Alvaro Escribano | Universidad Carlos III de Madrid (original) (raw)
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Papers by Alvaro Escribano
Social Science Research Network, Nov 1, 1996
Manutención y almacenaje: logística, distribución, transporte, 2020
Applied Economics, Sep 22, 2021
ABSTRACT Spectrum auctions have recently experienced increased sophistication in the allocation o... more ABSTRACT Spectrum auctions have recently experienced increased sophistication in the allocation of multi-band frequencies, with efficiency issues becoming much more complex in such scenarios. This empirical analysis seeks to identify the drivers of auction prices associated with 4G and 5G technologies in seven European countries during the period 2008–2019. This study draws on a purpose-built dataset including auction design, spectrum frequency bands at auction, bandwidth supplied to mobile operators, and characteristics of the market structure. We use panel data techniques to identify the main determinants of European spectrum auction prices in the presence of substitutability and complementarities exhibited by the preferences in multi-band spectrum markets. In this regard, we find that mobile operators pay lower auction prices if there are alternative frequency bands used for previous mobile standards and that operators perceive as substitutes. Furthermore, auction prices are higher in more concentrated markets, when more licenses are auctioned and when the CCA format is used (possibly due to the existence of complementarities).
Applied Economics, Apr 10, 2020
International Journal of Forecasting, Oct 1, 2021
Abstract One of the most successful forecasting machine learning (ML) procedures is random forest... more Abstract One of the most successful forecasting machine learning (ML) procedures is random forest (RF). In this paper, we propose a new mixed RF approach for modeling departures from linearity that helps identify (i) explanatory variables with nonlinear impacts, (ii) threshold values, and (iii) the closest parametric approximation. The methodology is applied to weekly forecasts of gasoline prices, cointegrated with international oil prices and exchange rates. Recent specifications for nonlinear error correction (NEC) models include threshold autoregressive models (TAR) and double-threshold smooth transition autoregressive (STAR) models. We propose a new mixed RF model specification strategy and apply it to the determinants of weekly prices of the Spanish gasoline market from 2010 to 2019. In particular, the mixed RF is able to identify nonlinearities in both the error correction term and the rate of change of oil prices. It provides the best weekly gasoline price forecasting performance and supports the logistic error correction model (ECM) approximation.
Macroeconomic Dynamics, Jan 30, 2004
Springer eBooks, 2009
ABSTRACT
Social Science Research Network, 2003
RePEc: Research Papers in Economics, Jul 25, 1998
RePEc: Research Papers in Economics, Nov 25, 2019
RePEc: Research Papers in Economics, Feb 27, 2019
RePEc: Research Papers in Economics, 2003
RePEc: Research Papers in Economics, Jul 1, 1996
Emerging countries are increasingly concerned with improving their competitiveness and productivi... more Emerging countries are increasingly concerned with improving their competitiveness and productivity. This Element develops a robust econometric methodology, based on controlling for usual unobservable effects at the firm or plant level. By robust empirical results in total factor productivity (TFP), we mean estimating investment climate (IC) elasticities, or semi-elasticities, with equal signs and similar magnitudes for more than ten different competing TFP measures. The key to achieve similar empirical results for several TFP measures is to avoid having a problem omitted variables, achieved through imputation of large proportions of missing observations in relevant variables (i.e. the capital stock). Furthermore through the use of a new concept of aggregate TFP (tfpIC), that measures the associated IC effects on firm´s tfp, we are able to make meaningful cross-country firm´s level productivity comparisons, avoiding the usual problem of comparing 'apples with oranges' that would otherwise occur if we directly compare country's TFP measurements.
Macroeconomic Dynamics
We contribute to the literature on empirical macroeconomic models with time-varying conditional m... more We contribute to the literature on empirical macroeconomic models with time-varying conditional moments, by introducing a heteroskedastic score-driven model with Student’s t-distributed innovations, named the heteroskedastic score-driven ttt -QVAR (quasi-vector autoregressive) model. The ttt -QVAR model is a robust nonlinear extension of the VARMA (VAR moving average) model. As an illustration, we apply the heteroskedastic ttt -QVAR model to a dynamic stochastic general equilibrium model, for which we estimate Gaussian-ABCD and ttt -ABCD representations. We use data on economic output, inflation, interest rate, government spending, aggregate productivity, and consumption of the USA for the period of 1954 Q3 to 2022 Q1. Due to the robustness of the heteroskedastic ttt -QVAR model, even including the period of the coronavirus disease of 2019 (COVID-19) pandemic and the start of the Russian invasion of Ukraine, we find a superior statistical performance, lower policy-relevant dynamic e...
