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Regular version of the site
Of all publications in the section: 155
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Article
Borisova E. I., Peresetsky A. Applied Econometrics. 2016. Vol. 44. P. 119-130.

We develop an original method of student cheating evaluation that is based on the comparison of students’ grades on exams in class, homeworks and experimental homework. The data for the study is collected from the survey of 2013 sophomores of the International College of Economics and Finance at the National Research University Higher School of Economics in Russia. At the end of the statistics course in addition to standard assignments (homeworks and exams) students were given experimental homework with the rule of limited cooperation among students. The violation of this rule was considered as cheating. The scale of cooperation is measured and then tested through different methods including the stochastic frontier; it reveals connection with the GPA level, students’ expectations of the cheaters’ share and their moral norms. We also find different behavioral patterns for high and low performing students as well as country specific context of student cheating behavior. 

Added: Oct 23, 2016
Article
Bakhtin M., Aleksandrova E. Applied Econometrics. 2018. Vol. 49. P. 5-29.

The effect of health on labor force participation is an established fact. This research hypothesizes the endogeneity of health stemming from the reverse effect, reporting bias and unobserved factors. The relationship between health and labor force participation of elderly Russians is modeled with simultaneous equations using data from World Health Organization Study on Global Ageing and Adult Health, Wave 1 (WHO SAGE, 2007–2010). A strong and non-linear effect of health on labor force participation is confirmed. Unlike for a complex health measure, endogeneity, confirmed by the correlation of unobserved shocks in the system of equations, is found for single-question health measures. The results show that the official retirement age has a moderate effect on labor force participation for women and a weaker or no effect for men. Nevertheless, the health of elderly Russians does not impose strong limitations on the increase of the retirement age.

Added: Apr 22, 2018
Article
Борзых Д. А., Языков А. А. Прикладная эконометрика. 2019. Т. 54.

We propose a new method of a structural break detection for GARCH(1,1) model. This new method is called the KS method since it is based on Kolmogorov-Smirnov statistics. By using Monte-Carlo experiments we show that the KS method has good statistical properties. We compare our method with three well-known CUSUM methods: (Kokoszka, Leipus, 1999) referred to as KT method, (Inclán, Tiao, 1994) referred to as IT method, and (Lee et al., 2004) referred to as LTM method. To make the experiments closer to real conditions, we generate GARCH processes with coefficients estimated on 26 Russian stocks time series. The results of the experiments prove the KL method to have the highest power on average to detect structural breaks among the other methods. Our KS method has a slightly lower power while IT and LTM methods are dramatically less powerful. However, we find a significant drawback of KL method: in some cases its probability of type I error may reach 42%. As opposed to KL method, our KS method demonstrates lower probability of type I error on average. As a result, we suggest that our method is highly competitive and may be placed somewhere in between the KL method which has high power and high probability of type I error, and IT and LTM methods which have low power and also low probability of type I error.

Added: Mar 28, 2019
Article
Kotyrlo E. Applied Econometrics. 2016. Vol. 41. P. 78-95.

The study contributes in analytical description of spatial diffusion of fertility, in particular, influenced by labour movements of people between places of residence and work. It is assumed that the labour market has externality on the marriage market due to commuting, which, in turn, affects fertility. A model of spatial diffusion of fertility is based on assumption of global and local spillover effects. The global spillover effect, as shifts in fertility norms, is motivated by increasing variance of social interactions of an individual, when places of work and residence are different. One local spillover effect is in response to flows of earnings across space. Another mechanism is related to expected changes in probabilities to find a partner affected by differences in day and night population. The analytical model, in which the effects on fertility of the cited spillovers are decomposed, is constructed in the paper on the base of a model of the demand for children, spatial stock-flow model of a market, and a matching model with a sex imbalance or spatial mismatch as the probability of matching. Three sex imbalances, namely of night-, day-time population and an adjusted to sex imbalance of commuters to residents are empirically tested. Empirical evidence on municipal Swedish data for the period 1994–2008 does not provide any strong evidence of spatial diffusion of fertility. However, there are externalities of labour mobility on fertility due to changes of gender structure of population.

