Martin Econometrics: Econometría y Aplicaciones

ABSTRACT : " In mainstream economics individuals are supposed to be driven only by theirself-interest. By contrast, surveys clearly show that people do care about fairness in their demand for redistribution. In this article, in the spirit of the " new synthesis " in moral psychology (Haidt, 2007: The new synthesis in moral psychology ) the author proposes to modelize the voting behavior over redistribution as the interaction between (a) an automatic cognitive process which quickly generates intuitions on the fair level of redistribution, (b) a rational self-oriented reasoning which controls the feeling of guilt associated with fair intuitions. In addition, considering that guilt aversion depends on the cultural context, the author shows that the model exhibits a multiplicity of history-dependent steady states which may account for the huge difference of redistribution observed between Europe and the United States." ( Read More ) COMMENTS: A very useful paper for civ

*La presente entrada es un avance del documento de trabajo no publicado Nº 010-2013-EMECEP/GEE.EI. "Levantamiento del Velo a la metodología de estimación de la inflación en el Perú: Simulaciones y Proyecciones en torno a la Meta Explícita de Inflación".  Una de las principales discusiones y críticas de la econometría es la relativa a la estabilidad de los parámetros estimados de un modelo macroeconométrico; al respecto, los componentes de la inflación, conforme es calculada y estimada en el Perú, no son ajenos a dicha problemática. IPC = f ( IPCSUB, IPCNOSUB)

Existe un problema en los tópicos existentes de la Economía Política Internacional (EPI), y es que pueden mezclarse con aquellos relativos a la Economía Internacional, a pesar que debe recordarse el fuerte componente y enfoque político-estatal del primero, la ligereza común en el tratamiento de estos temas hacen que las distinciones prácticas sean casi efímeras.  Por ello se tienen temas típicos en la EPI, por ejemplo: el comercio internacional, las relaciones monetarias y financieras internacionales, el regionalismo, el desarrollo económico y el desarrollo en general, el medio ambiente, la energía, las corporaciones multinacionales, entre otros. 

1. Las traducciones pueden resultar muy engañosas, no sólo por la precisión de las mismas sino por la posibilidad de de múltiples significados o interpretaciones. En este caso, la economía política ha tenido particularidades tanto en inglés como en castellano. 2. En este caso, la economía política utilizada comúnmente en castellano, en el sentido de la sub-disciplina de la Ciencia Económica ( Polítical Economics ) o bien como la problemática política de un sistema o fenómeno económico ( Political Economy ). 3. No obstante esta distinción, otra interpretación podría sugerir que justamente el objeto de estudio de la  Political Economics es la Political Economy , con lo cual la diferencia sería prácticamente inexistente.  4. Lo que sí debe tenerse en cuenta es que la estrecha y casi idéntica relación entre estos dos términos en inglés no debe significar que no exista una disciplina y un objeto de estudio distintos metodológicamente, ante lo cual las universidades y los docentes debe preci

EXCERPT: "The current economic and financial crisis has given rise to a vigorous debate about what training graduate and undergraduate economics students are receiving. This column argues that we don't teach enough economic and financial history, even though it is crucial in thinking about the economy. It also offers a wealth of opportunities for teachers who wish to motivate their students." ( Read More ) COMMENTS: First, some economic schools should distinguish "Economic History" from "History of Economic Thought". While some of the professor may be true scholars in economic thought, the history as a sum of facts and its analysis is less rigorous in some of them. Second, there aren't many economic history books in developing countries, in particular in Peru, probably because editors don't find it profitable. Third, the few books you can find are not well organized nor helping comparisons between economic periods, in fact, they look more like

FRAGMENT:  "(...) If you read econ blogs, especially blogs by "heterodox" bloggers (Austrians, Post-Keynesians, MMTers, etc.), then you know that the term "neoclassical" gets slung around quite a lot, usually as a perjorative. See here , here , here , and here for just a few examples. The idea is that "neoclassical" econ is the dominant paradigm, and that the "heterodox" schools are competing paradigms that lost out, and were, to use Kuhn's terminology, "simply read out of the profession...and subsequently ignored." Well and good, but I have two problems with the way the term is used. First, I don't like the sloppiness of the way it's defined, and second, I don't like its application to people as opposed to ideas. (...)" ( Read More )  COMMENTS: The critic made by Noah Smith is clearly understandable. Though, non-economists tend to look for the supossed "mainstream" economics/economists, and from tha

"The world must not fall into protectionism, due to government bail outs and financial legislations, that have led to a bias towards home and regional bank lending, said the European Central Bank’s (ECB) executive board member Benoit Coeure. " ( Read More ) COMMENTS: Let's hope authorities start differentiating specific and excepcional interventions over protectionism.