Social Science Research Network, Nov 1, 1996
Manutención y almacenaje: logística, distribución, transporte, 2020
Applied Economics, Sep 22, 2021
ABSTRACT Spectrum auctions have recently experienced increased sophistication in the allocation o... more ABSTRACT Spectrum auctions have recently experienced increased sophistication in the allocation of multi-band frequencies, with efficiency issues becoming much more complex in such scenarios. This empirical analysis seeks to identify the drivers of auction prices associated with 4G and 5G technologies in seven European countries during the period 2008–2019. This study draws on a purpose-built dataset including auction design, spectrum frequency bands at auction, bandwidth supplied to mobile operators, and characteristics of the market structure. We use panel data techniques to identify the main determinants of European spectrum auction prices in the presence of substitutability and complementarities exhibited by the preferences in multi-band spectrum markets. In this regard, we find that mobile operators pay lower auction prices if there are alternative frequency bands used for previous mobile standards and that operators perceive as substitutes. Furthermore, auction prices are higher in more concentrated markets, when more licenses are auctioned and when the CCA format is used (possibly due to the existence of complementarities).
Applied Economics, Apr 10, 2020
International Journal of Forecasting, Oct 1, 2021
Abstract One of the most successful forecasting machine learning (ML) procedures is random forest... more Abstract One of the most successful forecasting machine learning (ML) procedures is random forest (RF). In this paper, we propose a new mixed RF approach for modeling departures from linearity that helps identify (i) explanatory variables with nonlinear impacts, (ii) threshold values, and (iii) the closest parametric approximation. The methodology is applied to weekly forecasts of gasoline prices, cointegrated with international oil prices and exchange rates. Recent specifications for nonlinear error correction (NEC) models include threshold autoregressive models (TAR) and double-threshold smooth transition autoregressive (STAR) models. We propose a new mixed RF model specification strategy and apply it to the determinants of weekly prices of the Spanish gasoline market from 2010 to 2019. In particular, the mixed RF is able to identify nonlinearities in both the error correction term and the rate of change of oil prices. It provides the best weekly gasoline price forecasting performance and supports the logistic error correction model (ECM) approximation.
Macroeconomic Dynamics, Jan 30, 2004
Springer eBooks, 2009
ABSTRACT
Social Science Research Network, 2003
RePEc: Research Papers in Economics, Jul 25, 1998
RePEc: Research Papers in Economics, Nov 25, 2019
RePEc: Research Papers in Economics, Feb 27, 2019
RePEc: Research Papers in Economics, 2003
RePEc: Research Papers in Economics, Jul 1, 1996
Emerging countries are increasingly concerned with improving their competitiveness and productivi... more Emerging countries are increasingly concerned with improving their competitiveness and productivity. This Element develops a robust econometric methodology, based on controlling for usual unobservable effects at the firm or plant level. By robust empirical results in total factor productivity (TFP), we mean estimating investment climate (IC) elasticities, or semi-elasticities, with equal signs and similar magnitudes for more than ten different competing TFP measures. The key to achieve similar empirical results for several TFP measures is to avoid having a problem omitted variables, achieved through imputation of large proportions of missing observations in relevant variables (i.e. the capital stock). Furthermore through the use of a new concept of aggregate TFP (tfpIC), that measures the associated IC effects on firm´s tfp, we are able to make meaningful cross-country firm´s level productivity comparisons, avoiding the usual problem of comparing 'apples with oranges' that would otherwise occur if we directly compare country's TFP measurements.
Macroeconomic Dynamics
We contribute to the literature on empirical macroeconomic models with time-varying conditional m... more We contribute to the literature on empirical macroeconomic models with time-varying conditional moments, by introducing a heteroskedastic score-driven model with Student’s t-distributed innovations, named the heteroskedastic score-driven ttt -QVAR (quasi-vector autoregressive) model. The ttt -QVAR model is a robust nonlinear extension of the VARMA (VAR moving average) model. As an illustration, we apply the heteroskedastic ttt -QVAR model to a dynamic stochastic general equilibrium model, for which we estimate Gaussian-ABCD and ttt -ABCD representations. We use data on economic output, inflation, interest rate, government spending, aggregate productivity, and consumption of the USA for the period of 1954 Q3 to 2022 Q1. Due to the robustness of the heteroskedastic ttt -QVAR model, even including the period of the coronavirus disease of 2019 (COVID-19) pandemic and the start of the Russian invasion of Ukraine, we find a superior statistical performance, lower policy-relevant dynamic e...