that financial intermediation in a costly state verification model has a cost not yet analyzed: it allows for the existence of multiple equilibria, some of which are characterized by borrowers defaulting on their loans because they expect other borrowers to do the same (i.e. bad equilibria arise due to strategic complementarities in entrepreneurs’ actions). We propose two mechanisms that fully implement the desired equilibrium allocation.
Vinicius Nascimento Carrasco, Pablo Hector Seuanez Salgado.
Journal of Banking and Finance
V 40, P 1-10, 23/01/2014This paper performs a thorough statistical examination of the time-series properties of the daily market
volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on
the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns
investors’ risk appetite, but also on the fact that there are many trading strategies that rely on
the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index
displays long-range dependence. This is well in line with the strong empirical evidence in the literature
supporting long memory in both options-implied and realized variances. We thus resort to both parametric
and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting
purposes. Our main findings are as follows. First, we confirm the evidence in the literature that there
is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous
link with the volume of the S&P 500 index. Second, the term spread has a slightly negative
long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for.
Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample.
As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very
persistent nature of the VIX index.
Marcelo Fernandes, Marcelo Medeiros, Marcel Scharth Figueiredo Pinto.
Econometrics Reviews
V 33, N 7, P 713-731, 01/01/2014We derive the asymptotic distribution of the ordinary least squares estimator in a regression with cointegrated variables under misspecification and/or nonlinearity in the regressors. We show that, under some circumstances, the order of convergence of the estimator changes and the asymptotic distribution is non-standard. The t-statistic might also diverge. A simple case arises when the intercept is erroneously omitted from the estimated model or in nonlinear-in-variables models with endogenous regressors. In the latter case, a solution is to use an instrumental variable estimator. The core results in this paper also generalise to more complicated nonlinear models involving integrated time series.
Marcelo Medeiros, Eduardo F. Mendes, L. Oxley.
The Review of Financial Studies
V 27, N 9, P 2661-2689, 01/01/2014We exploit a 2004 credit reform in Brazil that simplified the sale of repossessed cars used as collateral for auto loans. We show that the change has led to larger loans with lower spreads and longer maturities. The reform expanded credit to riskier, low-income borrowers for newer, more expensive cars. Although the credit reform improved riskier borrowers’ access to credit, it also led to increased incidences of delinquency and default. Our results shed light on the consequences of a credit reform, highlighting the crucial role that collateral and repossession play in the liberalization and democratization of credit.
Efraim Benmelech, Juliano Assunção, Fernando Setubal Souza e Silva.
Pesquisa e Planejamento Econmico
V 43, N 3, P 279-305, 19/12/2013Gustavo Gonzaga, Danielle Carusi Machado, Sergio Firpo.
Revista Brasileira de Economia
V 67, N 4, P 415-427, 09/12/2013Fernando Cordeiro, Juliana Vargas, Carlos Viana de Carvalho.
Brazilian Review of Econometrics
V 32, N 2, P 133-167, 01/12/2013Neste artigo, introduz-se ao modelo de crescimento neoclássico a defasagem necessária para que o investimento público se consolide em capital público (processo time-to-build,0), assim como alíquotas tributárias distorcivas que se ajustam de acordo com a dívida acumulada pelo setor público. O objetivo é isolar quantitativamente o efeito do aumento do investimento público observado no Programa de Aceleração do Crescimento (PAC). Dependendo da defasagem associada ao processo time-to-build e da política de ajuste fiscal consideradas, o PAC pode ter induzido uma queda do produto entre 0,2% e 0,4% em um horizonte de até quatro anos.
Julio de Alencastro Graça Mereb, Eduardo Zilberman.
Journal of Money, Credit and Banking
V 45, N 8, P 1581–1615, 25/11/2013We measure the competitive effect of public banks in concentrated local
markets in Brazil using branch location patterns. We employ variation in
market size, number, and identity of competitors to determine how the
conduct of private banks is affected by the entry of a public bank. We find
that the market size needed to sustain a private bank branch is 35% larger if a
private competitor is present and is not significantly affected by the presence
of a public bank. These results suggest that the presence of a public bank
does not affect conduct of private banks
Christiano Arrigoni Coelho, João Manoel Pinho de Mello, Leonardo Rezende.
Journal of Banking & Finance
V 37, N 8, P 2806–2811, 01/08/2013This paper shows that the contractual arrangement of ‘banking correspondents’ has eliminated entry barriers for the provision of banking services in Brazil. With the bank correspondents, banks are allowed to reach the almost 2200 municipalities without bank branches in 2000, connecting 45 million people to the financial sector. The evidence is based on the estimation of an entry model of financial providers in Brazilian municipalities. I estimate a zero population entry threshold for banking correspondents for the period from 2002 to 2007. The estimated population entry thresholds for bank branches in the same period are relatively stable at approximately 8000–9000 people. The population entry thresholds for the second to fifth players for banking correspondents are also consistently lower than those for bank branches.
Juliano Assunção.