Added: Sep 15, 2016
Article
Belousova V., Karminsky A. M., Kozyr I. Applied Econometrics. 2018. No. 49. P. 91-114.

This paper investigates how institutional and macroeconomic factors influence the profit efficiency frontier of Russian banks. We demonstrate that the macroeconomic environment is crucial for constructing the profit frontier. The cargo transportation index, exchange rate, and intermediation ratio have a positive relationship with this efficiency frontier while the share of loan loss provision in the loan portfolio is negatively associated with it. In addition, we find that such institutional determinants as a bank’s location, branch network diversity, and ownership type matter for constructing this frontier.

Added: Feb 22, 2018
Article
Magnus J. R., Peresetsky A. Applied Econometrics. 2010. No. 1 (17). P. 89-105.

We present a simple hedonic model for apartment prices in Moscow in the year 2003. Based on some 15,000 observations we estimate the model and use the estimates for prediction. Pretest issues are explicitly taken into account.

Added: Oct 4, 2012
Article
Дурдыев Р.И., Пересецкий А. А. Прикладная эконометрика. 2014. Т. 35. № 3. С. 39-58.

Korhonen and Peresetsky (2013) suggested a new Kalman-filter type model of financial markets to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. We extend this model to allow the correlation between increments of this global trend on neighbor intervals. Existence of that non-zero correlation is demonstrated. However it does not mean that it helps forecast daily returns of the stock indices itself, since the global stochastic trend is unobservable. Forecasting performance of the model with three stock markets is explored.

Added: Sep 22, 2014
Article
Вакуленко Е. С. Прикладная эконометрика. 2015. Т. 40. № 4. С. 28-48.

We estimate Okun's model on panel data of Russian regions and reveal the role of regional interactions at its formation. We consider the 78 regions of Russia for the period 1998–2013 and estimate a wide range of spatial econometrics model specifications. The results show that Okun’s coefficient is underestimated if we don’t take into account the spatial interactions in the model. There is no reveal asymmetric adjustment change in the unemployment rate to rise or fall of GRP in the models with spatial interactions. We propose a new way of interpreting the results of spatial econometrics models: the concepts of autonomy and influence factors that allow to rank the regions according to their degree of independence in conducting their own policies and impact on the situation in other regions.

Added: Jan 26, 2016
Article
Борисова Е. И., Пересецкий А. А., Полищук Л. И. Прикладная эконометрика. 2010. № 4(20). С. 75-101.

The paper demonstrates the potential of the stochastic frontier-based methods of performance assessment of non-profit associations. They are commonly used for productivity analysis and could serve as an adequate tool for such assessment, especially when dealing with numerous non-profits pursuing identical and clearly identified objectives. A case in point are homeowners associations (HOA), which are formed within apartment buildings to manage common property. Data was collected by a survey of 82 HOAs in Russias national capital Moscow and a large industrial city of Perm. Different techniques and robust checks are applied, exogenous parameters that influence HOA efficiency are revealed. Among those, physical conditions of the housing stock and ability of tenants to resolve the collective action problem in operating housing infrastructure were shown to be of primary importance. Overall, HOA, despite of their appeal and successful performance in developed nations, are not necessarily a superior option in countries and societies where civic capacity is in short supply, and housing stock suffers from wear and tear.

 

Added: Oct 19, 2012
Article
Арефьев Н. Г., Хабибуллин Р. А. Прикладная эконометрика. 2018. Т. 49. С. 115-142.

We propose a new method of Bayesian identification of a structural vector autoregression based on the Bayesian model averaging. As compared to the literature on Bayesian SVAR averaging, the proposed algorithm can identify not only recursive, but also cyclical models given that some conditions specified in the paper hold. Bayesian model selection is made within the set of distinguishable on data models. We use simulations to assess the performance of the algorithm. We also check sensitivity of the proposed algorithm with respect to true parameter values, number of observations, and with respect to the parameters of prior distribution.

