Modelli non lineari statici e dinamici su dati microeconomici: analisi delle condizioni finanziarie delle famiglie italiane

The thesis studies the economic and financial conditions of Italian households, by using microeconomic data of the Survey on Household Income and Wealth (SHIW) over the period 1998-2006. It develops along two lines of enquiry. First it studies the determinants of households holdings of assets and liabilities and estimates their correlation degree. After a review of the literature, it estimates two non-linear multivariate models on the interactions between assets and liabilities with repeated cross-sections. Second, it analyses households financial difficulties. It defines a quantitative measure of financial distress and tests, by means of non-linear dynamic probit models, whether the probability of experiencing financial difficulties is persistent over time. Chapter 1 provides a critical review of the theoretical and empirical literature on the estimation of assets and liabilities holdings, on their interactions and on households net wealth. The review stresses the fact that a large part of the literature explain households debt holdings as a function, among others, of net wealth, an assumption that runs into possible endogeneity problems. Chapter 2 defines two non-linear multivariate models to study the interactions between assets and liabilities held by Italian households. Estimation refers to a pooling of cross-sections of SHIW. The first model is a bivariate tobit that estimates factors affecting assets and liabilities and their degree of correlation with results coherent with theoretical expectations. To tackle the presence of non normality and heteroskedasticity in the error term, generating non consistent tobit estimators, semi-parametric estimates are provided that confirm the results of the tobit model. The second model is a quadrivariate probit on three different assets (safe, risky and real) and total liabilities; the results show the expected patterns of interdependence suggested by theoretical considerations. Chapter 3 reviews the methodologies for estimating non-linear dynamic panel data models, drawing attention to the problems to be dealt with to obtain consistent estimators. Specific attention is given to the initial condition problem raised by the inclusion of the lagged dependent variable in the set of explanatory variables. The advantage of using dynamic panel data models lies in the fact that they allow to simultaneously account for true state dependence, via the lagged variable, and unobserved heterogeneity via individual effects specification. Chapter 4 applies the models reviewed in Chapter 3 to analyse financial difficulties of Italian households, by using information on net wealth as provided in the panel component of the SHIW. The aim is to test whether households persistently experience financial difficulties over time. A thorough discussion is provided of the alternative approaches proposed by the literature (subjective/qualitative indicators versus quantitative indexes) to identify households in financial distress. Households in financial difficulties are identified as those holding amounts of net wealth lower than the value corresponding to the first quartile of net wealth distribution. Estimation is conducted via four different methods: the pooled probit model, the random effects probit model with exogenous initial conditions, the Heckman model and the recently developed Wooldridge model. Results obtained from all estimators accept the null hypothesis of true state dependence and show that, according with the literature, less sophisticated models, namely the pooled and exogenous models, over-estimate such persistence.

A Multilevel Model with Time Series Components for the Analysis of Tribal Art Prices

In the present work we perform an econometric analysis of the Tribal art market. To this aim, we use a unique and original database that includes information on Tribal art market auctions worldwide from 1998 to 2011. In Literature, art prices are modelled through the hedonic regression model, a classic fixed-effect model. The main drawback of the hedonic approach is the large number of parameters, since, in general, art data include many categorical variables. In this work, we propose a multilevel model for the analysis of Tribal art prices that takes into account the influence of time on artwork prices. In fact, it is natural to assume that time exerts an influence over the price dynamics in various ways. Nevertheless, since the set of objects change at every auction date, we do not have repeated measurements of the same items over time. Hence, the dataset does not constitute a proper panel; rather, it has a two-level structure in that items, level-1 units, are grouped in time points, level-2 units. The main theoretical contribution is the extension of classical multilevel models to cope with the case described above. In particular, we introduce a model with time dependent random effects at the second level. We propose a novel specification of the model, derive the maximum likelihood estimators and implement them through the E-M algorithm. We test the finite sample properties of the estimators and the validity of the own-written R-code by means of a simulation study. Finally, we show that the new model improves considerably the fit of the Tribal art data with respect to both the hedonic regression model and the classic multilevel model.

