Partial correlation : Network analysis

The final year project came to us as an opportunity to get involved in a topic which has appeared to be attractive during the learning process of majoring in economics: statistics and its application to the analysis of economic data, i.e. econometrics.Moreover, the combination of econometrics and computer science is a very hot topic nowadays, given the Information Technologies boom in the last decades and the consequent exponential increase in the amount of data collected and stored day by day. Data analysts able to deal with Big Data and to find useful results from it are verydemanded in these days and, according to our understanding, the work they do, although sometimes controversial in terms of ethics, is a clear source of value added both for private corporations and the public sector. For these reasons, the essence of this project is the study of a statistical instrument valid for the analysis of large datasets which is directly related to computer science: Partial Correlation Networks.The structure of the project has been determined by our objectives through the development of it. At first, the characteristics of the studied instrument are explained, from the basic ideas up to the features of the model behind it, with the final goal of presenting SPACE model as a tool for estimating interconnections in between elements in large data sets. Afterwards, an illustrated simulation is performed in order to show the power and efficiency of the model presented. And at last, the model is put into practice by analyzing a relatively large data set of real world data, with the objective of assessing whether the proposed statistical instrument is valid and useful when applied to a real multivariate time series. In short, our main goals are to present the model and evaluate if Partial Correlation Network Analysis is an effective, useful instrument and allows finding valuable results from Big Data.As a result, the findings all along this project suggest the Partial Correlation Estimation by Joint Sparse Regression Models approach presented by Peng et al. (2009) to work well under the assumption of sparsity of data. Moreover, partial correlation networks are shown to be a very valid tool to represent cross-sectional interconnections in between elements in large data sets.The scope of this project is however limited, as there are some sections in which deeper analysis would have been appropriate. Considering intertemporal connections in between elements, the choice of the tuning parameter lambda, or a deeper analysis of the results in the real data application are examples of aspects in which this project could be completed.To sum up, the analyzed statistical tool has been proved to be a very useful instrument to find relationships that connect the elements present in a large data set. And after all, partial correlation networks allow the owner of this set to observe and analyze the existing linkages that could have been omitted otherwise.

Are R&D collaborative agreements persistent at the firm level? Empirical evidence for the Spanish case

We provide evidence on the dynamics in firms’ R&D cooperation behaviour. Our main objective is to analyse if R&D collaborative agreements are persistent at the firm level, and in such a case, to study what are the main drivers of this phenomenon. R&D cooperation activities at the firm level can be persistent due to true state dependence, this implying that cooperating in a given period enhances the probability of doing it in the subsequent period and it can also be a consequence of firms’ individual heterogeneity, so that certain firms have certain characteristics that make them more likely to carry out technological alliances.

Are R&D collaborative agreements persistent at the firm level? Empirical evidence for the Spanish case

We provide evidence on the dynamics in firms’ R&D cooperation behaviour. Our main objective is to analyse if R&D collaborative agreements are persistent at the firm level, and in such a case, to study what are the main drivers of this phenomenon. R&D cooperation activities at the firm level can be persistent due to true state dependence, this implying that cooperating in a given period enhances the probability of doing it in the subsequent period and it can also be a consequence of firms’ individual heterogeneity, so that certain firms have certain characteristics that make them more likely to carry out technological alliances.

How Do Aggregate Fluctuations Depend on the Network Structure of the Economy?

[spa] En este artículo, analizamos la volatilidad agregada de una economía estilizada donde los agentes estann conectados en redes. Si hay relaciones estratégicas entre las acciones de los agentes, choques idiosincráticos pueden generar fluctuaciones agregadas. Demonstramos que la volatilidad agregada depende de la estructura de redes de la economía de dos maneras. Por un lado, si hay más conexiones en la economía en su conjunto, la volatilidad agregada es más baja. Por otro lado, si las conexiones están más concentradas, la volatilidad agregada es más alta. Presentamos una aplicación de nuestras predicciones teóricas que utiliza datos de EEUU de conexiones intrasectoriales y de diversificación de las empresas.

How Do Aggregate Fluctuations Depend on the Network Structure of the Economy?

[spa] En este artículo, analizamos la volatilidad agregada de una economía estilizada donde los agentes estann conectados en redes. Si hay relaciones estratégicas entre las acciones de los agentes, choques idiosincráticos pueden generar fluctuaciones agregadas. Demonstramos que la volatilidad agregada depende de la estructura de redes de la economía de dos maneras. Por un lado, si hay más conexiones en la economía en su conjunto, la volatilidad agregada es más baja. Por otro lado, si las conexiones están más concentradas, la volatilidad agregada es más alta. Presentamos una aplicación de nuestras predicciones teóricas que utiliza datos de EEUU de conexiones intrasectoriales y de diversificación de las empresas.

Las consecuencias del Boom inmobiliario. Cambios en la densidad de las metrópolis españolas, 2001-2007

Después de un período de crecimiento urbanístico desorbitado es oportuno hacer un primer balance de las consecuencias que este hecho ha tenido sobre la estructura espacial de las principales urbes españolas. Un elemento básico de análisis es las variaciones que se han operado sobre la densidad de población. En el presente artículo se estudian estas transformaciones mediante modelos econométricos de densidad urbana. Las metrópolis investigadas son Madrid, Barcelona, Valencia, Sevilla, Bilbao y Zaragoza y el periodo temporal abarca desde 2001 a 2007. Los resultados indican, para las metrópolis más pobladas, cambios significativos en los parámetros, y en dos casos en la propia forma funcional de la densidad.