Added: Apr 9, 2018
Article
Айвазян С. А. Прикладная эконометрика. 2008. № 1 (9).
Added: Nov 6, 2008
Article
Семерикова Е. В. Прикладная эконометрика. 2014. № 35. С. 107-132.

The paper assesses factors of regional unemployment and spatial spillover effects in Germany. Using panel data for 407 out of 413 German regions for 2001 through 2009, we explore differences between eastern and western regions in spatial effects. We estimate static and dynamic spatial models by the maximum likelihood estimation approach, elaborated by Lee and Yu (2010). In order to account for possible spatial interactions between regions, we use a spatial weights matrix of inverse distances in the regressions. We base our analysis on a combined set of factors according to equilibrium and disequilibrium views of regional unemployment variance. We find that the unemployment is of both equilibrium and disequilibrium nature. By extending the specification of the dynamic model, we find that the unemployment in eastern regions of Germany affects both the unemployment in western and eastern regions, whereas the unemployment in western regions of Germany has an impact only on other western regions.

Added: Nov 13, 2014
Article
Шелковникова И. А. Прикладная эконометрика. 2014. Т. 35. № 3. С. 86-106.

According to the common definition of unemployment, the unemployed are those who are not in paid employment or self-employment, are seeking work and are available for work. А job search model is estimated from a sample of the unemployed and from some extended samples of the jobless, obtained by loosening that definition gradually. Revealed similarities and differences constitute the result of the research.

Added: Oct 25, 2014
Article
Фурманов К. К., Шелковникова И. А. Прикладная эконометрика. 2014. Т. 35. № 3. С. 86-106.

According to the common definition of unemployment, the unemployed are those who are not in paid employment or self-employment, are seeking work and are available for work. А job search model is estimated from a sample of the unemployed and from some extended samples of the jobless, obtained by loosening that definition gradually. Revealed similarities and differences constitute the result of the research.

Added: Mar 12, 2015
Article
Кадыров М. Т. Прикладная эконометрика. 2010. № 3 (19). С. 9-22.
Added: Jan 10, 2011
Article
Ляшок В. Ю., Рощин С. Ю. Прикладная эконометрика. 2015. Т. 40. № 4. С. 6-27.

The paper is devoted to analysis of effect of health on labor supply of older people. Information base used in work was data from the Russian Longitudinal Monitoring Survey – Higher School of Economics for 2001–2013. Dynamic nature of effect of health on labor supply was found for both men and women. The longer health problems happened, the more it affects the probability to exit from the labor market.

Added: Jan 29, 2016
Article
Щетинин Е. И. Прикладная эконометрика. 2015. № 37(1). С. 27-42.

In literarure there is no single answer to the question, whether the growth of imports in industry leads to decrease or to increase the technical efficiency: possible effect of different mechanisms. In this paper we estimate the stochastic production frontier using firm-level data for food industry in 2005–2011, taking into account a possible relationship between changes in imports and firm’s technical efficiency. We use the «Ruslana» (Bureau van Dijk) database, which contains financial information on companies in Russia. Our results show that in food industry technical efficiency is reducing while import share is increasing.

Added: Apr 5, 2015
Article
Ермаков С. А. Прикладная эконометрика. 2012. № 1. С. 70-94.

This paper examines the influence of tobacco smoking on wages in Russia. Using data from the Russian Longitudinal Monitoring Survey and regressions with individual fixed effect we examine the effect of smoking intensity on wages. After the control for unobserved heterogeneity our findings show the statistical insignificance of coefficients on tobacco consumption intensity for men. On this basis we are able to assume the absence of causal explanation of the wage gap between male smokers and non-smokers. Estimates for women dont allow us to make the same statement but show the 9.2% wage gain of heavy smokers.

 

Added: Nov 29, 2012