588 research outputs found
Inference for bivariate integer-valued moving average models based on binomial thinning operation
Time series of (small) counts are common in practice and appear in a wide variety of fields. In the last three decades, several models that explicitly account for the discreteness of the data have been proposed in the literature. However, for multivariate time series of counts several difficulties arise and the literature is not so detailed. This work considers Bivariate INteger-valued Moving Average, BINMA, models based on the binomial thinning operation. The main probabilistic and statistical properties of BINMA models are studied. Two parametric cases are analysed, one with the cross-correlation generated through a Bivariate Poisson innovation process and another with a Bivariate Negative Binomial innovation process. Moreover, parameter estimation is carried out by the Generalized Method of Moments. The performance of the model is illustrated with synthetic data as well as with real datasets.publishe
Stockholding in Spain
This paper explores the stock holdings of Spanish households. As found for other developed countries, the major part of Spanish households does not participate in the stock market. We analyse the impact that entry costs can have in this decision by looking at how wealth, education and a series of other characteristics affect the probability of households owning stock.We also look at a sample of highly 'sophisticated' households from which we should expect full participation in the stock market. Lastly, we analyse how the decision to hold stocks is related to the decision of holding safe assets, housing, businesses, pension plans and consumer debt
Education and Optimal Dynamic Taxation
We study optimal tax and educational policies in a dynamic private information economy, in which ex-ante heterogeneous individuals make an educational investment early in their life and face a stochastic wage distribution. We characterize labor and education wedges in this setting analytically and numerically, using a calibrated example. We present ways to implement the optimum. In one implementation there is a common labor income tax schedule, and a repayment schedule for government loans given out to agents during education. These repayment plans are contingent on loan size and income and capture the history dependence of the labor wedges. Applying the model to US-data and a binary education decision (graduating from college or not) we characterize optimal labor wedges for individuals without college degree and with college degree. The labor wedge of college graduates as a function of income lies first strictly above their counterparts from high-school, but this reverses at higher incomes. The loan repayment schedule is hump-shaped in income for college graduates
Payment Networks in a Search Model of Money
In a simple search model of money, we study a special kind of memory that gives rise to an arrangement resembling a payment network. Specifically, we assume that agents can pay a cost to access a central database that tracks payments made and received. Incentives must be provided to agents to access the central database and to produce when they participate in this arrangement. We also study policies that can loosen these incentive constraints. In particular, we show that a “no-surcharge” rule has good incentive properties. Finally, we compare our model with that of Cavalcanti and Wallace
Modelling overdispersion with integer-valued moving average processes
A new first-order integer-valued moving average, INMA(1), model based
on the negative binomial thinning operation defined by Risti´c et al. [21] is proposed
and characterized. It is shown that this model has negative binomial (NB) marginal
distribution when the innovations follow a NB distribution and therefore it can be
used in situations where the data present overdispersion. Additionally, this model is
extended to the bivariate context. The Generalized Method of Moments (GMM) is
used to estimate the unknown parameters of the proposed models and the results of
a simulation study that intends to investigate the performance of the method show
that, in general, the estimates are consistent and symmetric. Finally, the proposed
model is fitted to a real dataset and the quality of the adjustment is evaluated.publishe
Fiscal Policy, Private Investment and Economic Growth: Evidence from G-7 Countries
Measuring the effects of fiscal policy on economic growth is difficult, because fiscal policy variables are influenced by changes in income. This paper uses an unbalanced panel data set for G-7 countries for the period 1965-2000 that includes annual estimates of cyclically adjusted government expenditures, capital outlays, income tax revenues, indirect tax revenues, corporate tax revenues and social security tax revenues, based on definitions developed by OECD revenue statistics. The percentage share of these estimates in GDP is used to investigate the effects of fiscal policy on economic growth, and results are compared with regression results that use 5-year averages of cyclically unadjusted variables. The empirical results from both sets of regressions suggest that only taxes on household income and government expenditures have negative effects on per capita income growth. We consolidate our findings by showing that both government expenditures and income taxes have distortionary effects on private investment
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