Testing for Equal Predictability of Stationary ARMA Processes

In this work we use a measure of predictability of a time series following a stationary ARMA process to develop a test of equal predictability of two or more time series. The test is derived by a set of propositions which links the structure of the AR and MA coefficients to the predictability measure. A particular case of this general approach is constituted by time series having a Wold decomposition with weights having the same sign; in this framework the equal predictability is equivalent to parallelism among ARMA models and the null hypothesis of equal predictability is simply a set of linear restrictions. The ARMA representation of the GARCH models presents non-negative weights, so that this test can be extended to verify the equal predictability of squared time series following GARCH structures.     

Likelihood-free stochastic approximation EM for inference in complex models

A maximum likelihood methodology for the parameters of models with an intractable likelihood is introduced. We produce a likelihood-free version of the stochastic approximation expectation-maximization (SAEM) algorithm to maximize the likelihood function of model parameters. While SAEM is best suited for models having a tractable “complete likelihood” function, its application to moderately complex models is a difficult or even impossible task. We show how to construct a likelihood-free version of SAEM by using the “synthetic likelihood” paradigm. Our method is completely plug-and-play, requires almost no tuning and can be applied to both static and dynamic models.     

Search and Taxation in a Model of Underground Economic Activities

We develop a simple model of an economy with underground production and trade. Because of the furtive nature of underground activities, information about trading opportunities in the irregular sector is less than perfect—hence, agents devote some time to locate trading partners in the black economy and then bargain over the terms of trade. The model stresses how individual involvement in underground economic activities is related to earnings capacity. It also highlights how taxes and tax enforcement are natural policy complements. Both results are argued to be useful when interpreting micro- and aggregate-level data on underground economic activities. (JEL H26 , H21 , D72 , D83 )     

Cointegration in VAR(1) process: Characterization and testing

In this paper we taken a rather different approach to the concept of cointegration (comparated to existing literature) by focusing on the distance norm of an appropriately defined stochastic process (the first differences of one series) and a closed linear subspace defined from the first differences of the other series. The main result contained in Theorem 2 states that, within a VAR(l) framework, two series are cointegrated if and only if this distance is smaller than the standard deviation of the former process. It links cointegration to the evaluation of the distance between two information sets concerning the short-run dynamic paths of the variables. Hence cointegration can be detected by the differenced series. We, also propose a test for cointegration     

Societal Norms Rather Than Sexual Orientation Influence Kin Altruism and Avuncularity in Tribal Urak-Lawoi,Italian, and Spanish Adult Males

Homosexual males could balance their low fitness by increasing benefits to relatives either through kin-directed altruism or by avuncularity (altruistic behavior toward the children of siblings). Evidence in support of kin selection and avuncularity includes the fact that homosexuals seem to be more empathic and altruistic than heterosexuals. Other studies have not confirmed behaviors that increase kin altruism in homosexuals. We explored altruistic behavior and avuncularity in a sample of 278 subjects, either homosexual or heterosexual, from three populations: Italian, Spanish, and Urak-Lawoi, a Southeast Asian tribal population. Among the Urak-Lawoi, the kathoeys, androphilic men who dress and behave as women, were compared with heterosexuals. All populations were rated for societal norms on the expression of affiliative behavior. No greater kin altruism or avuncularity among the kathoeys or in homosexuals in either Mediterranean population was found. Greater avuncularity and kin-directed altruism, independent of sexual orientation, were found among the Urak-Lawoi, and these traits were the least prevalent among the Italians, corresponding to different societal norms. The increase in kin altruism and avuncularity was associated in all males with societal differences and norms on general altruism toward nonkin children, suggesting it is not an adaptive design to maintain homosexuality in humans.     

Oil prices and the financial crisis

This paper aims to explain crude oil price volatility and its relationship respect to some macroeconomic and financial variables. Finding the main drivers of oil price dynamics is a crucial element for the definition of adequate monetary policies and risk management purposes. The role of macroeconomic and financial variables is analyzed in a Vector Error Correction Model framework, in order to test the existence of a long run equilibrium in the oil price dynamics. We use monthly data for crude oil prices, the Dollar/Euro exchange rate, the US interest rate, the crude oil Futures open interest, the US oil imports and the gold price over the period 1993–2009. One cointegrating relationship is found which allows to identify a long run equilibrium between the variables.     

Migration Policies and Political Cultures in Europe: A Changing Trend

This paper discusses the relationships between the migratory policies of the EU countries with more experience of immigration and their national political cultures. It focuses on France, Germany and the United Kingdom. It then looks at Italy, a relatively new country of immigration, which, with 3,000,000 legal immigrants, has become the fourth country of immigration in Europe and the first in the Mediterranean basin. In its final part it highlights the incipient process of ‘communitarisation’ of the immigration policies of EU countries in the last decade. This process, which has already entailed a significant convergence of their migratory policies, is expected to continue after the recent enlargement of the European Union.