Documentos de Trabajo publicados en 1994

• Lista de documentos de trabajo.
• Documentos de trabajo de otros años: 1993, 1995, 1996, 1997, 1998,1999 ,2000,2001 ,2002 en adelante

Actividades del ICAE

Nota: Pulsando sobre el título se accede al resumen del trabajo. Pulsando sobre el autor se puede enviar un mensaje de correo electrónico.

"Contrastes de momentos y de la matriz de información". Teodosio Pérez Amaral. Junio 1994. (Published in Cuadernos Económicos del ICE ,Nº55,1993/3).

 

This paper presents the main results of the recent literature on moment (m) tests and information matrix tests. The m tests provide a general framework for deriving specification diagnostics for models estimated by maximum likelihood or the method of moments. Under general conditions, m tests can be considered LM tests.

A source of moment conditions in which one could base the construction of m tests is the information matrix equality. It is shown that in the case of linear regression, tests based on the information matrix equality generate a variety of diagnostics, some of them new while others are already familiar. Small sample considerations are important for the practical application of the tests; it is suggested that appropriate choice of the particular test will be an important practical decision. One of the most important implications of this framework is that it can generate batteries of diagnostics for models for which few diagnostics are presently available.

9402

"A partisan explanation of political monetary cycles". José I. García de Paso (publicado en Investigaciones Económicas del ICE, vol. 20, 1996)

 

This paper develops a political monetary model based on partisanship and commitment arguments that explains the likely existence of expansionary monetary policy in pre-election periods irrespective of the incumbent party and of permanent partisan differences in monetary policy. The approach taken is to incorporate the option that political parties elaborate electoral economic programs into a rational partisan electoral model. Our results are consistent with the recent empirical findings of Alesina, Cohen, and Roubini (1992, 1993) for a sample including three decades in 18 OECD economies but without relying on opportinistic governmental behavior.

9403

"Estadísticos para la detección de observaciones anómalas en modelos de elección binaria: Una aplicación con datos reales". Gregorio R. Serrano. Junio 1994 (publicado en Estadística Española, vol. 37, 1995)

 

This paper considers the problem of outliers in binary response models. Based on the statistic proposed by Gracia-Díez y Serrano (1994) which measures the influence of each observation on the estimated parameter vector, we derive other statistics in order to measure the influence of each observation as well as the influence of a group of observations on i) the vector of estimated probabilities and ii) subsets and linear combinations of the parameters in the model. Also, the method proposed by Peña y Yohai (1991) to deal with the masking problem in linear models has been generalised to the case of binary choice models. Lastly, we propose a diagnostic strategy to detect outliers in this type of models. The application of this strategy is illustrated by estimating the probit model used by Dhillon et. al (1987).

9404

"Effects of public investment in infraestructure on the spanish economy". Rafael Flores de Frutos. Mercedes Gracia Díez. Teodosio Pérez Amaral (publicado en Applied Economics, vol. 30, 1998)

 

The objective of this paper is to evaluate the short and long term effects of public investment in infraestructure on aggregate output, labor and capital formation in the private sector. The problem is analyzed in a dynamic multivariate framework, which allows for explicit consideration of feedback among all the variables. This approach departs from the current literature, which relies on a single equation model to estimate production functions. The results suggest a positive long term effect of public investment on the private sector variables.

9405

"Observaciones anómalas en modelos de elección binaria". Mercedes Gracia. Gregorio R. Serrano. Junio 1994. (publicado en Estadística Española, vol. 36, 1994).

 

This paper deals with the problem of outliers in binary response models. It is proved that the existence of these observations in the sample affects the consistency of maximum likelihood estimators. Regarding to detection of outliers: (i) it is shown that residual analysis is not a useful diagnostic tool, due to the censoring of the dependent variable and (ii) it is derived a statistic, analogous to the one proposed by Cook (1977) for linear models, which seems to be appropiated for outlier detection in this type of models. The theoretical results are tested using simulated data.

9406

"Permanent components in seasonal variables". Rafael Flores. Alfonso Novales. Junio 1994.

 

We propose considering a seasonal time series as the realization of a s-variate stochastic process, s being the seasonal period. In this paper we propose a test statistic for the hypothesis of a univariate versus a multivariate representation of seasonality. We find evidence against the more standard univariate representation for some key variables of the U.S. economy. When a VAR representation is chosen for each of these variables and its residuals are properly orthogonalized, forecasting performance is improved, relative to univariate ARIMA models. Also, a Permanent-Transitory decomposition of each variable reveals that permanent components exhibit important seasonal fluctuations. This supports the view that seasonality should be considered as an integral part of agents' decision-making.

9407

"Money demand instability and the performance of the monetary model of exchange rates". Rodrigo Peruga. Junio 1994.

 

The paper tests the ability of the monetary approach to explain the long-run behavior of the exchange rate in the G-7 bilateral relationships during the floating period. I use Johansen's (1988,1991) approach to test for the existence of a cointegrating relationship between the exchange rate, the money supply and real output. Consistent with previous results I find little evidence in support of the monetary model in the full sample (1973-1991). Further analysis reveals that one of the principal building blocks of the monetary model, the money demand equation, exhibited a significant degree of instability during the period. I use the tests proposed by Hansen (1992) to test for parameter stability in the money demand equation and to estimate potential break points. The estimated break points are then used to define stable subsamples for each bilateral relationship. The subsample cointegration results provide strong support for the monetary approach in most non US bilateral models, indicating that the exchange rate responds with a lag, primarily to monetary shocks, and that long-run exchange rate homogeneity cannot be rejected in most instances. In addition, I compare the predictive performance of the error correction model against the predictions of a random walk model. In four of the six bilateral models for which the forecasting comparison can be undertaken the error correction model produces more accurate one-quarter-ahead forecasts.

