Essays on econometrics. Multivariate Markov chains

Tese de Doutoramento em Matemática aplicada à Economia e GestãoThis Dissertation is about Markov chains and their role in economics and in econometrics theory. Four essays on the Markov chain ap- proach are presented. We start by illustrating the analytical potential of multivariate Markov chains in the field of economic history, in particular with regard to a test of the Schumpeterian hypothesis of creative destruction. Then, we ilustrate the flexibility of Markov chains, and their per- tinence to situations that go beyond their traditional applicability: i) how can a Markov chain play the role of covariates; ii) how can a Markov chain representation be useful to compute expected hitting times. Finally, we present a new methodology for testing and detecting multiple structural breaks in multivariate Markov chains, where the dates at which the structural breaks occur are unknown.N/

Multivariate Markov Chains - estimation, inference and forecast. A new approach : what if we use them as stochastic covariates?

Mestrado em Econometria Aplicada e PrevisãoThis dissertation proposes a new concept: the usage of Multivariate Markov Chains (MMC) as covariates. Our innovative approach is based on the observation that we can treat possible categorical regressors as a MMC in order to improve the forecast error of a certain dependent variable,provided it is caused, in the Granger sense, by the MMC. We conduct a Monte Carlo simulation study to assess the performance of our model and we archive excellent results in terms of forecast. An empirical illustration, that widely supports the results obtained in the Monte Carlo study, is also provided. Furthermore, the results of our empirical illustration suggest that the sovereign bond markets in peripherical European countries, namely Portugal, are ine cient. The conclusions drawn include implications for policy. We also discuss the ideas behind several methods to estimate MMC, tackling issues with regard to the statistical inference topic. We provide a general framework to allow us to obtain the MMC h-step-ahead forecast closed formulas.Esta dissertação propõe um novo conceito: a utilização de Cadeias de Markov Multivariadas enquanto regressores. A nossa abordagem inovadora baseia-se na observação de que é possível fazer uso de CMM enquanto variáveis explicativas com o intuito de se reduzirem os erros de previsão de uma determinada variável dependente, desde que essa variável dependente seja causada, a la Granger, pela CMM. Com o objectivo de perceber a performance do nosso modelo em termos de previsão operacionalizamos um estudo de simulação de Monte Carlo no qual obtemos excelentes resultados. Também recorremos a uma ilustração empírica que sustenta fortemente os resultados obtidos no estudo de simulação de Monte Carlo. Para além disso, os resultados da ilustração empírica apontam para a circunstância de que os mercados das obrigações das dívidas soberanas dos países da periferia europeia, nomeadamente Portugal, são ine cientes. Podem retirar-se das conclusões obtidas algumas implicações em termos de orientação de política económica. Discutimos ainda algumas ideias subjacentes às diversas metodologias de estimação de CMM, sublinhando as questões relativas ao tópico da inferência estatística. Providenciamos uma utensilagem teórica do seio da qual se obtêm as expressões da previsão a h-passos com CMM

Combining a regression model with a multivariate Markov chain in a forecasting problem

This paper proposes a new concept: the usage of Multivariate Markov Chains (MMC) as covariates. Our approach is based on the observation that we can treat possible categorical (or discrete) regressors, whose values are unknown in the forecast period, as an MMC in order to improve the forecast error of a certain dependent variable. Hence, we take advantage of the information about the past state interactions between the MMC categories to forecast the categorical (or discrete) regressors and improve the forecast of the actual dependent variable.info:eu-repo/semantics/publishedVersio

Time inhomogeneous multivariate Markov chains : detecting and testing multiple structural breaks occurring at unknown

Markov chains models are used in several applications and different areas of study. Usually a Markov chain model is assumed to be homogeneous in the sense that the transition probabilities are time invariant. Yet, ignoring the inhomogeneous nature of a stochastic process by disregarding the presence of structural breaks can lead to misleading conclusions. Several methodologies are currently proposed for detecting structural breaks in a Markov chain, however, these methods have some limitations, namely they can only test directly for the presence of a single structural break. This paper proposes a new methodology for detecting and testing the presence multiple structural breaks in a Markov chain occurring at unknown dates.info:eu-repo/semantics/publishedVersio