' Made in the world ' , adiós a las barreras geográficas (Andrea Ornelas) "Los productos abandonan paulatinamente las etiquetas ‘Made in Switzerland’ o ‘Made in USA’ para convertirse en productos ‘Made in the world’, que hoy representan el 80% del comercio mundial. Un modelo que multiplica los negocios, pero puede excluir a las economías más pobres. La OMC y otros actores intentan subsanar esta brecha." ( Ver Más ).

INTRODUCTION.-  "Economists are far from unanimous about the definition of their subject. Here are some definitions of economics from contemporary principles of economics textbooks: "Economics is the study of economies, at both the level of individuals and of society as a whole "(Krugman and Wells, 2004, p. 2). "Economics is the study of how human beings coordinate their wants and desires, given the decision-making mechanisms, social customs, and political realities of the society" (Colander, 2006a, p. 4). "Economics is the study of how society manages its scarce resources" (Mankiw, 2001, p. 4). "[Economics is the] social science that studies the choices that individuals, businesses, governments, and entire societies make as they cope with scarcity" (Bade and Parkin, 2002, p. 5). "[E]conomics is the study of human behavior, with a particular focus on human decision making" (Gwartney, Stroup, Sobel, and MacPherson 2006, p. 5). Thus,

"What to do if your p-value is just over the arbitrary threshold for ‘significance’ of p=0.05? You don’t need to play the significance testing game – there are better methods, like quoting the effect size with a confidence interval – but if you do, the rules are simple: the result is either significant or it is not. (...)" ( Read More ) COMMENTS: A very funny post that show the many ways researchs tries to "rescue" their results, even when they are over the famous threshold (p > 0.05).

ABSTRACT: "A common heuristic for evaluating the problem of omitted variable bias in economics is to look at coefficient movements after inclusion of controls. The theory under which this is informative is one in which the selection on observables is proportional to selection on unobservables, an idea which is formalized in Altonji, Elder and Taber (2005). However, this connection is rarely made explicit and the underlying assumption is rarely tested. In this paper I first show how, under proportional selection, coefficient movements, along with movements in R-squared values, can be used to calculate a measure of omitted variable bias. I then undertake two validation exercises. First, I relate maternal behavior on child birth weight and IQ. Simple controlled regressions give misleading estimates; estimates adjusted with a proportional selection adjustment fit significantly better. Second, I match observational and randomized trial data for 29 relationships in public health. I sho

1. En algún lugar cerca de segundo y tercer año de la carrera de economía, a uno le enseñan acerca de la información asimétrica. El concepto parece muy claro, el cual significa el hecho de que los agentes económicos no tienen la misma cantidad de información antes de cualquier transacción. Por lo tanto, los incentivos no se mantienen correctamente en un sistema de información completa y la negociación (es decir, el regateo) se distorsiona. 2. Los modelos microeconómicos básicos suponen que los agentes tienen información completa, especialmente a través de los precios y sus determinantes, por ejemplo, la calidad de las mercancías, el período de depreciación, etc. Este supuesto inhibe la posibilidad de discutir si los mercados son eficientes, en la asignación de precios. Sin embargo, uno debe saber que esta hipótesis es falsa, al menos desde un enfoque cualitativo (1). 3. De hecho, la información no es una dicotomía (información completa vs No hay datos en absoluto), en realidad es una c

1. Somewhere near second and third year of economic studies, one is told about Asymmetric Information. The concept looks very clear, which stands for the fact that economic agents don't hold the same amount of information before any transaction. Thus, their incentives are not properly sustained on a complete information scheme and the negotiation (i.e. bargaining) will be distorted.  2. Basic microeconomic models assume that agents have complete information, specially over price and its determinants, for instance, the quality of the goods, the depreciation period and so on. This assumption inhibits the possibility to discuss if the markets are efficient while assigning prices. Nevertheless, one should know that assumption is false, at least from a qualitative approach (1) .  3. In fact, information is not a dichotomy (complete information/no information at all), it's actually a quantitative question, a variable not a parameter, i.e. poor information, medium information, lots of

