Browsing Biltoki by Title
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Predicting Betas: Two new methods
(2009)Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct ... 
Product Differentiation with Consumer Arbitrage
(200303)We analyze the consequences of consumers behavior concerning personal arbitrage in a spatial discrimination context where firms know the consumers distribution but cannot distinguish them by location. The firms' equilibrium ... 
Productivity's development in the Basque Economy during the period 19851994
(199809)[EN] The aim of this paper is to analyse the development of Basque Country's economy's productivity in the period 19851994 and, identify which are the factors that decide that evolution. We specify a CobbDouglas production ... 
Una propuesta para el análisis de tablas múltiples
(200307)El análisis de tablas múltiples ha seguido cuatro direcciones básicas: el Análisis Procusteano, la metodología STATIS, el Análisis Factorial Múltiple y el Análisis Canónico Generalizado. Estos métodos, en general, han sido ... 
Quesnay and Leontief on Capital and Income
(200203)I analyze Quesnay's explanation of the "Tableau Economique" of 1766 in order to show that he made a clear distinction between capital and income. In holding this distinction, Quesnay rejected the nowadays currently accepted ... 
Reconstructing Chisquared Intratable Distances in the Analysis of a Set of Contingency Tables
(200707)To study similarities among the set of rows and columns of a contingency table, Correspondence Analysis uses chisquared distances between row profiles and column profiles of that table. This article presents a factor ... 
Risk management for mathematical optimization under uncertainty
(2016)We present a general multistage stochastic mixed 01 problem where the uncertainty appears everywhere in the objective function, constraints matrix and righthandside. The uncertainty is represented by a scenario tree ... 
Scenario Cluster Lagrangian Decomposition in two stage stochastic mixed 01 optimization
(2012)In this paper we introduce four scenario Cluster based Lagrangian Decomposition (CLD) procedures for obtaining strong lower bounds to the (optimal) solution value of twostage stochastic mixed 01 problems. At each iteration ... 
Seasonal Stability Tests in gretl. An Application to International Tourism Data
(201309)The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small ... 
Selecting random parameters in discrete choice experiment for environmental valuation: A simulation experiment
(2010)This paper examines the various tests commonly used to select random parameters in choice modelling. The most common procedures for selecting random parameters are: the Lagrange Multiplier test as proposed by McFadden and ... 
Selection of the number of frequencies using bootstrap techniques in logperiodogram regression
(200802)The choice of the bandwidth in the local logperiodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different ... 
Semiparametric estimation in perturbed long memory series
(200505)The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the ... 
Semiparametric inference in correlated long memory signal plus noise models
(201004)This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for the added noise, also allowing for correlation between signal and noise, which represents a common situation ... 
Should firms allow workers to participate in R&D investment?
(199910)[EN] This paper analyzes if the introduction of new technologies in unionized firms, should be chosen unilaterally by the firm or negotiated with the union. The results show that firms prefer to choose the level of R&D or ... 
Should Owners of Firms Delegate Longrun Decisions?
(199911)This paper analyzes whether owners of firms have incentives to delegate their longrun decisions to managers or not. The result arising from our analysis shows that owners do have incentives to keep their longrun decisions ... 
Sole Ownership and Common Property Under Management Flexibility: Valuation, Optimal Exploitation and Regulation
(200101)If one were to examine the institutional configurations under which real world fisheries operate, one would find virtually no fisheries operating under either pure open access or rent maximizing conditions. Instead, most ... 
Some experiments on solving multistage stochastic mixed 01 programs with time stochastic dominance constraints
(2015)In this work we extend to the multistage case two recent risk averse measures for twostage stochastic programs based on first and secondorder stochastic dominance constraints induced by mixedinteger linear recourse. ... 
Spanish Customer Satisfaction Indices by Cumulative Panel Data
(200307)In this paper, we present a new theoretical representation of the Consumer Satisfaction Index (CSI) based on Structural Equation Modelling (SEM). We use panel data collected by an automotive magazine to apply our approach ... 
Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach
(201109)We propose a twodimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along ... 
Survival Analysis Using a Censored Semiparametric Regression Model
(200004)In this work we study the effect of several covariates X on a censored response variable T with unknown probability distribution. A semiparametric model is proposed to consider situations where the functional form of the ...