Modeling insurgent-incumbent dynamics : vector autoregressions, multivariate Markov chains, and the nature of technological competition

The struggle between sail and steam is a long-standing theme in economic history. But this technological competition story has only partly tackled, since most studies have appreciated the rivalry between the two alternative modes of commercial sea carriage in the late 19th century while the early period has remained relatively under-analysed. This paper models the early dynamics between the two capital goods using a vector autoregression approach (VAR) and a Multivariate Markov Chain approach (MMC). We find evidence that the relationship was nonlinear, with a strong indication of complementarities and cross-technology learning effects.info:eu-repo/semantics/publishedVersio

Do labour market reforms pay off? Unemployment and capital accumulation in Portugal

The aim of this paper is to study the long-run relationship between unemployment, capital accumulation and labour market variables in Portugal for the 1985Q1-2013Q4 period. We use an ARDL - bounds test model to perform the econometric estimation. We find evidence that capital accumulation has been the main driver of long-run unemployment (NAIRU), whilst labour market variables have played either a negligible or an existent explicative role. It suggests that Portuguese NAIRU is endogenous relative to capital accumulation. Consequently, we conclude that the labour market reforms proposed by Troika were inadequate to the Portuguese case as they were based upon a theoretical framework (exogenous NAIRU model) that was not representative of the Portuguese labour market.info:eu-repo/semantics/publishedVersio

Evidence from Portugal

Ernesto, L., Damásio, B. & Mendonça, S. (2023). How networked are Medical Schools? Evidence from Portugal [preprint]. 27th International Conference on Science, Technology and Innovation Indicators (STI 2023).Institutional collaboration between universities and other actors is crucial to generate new knowledge and for advancing innovation. But, how important is this for the healthcare sector? This work analyses 441 institutional collaborations between Portuguese Medical Schools and other entities (pharmaceutical industry, funding organisations, hospitals, other universities, non-profit organisations, other private for-profit organisations, public bodies and public research organisations). We identify, validate, disambiguate, classify and analyse evidence available from a variety of sources. Our original database reveals that most of the partnerships of Portuguese Medical Schools are with academic institutions. A sectoral failure regarding partnerships with other type of actors (e.g. industry, other research organisations) is suggested. As for future policy objectives, we argue that a systems building view could be considered.preprintsubmitte

The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach

A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency.info:eu-repo/semantics/publishedVersio

Desenvolvimento e validação de um questionário para avaliar comportamentos agressivos e reações à agressão entre pares

This study presents the psychometric properties of the Peer Aggressive and Reactive Behaviors Questionnaire (PARB-Q), a self-report questionnaire to measure child overt aggression (PA) and reaction to peer aggression (RPA). Participants were 587 Italian elementary school children, aged 7-10 years (51.5% female). Exploratory and confirmatory factor analyses presented a one-factor solution for the PA scale and a three-factor solution for the RPA scale (reactive aggression, seeking teacher support and internalizing reaction), presenting adequate reliability and goodness-of-fit indexes for both scales. Criterion validity presented satisfactory evidence. The PARB-Q appears to be a psychometrically sound tool to evaluate aggressive behavior and reactions to peer aggression in elementary school children. Este estudo apresenta as propriedades psicométricas do Questionário de Comportamentos Agressivos e Reativos entre Pares (Q-CARP), instrumento de autorrelato que avalia comportamentos agressivos infantis diretos (ECA) e reações frente à agressão de pares (ERA). Participaram do estudo 587 crianças italianas, estudantes do ensino fundamental, com idade entre 7-10 anos (51,5% meninas). Análises fatoriais exploratórias e confirmatórias apresentaram uma solução unifatorial para a escala ECA e uma solução de três fatores para a ERA (reações agressivas, busca de apoio do professor e reações internalizadas), apresentando bons índices de consistência interna e de ajuste para ambas as escalas. A validade de critério apresentou índices satisfatórios. O Q-CARP apresenta-se como uma ferramenta útil para avaliar comportamentos agressivos e diferentes reações em crianças escolares