Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-61-28-46
K. Poghosyan, R. Poghosyan
{"title":"On the applicability of dynamic factor models for forecasting real GDP growth in Armenia","authors":"K. Poghosyan, R. Poghosyan","doi":"10.22394/1993-7601-2021-61-28-46","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-28-46","url":null,"abstract":"","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"61 1","pages":"28-46"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416820","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-62-32-53
A. Lukyanova
This paper examines whether non‐cognitive skills (personality traits and risk attitudes) influence self‐selection into employment and the choice between the public and private sectors and, if so, how they relate to wages in each sector. The methodology combines multinomial logistic regression to model the patterns of selection with an Oaxaca–Blinder‐type decomposition of the intersectoral wage gap. I find that personality traits have a substantial effect on selection into employment and the preferences towards the private sector. They have a significant, albeit small, effect on wages in both sectors. The magnitude of these effects is the same across sectors and non‐cognitive skills do not contribute to the intersectoral wage gap at the mean. At the same time, accounting for the endogeneity of sectoral attainment eliminates the intersectoral gap: in 2016, the unexplained conditional wage gap can be completely attributed to self‐selection.
{"title":"What keeps public sector workers in low-paid jobs? The role of self-selection and non-cognitive skills in explaining the public-private wage gap","authors":"A. Lukyanova","doi":"10.22394/1993-7601-2021-62-32-53","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-32-53","url":null,"abstract":"This paper examines whether non‐cognitive skills (personality traits and risk attitudes) influence self‐selection into employment and the choice between the public and private sectors and, if so, how they relate to wages in each sector. The methodology combines multinomial logistic regression to model the patterns of selection with an Oaxaca–Blinder‐type decomposition of the intersectoral wage gap. I find that personality traits have a substantial effect on selection into employment and the preferences towards the private sector. They have a significant, albeit small, effect on wages in both sectors. The magnitude of these effects is the same across sectors and non‐cognitive skills do not contribute to the intersectoral wage gap at the mean. At the same time, accounting for the endogeneity of sectoral attainment eliminates the intersectoral gap: in 2016, the unexplained conditional wage gap can be completely attributed to self‐selection.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416963","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-64-107-134
O. Demidova
The article provides an overview of the main spatial-econometric models and notes the shortcomings that limit their application to the description of the processes taking place in large heterogeneous countries, such as Russia. The main approaches and modifications of the models are given, which make it possible to take into account Russian conditions, and a brief description of the basic articles is given in which spatial-econometric toolkit is applied to Russian data. A very promising direction in the development of spatial-econometric methods is the improvement of methods for assessing of government programs, therefore, the article describes the main approaches how to do this.
{"title":"Methods of spatial econometrics and evaluation of government programs effectiveness","authors":"O. Demidova","doi":"10.22394/1993-7601-2021-64-107-134","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-64-107-134","url":null,"abstract":"The article provides an overview of the main spatial-econometric models and notes the shortcomings that limit their application to the description of the processes taking place in large heterogeneous countries, such as Russia. The main approaches and modifications of the models are given, which make it possible to take into account Russian conditions, and a brief description of the basic articles is given in which spatial-econometric toolkit is applied to Russian data. A very promising direction in the development of spatial-econometric methods is the improvement of methods for assessing of government programs, therefore, the article describes the main approaches how to do this.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-64-5-22
A. Kirillov
We apply APLE statistic to explore spatial autocorrelation of Russian regional inflationary processes. APLE is discussed to be the fine alternative to Moran’s I. To conduct this study we modify statistics of spatial dependence for panel data structure. We use time series of Russian regional CPIs (i.e. quantitative measure of inflation) of food, non-food, services baskets. We find evidence to confirm the hypothesis of the existence of spatial autocorrelation of regional inflationary processes on the horizon of our study.
{"title":"A study on spatial autocorrelation: Case of Russian regional inflation","authors":"A. Kirillov","doi":"10.22394/1993-7601-2021-64-5-22","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-64-5-22","url":null,"abstract":"We apply APLE statistic to explore spatial autocorrelation of Russian regional inflationary processes. APLE is discussed to be the fine alternative to Moran’s I. To conduct this study we modify statistics of spatial dependence for panel data structure. We use time series of Russian regional CPIs (i.e. quantitative measure of inflation) of food, non-food, services baskets. We find evidence to confirm the hypothesis of the existence of spatial autocorrelation of regional inflationary processes on the horizon of our study.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-61-110-139
A. Kostyrka, D. Malakhov
{"title":"Was there ever a shift: Empirical analysis of structural-shift tests for return volatility","authors":"A. Kostyrka, D. Malakhov","doi":"10.22394/1993-7601-2021-61-110-139","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-110-139","url":null,"abstract":"","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"61 1","pages":"110-139"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-61-89-109
Z. Ibragimova, M. Frants
{"title":"Measuring income opportunity inequality: A structural review and meta-analysis","authors":"Z. Ibragimova, M. Frants","doi":"10.22394/1993-7601-2021-61-89-109","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-61-89-109","url":null,"abstract":"","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"61 1","pages":"89-109"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68416618","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-62-85-100
R. Garafutdinov
The influence of ARFIMA model parameters on the accuracy of financial time series forecasting on the example of artificially generated long memory series and daily log returns of RTS index is investigated. The investigated parameters are deviation of the integration order value from its «true» value, as well as the memory «length» considered by the model. Based on the research results, some practical recommendations for modeling using ARFIMA have been formulated.