Risk-Return Trade-Off for European Stock Markets

This paper adopts dynamic factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets. We identify country specific, euro area, and global macro-finance factors to determine the conditional risk and return. Empirically, the risk- return trade-off is generally negative. However, a Markov switching model documents that there is time-variation in this trade-off that is linked to the state of the economy. Keywords: Risk-return trade-off; Dynamic factor model; Macro-finance predictors; European stock markets; Markov switching model JEL Classifications: C22; G11; G12; G17

Another Look at the Null of Stationary Real Exchange Rates: Panel Data with Structural Breaks and Cross-section Dependence

This paper re-examines the null of stationary of real exchange rate for a panel of seventeen OECD developed countries during the post-Bretton Woods era. Our analysis simultaneously considers both the presence of cross-section dependence and multiple structural breaks that have not received much attention in previous panel methods of long-run PPP. Empirical results indicate that there is little evidence in favor of PPP hypothesis when the analysis does not account for structural breaks. This conclusion is reversed when structural breaks are considered in computation of the panel statistics. We also compute point estimates of half-life separately for idiosyncratic and common factor components and find that it is always below one year.

Panel Data Stochastic Convergence Analysis of the Mexican Regions

The stochastic convergence amongst Mexican Federal entities is analyzed in panel data framework. The joint consideration of cross-section dependence and multiple structural breaks is required to ensure that the statistical inference is based on statistics with good statistical properties. Once these features are accounted for, evidence in favour of stochastic convergence is found. Since stochastic convergence is a necessary, yet insufficient condition for convergence as predicted by economic growth models, the paper also investigates whether-convergence process has taken place. We found that the Mexican states have followed either heterogeneous convergence patterns or divergence process throughout the analyzed period.

Comparación de la capacidad predictiva de los modelos de coeficientes fijos frente a variables en los modelos econométricos regionales: un análisis para Cataluña

Durante las últimas décadas se ha producido un creciente interés en nuestro país en relación a las economías regionales dada la necesidad de los gobiernos regionales de obtener información sobre sus economías para así llevar a cabo actuaciones de política económica más efectivas y eficientes. En este marco, los modelos econométricos constituyen una herramienta de utilidad puesto que ofrecen información sobre las relaciones estructurales que se dan en una economía y permiten predecir su evolución. Sin embargo, la utilización de dichos modelos con finalidad predictiva se enfrenta al inconveniente de la elevada inestabilidad a corto plazo que se produce en las relaciones entre variables económicas a nivel regional. Por este motivo, en el presente trabajo se propone la utilización de un modelo de coeficientes variables para recoger dicha inestabilidad y mejorar las predicciones sobre la evolución de las variables del bloque de producción de la economía catalana. Para contrastar la mejora obtenida a partir de la aplicación de dicho modelo, se compara su capacidad predictiva con la de un modelo de coeficientes fijos. Los resultados muestran un mejor comportamiento del modelo de coeficientes variables frente al modelo de coeficientes fijos.

Predicting random level and seasonality of hotel prices. A structural equation growth curve approach

This article examines the effect on price of different characteristics of holiday hotels in the sun-and-beach segment, under the hedonic function perspective. Monthly prices of the majority of hotels in the Spanish continental Mediterranean coast are gathered from May to October 1999 from the tour operator catalogues. Hedonic functions are specified as random-effect models and parametrized as structural equation models with two latent variables, a random peak season price and a random width of seasonal fluctuations. Characteristics of the hotel and the region where they are located are used as predictors of both latent variables. Besides hotel category, region, distance to the beach, availability of parking place and room equipment have an effect on peak price and also on seasonality. 3- star hotels have the highest seasonality and hotels located in the southern regions the lowest, which could be explained by a warmer climate in autumn

Sales restriction, quality selection and the mode of competition

A regulator imposing “sales restrictions” on firms competing in oligopolistic markets may enhance quality provision by the firms. Moreover, for most restrictions levels, the impact on quality selection is invariant to the mode of competition

Metodologies de Desenvolupament Dirigides per Models

En aquest treball, s'introduiran dos de les metodologies de desenvolupament dirigides per models més significatives: Model Driven Architecture (MDA) i Domain Specific Modeling (DSM). Així mateix, es presentarà un estudi comparatiu d'algunes de les diferents eines existents actualment al mercat que els hi donen suport.

Growth Models with Exogenous Saving Rates, Unemployment and Wage Inertia

[cat] El propòsit d'aquest article és introduir una mercat de treball no competitiu i atur en el model de creixement amb taxes d'estalvi exògenes que es pot trobar en els llibres de text de creixement (Sala‐i‐Martín, 2000; Barro and Sala‐i‐Martín, 2003; Romer, 2006). Primer, derivem un marc general amb una funció de producció neoclàssica per analitzar la relació entre creixement i ocupació. Utilitzem aquest marc per estudiar les dinàmiques conjuntes del creixement i l'ocupació sota diferents regles de fixació salarial.

Growth Models with Exogenous Saving Rates, Unemployment and Wage Inertia

[cat] El propòsit d'aquest article és introduir una mercat de treball no competitiu i atur en el model de creixement amb taxes d'estalvi exògenes que es pot trobar en els llibres de text de creixement (Sala‐i‐Martín, 2000; Barro and Sala‐i‐Martín, 2003; Romer, 2006). Primer, derivem un marc general amb una funció de producció neoclàssica per analitzar la relació entre creixement i ocupació. Utilitzem aquest marc per estudiar les dinàmiques conjuntes del creixement i l'ocupació sota diferents regles de fixació salarial.