Multilevel Analysis in Household Survey: An Application to Health Condition Data

The aim of this thesis is to apply multilevel regression model in context of household surveys. Hierarchical structure in this type of data is characterized by many small groups. In last years comparative and multilevel analysis in the field of perceived health have grown in size. The purpose of this thesis is to develop a multilevel analysis with three level of hierarchy for Physical Component Summary outcome to: evaluate magnitude of within and between variance at each level (individual, household and municipality); explore which covariates affect on perceived physical health at each level; compare model-based and design-based approach in order to establish informativeness of sampling design; estimate a quantile regression for hierarchical data. The target population are the Italian residents aged 18 years and older. Our study shows a high degree of homogeneity within level 1 units belonging from the same group, with an intraclass correlation of 27% in a level-2 null model. Almost all variance is explained by level 1 covariates. In fact, in our model the explanatory variables having more impact on the outcome are disability, unable to work, age and chronic diseases (18 pathologies). An additional analysis are performed by using novel procedure of analysis :"Linear Quantile Mixed Model", named "Multilevel Linear Quantile Regression", estimate. This give us the possibility to describe more generally the conditional distribution of the response through the estimation of its quantiles, while accounting for the dependence among the observations. This has represented a great advantage of our models with respect to classic multilevel regression. The median regression with random effects reveals to be more efficient than the mean regression in representation of the outcome central tendency. A more detailed analysis of the conditional distribution of the response on other quantiles highlighted a differential effect of some covariate along the distribution.

Fattori eziologici della Sindrome del Tunnel Carpale: una revisione sistematica con meta-analisi degli studi analitici

OBIETTIVO: sintetizzare le evidenze disponibili sulla relazione tra i fattori di rischio (personali e lavorativi) e l’insorgenza della Sindrome del Tunnel Carpale (STC). METODI: è stata condotta una revisione sistematica della letteratura su database elettronici considerando gli studi caso-controllo e di coorte. Abbiamo valutato la qualità del reporting degli studi con la checklist STROBE. Le stime studio-specifiche sono state espresse come OR (IC95%) e combinate con una meta-analisi condotta con un modello a effetti casuali. La presenza di eventuali bias di pubblicazione è stata valutata osservando l’asimmetria del funnel plot e con il test di Egger. RISULTATI: Sono stati selezionati 29 studi di cui 19 inseriti nella meta-analisi: 13 studi caso-controllo e 6 di coorte. La meta-analisi ha mostrato un aumento significativo di casi di STC tra i soggetti obesi sia negli studi caso-controllo [OR 2,4 (1,9-3,1); I(2)=70,7%] che in quelli di coorte [OR 2,0 (1,6-2,7); I(2)=0%]. L'eterogeneità totale era significativa (I(2)=59,6%). Risultati simili si sono ottenuti per i diabetici e soggetti affetti da malattie della tiroide. L’esposizione al fumo non era associata alla STC sia negli studi caso-controllo [OR 0,7 (0,4-1,1); I(2)=83,2%] che di coorte [OR 0,8 (0,6-1,2); I(2)=45,8%]. A causa delle molteplici modalità di valutazione non è stato possibile calcolare una stima combinata delle esposizioni professionali con tecniche meta-analitiche. Dalla revisione, è risultato che STC è associata con: esposizione a vibrazioni, movimenti ripetitivi e posture incongrue di mano-polso. CONCLUSIONI: I risultati della revisione sistematica confermano le evidenze dell'esistenza di un'associazione tra fattori di rischio personali e STC. Nonostante la diversa qualità dei dati sull'esposizione e le differenze degli effetti dei disegni di studio, i nostri risultati indicano elementi di prova sufficienti di un legame tra fattori di rischio professionali e STC. La misurazione dell'esposizione soprattutto per i fattori di rischio professionali, è un obiettivo necessario per studi futuri.