Measuring inequality and dependences between income sources with administrative data and survey data

Producción CientíficaThis paper aims at analyzing the effects of changing from survey to administrative data on inequality and its structure. Taking advantage of the Spanish Survey on Income and Living Conditions (ECV) that continued asking households for their income despite assigning them the income data provided by the Tax Agency and the Social Security administration, different analyses are carried out. By using copula functions we pay special attention to the effect on the dependences between income sources. We find a significant growth in the disposable income of households when using administrative data. The incomes of both tails of the distribution increase considerably more than middle incomes, and administrative data produce significantly lower levels of inequality. Using administrative instead of survey data also gives rise to changes in the structure of inequality by income sources, rising the contribution of capital income. Both methods of data collection also produce significant differences in the observed dependences between income sources.Economía Aplicad

A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho

Producción CientíficaSchmid and Schmidt (2007) proposed copula-based nonparametric estimators for some multivariate extensions of Spearman’s rho. In this paper, we show that two of those estimators are inappropriate since they can take values out of the parameter space and we discuss alternative proposals.Ministerio de Economía, Industria y Competitividad (ECO2012-32178)Ministerio de Economía, Industria y Competitividad (ECO2012-32401)Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA066U13

A review of stochastic dominance methods for poverty analysis

Producción CientíficaStochastic dominance techniques have been mainly employed in poverty analyses to overcome what it is called the multiplicity of poverty indices problem. Moreover, in the multidimensional context, stochastic dominance techniques capture the possible relationships between the dimensions of poverty as they rely upon their joint distribution, unlike most multidimensional poverty indices, which are only based on marginal distributions. In this paper, we first review the general definition of unidimensional stochastic dominance and its relationship with poverty orderings. Then we focus on the conditions of multivariate stochastic dominance and their relationship with multidimensional poverty orderings, highlighting the additional difficulties that the multivariate setting involves. In both cases, we focus our discussion on first- and secondorder dominance, though some guidelines on higher order dominance are also mentioned. We also present an overview of some relevant empirical applications of these methods that can be found in the literature in both univariate and multivariate contexts

Nonparametric estimation of the multivariate Spearman's footrule: A further discussion

Producción CientíficaIn this paper, we propose two new estimators of the multivariate rank correlation coefficient Spearman's footrule which are based on two general estimators for Average Orthant Dependence measures. We compare the new proposals with a previous estimator existing in the literature and show that the three estimators are asymptotically equivalent, but, in small samples, one of the proposed estimators outperforms the others. We also analyse Pitman efficiency of these indices to test for multivariate independence as compared to multivariate versions of Kendall's tau and Spearman's rho.Ministerio de Ciencia e Innovación (PID2020-113350GB-I00 y PID2021-122657OB-I00)Severo Ochoa Programme for Centres of Excellence in R&D (CEX2019-000904-S)FEDER-Andalucía 2014-2020 (UAL2020-AGR-B1783

Estimación e identificación de modelos de volatilidad estocástica con memoria larga

Se abordan ciertos problemas de estimación e identificación en modelos de volatilidad estocástica. Se derivan las propiedades de las correlaciones muestrales en estos modelos y se demuestra que su distribución asintótica no es la habitual. Se proponen correcciones por volatilidad y se comprueba que éstas proporcionan resultados adecuados. Se analizan las correlaciones de diversas transformaciones no lineales y se comprueba que presentan un sesgo importante que cuestiona su validez para identificar y validad modelos. Se comprueba que el estimador de Whittle no tiene buenas propiedades cuando los parámetros están próximos a la no estacionariedad o la homocedasticidad. En el modelo ARLMSV este estimador no puede distinguir la causa de la no estacionariedad y puede estimar un modelo erróneo. Se implementa un método para obtener la estimación suavizada de la volatilidad y se realiza una aplicación empírica sobre los rendimientos diarios del IBEX-35 entre enero de 1987 y diciembre de 1998.Departamento de Economía Aplicad

Measuring the dependence among dimensions of welfare: a study based on spearman´s footrule and Gini´s Gamma

