Documentos de Trabajo publicados en 1997 Documentos de Trabajo publicados en 1997
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"Neural Network Analysis of the Employee Classification Problem for Tax Purposes". Woodrow W. Cushing Jr. y Nestor M. Arguea.
Since 1987 the U.S. Internal Revenue Service has relied on twenty common law factors for guidance in determining whether a worker is an emplyoee or an independent contractor. This study presents new evidence on the task of simplifying that complex classification problem. Neural network methodology is used to classify workers using data obtained from Private Letter Rulings issued by the Internal Revenue Service from 1988 through a portion of 1993, a data set not previously used for this purpose. The model is highly accurate in correctly classifying workers as either employees or independent contractors. The overall prediction success rate using sample data was 97.2 percent and drops to 91.4 percent when a holdout sample was used. These findings are robust for each of the years in the study. For comparison purposes, classification results using logistic regression are also included. Results from both methodologies are identical.
"Analisis Comparativo de Tres Estadisticos para la Contrastacion de Inestabilidad Parametrica en Relaciones de Cointegracion". José Luis Fernandez Serrano y Rodrigo Peruga Urrea.
This paper compares the performance of 3 tests for parameter instability in cointegrating vectors recently developed by Hansen (1992), Hansen and Johansen (1993), and Hansen and Gregory (1996). The tests are defined as the supremum or the mean from the sequence of statistics computed for each possible break point in the sample. We examine the empirical distribution of the tests, their possible dependence on nuisance parameters and their power against various alternatives. We also analyze the bias in the beak point estimator defined as the sample observation of the supremum statistic. Results indicate that the Hansen-Gregrory test, a sequential ADF test, has the best power and bias properties of the three.
"El Tipo de Cambio Real en una Economia Dependiente: Tecnología, Preferencias y Estructura de Mercado". María Teresa Ledo Turiel y Rodrigo Peruga Urrea.
This paper examines the role played by supply and demand side factors, and the market structure, in generating dual inflation. We develop a static general equilibrium model for a small open economy with two sectors, traded and nontraded goods, where it is possible to caracterize different degrees of competition in the labor and goods markets. Results indicate that wage rigidity plays an important role in generating dual inflation in the short-run. However, in the long-run, changes in the degree of competition in the non traded sector play a more substancial role.
"Inestabilidad de la Demanda de Dinero y Comportamiento del Modelo Monetario para la Peseta". Rodrigo Peruga Urrea y José Luis Fernandez Serrano.
The paper tests the ability of the monetary approach to explain the long-run behavior of bilateral peseta exchange rates during the floating period. I use Granger and Engle's (1987) two step procedure 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 of cointegration in the full sample (1970-1993). Further analysis using Gregory and Hansen's (1996) parameter stability tests, reveals evidence of instability in the exchange rate and money demand equations. The estimated break points in the money demand equation are used to define stable subsamples for each bilateral relationship. The subsample cointegration results provide strong support for the monetary approach in most bilateral models. The exchange rate responds both to monetary and real shocks, and monetary homogeneity cannot be rejected in most instances.
"Inflacion Dual y Gasto Público Productivo: una Perspectiva Teórica". José María Martín-Moreno y Jorge Blázquez Lidoy.
Dual inflation occurs when prices raises in non-tradable goods are higher than those tradable goods. In general, economic literature gives two explanations for dual inflation: Differences in productivity between the two sectors -tradable an non tradable- and the growth of public spending that expands non-tradable goods demand. In this paper, we develop a simple model of public spendig where fiscal policy has a positive externality on the production of both sectors. The main results suggested by the paper are the following: i) that an increase in non-productive public spending (public expenditure) does not generate dual inflation and ii) that an increase of productive public spending can change the relative prices between the two sectors. In the latter case, dual inflation only takes place when the productivity rise in the tradable sector -due to an expansion of public spending- is higher than the rise in the non-tradable sector.
"The Joint Dynamic of Spot and Forward Exchange Rates". Francisco de Castro y Alfonso Novales.
One and three-month forward exchange rates for a number of currencies seem to be cointegrated with future spot rates, but not with current exchange rates. We confirm the unbiasedness hypothesis as a robust cointegrating relation between forward and futurespot rates, although forward rates are poor predictors of future exchange rates. The behaviour of exchange rates seems to be quite consistent with unpredictability of exchange rates. Forward rates seem to be rather passive, mostly reflecting current exchange rates, rather than anticipating future exchange rates fluctuations. These results suggest that reducing the analysis of the information content of forward rates to cointegration tests with current and future exchange rates would be misleading. We find some evidence of a risk/term premium but, being of minimium size, suggests that recent arguments on the inefficiency of currency markets are theoretically sound, but of minor empirical relevance.
