Igor Fedotenkov

A bootstrap method to test for the existence of finite moments

This paper presents a simple bootstrap test to verify the existence of finite moments. The efficacy of the test relies on the fact that in the absence of a first moment and under certain general conditions, the arithmetic average of a sample grows at a rate greater than the growth rates of the arithmetic averages of the sub-samples. Firstly, we show test consistency analytically. Then, Monte-Carlo simulations are performed to compare our test with the Hill estimator.

A Simple Nonparametric Test for the Existence of Finite Moments

This paper proposes a simple, fast and direct nonparametric test to verify if a sample is drawn from a distribution with a finite first moment. The method can also be applied to test for the existence of finite moments of another order by taking the sample to the corresponding power. The test is based on the difference in the asymptotic behaviour of the arithmetic mean between cases when the underlying probability function either has or does not have a finite first moment. Test consistency is proved; then, test performance is illustrated with Monte-Carlo simulations and a practical application for the S&P500 index.

Corporate labour share of income and the shadow economy: a cross-country analysis

ABSTRACT This article addresses a link between the size of the shadow economy and the corporate labour share of income in the European Union. Fixed individual and time effects models suggest that there is a negative link between these two indicators. The coefficients are statistically significant if we control for other variables related to labour markets, such as unemployment rates or strictness of employment protection (regular contracts). Depending on the exact model specification, our estimates suggest that an increase in the shadow economy by 1% of GDP results in a 0.5–1% decline in the labour share of income in the corporate sector.

Public Policies over the Life Cycle: A Large Scale OLG Model for France, Italy and Sweden

The paper presents a large scale overlapping generation model with heterogeneous agents, where the family is the decision unit. We calibrate the model for three European countries - France, Italy and Sweden - which show marked differences in the design of some public programs. We examine the properties in terms of annual and lifetime redistribution of a number of tax-benefit programs, by studying the impact of removing from our model economies some or all of them. We find that whether one considers a life-cycle or an annual horizon, and whether behavioral responses are accounted for or not, has a large impact on the results. The model may provide useful insights for policy makers on which kind of reforms are more likely to achieve specific equity objectives.

Religiosity and Life Satisfaction in Russia: Evidence from the Russian Data

Does religiosity make you happy? Many studies document positive associations between religiosity and various forms of subjective wellbeing. This is also true for general life satisfaction in normal economic conditions and in the case of economic shocks. However, both life satisfaction and religiosity may be correlated with unobserved individual and household traits or unobserved life shocks which can relate to reverse causality. These facts result in endogeneity and make ordinary least square estimates biased. In our study, we employ two methods to avoid possible endogeneity issues – we use fixed effects and instrumental variable estimations. Using Russian Longitudinal Monitoring Survey (RLMS-HSE) data and different econometric models, we document positive associations between religiosity and life satisfaction. In particular, fixed effect and instrumental variable regressions provide evidence for a positive effect of religiosity.

International trade with pensions and demographic shocks

The central question of this paper is how international trade and specialization are affected by different designs of pension schemes and asymmetric demographic changes. In a model with two goods, two countries and two production factors, we find that countries with a relatively large unfunded pension scheme will specialize in the production of labour intensive goods. If these countries are hit by a negative demographic shock, this specialization will intensify in the long run. Eventually, these countries may even completely specialize in the production of those goods. The effects spill over to other countries, which will move away from complete specialization in capital intensive goods as the relative size of their labour intensive goods sector will also increase.

Population Ageing and Inflation with Endogenous Money Creation

This paper provides an explanation as to why population ageing is associated with deflationary processes. For this reason we create an overlapping-generations model (OLG) with money created by credits (inside money) and intergenerational trade. In other words, we combine a neoclassical OLG model with post-Keynesian monetary theory. The model links demographic factors such as fertility rates and longevity to prices. We show that lower fertility rates lead to smaller demand for credits, and lower money creation, which in turn causes a decline in prices. Changes in longevity affect prices through real savings and the capital market. Furthermore, a few links between interest rates and inflation are addressed, they arise in the general equilibrium and are not thoroughly discussed in literature. Long-run results are derived analytically; short-run dynamics are simulated numerically.

Consistency of the estimator of binary response models based on AUC maximization

This paper examines the asymptotic properties of a binary response model estimator based on maximization of the Area Under receiver operating characteristic Curve (AUC). Given certain assumptions, AUC maximization is a consistent method of binary response model estimation up to normalizations. As AUC is equivalent to Mann-Whitney U statistics and Wilcoxon test of ranks, maximization of area under ROC curve is equivalent to the maximization of corresponding statistics. Compared to parametric methods, such as logit and probit, AUC maximization relaxes assumptions about error distribution, but imposes some restrictions on the distribution of explanatory variables, which can be easily checked, since this information is observable.