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.

The Asymptotic Variance of Semi-parametric Estimators with Generated Regressors

N 575, 01/09/2010

Jinyong Hahn, Geert Ridder.

Identifying the bank lending channel in Brazil through data frequency

N 574, 01/05/2010

João Manoel Pinho de Mello, Márcio Gomes Pinto Garcia, Christiano Arrigoni Coelho.

The Brazilian Payroll Lending Experiment

N 573, 01/04/2010

Christiano Arrigoni Coelho, João Manoel Pinho de Mello, Bruno Funchal.

Linearity testing against a fuzzy rule-based model

N 566, 01/03/2010

In this paper, we introduce a linearity test for fuzzy rule-based models in the framework of time series modeling. To do so, we explore a family of statistical models, the regime switching autoregressive models, and the relations that link them to the fuzzy rule-based models. From these relations, we derive a Lagrange Multiplier linearity test and some properties of the maximum likelihood estimator needed for it. Finally, an empirical study of the goodness of the test is presented.

Publicado em Fuzzy Sets and Systems, 161, 1836-1851. 

José Manuel Benıtez Sánchez, José Luis Aznarte, Marcelo Medeiros.

Linear Programming-Based Estimators in Simple Linear Regression

N 567, 01/03/2010

In this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The LPE is interesting because it can be superconsistent in the presence of an endogenous regressor and, hence, preferable to the ordinary least squares estimator (LSE). Two different cases are considered as we investigate the statistical properties of the LPE. In the first case, the regressor is assumed to be fixed in repeated samples. In the second, the regressor is stochastic and potentially endogenous. For both cases the strong consistency and exact finite-sample distribution of the LPE is established. Conditions under which the LPE is consistent in the presence of serially correlated, heteroskedastic errors are also given. Finally, we describe how the LPE can be extended to the case with multiple regressors and conjecture that the extended estimator is consistent under conditions analogous to the ones given herein. Finite-sample properties of the LPE and extended LPE in comparison to the LSE and instrumental variable estimator (IVE) are investigated in a simulation study. One advantage of the LPE is that it does not require an instrument.

Publicado em  Journal of Econometrics, 165, 128-136,2011


Daniel Preve, Marcelo Medeiros.

Forecasting Realized Volatility with Linear and Nonlinear Models

N 568, 01/03/2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in this paper


 Publicado em Journal of Economic Surveys, 25, 6-18,2011

Michael McAller, Marcelo Medeiros.

Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging,

N 570, 01/03/2010

n this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood estimator are derived. Model specification is also discussed. When the model is applied to the US short-term interest rate we find (1) leading indicators for inflation and real activity are the most relevant predictors in characterizing the multiple regimes’ structure; (2) the optimal model has three limiting regimes. Moreover, we provide empirical evidence of the power of the model in forecasting the first two conditional moments when it is used in connection with bootstrap aggregation (bagging)

Publicado em  Journal of Applied Econometrics.26, 999-1022, 2011

Francesco Audrino, Marcelo Medeiros.

Moment-based estimation of smooth transition regression models with endogenous variables

N 571, 01/03/2010

Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, the Smooth Transition Regression (STR) models have been shown to be very useful for representing and capturing asymmetric behavior. Most STR models have been applied to univariate process, and have assumed a variety of assumptions, including stationary or cointegrated processes, uncorrelated and homoskedastic or conditionally heteroskedastic errors, and weakly exogenous regressors. Under the assumption of exogeneity, the standard method of estimation is nonlinear least squares. The primary purpose of this paper is to relax the assumption of weakly exogenous regressors and to discuss instrumental variable methods for estimating STR models. The paper analyzes the properties of the STR model with endogenous variables by providing a diagnostic test of linearity of the underlying process under endogeneity, developing an estimation procedure for the STR model, presenting the results of Monte Carlo simulations to show the usefulness of the model and estimation method, and providing an empirical application for inflation rate targeting in Brazil. We show that STR models with endogenous variables can be specified and estimated by straightforward application of current results in the literature.


Publicado em  Journal of Econometrics, 165, 100-111, 2011

Michael McAller, Waldyr Dutra Areosa, Marcelo Medeiros.

The insurance industry in Brazil: a long-term view

N 572, 01/03/2010

Felipe Tâmega Fernandes, Marcelo de Paiva Abreu.

Brasil 1961-1964: Inflação, estagnação e ruptura

N 569, 01/02/2010

Mario Magalhães Carvalho Mesquita.

A sticky-dispersed information Philips curve: a model with partial and delayed information

N 565, 01/12/2009

Waldyr Dutra Areosa, Vinicius Nascimento Carrasco, Marta Baltar Moreira Areosa.

Mercados futuro e à vista de câmbio no Brasil: o rabo balança o cachorro

N 563, 01/11/2009

André Ventura Fernandes, Márcio Gomes Pinto Garcia.

Incentivo perverso das reservas internacionais: o caso das empresas exportadoras brasileiras

N 564, 01/11/2009

Werther Teixeira de Freitas Vervloet, Márcio Gomes Pinto Garcia.

Corrupting learning: evidence from missing federal education funds in Brazil

N 562, 01/09/2009

Claudio Ferraz, Diana Seixas Bello Moreira, Frederico Finan.

Institutional development and colonial heritage within Brazil

N 561, 01/06/2009

Rodrigo Reis Soares, Juliano Assunção, Joana Naritomi.

Escolaridade e o diferencial de rendimentos entre o setor privado e o setor público no Brasil

N 560, 01/12/2008

publicado em Pesquisa e Planejamento Econômico, v. 39, n.3, 2009

Breno Gomide Braga, Gustavo Gonzaga, Sergio Firpo.

Electoral rules, political competition and fiscal spending: regression discontinuity evidence from Brazilian municipalities

N 559, 01/10/2008

Marcos Chamon, João Manoel Pinho de Mello, Sergio Firpo.

Tax reform in Brazil: an evaluation at the crossroads

N 558, 01/06/2008

Rogério Ladeira Furquim Werneck.

Setting up a modern macroeconomic framework in Brazil, 1993-2004

N 557, 01/06/2008

Rogério Ladeira Furquim Werneck.

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