The paper deals with a linear regression model. The EM algorithm is popular tool for maximum likelihood estimation of the parameters of regression model. It provides a method of robust regression under the assumption that the disturbances are independent and have identical multivariate t distribution. Previous work focused on the method of maximum likelihood estimation via the EM algorithm under the assumption that the degrees of freedom parameter of the t distribution is a scalar. In this paper, a broader assumption is employed, namely, that the disturbances have a multivariate t distribution with a vector of degrees of freedom. Missing values from the EM algorithm are random matrices. The theoretical results are illustrated in a simulation experiment using several distributions for the error process. Robust procedures are shown to be superior to the method of least squares.
Food industry plays a key role in each country. That is why the process of globalization makes the problem of ensuring safe production vary important, especially while attracting foreign capital. In this article the two mechanisms of the FDI distribution in Russian food industry companies are discussed. Special econometric tools for this analysis are also proposed. We investigate regional characteristics and the spatial lags (like factor of agglomeration, market potential and others) as determinants of the process. To test the influence of these determinants on the probability to have more than 10% of foreign capital in a company we estimate the hierarchical binary-choice models on a sample of Russian food industry companies (from RUSLANA database, on 2009). According to the results, the hierarchical diffusion of foreign investors is motivated by the seeking of local market and by seeking of the efficiency through lower transportation costs and better investment environment. The local resources in innovations are not significant on this level. When the investors develop new regions they take into account almost all the investigated regional characteristics. The logical complexification of a model allows not only to display the regional heterogeneity but also to determine the regions where the effect of some factors is irregular or more tangible. The development of transport infrastructure of the region and its spatial lag should be pointed out as one of the most substantial effects on the probability to have the FDI.
This article may be characterized as an analysis of the significance of global food problem on the current stage of world economy´s development. In this work the term ‘global food problem’ means unprecedented rise of world food price in the late XX – early XXI century, which make starve poor people in most countries. The author adduces the theoretical methods of approaching the global food problem, discloses the factors, which are the basis of this problem, describes the ways of mitigation of its impact on world economy. The article also contains the demarcation of the following terms: ‘food problem’ and ‘food security’. In the conclusion the author states that the main reason for the aggravation of the global food problem is a lack of investment to the applied agricultural sciences, which causes the inefficient use of resources. The conclusion also contains the ways of solving this problem.
This work, based on the results of long-term (up to 2050) pension forecasting, is devoted to the study of the impact of demographic parameters on the future of the Russian pay-as-you-go pension system. It assesses the sensitivity of the parameters of the pension system to changing scenarios of the population forecast. It is shown that the scenario with low birth rate, life expectancy and migration leads to the smallest increase in the number of pensioners, but at the same time to the greatest reduction in the number of contributors, which may have negative consequences for the situation on the labor market and economic development in general. On the contrary, the scenario with a high birth rate, high migration and the greatest increase in life expectancy gives the least reduction in the number of contributors, but dramatically increases the number of ‘insurance’ pensioners. From the perspective of fiscal sustainability of the pension system, the ‘low’ scenario is the best, but even there the number of pensioners begins to exceed the number of contributors already in 2024, and the gap between pension contributory incomes and the expenditures on ‘insurance’ pensions increases from 2.4% of GDP in 2017 to 4.6% in 2050. Furthermore, the dynamics of life expectancy in the ‘low’ scenario leaves no room for raising the retirement age. On the basis of statistics and population surveys, the article discusses whether there are socio-demographic reasons for raising the retirement age in Russia and concludes that the significance of the ill health is weakening as an argument against this measure. The article also presents the results of pension forecast performed for one of the possible options for raising the retirement age, which show that this measure significantly reduces the negative consequences of aging, even under the assumptions about a possible increase in unemployment and disability. By 2050, the gap between the pension incomes and expenditures is almost equal to the level of 2017 under the ‘high’ scenario of the population forecast and still remains 1.3-1.5 times lower for ‘medium’ and ‘low’ scenarios.
The analysis of short-term tendency of economic dynamics can be performed on seasonally adjusted data only. This implies that each time series is to be transformed in two: the seasonal component and the remaining part. The result of such decomposition depends on the specific features of the seasonal adjustment algorithm. Most uncertainty is expected within the neighborhood of crises when the economic indicators are likely to demonstrate substantial changes. Under such circumstances, the seasonal adjustment procedures are likely to generate spurious signals that deteriorate the seasonally adjusted series.
In this paper we analyze distortions of seasonally adjusted time series of economic data that appear in the neighborhood of crises. We examined the aberrations caused by sharp level shifts as well as by changes in seasonal pattern and showed that under these circumstances the standard algorithms of seasonal adjustment can generate spurious signals similar to first signs of a crisis or its second and following waves. We consider these misleading signals from two points of view: first, as an economic historian who operates with long time series of unchanging data; second, as an analyst of short-term dynamics monitoring the data that is subject to revisions.
We show that these aberrations can be misleading for understanding of short-run dynamics especially during the first years after a crisis. The identification of the end of a recession and estimation of seasonally adjusted values of observations right after the peak (or bottom) of a fluctuation seem to be the most problematic. Monitoring within this “blind zone” appears to be very complicated. We compared aberrations produced by X-12-ARIMA and TRAMO/SEATS. Some recommendations to soften the distortions are proposed.
This paper reviews the contribution of Eugene Fama, Lars Hansen and Robert Shiller to financial asset pricing research. We show how the Nobel prize winners have changed the approach to asset pricing research, as well as the views of academic economists and investors about price predictability and the risk-return relationship.
Earlier papers revealed educational differences in mortality in Russia in 1970’s–1980’s were at least as significant as in Western countries, and were largely similar to those observed in Eastern Bloc. Starting from 1998 there is a little knowledge about socio-economic characteristics of mortality since data collection has been discontinued and resumed only in 2011. Contemporary vital statistics on death is suffering from missing data on educational attainment of deceased (25,4% of all records in 2015). By proposing three approaches to overcome difficulties with missing data this paper presents new estimates of life expectancy at age 30 (LE30) by educational attainment among Russian men and women in 2015. According to the third approach absolute mortality differences between high-educated and low-educated is 17,5 years for men, 14,5 – for women. Despite the fact that LE30 has been growing for the last decade and has returned to the level of the late 1980’s, the level of absolute and relative inequality in mortality has increased. In terms of the causes of death mortality burden of infectious and parasitic diseases, external causes, diseases of the respiratory organs is more unevenly distributed between educational groups in modern Russia and is primarily on low-educated population.