Producción CientíficaWelfare is multidimensional as it involves not only income, but also education, health or labour. The composite indicators of welfare are usually based on aggregating somehow the information across dimensions and individuals. However, this approach ignores the relationship between the dimensions being aggregated. To face this goal, in this paper we analyse the dependence between the dimensions included in the Human Development Index (HDI), namely income, health and schooling, through three copula-based measures of multivariate association: Spearman’s footrule, Gini’s gamma and Spearman’s rho. We discuss their properties and prove new results on Spearman’s footrule. The copula approach focuses on the positions of the individuals across dimensions, rather than the values that the variables attain for such individuals. Thus, it allows for more general types of dependence than the linear correlation. We base our study on data from 1980 till 2014 for the countries included in the 2015 Human Development Report. We find out that though the overall HDI has increased over this period, the dependence between its dimensions remains high and nearly unchanged so that the richest countries tend to be also the best ranked in both health and education.Ministerio de Economía, Industria y Competitividad (ECO2012-32178)Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA066U13

A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models

We provide a computationally e±cient method, based on Harvey (1998) proposal, to estimate the underlying volatility of asset returns using the Long-Memory Stochastic Volatility (LMSV ) model. The performance of our procedure is illustrated with an application to three series of daily exhange rates returns. A comparison of long memory GARCH-type volatilities with our smoothed ones is also presented

Copula‐based analysis of multivariate dependence patterns between dimensions of poverty in Europe

Producción CientíficaIt is widely recognized that poverty is a multidimensional phenomenon involving not only income, but also other aspects such as education or health. In this multidimensional setting, analyzing the dependence between dimensions becomes an important issue, since a high degree of dependence could exacerbate poverty. In this paper, we propose measuring the multivariate dependence between the dimensions of poverty in Europe using copula‐based methods. This approach focuses on the positions of individuals across dimensions, allowing for other types of dependence beyond linear correlation. In particular, we analyze how orthant dependence between the dimensions of the AROPE rate has evolved in the EU‐28 countries between 2008 and 2014 by applying non‐parametric estimates of multivariate copula‐based generalisations of Spearman’s rank correlation coefficient. We find a general increase in the dependence between dimensions, regardless of the coefficient used. Moreover, countries with higher AROPE rates also tend to experiment more dependence between its dimensions.Ministerio de Economía, Industria y Competitividad (Project ECO2016‐77900‐P)Junta de Castilla y León (programa de apoyo a proyectos de investigación - Ref. VA148G18)Comunidad autónoma de Madrid - European Commission (Project S2015/HUM‐3416‐DEPOPOR‐CM

Procedimiento de obtención de aceites o grasas con alto contenido antioxidante

[EN] The invention relates to a novel method for producing oils and fats with a high anti-oxidant content, as a result of the action of compounds of a phenolic nature, and more concretely, as a result of hydroxytyrosol and fatty esters of hydroxytyrosyl.[ES] La presente invención se refiere a un nuevo procedimiento de obtención de aceites o grasas con alto contenido antioxidante, debido a la acción de compuestos de naturaleza fenólica y en concreto debido al hidroxitirosol y esteres grasos de hidroxitirosilo.Peer reviewedConsejo Superior de Investigaciones Científicas (España), Universidad de SevillaA1 Solicitud de patente con informe sobre el estado de la técnic

Proyecciones de población en Castilla y León, con especial referencia a las de la población en edad escolar

El estudio está realizado por un grupo de catedráticos y profesores de la Universidad de Valladolid, sobre las tendencias de la población en edad escolar en un futuro. El objetivo principal es evaluar dichas expectativas en la evolución de la población Castellano-Leonesa, con una desagregación por sexos , edades y distribución geográfica, con especial hincapié en la población en edad escolar, por edades y niveles educativos. Para la realización de dicho estudio se ha precisado la siguiente información: a) padrón de 1986; b) censo de 1991 y c) movimiento natural de la población (INE) de los últimos años. Como conclusión se presentan las proyecciones de población en tablas y pirámides con su correpondiente interpretación. El trabajo no está publicado..Junta de Castilla y León, Consejería de Educación y Cultura, Dirección General de Universidades e InvestigaciónCastilla y LeónES