• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
Of all publications in the section: 177
Sort:
by name
by year
Article
Бродский Б. Е., Айвазян С. А., Березняцкий А. Н. Прикладная эконометрика. 2018. Т. 51. № 3. С. 1-27.

In this paper one of the methods of social indicators modeling is discussed. We suggest three stage approach: initially we develop theoretical model of Russian economy, taking into consideration some features such as Dutch disease. The set of exogenous variables are derived from the model. At the second step econometric modeling is used to test the findings. Finally we explore the regional level of the problem in order to rigorously test the models and to explain the outcomes of variety of researches focusing on spatial distribution of social indicators values in the Russian economy.

Added: Sep 3, 2018
Article
Исакин М. А. Прикладная эконометрика. 2006. № 4. С. 62-73.
Added: Dec 25, 2009
Article
Лакшина В. В. Прикладная эконометрика. 2014. Т. 36. № 4. С. 61-78.

The article is devoted to the estimation of multivariate volatility of a portfolio consisted from twenty American stocks. The six specifications of multivariate volatility models are formulated and estimated. It’s demonstrated that spatial specifications of multivariate volatility models allow not only reduce the dimension of the problem, but in some cases outdo original specifications at in-sample and out-of-sample comparison.

Added: Oct 2, 2014
Article
Вакуленко Е. С. Прикладная эконометрика. 2019. Т. 55. С. 113-138.

This article is devoted to the study of factors of interregional migration of the population in Russia. The analysis is carried out the data on migration of 2011–2016, collected by Rosstat under the new rules of statistical accounting, which led to a doubling of the volume of internal migration. The results show that motives for modern internal migrants in Russia are changed with comparison with results before 2011. For modern migrants, regional economic factors such as average per capita incomes and housing market indicators are not so much important, as the indicators of quality of life, infrastructure and ecology. Poor regions don’t participate in intensive migration: migrants don’t want to move to poor regions and don’t leave them. Resource regions have become less attractive. Moving motives for modern migrants are more associated with indicators of the origin region. The most intensive migration occurs mainly between regions with similar in quality factors and the standards of living.

Added: Nov 2, 2019
Article
Крамков В. А., Максимов А. Г. Прикладная эконометрика. 2020. Т. 60. С. 48-69.

The dynamics of different maturity loans interest rates is studied. dentification strategy, that explicitly allows to introduce the impact of future interest rates expectations and to estimate their significance is used. It is shown that for Russian banking sector in 2010-2020 expectations about future interest rates path have significant but modest impact on current loan rates. Main results are proven to be robust with respect to interest rates stationarity assumption. Estimated empirical moments may be used in macroeconomic model calibration.

Added: Feb 2, 2021
Article
Светуньков И. С. Прикладная эконометрика. 2011. № 4. С. 85-99.

Advantages and disadvantages of existing coefficient of determination and mean absolute percentage error are examined, and two new coefficients (the compliance coefficient and the balance coefficient) giving new information about the approximation properties of econometrics models, are proposed.

Added: Sep 20, 2012
Article
Пеникас Г. И., Бродский Б. Е., Сафарян И. Прикладная эконометрика. 2009. Т. 16. № 4. С. 3-15.
Added: Feb 2, 2010
Article
Коссова Е. В., Потанин Б. С. Прикладная эконометрика. 2018. Т. 50. С. 114-143.

The article is devoted to simultaneous estimation of one continuous and various binary equations under assumption of disturbances joint normality. It generalizes Heckman selection and switch-probit models to multivariate case. Following Heckman’s univariate model implementation both two step and maximum likelihood procedures are provided. In order to test model performance and correctness we execute analysis on simulated data. It shows that when there are two selection equations generalized model estimates accuracy noticeably outperforms those that are obtained using least squares or Heckman’s methods.

Added: Jul 3, 2018
Article
Ожегов Е. М., Косолапов Н. А., Позолотина Ю. А. Прикладная эконометрика. 2017. Т. 47. С. 28-48.

In this paper we study the dependence between schools’ characteristics and housing prices of secondary residential property market in the city of Perm. We employ the data on list prices and school characteristics in 2014. The estimation of spatial autoregression model reveals the effect of school education quality characteristics on residential real estate prices. The dividing on subsamples with one-room and multi-room flats shows the differences in school characteristics effects on prices. Moreover, we reveal the link between income and school quality effects on real estate prices.