ABSTRACT: "Herndon, Ash and Pollin replicate Reinhart and Rogoff and find that coding errors, selective exclusion of available data, and unconventional weighting of summary statistics lead to serious errors that inaccurately represent the relationship between public debt and GDP growth among 20 advanced economies in the post-war period. They find that when properly calculated, the average real GDP growth rate for countries carrying a public-debt-to-GDP ratio of over 90 percent is actually 2.2 percent, not -0:1 percent as published in Reinhart and Rogo ff. That is, contrary to RR, average GDP growth at public debt/GDP ratios over 90 percent is not dramatically different than when debt/GDP ratios are lower. The authors also show how the relationship between public debt and GDP growth varies significantly by time period and country. Overall, the evidence we review contradicts Reinhart and Rogoff 's claim to have identified an important stylized fact, that public debt loads gre

ABSTRACT: "The standard approach to policy-making and advice in economics implicitly or explicitly ignores politics and political economy, and maintains that if possible, any market failure should be rapidly removed. This essay explains why this conclusion may be incorrect; because it ignores politics, this approach is oblivious to the impact of the removal of market failures on future political equilibria and economic efficiency, which can be deleterious. We first outline a simple framework for the study of the impact of current economic policies on future political equilibria— and indirectly on future economic outcomes. We then illustrate the mechanisms through which such impacts might operate using a series of examples. The main message is that sound economic policy should be based on a careful analysis of political economy and should factor in its influence on future political equilibria." ( http://papers.nber.org/papers/w18921#fromrss ) COMMENTS: This controversial paper

In his last blog post, S. Wren-Lewis from "Mainly Macro" blog argued that the "classical" Mundell-Fleming model should be out of the students macroeconomic course, and the Uncovered Interest Covered (UIP) model instead. The main reason is that Mundel Fleming's assumption that domestic interest rate should be equal to world interest rates, and the theoretical effects that this kind of assumption generates. Though, S. Wren-Lewis is a little extreme, because one shouldn't eliminate economic theories just because they seem to be wrong (if fact all might be wrong, because of the more o less lack of reality). In other words, we might find UIP model adequate for contemporary analysis, but still have some weakenesses. For instance, arbitrage theory is not totally stable nor efficient, which could be the case of some financial markets. Even so, if efficiency and stability becomes an assumption, the UIP is  more discretional, in a simplistic way, which requires lots o

Un reciente artículo en el diario New York Times, escrito por Tyler Cohen, de la Universidad George Mason, afirma entre otras cosas lo siguiente: "La economía se asocia usualmente al estudio y defensa del egoísmo e inequidad material, no obstante, tiene un aspecto central de libertad civil e igualitaria que debería ser celebrado. Y dicho aspecto central puede guiarnos en direcciones muy sorprendentes (...)" . [ Link al artículo] . Así mismo, luego en otra parte del artículo afirma que: "En cualquier caso, existe un aspecto moral sobreviniente Imagine que es su deber profesional reportar un analysis costo-beneficio de una política de migraciones liberalizadora. Ud. no soñaría en realizar un estudio que contabilice a "solo hombres" o "sólo blancos", por lo menos no especificando claramente las razones por las cuales está dividiendo la data de esa manera". No debe confundirse lo igualitario con lo equitativo. (Inclusive puede haber un problema de t

ABSTRACT: "Over the past two years, ongoing political transitions in many Arab countries have led to social unrest and an economic downturn. This paper examines comparable historical episodes of political instability to derive implications for the near- and medium-term economic outlook in the Arab countries in transition. In general, past episodes of political instability were characterized by a sharp deterioration in macroeconomic outcomes and a sluggish recovery over the medium term. Recent economic developments in the Arab countries in transition seem to be unfolding along similar lines, although the weak external environment and large fiscal vulnerabilities could result in a prolonged slump." (by: Khandelwal, Padamja ; Roitman, Agustin / IMF Working Paper No. 13/69 ) COMMENTS: A very interesting papers that deals with the relationship between political cycles and its economic effects. While the Latin-America's economic consequences of such phenomenon are slightly d

