The political economy of economic integration in the Americas: Latin American interests
N 468, 01/12/2002
Marcelo de Paiva Abreu.
Working Paper Series
Browse the categories to access the content of academic, scientific and opinion publications of the professors and students of the Department of Economics PUC-Rio.
Reforma tributária: urgência, desafios e descaminhos
N 467, 01/10/2002
Rogério Werneck.
Trade liberalization and evolution of skill earnings differentials in Brazil
N 463, 01/09/2002
Gustavo Gonzaga, Cristina Terra, Naércio Aquino Menezes Filho.
Building Neural Network Models for Time Series: A Statistical Approach
N 461, 01/08/2002
This paper is concerned with modelling time series by single hidden layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using simple existing techniques. The problem of selecting the number of hidden units is solved by sequentially applying Lagrange multiplier type tests, with the aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated neural network model. All the tests are entirely based on auxiliary regressions and are easily implemented. A small-sample simulation experiment is carried out to show how the proposed modelling strategy works and how the misspecification tests behave in small samples. Two applications to real time series, one univariate and the other multivariate, are considered as well. Sets of one-step-ahead forecasts are constructed and forecast accuracy is compared with that of other nonlinear models applied to the same series
Publicado em Journal of Forecasting, Volume 25, Número 1, pp. 49 - 75, 2006
Timo Terasvirta, Gianluigi Rech, Marcelo Medeiros.
Mecanismos não-lineares de repasse cambial para o IPCA
N 462, 01/08/2002
Thomas Yen Hon Wu, André Monteiro D'Almeida Monteiro, Dionisio Dias Carneiro Netto.
Should government smooth exchange rate risk?
N 465, 01/06/2002
publicado no Journal of Development Economics v.69, n.2, p. 393-421, 2002
Ilan Goldfajn, Marcos Antonio Coutinho da Silveira.
Public debt management, monetary policy and financial institutions
N 464, 01/06/2002
Márcio Garcia.
Qualidade e eqüidade na educação fundamental brasileira
N 455, 01/05/2002
Publicado na revista Pesquisa e Planejamento Econômico, v. 32, n. 3, dez. 2002.
Angela Umbelino de Souza Albernaz, Francisco de Hollanda Guimarães Ferreira.
Educational expansion and income distribution. A micro-simulation for Ceará
N 456, 01/05/2002
Publicado como um capítulo do livro de R. van der Hoven e A. Shorrocks (eds.): Growth, inequality and poverty, New York, Oxford University Press.
Francisco de Hollanda Guimarães Ferreira, Phillipe G. Leite.
Os efeitos da redução da jornada de trabalho de 48 para 44 horas semanais em 1988
N 458, 01/05/2002
publicado na Revista Brasileira de Economia, v. 57, n. 2, 2003
Gustavo Gonzaga, Naércio Aquino Menezes Filho, José Marcio Camargo.
Evaluating the performance of GARCH models using White´s Reality Check
N 453, 01/04/2002
The important issue of forecasting volatilities brings the difficult task of back-testing the forecasting performance. As volatility cannot be observed directly, one has to use an observable proxy for volatility or a utility function to assess the prediction quality. This kind of procedure can easily lead to poor assessment. The goal of this paper is to compare different volatility models and different performance measures using White’s Reality Check. The Reality Check consists of a non-parametric test that checks if any of a number of concurrent methods yields forecasts significantly better than a given benchmark method. For this purpose, a Monte Carlo simulation is carried out with four different processes, one of them a Gaussian white noise and the others following GARCH specifications. Two benchmark methods are used: the naive (predicting the out-of-sample volatility by in-sample variance) and the Riskmetrics method
Publicado na Brazilian Review of Econometrics, v. 25, n. 1, mai. 2005.
Marcelo Medeiros, Leonardo Souza, Álvaro Veiga.
Keynes e as conseqüências econômicas da paz
N 454, 01/04/2002
Prefácio à edição brasileira de J. M. Keynes: "As conseqüências econômicas da paz", São Paulo, Imprensa Oficial do Estado, Editora Universidade de Brasília, Instituto de Pesquisa de Relações Internacionais, 2002.
Marcelo de Paiva Abreu.
Beyond Oaxaca-Blinder: accounting for differences in household income distributions across countries
N 452, 01/03/2002
Francisco de Hollanda Guimarães Ferreira, Phillipe G. Leite, François Bourguignon.
Câmbio, juros e o movimento de reservas: Faz sentido o uso de um "quebra-molas"?
N 459, 01/01/2002
Thomas Yen Hon Wu, Dionisio Dias Carneiro Netto.
A contractive method for computing the stationary solution of the Euler Equation
N 451, 01/12/2001
Humberto Moreira, Wilfredo Maldonado.
Inércia de juros e regras de Taylor: explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brasil
N 450, 01/12/2001
Pedro Garcia Duarte, Dionisio Dias Carneiro Netto.
Non-monotone insurance contracts and their empirical consequences
N 449, 01/12/2001
Aloisio Araújo, Humberto Moreira.
Imaginary money against sticky relative prices
N 448, 01/10/2001
Publicado em European Economic Review, v. 46, pp. 1073-1092, 2002.
Eduardo Henrique de Mello Motta Loyo.