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Marie Aude Laguna
Toulouse : TSE, 13 mai 2009, 15h30–17h00, salle MF 323
Using the event-study methodology and multivariate regressions, this paper examines the intensity of media coverage, its determinants and its marginal effect on stock returns following chemical disasters. To do this, we use an original dataset of chemical explosions that occurred worldwide from...
Luca Paolo Merlino (Universitat Autònoma de Barcelona (IDEA))
Toulouse : TSE, 13 mai 2009, 14h00–15h15, salle MF 323
We use the UK Quarterly Labour Force Survey to document the presence of two phenomena. First, a positive correlation between unemployment rate and the proportion of job seekers who use social networks to find jobs{network use. Second, a non-monotone relation between unemployment rate and the...
François Maniquet (CORE - Universite Catholique de Louvain)
Toulouse : TSE, 12 mai 2009, 11h00–12h30, salle MF 323
Nolsen Hernández González (Advanced Technologies Application Centre (CENATAV))
Toulouse : TSE, 11 mai 2009, 14h15–15h30, salle MF323
Quantitative analyses involving instrumental signals, such as chromatograms, NIR, and MIR spectra have been successfully applied nowadays for the solution of important chemical tasks. Multivariate calibration is very useful for such purposes, but as the number of descriptors increases, regression...
Dimitrios Tsomocos (Saïd Business School, St. Edmund Hall, Oxford)
IDEI, 11 mai 2009, 12h30–14h00, salle MF 323
This paper proposes a finite horizon general equilibrium model of international finance with fiat money, heterogeneous agents, multiple goods, multiple assets, multiple countries each with their own money supply, default and regulation. Nominal and real determinacy is obtained and money is non-...
Fabrice Etilé (Institut National de la Recherche Agronomique (INRA))
Toulouse : TSE, 11 mai 2009, 11h00–12h30, salle MF 323
This paper uses life satisfaction (LS) and Body Mass Index (BMI) measures from three waves of the GSOEP data to test for the existence of well-being spillovers in body shape between spouses. Using semi-parametric regressions, we find that partner’s BMI is, beyond some threshold representing...
Enrique Sentana (CEMFI)
Toulouse : TSE, 4 mai 2009, 15h30–17h00, salle MF 323
We derive score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models. The implicit orthogonality conditions resemble the orthogonality conditions of models with observed factors but the weighting matrices reflect their unobservability....
Valdério Anselmo Reisen (Univ. Federal do Espirito Sant Vitoria/ES Brazil)
Toulouse : TSE, 4 mai 2009, 14h15–15h30, salle MF323
In this paper,we introduce an alternative semiparametric estimator of the fractional differencing parameter in ARFIMA models which is robust against additive outliers. The proposed estimator is a variant of the GPH estimator [Geweke,J.,Porter-Hudak,S.,1983.The estimation and application of long...
Henri Pages (Banque de France)
IDEI, 4 mai 2009
Jan Johannes (University of Heidelberg)
Toulouse : TSE, 27 avril 2009, 14h15–15h30, salle MF 323
We consider the problem of estimating the value of a linear functional in nonparametric instrumental regression, where in the presence of an instrument W a response Y is modeled in dependence of an endogenous explanatory variable Z. The proposed estimator is based on dimension reduction and...
