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The importance of modeling structural breaks in forecasting Russian GDP 结构性断裂模型在预测俄罗斯GDP中的重要性
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-63-5-29
N. Fokin, Ranepa
{"title":"The importance of modeling structural breaks in forecasting Russian GDP","authors":"N. Fokin, Ranepa","doi":"10.22394/1993-7601-2021-63-5-29","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-63-5-29","url":null,"abstract":"The paper considers two types of models for forecasting seasonally adjusted Russian GDP under the structural breaks. Models that allow breaks in a deterministic trend, in which the dates of structural breaks are set exogenously, and more flexible class of models – with a stochastic trend are considered. It is shown that modeling a structural break in a deterministic trend or adding a stochastic trend significantly improves the quality of 3–4 steps ahead forecasts, and sometimes even on shorter horizons, compared to models with a constant trend growth rate.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Technical efficiency trends of Russian firms in 2013–2018 2013-2018年俄罗斯企业技术效率趋势
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-63-91-116
A. Tsvetkova
{"title":"Technical efficiency trends of Russian firms in 2013–2018","authors":"A. Tsvetkova","doi":"10.22394/1993-7601-2021-63-91-116","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-63-91-116","url":null,"abstract":"The paper examines technical efficiency of Russian firms during the period from 2013 to 2018 applying the stochastic production frontier method. The estimates obtained indicate that technical efficiency grows with firm size and declines with its age. While macroeconomic situation deteriorated in 2015–2016, technical efficiency in most industries changed insignificantly. However, the number of industries with a negative trend in technical efficiency is higher than the number of industries with a positive trend. The contribution of industries with declining technical efficiency to the total employment and output are higher than those of industries with growing technical efficiency or insignificantly changing technical efficiency.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417593","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Measuring heterogeneity with fixed effect quantile regression: Long panels and short panels 用固定效应分位数回归测量异质性:长面板和短面板
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-64-70-82
G. Besstremyannaya, S. Golovan
{"title":"Measuring heterogeneity with fixed effect quantile regression: Long panels and short panels","authors":"G. Besstremyannaya, S. Golovan","doi":"10.22394/1993-7601-2021-64-70-82","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-64-70-82","url":null,"abstract":"The desire to capture heterogeneity in the response of the dependent variable to covariates often forces empiricists to employ panel data quantile regression models. Very often practitioners forget the limitations of their datasets in terms of the sample size n and the length of panel T. Yet, quantile regression requires large samples, long panels and small value of the ratio n/T. So the estimator in quantile regression with short panels is biased. The paper reviews the approaches for estimating longitudinal models for quantile regression. We highlight the fact that a method of smoothed quantile regression may be viewed as a remedy for reducing the asymptotic bias of the estimator in short panels, both in case of quantile-dependent and quantile-independent fixed effect specifications.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A cross-sectoral analysis of the relation between labor productivity and labor compensation in the European Union 欧盟劳动生产率与劳动报酬关系的跨部门分析
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-62-54-65
A. D. Fofack, S. D. Temkeng
{"title":"A cross-sectoral analysis of the relation between labor productivity and labor compensation in the European Union","authors":"A. D. Fofack, S. D. Temkeng","doi":"10.22394/1993-7601-2021-62-54-65","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-54-65","url":null,"abstract":"The aim of this paper is to assess and compare the link between labor productivity and compensation in four industries — air transport, electronics, finance, and telecommunications — of twenty‐five member states of the European Union (EU) from 2000 to 2014. The long‐run and short‐run dynamics of productivity and compensation are analyzed using the pooled mean group (PMG), the mean group (MG) and the dynamic fixed effects (DFE) estimators. The results confirm the existence of a gap between productivity and compensation in each of those industries as mentioned in previous studies. However, the results show that despite that gap, the link between the two variables is not broken. That is, productivity and compensation are not only linked in the long run, but they also return to their long‐run equilibrium after every short‐run disturbance. The econometric analysis also reveals that the relation between productivity and compensation does not follow a significantly different pattern from one industry to the other. These findings robust to alternative models, estimation techniques and across industries, suggest that there are some other cross‐sectoral factors preventing productivity gains to be fully reflected on paychecks.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Who is satisfied with their pay? Evidence from the Russian Longitudinal Monitoring Survey 谁对自己的工资满意?来自俄罗斯纵向监测调查的证据
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-64-49-69
Anastasia Dubnovitskaya
{"title":"Who is satisfied with their pay? Evidence from the Russian Longitudinal Monitoring Survey","authors":"Anastasia Dubnovitskaya","doi":"10.22394/1993-7601-2021-64-49-69","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-64-49-69","url":null,"abstract":"This study is to shed more light on the relation of pay satisfaction with the average wages of individuals with the same characteristics and the deviation of the actual wages from that average (a.k.a. social comparison). The study reveals that social comparison plays a greater role in determining pay satisfaction than mere pay amount. The contribution of both factors to pay satisfaction is fairly stable and does not exhibit any drastic changes from 2002 to 2019. The deviation of actual wages from the average level contributes twice as much as the reference group average into the individual’s pay satisfaction.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Gender wage gap decomposition methods: Comparative analysis 性别工资差距分解方法:比较分析
