Now showing items 1-10 of 13
Cross-validation based forecasting method: a machine learning approach
Our paper aims to evaluate two novel methods on selecting the best forecasting model or its combination based on a Machine Learning approach. The methods are based on the selection of the ”best” model, or combination of ...
Crédito e desemprego no Brasil: 2002 a 2015
Este artigo investiga como expansões de crédito impactam a dinâmica do desemprego. Nós estimamos modelos multivariados de séries de tempo (VAR e TVAR (Threshold Vector Autoregression)) para investigar os efeitos da diminuição ...
Política fiscal direcionada no Brasil
No presente trabalho estimamos o efeito de políticas fiscais direcionadas para o setor de bens duráveis através de reduções do IPI sobre a atividade econômica brasileira. Para tanto construímos um modelo estrutural que ...
Modeling how macroeconomic shocks a ect regional employment: analyzing the Brazilian formal labor market using the global VAR approach
Assessing linkages across different regions and how macroeconomic shocks spread out across regions is not an easy task. In this study we address this problem using a global vector autoregressive methodology that deals with ...
Arco: an artificial counterfactual approach for high-dimensional panel time-series data
We consider a new, flexible and easy-to-implement method to estimate causal effects of an intervention on a single treated unit and when a control group is not readily available. We propose a two-step methodology where in ...
The perils of counterfactual analysis with integrated processes
Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no ...
The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?
Financial events in 2008 had global impacts. We test whether U.S downturn had an impact on Brazilian economic activity and if it was unusual. We run policy ineffectiveness test (Pesaran and Smith [2014, 2016]) and Chow ...
How to neutralize the Dutch disease notwithstanding the natural resources curse
This paper discusses two closely related concepts – the Dutch disease and the natural resource curse – and a third one, exchange rate populism, associated to the curse. The Dutch disease is a long-term overvaluation of the ...
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
Regular vine copulas are multivariate dependence models constructed from pair-copulas (bivariate copulas). In this paper, we allow the dependence parameters of the pair-copulas in a D-vine decomposition to be potentially ...
Revisiting the synthetic control estimator
VERSÃO ATUALIZADA DE ABRIL DE 2018 DISPONÍVEL.