dt2018-13 | Jonas E. Arias, Juan F. Rubio-Ramírez, Daniel F. Waggoner, 26/11/2018
Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy-SVARs. Our algorithms make independent draws from the normal-generalized-normal family of conjugate posterior distributions over the structural parameterization of a proxy-SVAR. Importantly, our techniques can handle the case of set identification and hence they can be used to relax the additional exclusion restrictions unrelated to the external instruments often imposed to facilitate inference when more than one instrument is used to identify more than one equation as in Mertens and Montiel-Olea (2018).
dt2018-03 | David Troncoso-Ponce, 19/02/2018
This article presents hsmlogit, a new Stata command that estimates multispells discrete time competing risks duration models with unobserved heterogeneity. hsmlogit allows for the estimation of one, two and up to three competing risks, as well as a maximum of five points of support for the identification of unobserved heterogeneity distribution ([Heckman and Singer, 1984]). The main contribution of hsmlogit is that allows for exploiting the richness of large longitudinal micro datasets, by estimating competing risks duration models, instead of one-risk models (such as hshaz and hshaz2), as well as it takes into account the presence of unobserved heterogeneity affecting transition rates. In addition to this, and taking into account the larger size of longitudinal micro datasets used for the estimation of discrete time duration models, hsmlogit also provides the algebraic expressions of both first and second order derivatives that, respectively, define the gradient vector and Hessian matrix, which significantly reduce time required to achieve model convergence.
dt2017-15 | Julio López-Laborda, Carmen Marín-González, Jorge Onrubia Fernández, 25/12/2017
There are several ways to match SILC-HBS surveys, with the most common technique involving the estimation of Engel curves using Ordinary Least Squares in logs with HBS data to impute household expenditure in the income dataset (SILC). The estimation in logs has certain advantages, as it can deal with skewness in data and reduce heteroskedasticity. However, the model needs to be corrected with a smearing estimate to retransform the results into levels. The presence of intrinsic heteroskedasticity in household expenditure therefore calls for another technique, as the smearing estimate produces a bias. Generalized Linear Models (GLMs) are presented as the best option.
dt2017-13 | Juan Antolín-Díaz, Ivan Petrella, Juan F. Rubio-Ramírez, 04/12/2017
In the context of linear vector autoregressions (VAR), conditional forecasts and “stress tests” are typically constructed by specifying the future path of one or more endogenous variables, while remaining silent about the underlying structural economic shocks that might have caused that path. However, in many cases researchers are interested in choosing which structural shock is driving the path of the conditioning variables, allowing the construction of a “structural scenario” which can be given an economic interpretation. We develop efficient algorithms to compute structural scenarios, and show how this procedure can lead to very different, and complementary, results to those of the traditional conditional forecasting exercises. Our methods allow to compute the full posterior distribution around these scenarios in the context of set and incompletely identified structural VARs, taking into account parameter and model uncertainty. Finally, we propose a metric to assess and compare the plausibility of alternative scenarios. We illustrate our methods by applying them to two examples: comparing alternative monetary policy options and stress testing bank profitability to an economic recession.
dt2017-07 | Juan Antolín-Díaz, Juan F. Rubio-Ramírez, 23/03/2017
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions are highly informative. We highlight that adding a single narrative sign restriction dramatically sharpens and even changes the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions.
dt2017-06 | David Troncoso-Ponce, 16/03/2017
This article presents hshaz2, a new Stata command that uses d2 ml method to estimate discrete time duration models with unobserved heterogeneity. The main advantage of using hshaz2 is the gain in computation speed, that takes special relevance as the sample size increases.
dt2017-03 | Emilio Albi, 13/02/2017
El azar puede ofrecer el estímulo que contrarreste comportamientos no deseables de los partidos políticos en la elección de altos cargos, La aleatoriedad rompe el incentivo de seguir conductas políticas oportunistas ya que lo fortuito elimina saber quién hará tal cosa o conseguirá tal otra. “Cargos por azar” intenta despolitizar la elección de altos cargos en muy diversas instituciones del Estado.
dt2016-07 | Martin M. Andreasen, Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez, 06/09/2016
This paper studies the pruned state-space system for higher-order perturbation ap- proximations to DSGE models. We show the stability of the pruned approximation up to third order and provide closed-form expressions for Örst and second unconditional moments and impulse response functions. Our results introduce GMM estimation and impulse-response matching for DSGE models approximated up to third order and pro- vide a foundation for indirect inference and SMM. As an application, we consider a New Keynesian model with Epstein-Zin-Weil preferences and two novel feedback e§ects from long-term bonds to the real economy, allowing us to match the level and variability of the 10-year term premium in the U.S. with a low relative risk aversion of 5.
dt2016-01 | Sergi Jiménez-Martín, José María Labeaga, 14/01/2016
We present Generalized Method of Moments estimators for AR(1) dynamic panel data sample selection models. We perform a Monte Carlo study to evaluate the finite sample properties of the proposed estimators. Our results suggest that correcting for sample selection in many standard cases does not add much to the uncorrected estimates. In particular, the magnitude of the biases is similar and very small when estimating the model either correcting or not the equation of interest. This equivalence also holds in the dynamic model with exogenous regressors. These results are especially relevant for practitioners either when there is selection of unknown form or selection is difficult to model.
