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.

A Economia da República Velha, 1889-1930

N 588, 01/01/2011

Luiz Aranha Corrêa do Lago, Gustavo Henrique de Barroso Franco.


A deterioração do regime fiscal no segundo mandato de Lula e seus desdobramentos

N 587, 01/12/2010

Rogério Werneck.


Assessing the crack hypothesis using data from a crime wave: the case of São Paulo

N 586, 01/12/2010

João Manoel Pinho de Mello.


A economia brasileira no Império, 1822-1889

N 584, 01/11/2010

Marcelo de Paiva Abreu, Luiz Aranha Corrêa do Lago.


A economia brasileira 1930-1964

N 585, 01/11/2010

Marcelo de Paiva Abreu.


Welfare Costs of Crime and Common Violence: A Critical Review

N 581, 01/10/2010

Rodrigo Reis Soares.


A gerência recente do endividamento público brasileiro

N 595, 01/10/2010

Pblicado na Revista de Economia Política v. 32, n.2, p. 264-285, 2012

Márcio Garcia, Pedro Maia da Cunha.


Cost of electricity in Brazil: Effects of 2004 regulatory reform

N 583, 01/10/2010

Monica Barros, Marina Figueira de Mello.


Organization and Information in the Fight against Crime: An Evaluation of the Integration of Police Forces in the State of Minas Gerais, Brazil

N 582, 01/10/2010

Rodrigo Reis Soares.


Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility

N 578, 01/10/2010

We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in time series models and apply our modeling framework to daily realized measures of integrated variance. Asymptotic theory for parameter estimation is developed and two model building procedures are proposed. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evidence of nonlinear effects in financial volatility. An out-of-sample analysis shows that modeling these effects can improve forecast performance.

A ser publicado em Journal of Business & Economic Statistics

Eric Hillebrand, Marcelo Medeiros.


Nonlinear Cointegration, Misspecification and Bimodality

N 577, 01/10/2010

We derive the asymptotic distribution of the ordinary least squares estimator in a regression

with cointegrated variables under misspecification and/or nonlinearity in the regressors. We show

that, under some circumstances, the order of convergence of the estimator changes and the asymptotic

distribution is non-standard. The t-statistic might also diverge. A simple case arises when the intercept

is erroneously omitted from the estimated model or in nonlinear-in-variables models with endogenous

regressors. In the latter case, a solution is to use an instrumental variable estimator. The core results in

this paper also generalise to more complicated nonlinear models involving integrated time series.

 

Publicado em Econometic Reviews, v. 33, n.7, p. 713-731, 2014

 

Marcelo Medeiros, Eduardo F. Mendes, L. Oxley.


Há assimetria no repasse dos juros bancários de variações na taxa Selic?

N 580, 01/09/2010

João Manoel Pinho de Mello, Pedro Henrique Rosado de Castro.


Reassessing the Demography Hypothesis: the Great Brazilian Crime Shift

N 579, 01/09/2010

João Manoel Pinho de Mello.


Estimation of Poverty Transition Matrices with Noisy Data

N 576, 01/09/2010

Nayoung Lee, John Strauss, Geert Ridder.


The Asymptotic Variance of Semi-parametric Estimators with Generated Regressors

N 575, 01/09/2010

Jinyong Hahn, Geert Ridder.


Identifying the bank lending channel in Brazil through data frequency

N 574, 01/05/2010

João Manoel Pinho de Mello, Márcio Garcia, Christiano Arrigoni Coelho.


The Brazilian Payroll Lending Experiment

N 573, 01/04/2010

Christiano Arrigoni Coelho, João Manoel Pinho de Mello, Bruno Funchal.


Linear Programming-Based Estimators in Simple Linear Regression

N 567, 01/03/2010

In this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The LPE is interesting because it can be superconsistent in the presence of an endogenous regressor and, hence, preferable to the ordinary least squares estimator (LSE). Two different cases are considered as we investigate the statistical properties of the LPE. In the first case, the regressor is assumed to be fixed in repeated samples. In the second, the regressor is stochastic and potentially endogenous. For both cases the strong consistency and exact finite-sample distribution of the LPE is established. Conditions under which the LPE is consistent in the presence of serially correlated, heteroskedastic errors are also given. Finally, we describe how the LPE can be extended to the case with multiple regressors and conjecture that the extended estimator is consistent under conditions analogous to the ones given herein. Finite-sample properties of the LPE and extended LPE in comparison to the LSE and instrumental variable estimator (IVE) are investigated in a simulation study. One advantage of the LPE is that it does not require an instrument.

Publicado em  Journal of Econometrics, 165, 128-136,2011

 

Daniel Preve, Marcelo Medeiros.


Forecasting Realized Volatility with Linear and Nonlinear Models

N 568, 01/03/2010

In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from high frequency intra-day returns. We also consider a simple algorithm based on bagging (bootstrap aggregation) in order to specify the models analyzed in this paper

 

 Publicado em Journal of Economic Surveys, 25, 6-18,2011

Michael McAller, Marcelo Medeiros.


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