Departamento de Economíahttp://hdl.handle.net/10016/92016-08-27T16:53:45Z2016-08-27T16:53:45ZScore-driven dynamic patent count panel data modelsBlazsek, SzabolcsEscribano, Álvarohttp://hdl.handle.net/10016/234582016-08-02T08:20:38Z2016-07-01T00:00:00ZScore-driven dynamic patent count panel data models
Blazsek, Szabolcs; Escribano, Álvaro
Universidad Carlos III de Madrid. Departamento de Economía
This paper suggests new Dynamic Conditional Score (DCS) count panel data models. We compare the statistical performance of static model, finite distributed lag model, exponential feedback model and different DCS count panel data models. For DCS we consider random walk and quasi-autoregressive formulations of dynamics. We use panel data for a large cross section of United States firms for period 1979 to 2000. We estimate models by using the Poisson quasi-maximum likelihood estimator with fixed effects. The estimation results and diagnostics tests suggest that the statistical performance of DCS-QAR is superior to that of alternative models.
2016-07-01T00:00:00ZEquation-by-Equation Estimation of Multivariate Periodic Electricity Price VolatilityEscribano, ÁlvaroSucarrat, Genarohttp://hdl.handle.net/10016/234362016-07-27T07:56:15Z2016-07-01T00:00:00ZEquation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
Escribano, Álvaro; Sucarrat, Genaro
Universidad Carlos III de Madrid. Departamento de Economía
Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g.
intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and
-as evidenced by recent findings- periodic volatility. We propose a multivariate model of
volatility that decomposes volatility multiplicatively into a non-stationary (e.g. periodic) part
and a stationary part with log-GARCH dynamics. Since the model belongs to the log-GARCH
class, the model is robust to spikes or jumps, allows for a rich variety of volatility dynamics
without restrictive positivity constraints, can be estimated equation-by-equation by means of
standard methods even in the presence of feedback, and allows for Dynamic Conditional
Correlations (DCCs) that can –optionally- be estimated subsequent to the volatilities. We use
the model to study the hourly day-ahead system prices at Nord Pool, and find extensive
evidence of periodic volatility and volatility feedback. We also find that volatility is
characterised by (positive) leverage in half of the hours, and that a DCC model provides a
better fit of the conditional correlations than a Constant Conditional Correlation (CCC) model.
2016-07-01T00:00:00ZAre migrants more productive than stayers? Some evidence for a set of highly productive academic economistsAlbarrán, PedroCarrasco, RaquelRuiz-Castillo, Javierhttp://hdl.handle.net/10016/234242016-07-26T11:22:04Z2016-07-01T00:00:00ZAre migrants more productive than stayers? Some evidence for a set of highly productive academic economists
Albarrán, Pedro; Carrasco, Raquel; Ruiz-Castillo, Javier
Universidad Carlos III de Madrid. Departamento de Economía
This paper compares the average productivity of migrants (who work in a country different from their country of origin) and stayers (whose entire academic career takes place in their country of origin) in a set of 2,530 highly productive economists that work in 2007 in a selection of the top 81 Economics departments worldwide. The main findings are the following two. Firstly, productivity comparisons between migrants and stayers depend on the cohort and the type of department where individuals work in 2007. For example, in the top U.S. departments, foreigners are more productive than stayers only among older individuals; in the bottom U.S. departments, foreigners are more productive than stayers for both cohorts, while in the other countries with at least one department in the sample the productivity of foreigners and stayers is indistinguishable for both cohorts. Secondly, when we restrict our attention to an elite consisting of economists with above average productivity, all productivity differences between migrants and stayers in the U.S. vanish. These results are very robust. However, our ability to interpret these correlations is severely limited by the absence of information on the decision to migrate.
2016-07-01T00:00:00ZDesigning Electricity AuctionsFabra, NataliaFehr, Nils-Henrik Von derHarbord, Davidhttp://hdl.handle.net/10016/50072016-07-21T15:29:21Z2006-01-01T00:00:00ZDesigning Electricity Auctions
Fabra, Natalia; Fehr, Nils-Henrik Von der; Harbord, David
Motivated by the new auction format in the England and Wales electricity market, as well as the
recent debate in California, we characterize bidding behavior and market outcomes in uniform
and discriminatory electricity auctions. Uniform auctions result in higher average prices than
discriminatory auctions, but the ranking in terms of productive efficiency is ambiguous. The
comparative effects of other market design features, such as the number of steps in suppliers’ bid
functions, the duration of bids, and the elasticity of demand are analyzed. We also consider the
relationship between market structure and market performance in the two auction formats.
2006-01-01T00:00:00Z