CEMAPRE - Artigos em Revistas Internacionais / Articles in International Journals
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- Alternative estimating and testing empirical strategies for fractional regression modelsPublication . Ramalho, Esmeralda A.; Ramalho, Joaquim J.S.; Murteira, José M.R.In many economic settings, the variable of interest is often a fraction or a proportion, being defined only on the unit interval. The bounded nature of such variables and, in some cases, the possibility of nontrivial probability mass accumulating at one or both boundaries raise some interesting estimation and inference issues. In this paper we (i) provide a comprehensive survey of the main alternative models and estimation methods suitable to deal with fractional response variables, (ii) propose a full testing methodology to assess the validity of the assumptions required by each alternative estimator and (iii) examine the finite-sample properties of most of the estimators and tests discussed through an extensive Monte Carlo study. An application concerning corporate capital structure choices is also provided.
- Alternative versions of the reset test for binary response index models : a comparative studyPublication . Ramalho, Esmeralda A.; Ramalho, Joaquim J.S.Binary response index models may be affected by several forms of misspecification, which range from pure functional form problems (e.g. incorrect specification of the link function, neglected heterogeneity, heteroskedasticity) to various types of sampling issues (e.g. covariate measurement error, response misclassification, endogenous stratification, missing data). In this article we examine the ability of several versions of the RESET test to detect such misspecifications in an extensive Monte Carlo simulation study. We find that: (i) the best variants of the RESET test are clearly those based on one or two fitted powers of the response index; and (ii) the loss of power resulting from using the RESET instead of a test directed against a specific type of misspecification is very small in many cases.
- An updated annotated bibliography on arc routing problemsPublication . Mourão, M. Cândida; Pinto, Leonor S.The number of arc routing publications has increased significantly in the last decade. Such an increase justifies a second annotated bibliography, a sequel to Corberán and Prins (Networks 56 (2010), 50–69), discussing arc routing studies from 2010 onwards. These studies are grouped into three main sections: single vehicle problems, multiple vehicle problems and applications. Each main section catalogs problems according to their specifics. Section 2 is therefore composed of four subsections, namely: the Chinese Postman Problem, the Rural Postman Problem, the General Routing Problem (GRP) and Arc Routing Problems (ARPs) with profits. Section 3, devoted to the multiple vehicle case, begins with three subsections on the Capacitated Arc Routing Problem (CARP) and then delves into several variants of multiple ARPs, ending with GRPs and problems with profits. Section 4 is devoted to applications, including distribution and collection routes, outdoor activities, post-disaster operations, road cleaning and marking. As new applications emerge and existing applications continue to be used and adapted, the future of arc routing research looks promising.
- Applying the proportional hazard premium calculation principlePublication . Centeno, Maria de Lourdes; Silva, João Andrade eWe discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential. In the non parametric approach, the use of the empirical distribution to calculate the premium using the proportional hazard principle leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we use the bootstrap technique with subsampling to reduce it.
- Are quantile risk measures suitable for risk-transfer decisions?Publication . Guerra, Manuel; Centeno, M. de LourdesAlthough controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators. In this paper, we use a unified approach to find the optimal treaties for an agent who seeks to minimize one of these measures, assuming premium calculation principles of various types. We show that the use of measures like Value at Risk or Conditional Tail Expectation as optimization criteria for insurance or reinsurance leads to treaties that are not enforceable and/or are clearly bad for the cedent. We argue that this is one further argument against the use of quantile risk measures, at least for the purpose of risk-transfer decisions.
- Assessing nonlinear dynamics of central bank reaction function : the case of MozambiquePublication . Nhapulo, Gerson; Nicolau, JoãoThis paper sheds some light on the elements governing monetary policy-making during the period 2000Q1–2015Q1 in Mozambique. We estimate a time-varying Taylor-type rule for the BM, using a Markov-switching (MS) model and a Threshold model. The general finding is that the behaviour of the BM can be characterised by two regimes. In regime 1, only changes in inflation trigger a reaction by the monetary authority. This behaviour is prominent after the establishment of the monetary policy committee in 2007 (CPMO). In regime 2, the BM reacts aggressively both to cool off the economic activity and to curb inflationary pressures. Regime 2 occurred most frequently during 2000–2006, when the fiscal policy might have played an important role in output stabilization. After the establishment of the CPMO, regime 2 occurred in the context of a steep rise in fuel and food prices in 2007–2008 and in 2010. Both the MS model and the Threshold model show similar asymmetric effects. We find evidence that inflation is viewed more seriously by the monetary authorities when it is accompanied by a high output-gap in the previous period, which triggers a more aggressive response from the monetary authorities.
- Bias reduction in nonparametric diffusion coefficient estimationPublication . Nicolau, JoãoIn this paper, we quantify the asymptotic bias of the Florens-Zmirou (1993, Journal of Applied Probability 30, 790–804) and Jiang and Knight (1997, Econometric Theory 13, 615–645) estimator for the diffusion coefficient when the step of discretization is fixed, and then we propose a bias adjustment that partially compensates for the distortion. Also, we show that our estimators have all the asymptotic properties of the Florens-Zmirou and Jiang and Knight estimator when the step of discretization goes to zero. We provide some examples.
- Binary models with misclassification in the variable of interest and nonignorable nonresponsePublication . Ramalho, Esmeralda A.In this paper we propose a general framework to deal with datasets where a binary outcome is subject to misclassification and, for some sampling units, neither the error-prone variable of interest nor the covariates are recorded. A model to describe the observed data is formalized and efficient likelihood-based generalized method of moments estimators are suggested.
- Bonus systems in an open portfolioPublication . Centeno, Maria de Lourdes; Silva, João Andrade eIn this paper, we study bonus systems in an open portfolio, i.e. we consider that a policyholder can transfer his policy to a different insurance company at any time. We make use of inhomogeneous Markov chains to model the system and show, under reasonable assumptions, that the stationary distribution is independent of the market shares, and is easily calculated.
- Bootstrap methodology in claim reservingPublication . Pinheiro, Paulo J. R.; Silva, João Andrade e; Centeno, M. LurdesIn this article, we use the bootstrap technique to obtain prediction errors for different claim-reserving methods, namely, the chain ladder technique and methods based on generalized linear models. We discuss several forms of performing the bootstrap and illustrate the different solutions using the data set from Taylor and Ashe (1983), which has already been used by several authors