Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Econometria"
Now showing items 1-20 of 34
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Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing
2005-02-03Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ... -
Auction econometrics by least squares
2004-07-15This paper proposes a method to structurally estimate an auction model using a variation of OLS, under commonly held assumptions in both auction theory and econometrics. In spite of its computational simplicity, the method ... -
Beyond common priors
2004-07-08One property (called action-consistency) that is implicit in the common prior assumption (CPA) is identified and shown to be the driving force of the use of the CPA in a class of well-known results. In particular, we show ... -
Biased procurement
2003-02-27 -
Co-movement between two processes with local persistence
2001This paper introduces a residual based test where the null hypothesis of c:&InOvement between two processes with local persistenc~ can be tested, even under the presence of an endogenous regressor. It, therefore, fills in ... -
Collateral or utility penalties ?
2005-05-12In a two-period economy with incomplete markets and possibility of default we consider the two classical ways to enforce the honor of financial commitments: by using utility penalties and by using collateral requirements ... -
Computation and analysis of multiple structural
2000-06-08 -
Construction of facilities under asymmetric information: do constitutional constraints matter?
2002-12-31This paper studies construction of facilities in a federal state under asymmetric information. A country consists of two regions, each ruled by a local authority. The federal government plans to construct a facility in one ... -
Credible managerial vision
2003-01-30We develop a model in which managers choose whether or not to reveal their 'vision' for the future of their companies. Visionary managers are valuable because they generate incentives for workers to develop profitable ... -
Decision rules and information provision : monitoring vs manipulation
2001-12-06We analyze the contractual design problem of a principal who delegates decision-making and information provision. The principal faces two tasks: he has to decide the level of discretion to be granted to the decision-maker ... -
Estimating economic interactions of financial suppliers in Thailand
2004-05-20This paper presents a methodology to estimate and identify different kinds of economic interaction, whenever these interactions can be established in the form of spatial dependence. First, we apply the semi-parametric ... -
Evidence on the incentive optimality of share contracts
2002-02-21Ever since Adam Smith, economists have argued that share contracts do not provide proper incentives. This paper uses tenancy data from India to assess the existence of missing incentives in this classical example of moral ... -
Inequality treatment effects
2005-05-05This paper presents semiparametric estimators for treatment effects parameters when selection to treatment is based on observable characteristics. The parameters of interest in this paper are those that capture summarized ... -
Information asymmetry and competition in credit markets: the pricing of overdraft loans in Brazil
2005-02-17This paper evaluates how information asymmetry affects the strength of competition in credit markets. A theory is presented in which adverse selection softens competition by decreasing the incentives creditors have for ... -
Is child labor harmful? the impact of working as a child on adult earnings
2005-06-02This paper explores the question: is working as young laborer harmful to an individual in terms of adult outcomes in income? This question is explored through the utilization of a unique set of instruments that control for ... -
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap
2004-12-02Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was ... -
Multiple structural change models:a simulation analysis
2000-04-03In a reccnt paper. Bai and Perron (1998) considcrccl theoretical issues relatec\ lo lhe limiting distriblltion of estimators and test. statist.ics in the linear model \\'ith multiplc struct ural changes. \Ve assess. via ... -
Multivariate unit root tests
1995-12-07A new multivariate test for the detection ofunit roots is proposed. Use is made ofthe possible correlations between the disturbances of difIerent series, and constrained and unconstrained SURE estimators are employed. The ...