Added: Sep 27, 2017
Article
Бродский Б. Е. Прикладная эконометрика. 2006. № 4.
Added: Apr 7, 2010
Article
Корнеева Д. В. Прикладная эконометрика. 2012. № 3. С. 70-85.

In the article we analyze the mergers between Russian and foreign companies influence on competition in metal industry. Using the event study approach confirms the statement that Russian metal suppliers have more market power in domestic market than foreign companies in their markets. Thus mergers in Russia may indeed lead to more anticompetitive consequences, negatively influencing social welfare.

Added: Sep 28, 2012
Article
Айвазян С. А., Головань С. В., Карминский А. М. и др. Прикладная эконометрика. 2011. Т. 23. № 3. С. 13-40.

In the paper an econometric method of rating scales mapping is suggested. The method is based on the setting up ordered choice models for the ratings and mapping the correspondent latent variables («continuous ratings») with a monotone function. The method takes into account bank's financial indicators and other factors which rating agency's experts use in their work. The method is tested on the real data on Russian banks' ratings and their quarterly balance sheet data for the period 2006:1-2010:4.

Added: Sep 23, 2012
Article
Ларин А. В., Новак А. Е., Хвостова И. Е. Прикладная эконометрика. 2013. Т. 32. № 4. С. 29-44.

This paper investigates household consumption behavior in Russia. The model assumes that household consumption can be determined both by Euler equation and the rule of thumb. Using panel data on households (RLMS-HSE) from 2000 to 2011, we present estimates of elasticity of intertemporal substitution and show that an essential part of households consume part of their current income and do not solve optimization problem

Added: Sep 23, 2013
Article
Архипова М. Ю., Егоров А. А., Сиротин В. П. Прикладная эконометрика. 2017. Т. 47. С. 100-122.

 

The paper is focused on the measuring of return to education. This measure reflects the yield of investments in human capital. The analysis is based on estimation of the modified Mincer’s type equations by means of quantile regressions for panel data. Along with quantile regressions estimation we consider the models of the joint distribution of wage and education duration based on copulas. The methodological approach used in the study allows comparing the significance of the factors included in the model for the wage formation. Also it allows investigating the structure of the relationship between wage and education and answering the question devoted to the following dilemma – in which country return to education was higher after the decade of independent development.

Added: Sep 27, 2017
Article
Демидова О. А. Прикладная эконометрика. 2012. № 4(28). С. 23-34.

What is the attitude of the inhabitants of European countries to the coexistence with immigrants? The present study attempts to answer this question using the data of the fifth wave of the European Social Survey. All the countries in the sample were divided into three groups: the countries which joined the EU before 2004, those which joined the EU after 2004, and non EU countries. It has been shown that the determinants of the attitude of these three groups of people to the issue raised above are often significantly different.

Added: Jan 25, 2013
Article
Борисова Е. Ю. Прикладная эконометрика. 2010. № 2 (18). С. 78-90.
Added: Jan 19, 2011
Article
Ратникова Т. А., Сергеева Е. С. Прикладная эконометрика. 2010. № 4(20). С. 102-118.

On the basis of the data set for Claude Monet's pictures, sold on large auctions worldwide from April, 1997 till December, 2009, it is estimated hedonic regression model. We model the works price on the base of the number of its characteristics, such as: the size of a picture, techniques of execution and a material of a basis, an auction house, presence of signature/date, participation of work in exhibitions and a mention in the specialized editions, lot numbers and experience of the artist by the moment of the creation of the work. The estimated regression is significant and explains 76 % of a dispersion of the prices. The received estimations allows to reveal essential price deviations for the sold works from «fair» market, «to translate» qualitative distinctions between pictures in quantitative in terms of an expected market price.

 

Added: Oct 19, 2012
Article
Шведов А. С. Прикладная эконометрика. 2016. Т. 42. С. 121-138.

 

At present, methods of fuzzy mathematics are applied in different fields. For example, fuzzy numbers can be used to model returns of assets in portfolio selection problem when historical data is unavailable. While for other assets possibility of using random variables should be kept.

This paper presents new estimators of the means and the covariances of fuzzy random variables. Unbiasedness and consistency of these estimators are established.

 

Added: Dec 29, 2016