La siguiente es una traducción al español del post originalmente publicado por D.Giles en su blog "Econometric Beats" ; la cual se publica sólo con fines académicos: "Modelos ARDL [Rezagos Distribuidos]- Parte I He prometido, durante demasiado tiempo, proveer una entrada sobre los modelos ARDL y pruebas de campo. Bueno, por fin llegó la hora de hacerlo! "ARDL" significa modelo "Autoregresivo de Rezagos Distribuidos". Los modelos de regresión de este tipo han estado en uso durante décadas, pero en tiempos más recientes han demostrado  proporcionar un vehículo muy valioso para probar la presencia de relaciones de largo plazo entre series de tiempo económicas.

ABSTRACT: "We investigate in this paper the hypothesis that when democracies are young, or still fragile and unconsolidated, the size of government tends to increase, predictably in an attempt of redistribution, or to buy out the electorate, so that democracy becomes acceptable and "the only game in town". For that we use a sample of all nine South American young democracies during the period between 1970 and 2007. The results, based on dynamic panel data analysis, suggest that the young democracies of South America have been indeed associated with bigger governments. Furthermore, we test for the hypothesis that the outgoing dictatorships of the day engaged in activities which would bequest the young democracies with big bills to be repaid at the initial stages of those new democratic regimes. This hypothesis is not con.rmed by the analysis conducted here. Finally, there is evidence that, as those democracies mature over the long run, the size of governments tends to dec

What will happen if you do a non linear transformation to non-stationary data? Dave Giles  help us understand the obvious but important aspects of data transformation, in particular a Sin - Cos  transformation.  Nevertheless, besides the matematical and statistical usefulness of data transformations, the econometric foundations and analysis is often forgotten. There is no way you can explain economically those graphs to Kids, Mr. Giles. That why econometrics is a different from the others, where the "econ" prefix, must never be kept aside. 

"Many conference participants agreed that the study of economics should be set in a broader political context, with greater emphasis on the role of institutions. Students should also be taught some HUMILITY. The models to which they are still exposed have some explanatory value, but WITHIN constrained parameters. And painful experience tells us that economic agents MAY NOT behave as the models suppose they will." (DAVIES, Howard. Former director of LSE, 2013) [Emphasized text] Read more:  http://www.project-syndicate.org/commentary/economics-in-denial-by-howard-davies#0F0Sc0GfGKau8Al0.99  

"All of these models assume outcomes on the basis of existing policies. Their consistent over-optimism about these policies’ impact on economic growth validates pursuing them, and enables governments to claim that their remedies are “working,” when they clearly are not. This is a cruel deception. Before they can do any good, the forecasters must go back to the drawing board, and ask themselves whether the theories of the economy underpinning their models are the right ones." Read more at http://www.project-syndicate.org/commentary/why-forecasts-of-economic-recovery-have-been-wrong-by-robert-skidelsky#Szdc6SR7MeGKUIb4.99  

"Political economy undoubtedly remains important. Without a clear understanding of who gains and who loses from the status quo, it is difficult to make sense of our existing policies. But an excessive focus on vested interests can easily divert us from the critical contribution that policy analysis and political entrepreneurship can make. The possibilities of economic change are limited not just by the realities of political power, but also by the poverty of our ideas." (Rodrick, 2013) Read more at http://www.project-syndicate.org/commentary/how-economists-killed-policy-analysis-by-dani-rodrik#ZJ5Z0jtC4QqjTRtV.99

ABSTRACT: "The global economy has a chronic shortage of safe assets which lies behind many re- cent macroeconomic imbalances. This paper provides a simple model of the Safe Asset Mechanism (SAM), its recessionary safety traps, and its policy antidotes. Public debt plays a central role in SAM as long as the government has spare fiscal capacity to back safe asset production. We show that Quantitative Easing type policies have positive effects on spreads and output. In contrast, Operation Twist type policies, where the duration of public debt held by the public is reduced, can be counterproductive. Mon- etary policy commitments work if they support future bad states of nature. All these policies depend on fiscal capacity. Once the latter runs out, short term cyclical policy becomes ineffective. In contrast, credible long run fiscal consolidation relaxes the fiscal capacity constraint and enhances the effectiveness of short term policy. An economy that is near its fiscal limits is su

