Central limit theorem for asymmetric kernel functionals

Asymmetric kernels are quite useful for the estimation of density functions with bounded support. Gamma kernels are designed to handle density functions whose supports are bounded from one end only, whereas beta kernels are particularly convenient for the estimation of density functions with compact support. These asymmetric kernels are nonnegative and free of boundary bias. Moreover, their shape varies according to the location of the data point, thus also changing the amount of smoothing. This paper applies the central limit theorem for degenerate U-statistics to compute the limiting distribution of a class of asymmetric kernel functionals.

Nonparametric specification tests for conditional duration models

This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.

Testing production functions used in empirical growth studies

We estimate and test two alternative functional forms, which have been used in the growth literature, representing the aggregate production function for a panel of countries: the model of Mankiw, Romer and Weil (Quarterly Journal of Economics, 1992), and a mincerian formulation of schooling-returns to skills. Estimation is performed using instrumental-variable techniques, and both functional forms are confronted using a Box-Cox test, since human capital inputs enter in levels in the mincerian specification and in logs in the extended neoclassical growth model.

On the consistency of arbitrary money-demand functions with the Sidrauski and the shopping-time models

This paper investigates which properties money-demand functions have to satisfy to be consistent with multidimensional extensions of Lucasí(2000) versions of the Sidrauski (1967) and the shopping-time models. We also investigate how such classes of models relate to each other regarding the rationalization of money demands. We conclude that money demand functions rationalizable by the shoppingtime model are always rationalizable by the Sidrauski model, but that the converse is not true. The log-log money demand with an interest-rate elasticity greater than or equal to one and the semi-log money demand are counterexamples.

The aliasing effect, the Fejer Kernel and temporally aggregated long memory processes

This paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series.

Testing production functions used in empirical growth studies

We estimate and test two alternative functional forms representing the aggregate production function for a panel of countries: the extended neoclassical growth model, and a mincerian formulation of schooling-returns to skills. Estimation is performed using instrumentalvariable techniques, and both functional forms are confronted using a Box-Cox test, since human capital inputs enter in levels in the mincerian specification and in logs in the extended neoclassical growth model. Our evidence rejects the extended neoclassical growth model in favor of the mincerian specification, with an estimated capital share of about 42%, a marginal return to education of about 7.5% per year, and an estimated productivity growth of about 1.4% per year. Differences in productivity cannot be disregarded as an explanation of why output per worker varies so much across countries: a variance decomposition exercise shows that productivity alone explains 54% of the variation in output per worker across countries.

Non- parametric specification tests for conditional duration models

This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard rate functions. More precisely, we foeus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate to oIs for modelling price durations of stocks traded at the New York Stock Exchange.

Conditional labour supply, quantile functions in Brazil

The estimation of labor supply elasticities has been an important issue m the economic literature. Yet all works have estimated conditional mean labor supply functions only. The objective of this paper is to obtain more information on labor supply, by estimating the conditional quantile labor supply function. vI/e use a sample of prime age urban males employees in Brazil. Two stage estimators are used as the net wage and virtual income are found to be endogenous to the model. Contrary to previous works using conditional mean estimators, it is found that labor supply elasticities vary significantly and asymmetrically across hours of work. vVhile the income and wage elasticities at the standard work week are zero, for those working longer hours the elasticities are negative.

Operational functions for innovative startups in France

Nessa tese, é buscado um maior entendimento sobre a importância das funções operacionais nas startups francesas. Uma grande flexibilidade das tarefas a ser coberta e uma gestão horizontal caracterizam as startups. Desse jeito, não é muito comum para as empresas recentemente criadas como as startups ter uma politica clara de recursos humanos. Na verdade, cada participante na start-up pode ser levado a pensar de forma diferente em termos de vendas desenvolvimento de negócios, comercialização, marketing, tecnologia ou desenvolvimento de produto. Essa tese não vai explorar cada uma dessas tarefas. Mas vai procurar para identifcar a percepção sobre a alocação ótima de recursos para cada função chave da nova empresa. Qualquer seja o setor de mercado em consideração ou o estágio de amadurecimento da startup, funções chaves que são percebidas como sendo a base para start-ups bem sucedidas são pesquisa & desenvolvimento e comercialização. Funções de liderança não são tão importantes. Somente a startup focada na tecnologia tem uma "função de chefe executivo" com maior importância do que as startups médias. Além disso, empreendedores em série, bem sucedidos ou não, focam predominantemente aspectos relacionados ao marketing e à captação de recursos em detrimento de aspectos ligados à gestão do negócio. No final, os empresários, muitas vezes tem um preconceito ao respeito da sua formação acadêmica porque ele sobrestimam funções que eles pensam poder fazer em comparação das funções que eles são capazes de fazer. Nessa tese, intent-se demonstrar a relação entre as funções ocupadas por um sócio e as ações que ele possui na startup. Essa relação depende do número de sócios (conhecido como acionistas), o tipo de sócios (acionistas principais ou acionistas segundarias) e o impacto na administração corporativa a respeito da distribuição do capital próprio.