"Estrategias de Inmunizacion ante Posibles Desplazamientos en la Estructura Temporal". Inmaculada Gómez y Alfonso Novales (publicado en Análisis, Analistas Financieros Internacionales, enero 1997).
Analyzing the spanish market for public debt, we have found that slope and curvature effects on shifts of the term structure do not compensate each other. As a consequence, the time evolution of the term structure cannot be adequately represented as parallel translations. Our analysis relies on estimates of the Nelson-Siegel model between november 1992 and october 1996. We have found that the estimates represent quite accurately the distinct episodes of monetary policy over the sample period and, in particular, that the model summarizes the evolution of market expectations of future interest rate fluctuations. Our estimates can be exploited for practical purposes in a variety of ways. In particular, whether the parametric factors inherent to the Nelson-Siegel representation can be used to design multivariate inmunization strategies remains an important practical question to be solved.
"Integración de Contabilidad Nacional Anual e Indicadores: Metodologías de Trimestralización y una Alternativa". Gema de Cabo Serrano.
In this paper a search for a way of integrating Annual National Account data with indicators is carried out. As a first posibility, currently available methodologies for building quarterly series from National Accounts are investigated. However, the results obteined show that these methodologies are no appropriate tools for connecting annual data with related series. For this reason, an alternative integration approach is proposed, more general for the same aims, based on explicit analyses of relationships between Annual National Account data and available indicators.
"Consecuencias de la Escasez y el Tratamiento de Indicadores sobre las Series de Contabilidad Nacional Trimestral de España". Gema de Cabo Serrano.
This paper presents a study about statistical and graphical characteristics of Spanish Quarterly National Account series due to the treatment and the limited availability of indicators used in their estimation. As a result, it is shown that Quarterly National Account series do not have stochastic structures typical for economic series and that for Supply and some of Demand variables there are no indicators in all or part of the sample. Besides, their potencial users are reported on the negative effects that the use of series with those features may cause in empirical applications.
"Some Empirical Issues in the Estimation of Market Values of Environmental Amenities". Nestor M. Arguea.
This study presents consistent, and more efficient estimates compared with OLS and IV, for market values of amenities. The gain in efficiency is based on the use of a number of different indicators for the same amenity. The theory is derived from on a Lancasterian model that forces the functional form to be linear in characteristics. The empirical structure based on latent variables is applied to a model on property values of residential housing using different indicators for neighborhood quality. The dependent variable (property market value) is also treated as a latent variable for which two measures are available. The model is estimated using data from the U.S. American Housing Survey. The effect of quality of neighborhood on property values consistently estimated, is positive and significant. Variances of errors of measurement, and variances of the latent structures are positive and significant without imposing nonnegativity restrictions.
"Demand for Telephone Lines and Universal Service in Spain". Antonio Rodríguez Andrés y Teodosio Pérez Amaral (publicado en Information Economics and Policy, vol. 10, nº 4, 1998).
In this paper we use a model of demand for telephone lines to derive an econometric model of the net demand for new access lines in Spain, for the period 1980-1993, using quarterly observations. We use cointegration techniques to obtain long and short run equations, both estimated separately in two steps and jointly. The results show a strong sensitivy of the net demand for new lines to domestic usage price with an elasticity greater than one, an income elasticity also greater than one, and an elasticity with respect to price of access, in absolute value, less than one. We find that a tariff restructuring that lowers international and long distance rates while raises access rates might have a very small effect on the net demand for new lines. This suggests that the objective of universal service might be compatible with the kinds of tariff restructuring that have been recently considered in Spain.
"A Generalized Least Squares Estimation Method for Varma Models". Rafael Flores de Frutos y Gregorio R. Serrano.
In this paper a new generalized least squares procedure for estimating VARMA models is proposed. This method differs from existing ones in explicitly considering the stochastic structure of the approximaton error that arises when lagged innovations are replaced with lagged residuals obtained from a long VAR. Simulation results indicate that this method improves the accuracy of estimates with small and moderate sample sizes, and increases the frecuency of identifying small nonzero parameters, with respect to both Double Regression and exact maximum likelihood estimation procedures.
"Sensitivity Analysis in a Class of Dynamic Optimization Models". Jesús Antón, Emilio Cerdá y Elena Huergo (publicado en Top, vol. 6, nº 1, 1998).