9408

"Una nota sobre la estimación eficiente de modelos con parámetros cambiantes". Sonia Sotoca. Junio 1994 (publicado en Estadística Española, vol. 37, 1995)

 

Standard estimation procedures for the time-varying parameters model suppose that the variances of the noises in the model are known. Obviously, this assumption is not realistic in most econometric applications. Besides, the results of these methods are sensitive to the initial conditions of the algorithm, a fact that is often overlooked by the literature. In this paper,we propose an extension of the recursive algorithm proposed by Cooley, Rosenberg y Wall (1977), which is independent of initial conditions and includes on-line estimation of all the relevant variances. The results obtained with this method compare favourably with those obtained by standard procedures.

9409

"Distribución de la renta y redistribución a través del IRPF en España". Rafael Salas. Junio 1994.

 

In this paper we analyze the influence of the pre-tax distribution of income on the redistribution of the Spanish Personal Income Tax. Previously, it is required to study the influence of the pre-tax distribution on the effective average tax rates and on the progressivity.

This issue is important for two reasons. First of all, it is important to isolate the pure effect of the Fiscal Reforms and, secondly, to show whether the Income Tax is a good system to counteract individual or subgroup distributional changes automatically.

We test empirically a set of theoretical results, using a Spanish Income Tax Panel data at a regional level, and show a certain importance of the pre-tax distributional changes on the explanation of the redistribution effect of the Income Taxation, in the sense that the more unequal the pre-tax distribution is, the more redistributive the System is.

9410

"Trade balances: Do exchange rates matter?". Rodrigo Peruga. Junio 1994.

 

The concern about the persistence of the US trade deficit has generated a lively debate over its causes and the role of exchange rates in restoring external balance. While some authors argue that the traditional adjustment process linking the behavior of the trade balance to movements in the real exchange rate and the domestic and foreign income levels has worked, recent research has found no empirical evidence in support of a stable long-run relationship between these variables. In this paper I use the approach in Johansen (1988,1991) to test for cointegration between US bilateral trade balances, exchange rates and incomes during the floating period. I also apply the testing procedure developed by Hansen (1992) to detect potential structural breaks in a cointegrating relationship in the bilateral trade balance equations. The empirical results indicate the following: (1) the presence of stable long-run trade balance equations in all six models, (2) no significant evidence of structural breaks, (3) the nominal exchange rate has better explanatory power than the real rate, (4) the Marshall-Lerner condition is supported by the data, (5) the exchange rate is weakly exogenous in the trade balance relationship and, (6) the traditional belief that trade balances adjust slowly to exogenous shocks is confirmed; however, the speed of adjustment varies significantly across bilateral models.

9411

"A retrial system with constant attempts" . M. Vázquez. Octubre 1994.

 

In this article we study a retrial queueing system in which customers in orbit join a queue with a FIFO discipline. We use the process (M(t),N(t)) where M(t) represents the number of arrivals during a elapsed service time until t while N(t) stands for the random number of customers in orbit at time t. We obtain the probability in the steady state in the M/M/1 case. the M/M/1 case. The joint generating function in the M/G/1 case is also studied.

9412

"A retrial model at nonstationary regime". M.Vázquez.Octubre 1994.

 

In this article we analyze a model of a retrial queueing system where customers in the orbit join a queue with FCFS discipline. We adopt a nostationary regime. We derive some probabilities using the theory of semiregenerative processes. We obtain an integral estimator for the blocking probability. We also find lower and upper bounds for the l1 distance between the probability distributions in an M/G/1/% retrial model and the M/G/1/ queue at stationary regime.

9413

"Equívocos y singularidades en el sistema financiero español". Jaime Terceiro Lomba. Noviembre 1994.

 

This paper, a combination of analyses and opinions derived from the autor's experience, deals with some peculiarities in the Spanish financial sector: with its more frequently analyzed variables and its unique and singular financial institutions. The document contains both quantitative and qualitative work. Through the quantitative perspective, the document contemplates the possible existence of tangible differences between the activities of Commercial Banks and Savings Banks in Spain. This part of the work is based on financial statement analysis (FSA) practices, and puts forth doubts as to the usefulness, and possible misleading results, derived from the typical ratios and aggregations which are used in FSA. Based on the qualitative approach, the paper describes the peculiar and unique legal status of the Spanish Savings Banks, with additional insight in terms of how this legal status could limit business activity or distort management incentives.

9414

"On univariate forecasting comparisons: the case of the spanish automobile industry". A.García-Ferrer, J.del Hoyo, A.S.Martín-Arroyo, P.C.Young.(publicado en Journal of Forecasting, vol. 16, 1997)

 

This paper investigates the forecasting ability of a new univariate models family of unobservable components, when compared with other more standard univariate methodologies. A forecasting exercice is carried out with each method, in monthly time series of automobile sales.

The accuracy of the differents methods is assesed by comparing several measures of forecasting performance on the out of sample predictions for various horizons as well as differents assumptions on the models parameters.

9415

" Horizontal and vertical inequality in a social welfare framework". Rafael Salas.

9416

"A model of appointing governors to teh Central Bank". Jose Ignacio García de Paso.

9417

"Capital público y restricción presupuestaria gubernamental". Jorge Blázquez y Miguel Sebastián..

9418

"Efectos dinámicos de perturbaciones de demanda y oferta en la economía española". Esther Fernández, José Luis Fernández-Serrano, Baltasar Manzano y Jesús Ruiz.

Actividades del ICAE

Instituto Complutense de Análisis Económico