Cuerpo Académico de Estudios Económicos y Sociales (CAEES)

En Consolidación

XVII Coloquio Mexicano de Economía Matemática y Econometría

21-25 de Mayo de 2007

Ponencias

Papers

Artículos de Trabajo y Presentaciones Recientes

La Paridad de Poder de Compra en México, 1930-1960 (por aparecer en El Trimestre Económico) (pdf) con G. Shelley y L.F. Cabrera

Empleamos una serie de datos no explotados anteriormente para calcular el tipo de cambio real con respecto al dólar de los E.U.A. para México durante 1930.01-1960.12 a fin de probar la paridad de poder de compra (PPC). Los resultados iniciales de la prueba de Dickey-Fuller aumentada (DFA) muestran un débil apoyo para la  PPC. La prueba de Kapetanios, Shin, and Snell (KSS), con una hipótesis alternativa de reversión no lineal a la media, muestra bastante apoyo para la PPC. Sin embargo, encontramos que los residuos de estas pruebas presentan no normalidad o heteroscedasticidad. Usando el enfoque de ‘wild bootstrap’, calculamos los valores críticos de la distribución empírica de los residuos y reevaluamos los estadísticos de prueba empleando estos nuevos valores críticos;  concluimos que hay evidencia de ajuste no lineal a la PPC para 1930.01-1951.12; pero esta evidencia no se mantiene durante 1952.01-1960.12, el periodo de sustitución de importaciones en México.

We use a previously unexploited data set to calculate the real exchange rate with respect to the U.S. dollar for Mexico for 1930.01-1960.12, and to test for purchasing power parity (PPP). The initial results from the Augmented Dickey-Fuller (ADF) test show weak support for the PPP hypothesis. The Kapetanios, Shin, and Snell test, for a unit root null with an alternative of nonlinear reversion to the mean, indicates substantial support for PPP. However, non-normality and, sometimes, heteroscedasticity are found in the test residuals. Using a wild bootstrap approach, critical values are calculated from the empirical distribution of the residuals. Reevaluating the test statistics with the new critical values, we conclude that there is evidence of nonlinear adjustment to PPP for 1930.01-1951.12 but there is no evidence that PPP held for 1952.01-1960.12, the period of import substitution in Mexico.

Presentación-¿Privatización de PEMEX? (PowerPoint)

Cointegration Tests of Purchasing Power Parity (pdf)

Im, Lee, and Enders (2008) use stationary instrumental variables in tests for cointegrating relationships. Consequently, the t-statistics are asymptotically standard normal so that the critical values of the normal distribution may be used to assess significance and the nuisance parameter problem is avoided. Using an updated version of the Taylor (2002) data set, the ILE approach is applied to three well-known single equation alternatives in testing for purchasing power parity. The regressions with instruments provide evidence of PPP for some countries but the empirical results differ across tests and, sometimes, with the choice of instrument.

Further Evidence Regarding Nonlinear Trend Reversion of Real GDP and the CPI (working paper pdf) (revised version forthcoming in Economics Letters) with G. Shelley

This paper examines whether the CPI and real GDP for the U.S. exhibit nonlinear reversion to trend as recently concluded by Beechey and Österholm [Beechey, M. and Österholm, P., 2008. Revisiting the uncertain unit root in GDP and CPI: testing for non-linear trend reversion. Economics Letters 100, 221-223].  The wild bootstrap is used to correct for non-normality and heteroscedasticity in a nonlinear unit root test. Test results are found to be sensitive to the sample period examined. 

Last of a Dying Breed by Dan Wetzel (Yahoo! Sports) Lament for a bygone, alas, era.

Quotation from the story by Wetzel: "This was back when the NHL had one of my favorite rules – three fights and you are ejected. Not one – totally acceptable. Not two – probably stretching it, but circumstance could merit that in two unrelated incidents a player might need to try to beat the hell out of someone during the course of a game. But three? Well, now, you miscreant, now you've crossed the line."

Unhappy Anniversary by Dan Wetzel (Yahoo! Sports) Another column about hockey. This one about the NHL commisioner, Gary Bettman.

Quotation: "There has never been a commissioner of a major North American sports league this inept, yet the league's board of governors keeps employing him, keeps giving him another chance to sink this once-proud, once-vibrant league to new depths."

Hockey Fight-Pelea de Hockey

una clásica Bob Probert vs. Tie Domi