The R-package phtt: Panel Data Analysis with Heterogeneous Time Trends

The R-package phtt provides estimation procedures for panel data with large dimensions n, T, and general forms of unobservable heterogeneous effects. Particularly, the estimation procedures are those of Bai (2009) and Kneip, Sickles, and Song (2012), which complement one another very well: both models assume the unobservable heterogeneous effects to have a factor structure. Kneip et al. (2012) considers the case in which the time varying common factors have relatively smooth patterns including strongly positive auto-correlated stationary as well as non-stationary factors, whereas the method of Bai (2009) focuses on stochastic bounded factors such as ARMA processes. Additionally, the phtt package provides a wide range of dimensionality criteria in order to estimate the number of the unobserved factors simultaneously with the remaining model parameters

Panel Data Models with Unobserved Multiple Time - Varying Effects to Estimate Risk Premium of Corporate Bonds

We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate the dimensionality of the hidden risk factors jointly with the model parameters, we rely on a modified version of the iterated least squares method proposed by Bai, Kao, and Ng (2009). Our result confirms the presence of four common risk components affecting the U.S. corporate bonds during the period between September 2006 and March 2008. However, one single risk factor is sufficient to describe the data for all time periods prior to mid July 2007 when the subprime crisis was detected in the financial market. The dimensionality of the unobserved risk components therefore seems to reflect the degree of difficulty to diversify the individual bond risks.Corporate Bond; Credit Spread; Systematic Risk Premium; Panel; Data Model with Interactive Fixed Effects; Factor Analysis; Dimensionality Criteria; Panel Cointegration

La situació francesa en els moments de la Pau de Cateau-Cambrésis, 3 d’abril de 1559

La Pau de Cateau-Cambrésis (1559) obre el camí per establir un nou model de relació entre religió i monarquia que conclourà amb l’Edicte de Nantes (1598). Al llarg d’aquests quaranta anys el protagonisme històric europeu depèn sobretot de França: tant la qüestió religiosa com la qüestió dinàstica. Aquest treball està dedicat a explicar els punts més importants d’aquest camí, que anirà assumint nous conceptes, importants en el camp del pensament, com la llibertat de culte i la tolerància religiosa, a la recerca d’un nou plantejament en la relació de la trilogia afi ançada des del segle xiv —«una fe, una llei, un rei»—, que consisteix a mantenir la unicitat en la llei i en el rei, però acceptant la duplicitat de la fe, calvinista i catòlica