fpp2015-03 | J. Ignacio Conde-Ruiz, Carmen Hoya, 11/02/2015
This policy paper presents an analysis of the current situation of female representation on the boards of Directors of the 35 largest publicly listed Spanish companies. Whenever possible, it compares the situation in 2013 to that of 2007, the year in which the “Gender Equality Act” was passed. The law stated that in 2015 it would assess progress and decide whether or not to introduce more drastic measures or implement further actions if necessary. The paper finds there is still a long way to go until gender equality is reached. Female representation on the boards is still below the EU-28 average and more importantly well below the 40% objective the Spanish Government set in 2007 to be met in 2015. Moreover, even though female board members are paid on average less than male board members (even when comparing in the same job position and the same company), they are younger and more educated than their male colleagues. An analysis of the Spanish situation and of the EU context suggests that the only way forward is through binding legislation (i.e. gender quotas with sanctions for non-complying companies).
dt-2014-20 | Facundo Albornoz, Antonio Cabrales, Esther Hauk, 22/12/2014
We study a model that integrates productive and socialization efforts with network choice and parental investments. We characterize the unique symmetric equilibrium of this game. We first show that individuals underinvest in productive and social effort, but that solving only the investment problem can exacerbate the misallocations due to network choice, to the point that it may generate an even lower social welfare if one of the networks is sufficiently disadvantaged. We also study the interaction of parental investment with network choice. We relate these equilibrium results with characteristics that we find in the data on economic co-authorship and field transmission between advisors and advisees.
dt-2014-18 | Antonio Cabrales, Piero Gottardi, Fernando Vega-Redondo, 09/12/2014
We investigate the trade-off, arising in financial networks, between higher risk-sharing and greater exposure to contagion when the connectivity increases. We find that with shock distributions displaying ”fat” tails, extreme segmentation into small components is optimal, while minimal segmentation and high density of connections are optimal with distributions exhibiting ”thin” tails. For less regular distributions, intermediate degrees of segmentation and sparser connections are optimal. If firms are heterogeneous, optimality requires perfect assortativity in their linkages. In gen- eral, however, a conflict arises between optimality and individual incentives to establish linkages, due to a ”size externality” not internalized by firms.
dt-2014-10 | Mikel Pérez-Nievas, J. Ignacio Conde-Ruiz, Eduardo L. Giménez, 15/09/2014
This paper explores the properties of several notions of efficiency (Α-efficiency, Ρ-efficiency and Millian efficiency) to evaluate allocations in a general overlapping generations setting with endogenous fertility and descendant altruism that includes, as a particular case, Barro and Becker’s (1988) model of fertility choice. We first focus on the notion of Α-efficiency, proposed by Golosov, Jones and Tertilt (Econometrica, 2007) and show that, in many environments, the set of symmetric, interior, Α-efficient allocations is empty. To overcome this problem, we then propose to evaluate the efficiency of a given allocation with a particular specification of Ρ-efficiency –proposed also by Golosov et al.– for which the utility attributed to the unborn depends on the utility level achieved by those who get to be born in a given allocation. For a large class of specifications of the function determining the utility attributed to the unborn, every Millian efficient allocation, that is, every symmetric allocation that is not Α-dominated by any other symmetric allocation, is also Ρ-efficient. Finally, we restate the First Welfare Theorem by showing that a) every competitive equilibrium is a –statically– Millian efficient allocation; and that b) if long-run wages do not exceed the capitalized costs of rearing children, then competitive equilibria are also –dynamically– Millian efficient.
dt-2014-09 | Aranzazu Crespo, Marcel Jansen, 17/08/2014
This paper analyzes the role that global value chains (GVC) have played during the sovereign debt crisis in Europe, and the key policy challenges that Spain faces. First, we provide a comparative analysis of the export performance and FDI activities of Spanish firms, using the firm-level information of the EFIGE dataset. Then, we use input-output tables from the WIOD database to identify the industries whose participation in GVCs should be promoted since they retain a larger share of domestic value added. Finally, we analyze the capacity of GVCs to amplify or act as built-in stabilizers following economic downturns. To do so, we compute the first round impact on Spanish gross exports and domestic value added of a 10% increase in final demand in selected areas of the world. Spain’s gross exports would be worth 2.28% of GDP while the domestic value added from export would grow by 2.34%, which suggests that GVCs act as stabilizers since the promote more the domestic value added components.
dt-2014-05 | Jesús Fernández-Huertas Moraga, 26/05/2014
Spain received more immigrants than any other European country during its boom between 1997 and 2007 but continued receiving them during the recession that followed. This paper documents the selection of these immigrants in terms of their productive characteristics both before and after the peak of the boom. Pre-crisis immigrants were typically positively selected although selection was less positive for some over-represented national groups. Post-crisis immigration became even more positively selected, as well as older and more feminized.
dt-2014-03 | Michel Beinea, Simone Bertoli, Jesús Fernández-Huertas Moraga, 13/02/2014
The use of bilateral data for the analysis of international migration is at the same time a blessing and a curse. It is a blessing since the dyadic dimension of the data allows researchers to analyze many previously unaddressed questions in the literature. This paper reviews some of the recent studies using this type of data in a gravity framework in order to identify important factors affecting international migration ows. Our review demonstrates that considerable efforts have been conducted by many scholars and that overall we have a much better knowledge of the relevant determinants. Still, the use of bilateral data is also a curse. The methodological challenges that are implied by the use of this type of data are numerous and our paper covers some of the most significant ones. These include sound theoretical foundations, accounting for multilateral resistance to migration as well the choice of appropriate estimation techniques dealing with the nature of the migration data and with endogeneity concerns.