Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Econometria"
Now showing items 1-20 of 71
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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 ... -
Análise da existência de cointegração e de ciclos comuns entre o PIB brasileiro e o PIB americano
2009-06-08Nosso objetivo neste trabalho foi examinar a vulnerabilidade do Brasil a choques externos dada a constante afirmação dos bons fundamentos econômicos ora apresentados por nossa economia. Nossa metodologia consistiu em ... -
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 ... -
Bayesian analysis of extreme events with threshold estimation
2004-08-20The aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds ... -
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 ... -
Commodity prices, sovereign wealth funds, and fiscal policy: lessons from Chile and Norway
2012-08Apresentação do palestrante Klaus Schmidt-Hebbel - Pontifícia Universidad Católica de Chile no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: http://epge.fgv.br/conferencias ... -
Comparing two multivariate unit root tests
2003-01-24In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic ... -
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 ... -
Convergência dos municípios paulistas: uma abordagem de econometria espacial
2011-08-05Este artigo avalia o impacto do imposto ISS no processo de convergência dos 645 municípios do estado de São Paulo entre 2000-2005. A presença de efeitos de dependência espacial é investigada incorporando-se um arcabouço ... -
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 ... -
Decision rules and information provision: monitoring versus manipulation
2002-08-01The paper focuses on the organization of institutions designed to resolve disputes between two parties, when some information is not veriable and decision makers may have vested preferences. It shows that the choice of how ... -
Delegated Coordination
2019-03-14We consider a multi-dimensional model of delegation in which a principal makes a decision so as to coordinate two agents, each with private information of their own impacting the outcomes of the decision and with one agent ... -
Demanda por cerveja no Brasil: um estudo econométrico
2001-08O trabalho estima econometricamente sistemas de demanda para o setor de cerveja no Brasil. A elasticidade-preço e a elasticidade-preço cruzada da demanda exibem, em geral, o comportamento previsto pela teoria. Pode-se ... -
Do shocks permanently change output? : Local persistency in economic time series
2004-03-01While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary ...