{"title":"Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting","authors":"R. Garafutdinov","doi":"10.22394/1993-7601-2021-62-85-100","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-62-85-100","url":null,"abstract":"The influence of ARFIMA model parameters on the accuracy of financial time series forecasting on the example of artificially generated long memory series and daily log returns of RTS index is investigated. The investigated parameters are deviation of the integration order value from its «true» value, as well as the memory «length» considered by the model. Based on the research results, some practical recommendations for modeling using ARFIMA have been formulated.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-01DOI: 10.22394/1993-7601-2021-63-51-75
D. Salimova, Y. Ponomarev
The article studies and assesses the impact of transport road infrastructure development in 2012–2016 on the dynamics and spatial distribution of regional export in Russia (including the level of exports flowing from the regions through border inspection posts). According to empirical estimation of panel data there is a positive association between several measures of road infrastructure enhancement and regional exports on multiple levels. The Spatial Durbin Model assessment indicates that while proving the influence a high-quality infrastructure may have on regional international trade, one should take into account spatial effects between the objects.
{"title":"Transport infrastructure and geography of regional export in Russia","authors":"D. Salimova, Y. Ponomarev","doi":"10.22394/1993-7601-2021-63-51-75","DOIUrl":"https://doi.org/10.22394/1993-7601-2021-63-51-75","url":null,"abstract":"The article studies and assesses the impact of transport road infrastructure development in 2012–2016 on the dynamics and spatial distribution of regional export in Russia (including the level of exports flowing from the regions through border inspection posts). According to empirical estimation of panel data there is a positive association between several measures of road infrastructure enhancement and regional exports on multiple levels. The Spatial Durbin Model assessment indicates that while proving the influence a high-quality infrastructure may have on regional international trade, one should take into account spatial effects between the objects.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"40 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68417315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-01DOI: 10.22394/1993-7601-2020-57-53-71
P. Pogorelova, A. Peresetsky
In this paper, the Kalman linear filter method is used to decompose non-synchronous observations of the realized volatility of financial indices (NIKKEI 225, FTSE 100, S&P 500) into unobservable global and local components. It is shown that the volatility of the New York S&P 500 index is a global component, while the Tokyo NIKKEI 225 index, on the contrary, is more sensible to the local news. It is shown that the largest contribution to the global component comes from the observation interval from the closing of the London Exchange to the closing of the exchange in New York (16:30 and 21:00 UTC, respectively). Starting from about 2012–2014, the contribution to the volatility of the global news market is growing from the interval from closing the exchange in New York to closing the exchange in Tokyo (from 21:00 to 6:00 UTC). This can be attributed to the recently increasing influence of the economies of Asian countries (China, Japan, Korea) on the world economy.
{"title":"Extracting the global stochastic trend from non-synchronous data on the volatility of financial indices","authors":"P. Pogorelova, A. Peresetsky","doi":"10.22394/1993-7601-2020-57-53-71","DOIUrl":"https://doi.org/10.22394/1993-7601-2020-57-53-71","url":null,"abstract":"In this paper, the Kalman linear filter method is used to decompose non-synchronous observations of the realized volatility of financial indices (NIKKEI 225, FTSE 100, S&P 500) into unobservable global and local components. It is shown that the volatility of the New York S&P 500 index is a global component, while the Tokyo NIKKEI 225 index, on the contrary, is more sensible to the local news. It is shown that the largest contribution to the global component comes from the observation interval from the closing of the London Exchange to the closing of the exchange in New York (16:30 and 21:00 UTC, respectively). Starting from about 2012–2014, the contribution to the volatility of the global news market is growing from the interval from closing the exchange in New York to closing the exchange in Tokyo (from 21:00 to 6:00 UTC). This can be attributed to the recently increasing influence of the economies of Asian countries (China, Japan, Korea) on the world economy.","PeriodicalId":8045,"journal":{"name":"Applied Econometrics","volume":"57 1","pages":"53-71"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68415304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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