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-62-5-31
Sergey Roshchin, N. Yemelina
{"title":"Gender wage gap decomposition methods: Comparative analysis","authors":"Sergey Roshchin, N. Yemelina","doi":"10.22394/1993-7601-2021-62-5-31","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-5-31","url":null,"abstract":"This study introduces a comparative analysis of the gender wage gap decomposition methods with the Russian Longitudinal Monitoring Survey (RLMS) data for 2018. To decompose the differences in average wages, approaches based on the Oaxaca–Blinder decomposition are used. Apart from the mean wages, the study focuses on other distribution statistics. Using the quantile regressions, the wage gap between men and women is decomposed for the distribution parameters such as median, lower and upper deciles. The decomposition estimates of conditional and unconditional (based on recentered influence functions) quantile regressions are compared.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416983","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The impact of macroeconomic and oil shocks on India’s non-ferrous metal prices: A structural-VAR approach 宏观经济和石油冲击对印度有色金属价格的影响:一种结构性var方法
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-63-30-50
K. Kakade, A. Mishra
{"title":"The impact of macroeconomic and oil shocks on India’s non-ferrous metal prices: A structural-VAR approach","authors":"K. Kakade, A. Mishra","doi":"10.22394/1993-7601-2021-63-30-50","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-63-30-50","url":null,"abstract":"This paper compares the value shocks from the real interest rates, real exchange rates, real crude prices, and other key macroeconomic variables on the metal prices. The structural VAR models are estimated on monthly data over the period 2005m12–2019m12 to determine the asymmetric effect of the macroeconomic shocks and determine whether commodity prices display overshooting behavior in response to these shocks. The impulse response and the forecast error variance decomposition function analyze the short-term impacts on the Indian non-ferrous metal prices. The results indicate that the metals index, and crude oil have a significant positive impact on the prices of metals, while the real interest rate negatively affects India’s metal prices. The impact of the real exchange rate and own shocks on real metal prices is found to be insignificant. Metal prices tend to display an overshooting behavior in response to changes in the real interest rate. Besides, the forecast error variance decomposition reveals the incremental contribution of crude oil prices in explaining the behaviour of metal prices.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417192","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Structural breaks in cointegration models: Multivariate case 协整模型的结构断裂:多元情况
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-64-83-106
A. Skrobotov
{"title":"Structural breaks in cointegration models: Multivariate case","authors":"A. Skrobotov","doi":"10.22394/1993-7601-2021-64-83-106","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-64-83-106","url":null,"abstract":"This review discusses methods of testing for a cointegration rank in a multivariate time series in the presence of structural breaks. The review covers both the methods with known and unknown break date. Multiple breaks are also considered. The issues of testing for cointegration with a possible change in the cointegration rank over time are discussed separately.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Corporate governance and information openness in Russian NGOs 俄罗斯非政府组织的公司治理与信息公开
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-62-101-124
D. Malakhov, L. Yakobson
{"title":"Corporate governance and information openness in Russian NGOs","authors":"D. Malakhov, L. Yakobson","doi":"10.22394/1993-7601-2021-62-101-124","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-101-124","url":null,"abstract":"According to the NGO theory, the main comparative advantage of these organizations is the high level of trust, provided primarily by the peculiarities of corporate governance and information openness. In Russia, these features of NGOs are still relatively weak, but they are gradually being mastered by the non‐profit sector. Based on the data of an all‐Russian representative survey of 1001 NGOs, using the exogenous differences in the requirements of the legislation for the organization of corporate governance in different legal forms of NGOs, it is shown that if an NGO at the time of creation has a board of trustees and/or a supervisory board, then it has a statically significant positive effect on the information openness. This result seems to be important in the context of the development of the non‐profit sector in Russia.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416711","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Joint session of the conference “Modern econometric tools and applications” (META2020) and the workshop “Applied Econometrics” “现代计量经济学工具与应用”会议(META2020)与“应用计量经济学”研讨会联席会议
Applied Econometrics Pub Date : 2021-01-01 DOI: 10.22394/1993-7601-2021-61-140-143
A. Maksimov, V. Kramkov
{"title":"Joint session of the conference “Modern econometric tools and applications” (META2020) and the workshop “Applied Econometrics”","authors":"A. Maksimov, V. Kramkov","doi":"10.22394/1993-7601-2021-61-140-143","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-140-143","url":null,"abstract":"","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"61 1","pages":"140-143"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416762","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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