A gerência recente do endividamento público brasileiro
N 595, 01/10/2011
Pblicado na Revista de Economia Política v. 32, n.2, p. 264-285, 2012
Márcio Gomes Pinto Garcia, Pedro Maia da Cunha.
Working Paper Series
Browse the categories to access the content of academic, scientific and opinion publications of the professors and students of the Department of Economics PUC-Rio.
Bye, Bye Financial Repression, Hello Financial Deepening: The Anatomy of a Financial Boom
N 594, 01/10/2011
João Manoel Pinho de Mello, Márcio Gomes Pinto Garcia.
Unemployment Insurance in Developing Countries: The Case of Brazil
N 593, 01/08/2011
Versão revista e recebeu o título "Informal Labor and the Cost of Social Programs: Evidence from 15 Years of Unemployment Insurance in Brazil" e difulgada como Texto para Discussão no. 608, 2013.
François Gerard, Gustavo Gonzaga.
The use of violence in illegal markets: evidence from mahogany trade in the Brazilian Amazon
N 592, 01/08/2011
Ariaster B. Chimeli, Rodrigo Reis Soares.
Access to justice and entrepreneurship: evidence from Brazil’s Special Civil Tribunals
N 591, 01/08/2011
Guilherme Finkelfarb Lichand, Rodrigo Reis Soares.
Audits or Distortions: The Optimal Scheme to Enforce Self-Employment Income Taxes
N 590, 01/07/2011
Eduardo Zilberman.
Can Sterilized FX Purchases under Inflation Targeting be Expansionary?
N 589, 01/04/2011
Márcio Gomes Pinto Garcia.
A Economia da República Velha, 1889-1930
N 588, 01/01/2011
Luiz Aranha Corrêa do Lago, Gustavo Henrique de Barroso Franco.
Assessing the crack hypothesis using data from a crime wave: the case of São Paulo
N 586, 01/12/2010
João Manoel Pinho de Mello.
A deterioração do regime fiscal no segundo mandato de Lula e seus desdobramentos
N 587, 01/12/2010
Rogério Ladeira Furquim Werneck.
A economia brasileira no Império, 1822-1889
N 584, 01/11/2010
Marcelo de Paiva Abreu, Luiz Aranha Corrêa do Lago.
Cost of electricity in Brazil: Effects of 2004 regulatory reform
N 583, 01/10/2010
Monica Barros, Marina Figueira de Mello.
Organization and Information in the Fight against Crime: An Evaluation of the Integration of Police Forces in the State of Minas Gerais, Brazil
N 582, 01/10/2010
Rodrigo Reis Soares.
Welfare Costs of Crime and Common Violence: A Critical Review
N 581, 01/10/2010
Rodrigo Reis Soares.
Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
N 578, 01/10/2010
We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in time series models and apply our modeling framework to daily realized measures of integrated variance. Asymptotic theory for parameter estimation is developed and two model building procedures are proposed. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evidence of nonlinear effects in financial volatility. An out-of-sample analysis shows that modeling these effects can improve forecast performance.
A ser publicado em Journal of Business & Economic Statistics
Eric Hillebrand, Marcelo Medeiros.
Nonlinear Cointegration, Misspecification and Bimodality
N 577, 01/10/2010
We 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.
Publicado em Econometic Reviews, v. 33, n.7, p. 713-731, 2014
Marcelo Medeiros, Eduardo F. Mendes, L. Oxley.
Reassessing the Demography Hypothesis: the Great Brazilian Crime Shift
N 579, 01/09/2010
João Manoel Pinho de Mello.
The Asymptotic Variance of Semi-parametric Estimators with Generated Regressors
N 575, 01/09/2010
Jinyong Hahn, Geert Ridder.