A general model of dynamic optimization, deterministic, in discrete time, and with infinite time horizon is considered. We suppose that there are parameters in the formulation of the model. Conditions for stability of the optimal solution are studied. Local analysis of steady state comparative statics and comparative dynamics are presented. In addition we apply these results to a quadratic case and to an economic example: a one sector growth model.
"Teoría de los Ciclos Reales en Economías Abiertas: Una Aplicación al Caso Español", José María Martín Moreno (publicado en Moneda y Crédito, nº 207, 1998).
"Estructura Impositiva, Capital Público y Ciclo Económico", Boltasar Manzano (publicado en Revista Española de Economía, vol. 15, nº 3, 1998).
"The Fed Controls Only One of the two interest Rates in teh U.S. Economy". Ricardo Martín Manjón y Arthur B. Treadway.
"A Solution Method for A Class of Learning by Doing Models with Multilicative Uncertainty". Francisco Álvarez y Emilio Cerdá (publicado en Top, vol. 7, nº 1, 1999).
"Federalismo fiscal y redistribución regional óptima". Carlos de Miguel Palacios.
We treaty for European Monetary Unification entails a complete loss of monetary policy autonomy for individual countries. Therefore, it is claimed that centralization of some government tasks requires some risk-sharing among European states, such as a federal tax-transfer. In this paper we analyse two different mechanisms: a system of intergovernmental transfer versus a system which redistributes to and from individual citizens. We found that transfer do not depend on the mechanism employed nor on the degree of centralization. We present simulation results for the Spanish and German economies where we find out that the ex-ante distribution rule of taxes is important for choosing the compensation mechanism and degree of centralization, when this decision is based on the comparison of different welfare levels attainable in each scenario.
"Testing for invertibility in a MA(1) process". Rafael Flores de Frutos y Miguel Jerez Méndez.
In this paper we propose a test for detecting overdifferencing in a MA(1) process. Unlike the standard practice, we use invertibility as the null hypothesis to be tested. By so doing it is possible to use a standard likelihood ratio test with the standard 2 distribution. Simulation results indicate that its performance is comparable to that of the best tests available in this literature.
"Un modelo multivariante para el empleo por sectores, activos y parados en España". Silvia Relloso Pereda.
This paper presents a multivariate stochastic model for Spanish employment disaggregated into five productive sectors, population and active population, which presents methodologic novelties. It is shown that both the disaggregation of employment into productive sectors and the study of relationships among the resulting components are important in order to obtain relevant improvements in understending employment and unemployment.
"Prevision y seguimiento de ocupados por sectores, población activa y parados en España. Una comparación de modelos alternativos". Silvia Relloso Pereda.
It is shown that both the disaggregation of employment into productive sectors and the study or relationships among the resulting components are relevant tools for obtaining important improvements in forecasting employment and unemployment in Spain. For this purpose, the predictive capacity of a variety of univariate and transfer function models is investigated and compared with the predictive capacity of a multivariate model in which disaggregation and relationships are incorporated.
"The stochastic bottleneck linear programming problem". I.M. Stancu-Minasian, R. Caballero, E. Cerdá and M.M. Múñoz.
In this paper we consider some stochastic bottleneck linear programming problems. in the case when the coefficients of the objective functions are simple randomized, the minimum-risk approach will be used for solving these problems. We prove that, under some positivity conditions, these stochastic problems are reduced to certain deterministic bottleneck linear problems. Applications of these problems to the bottleneck spanning tree problems and bottleneck investment allocation problems are given. A simple numerical example is presented.
"A class of learning by doing models with multiplicative uncertainty: economic implications". Francisco Alvárez and Emilio Cerdá.
Learning by doing denotes the cost reduction in production that firms achieve with their output. We check if the known properties of deterministic models, concerning the behaviour of the firms, hold under uncertainty. A discrete time and finite horizon model is considered: a monopolist, facing a linear demand, maximizes the expected profit flow, with multiplicative uncertainty on the cost reduction and upper bound for this reduction. We show analytically that some properties do hold and some others do not.
"Un enfoque multicriterio de los problemas de política macroeconómica". Francisco javier Andrá García and Emilio Cerdá Tena.
This paper presents an approach to the problems of Economic Policy from the perspective of Multiple Criteria Decision Making. Using the classical IS/LM model as the initial reference, several alternative techniques are applied in order to obtain optimal policies, depending on the multiple criteria previously defined. Several possible estensions of the model are presented, including a proposal of empirical application to the Spanish economy, using an econometric model.
Actividades del ICAE
Instituto Complutense de Análisis Económico