1,721,023 research outputs found
Some Remarks on the Causality Definitions in the Non-linear Theory of Stochastic Process
No full textThe Granger causality concept is extensively used in econometrics and several works have applied the Granger causality definition to test hypotheses about economic structures. The applications have shown controversial results depending on the test structures, the time series length, the lag orders and the filtering. In particular different test structures were originated by different definitions on causality derived from Sims and Pierce-Haugh. The knowledge of theoretical equivalences between the definitions avoids the attribution of the discrepancies of the results, using the same data but different tests, to the different definitions. The aim of this paper is to propose an extension of Pierce-Haugh causality definition in the non-linear case, showing that this extended definition is implied by the non-linear definition of Granger causality
Erratic Managed But ... Still an Econometric Anlysis - Discussion (in Italian) of the R.G. Avesani and G.M. Gallo paper
No full textThe conclusions that can be drawn from reading the article are not univocal. This is essentially due to the fact that the analysis made by Avesani and Gallo is of a preliminary nature. From one side, the use of parametric and non-parametric tests (among them, why the Authors do not use the autocorrelograms?) provide some behavioural characteristics of the stochastic processes underlying the series. However, the Authors do not provide any direct synthetic information such as the structural econometric models underlying these series. Probably this were outside the scope of the analysis, but that aspect should be considered for completing the research. In conclusion, it is possible to affirm, by paraphrasing the title of the article, that their work seems "well managed but ... not yet an econometric analysis"
Identificazione, Causalità ed Esogeneità: alcune osservazioni critiche
No full textThe article highlights the existing links between the problem of econometric identification and the causality: The cross-correlation function does not characterize the instantaneous causality, consequently it can be used as a test for the exogeneity of a process only in special cases. The article also clarifies the sense of spectral decomposition, with respect to the definition of Granger causality, in the light of the Sims' theorems
A statistical comparison of trends of the average monthly sea level in Venice and Porto Corsini (1947-1971) (in Italian)
No full textI livelli mensili di marea di Venezia e quello di Porto Corsini (Ravenna) sono confrontati attraverso l'analisi di regressione con l'obiettivo di stimare la subsidenza. Il buon comportamento dei residui viene verificato con l'applicazione dell'analisi spettrale. Di conseguenza, una marea stagionale, mai stimata prima, è mostrata con massimo in novembre e minimo in febbraio. Come risultato finale, ogni anno Venezia sprofonda in media di 2,479 mm. Questo risultato coincide con 2,48 mm ottenuto dal C.N.R. nel 1970 con livellamento di precisione geometrica. L'affondamento di Porto Corsini è molto più rilevante.Monthly sea levels of Venice and that of Porto Corsini (Ravenna) are compared through regression analysis with the aim to estimate the subsidence. Good behaviour of the residuals is checked with the application of spectral analysis. As a consequence, a seasonal tide, never estimated before, is shown with maximum in November and minimum in February. As final result, Venice is sinking of 2.479 mm on average each year. This result is coincident with 2.48 mm obtained by the C.N.R. in 1970 with levelling of geometric precision. The sinking of Porto Corsini is much more relevant
Le relazioni di causalità tra moneta, attività economica e prezzi: alcuni tests con i dati generati dall'economia italiana nel periodo 1962.01-1979.04
No full textCausal Relations between Money, Economic Activity and Prices: Some Tests with Data Generated by the Italian Economy During the Period 1962.01 - 1979.0
An Empirical Assessment of the Neoclassical Theory of Demand: The Italian Case 1960-1983 (in Italian)
No full textThis paper aims at estimating a system of demand equations under the restrictions suggested by the traditional theory of consumer demand: The homogeneity condition, the symmetry condition and negativity condition, ie., the negative semidefiniteness of the substitution matrix. The three conditions are tested by estimating the Rotterdam model on Italian data, both in the restricted and the unrestricted forms. The maximum likelihood principle is used to estimate the model. In particular, the negativity condition is imposed by using the Cholesky decomposition, hence introducing non-linear combinations of the parameters. Following some recent theoretical works, we can calculate the exact distribution of the tests and propose some correction factors for tests which fail to attain the asymptotic conditions. Our results show that the restrictions suggested by economic theory are not unrealistic in the Italian case.
This is in contrast with the results of previous research aimed at testing the homogeneity and symmetry properties. Furthermore, these results, obtained for Italy and other countries may be misleading, since they are based on tests with approximated asymptotic distribution. Montecarlo simulations have indeed shown that these tests are severely biased towards rejection of the null hypothesis (the restricted model) when the number of commodity groups in the demand system is large
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