ABSTRACT: "This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that propagation of shocks in Europe's CDS has been remarkably constant for the period 2008-2011 even though a significant part of the sample periphery countries have been extremely affected by their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained subdue. Results for the CDS sample are confirmed by examining bond spreads. However, the analysis of bond data shows that there is a change in the intensity of the propagation of shocks in the 2003-2006 pre-crisis period and the 2008-2011 post-Leh

ABSTRACT: " To what degree do economists disagree about key economic questions? To provide evidence, we make use of the responses to a series of questions posed to a distinguished panel of economists put together by the Chicago School of Business. Based on our analysis, we find a broad consensus on these many different economic issues, particularly when the past economic literature on the question is large. Any differences are unrelated to observable characteristics of the Panel members, other than men being slightly more likely to express an opinion. These differences are idiosyncratic, with no support for liberal vs. conservative camps." URL: http://www.nber.org/papers/w18728.pdf   COMMENTS: While any consensus among a sample of economists depends on where they are from, academically speaking, and the complexity of the question (An economic projection of the GDP might not qualify as a "real" question). On the other hand, the hypothesis that there may be a consen

El titular de una importante noticia de Diario Gestión (Perú) ha indicado hoy lo siguiente: " España aceleró su contracción en el último trimestre del 2012 " ¿Habrá sido una lectura tendenciosa propia de algunos malos elementos en el periodismo económico??  Señores Diario Gestión, el INE (España) publicó dos datos para el tercer trimestre 2012-III, el crecimiento trimestral anualizado y el crecimiento inter-trimestral de la economía española. Si leen el anualizado, efectivamente ha continuado la contracción, pero el ritmo de la contracción es menor, es decir 2012-I: -0.7%, 2012-II: -1.4% y 2012-III: -1.6%. Del primer al segundo trimestre ha habido un ritmo de contracción mayor al ocurrido entre el segundo y tercer trimestre. Eso es algo favorable. Si se mantendrá o no, ya es otra historia. Y prueba de que hay indicios de un cambio de rumbo, es que cuando tomas las estadísticas inter-trimestrales, ha habido una menor contracción, es decir ha sido de -0.4% en el segundo trimest

Cada cierto tiempo puede observarse que es más frecuente y agresiva la discusión sobre la dirección del Tipo de Cambio. En estos días diversos expertos comienzan a lanzar sus predicciones de tipo de cambio, sin embargo no precisan si se tratan de proyecciones o de prospecciones.  Básicamente la proyección es una predicción con un contenido estadístico o cuantitativo fuerte, independientemente de un juicio de valor si está bien hecho o no. Y de otro lado, una prospección es justamente una visión general, precaria y subjetiva, sin el uso de cálculos precisos del futuro valor de una variable económica. Claro está que las proyecciones se pueden volver prospecciones, cuando no son lo suficientemente sofisticadas,  son muy subjetivas o son demasiado controladas.  En estos días, nuestro antes elogiado, PPK (Pedro Pablo Kuczynski) se ha lanzado con un número agresivo para el tipo de cambio de 2.30 soles por dólar al finalizar el verano, esto es marzo-abril, en principio ¿Cuán cierta e

Fuente: Never Trust an Economist? New research at the IMF could change the debate on austerity — The Intern  (http://www.theinternational.org/articles/298-never-trust-an-economist-new-research-at) ---- Primero es necesario leer el paper ( http://www.imf.org/external/pubs/ft/wp/2013/wp1301.pdf ) luego de lo cual se pueden decir muchas cosas, comenzando por: 1) 26 observaciones para un estudio de economía internacional con datos de panel es muy poco. Al parecer se busca forzar una respuesta concreta, donde podría no haberla. No hay que abusar del poder de "sugerencia" de los resultados econométricos.  2) El eterno problema entre la macroeconomía estática con la macroeconomía más dinámica. El simple hecho de fijar un multiplicador fiscal que dure más de un año ya comienza a ser complicado es países con datos más volátiles. Pero claro, al asumir un dato, reduces el número de incógnitas y haces más factible el modelo econométrico, pero al costo que el supuesto no s