We propose two fast and stable methods to compute the likelihood of econometric models in state-space form, allowing for unit roots. The first one exploits the properties of the Kalman filter when applied to models in steady-state innovations form. Afterwards we derive a procedure with similar properties that can be applied to any state-space model satisfying assumtions.

 9902

"Ethical Dilemmas in Health Policy: More Evidence on Distributive Preferences". Eva Rodríguez Mínguez and José Luis Pinto Prades. Junio 1999.

  The QALY -quality adjusted life years- approach assumes tha each additional QALY has the same social value. the implications of this approach regarding distributive equity have been criticised. In this paper we identify different distributive preferences held by society, examining which restrictions nedd to be imposed in the Social Welfare Function (SWF) in order that this funtion can represented the mentioned preferences. Furthemore, we propose a particular SWF that allows us to collect different degrees of aversion to inequality, depending on the QALY gains being analised. The results of an experiment whose objective is to obtain a first empirical approach to the SWF are presented.

In this paper, the role played by institutions in labour markets and their effects on labour outcomes are presented. the results show that, first, the flexible and rigid labour market models do not exit, instead, there are intermediate labour market models. Second, many features of the labour market, usually viewed as serious rigidities, have slight impact on unemployment. And finally, a wide range of labour market institutions have cumulative effects on unemployment an employment creation, which can be amplified under specific combination of institutions.

The likelihood of multivariate GARCH models is ill-conditioned because of two facts. First, financial time series often display high correlations, implying that an eigenvalue of the conditional covariances fluctuates near the zero boundary. Second, GARCH models explain conditional covariances in terms of a linear combination of delayed squared errors and their conditional expectation; this functional form implies that the likelihood function is almost flat in the neighborhood of the optimal estimates. Building on this analysis we propose a linear transformation of data which, not only stabilizes the likelihood computation, but also provides insight about the statistical properties of data. The use of this transformation is illustrated by modeling the short-run conditional correlations of four nominal exchange rates.

  Este trabajo tiene tres objetivos. El primero, analizar si existe evidencia de cointegración entre el tipo de cambio nominal bilateral y los precios relativos internacionales. En este análisis no es suficiente considerar la significatividad de los contrastes de cointegración sino que, además, es necesario ver si el coeficiente de la relación es significativo y presenta el signo correcto, lo que apoyaría el cumplimiento de la Paridad del Poder Adquisitivo (PPA). El segundo, detectar si hay evidencia de inestabilidad paramétrica en la relación de cointegración, analizando la presencia o no de cointegración en submuestras. El tercer objetivo es extraer conclusiones globales acerca de la interpretación económica de las regularidades empíricas observadas. Si al tener en cuenta la presencia de inestabilidad paramétrica el cumplimiento de la PPA se verifica en mayor medida, los resultados del presente trabajo diferirán substancialmente de los trabajos previos, que emplean las técnicas de cointegración para contrastar la PPA sin contemplar la posibilidad de cambios estructurales.

  9906

Este artículo analiza empíricamente la validez de la Paridad del Poder Adquisitivo (PPA) empleando la metodología del Modelo de Corrección del Error (MCE). Los objetivos del mismo se pueden sintetizar en cuatro: en primer lugar, examinar qué variable o variables incorporan en su dinámica a corto plazo un mecanismo de corrección del error. En segundo lugar, obtener información sobre la intensidad con la que se corrigen las desviaciones del equilibrio, es decir, sobre cuál es la velocidad de ajuste hacia el equilibrio a largo plazo. En tercer lugar analizar si el mecanismo de ajuste hacia el equilibrio es estable y en último lugar, examinar si existen diferncias sectoriales entre los bienes que pueden ser catalogados como comerciables y no comerciables.

 9907

  The Spanish Treasure is the only one in the world that uses a hybrid system of discriminatory and uniform price auctions to sell bonds. In the Spanish auction, winning bidders pay their bid if it is lower than the weighted average price of winning bids, while all other winning bidders pay the weighted average price of winning bids. We adapt Gordy's (96) model of the discriminatory auction to the Spanish auction. The model is a discrete model of multiple bids in a multiple-unit common value auction. We use numerical simulations to find equilibria for the Spanish, the uniform and the discriminatory auction. Our results show that bidders in the Spanish and discriminatory auctions use bid spread to cover themselves against uncertainty, and that expected seller's revenue is larger in the former.