Browsing by Author "Hualde Bilbao, Javier"
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Publication Open Access Econometric insights into private equity: assessing volatility-profit dynamics(2024) Tarrero de Ossorno, Luis; Hualde Bilbao, Javier; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaLa alta volatilidad en los mercados y la creciente importancia de las firmas de capital privado han llevado a los analistas a buscar modelos que se adapten mejor a estos cambios para mejorar las previsiones. Este análisis tiene como objetivo identificar qué modelos financieros se ajustan mejor a estos cambios y cómo se ve afectada la capitalización de las firmas de capital privado durante los períodos de inestabilidad. Comprender estas dinámicas ayuda a los inversores y otras instituciones a determinar los momentos óptimos para las inversiones en capital privado. Al examinar la relación entre la volatilidad y la rentabilidad, este estudio proporciona información sobre cuándo las firmas de capital privado tienen un mejor desempeño, ofreciendo datos valiosos para los inversores que buscan navegar en condiciones de mercado inciertas.Publication Open Access Estimation of long-run parameters in unbalanced cointegration(Elsevier, 2014) Hualde Bilbao, Javier; Economía; EkonomiaThis paper analyses the asymptotic properties of nonlinear least squares estimators of the long run parameters in a bivariate unbalanced cointegration framework. Unbalanced cointegration refers to the situation where the integration orders of the observables are different, but their corresponding balanced versions (with equal integration orders after filtering) are cointegrated in the usual sense. Within this setting, the long run linkage between the observables is driven by both the cointegrating parameter and the difference between the integration orders of the observables, which we consider to be unknown. Our results reveal three noticeable features. First, superconsistent (faster than √ n-consistent) estimators of the difference between memory parameters are achievable. Next, the joint limiting distribution of the estimators of both parameters is singular, and, finally, a modified version of the ‘‘Type II’’ fractional Brownian motion arises in the limiting theory. A Monte Carlo experiment and the discussion of an economic example are included.Publication Open Access Estimation of the cointegrating rank in fractional cointegration(2012) Hualde Bilbao, Javier; Economía; EkonomiaThis paper proposes an estimator of the cointegrating rank of a potentially cointegrated multivariate fractional process. Our setting is very flexible, allowing the individual observable processes to have different integration orders. The proposed method is automatic and can be also employed to infer the dimensions of possible cointegrating subspaces, which are characterized by special directions in the cointegrating space which generate cointegrating errors with smaller integration orders, increasing the “achievement” of the cointegration analysis. A Monte Carlo experiment of finite sample performance and an empirical analysis are included.Publication Open Access Exploring gender equality dynamics in mathematics(2024) Samper Mendívil, Maider; Hualde Bilbao, Javier; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaEn su artículo, Anghel et al. (2020) identificaron que la relación positiva y significativa entre diversas medidas de igualdad de género y la brecha de género en los resultados de matemáticas (que tienden a favorecer a los chicos) desaparece en los países pertenecientes a la OCDE una vez que se controlan los efectos fijos de país y tiempo. Para este análisis, utilizaron cinco olas de datos de PISA que abarcan el período de 2003 a 2015, explorando variaciones tanto entre países como dentro de ellos. Sin embargo, en nuestro estudio, que incorpora tres olas adicionales de datos de PISA (desde 2020 hasta 2021), encontramos que esta relación persiste para un indicador específico: el de Educación. Además, repetimos el mismo análisis para la brecha de género entre hombres y mujeres en los resultados de lectura (que tienden a favorecer a las chicas). En este caso, los indicadores de Liderazgo y la proporción de participación laboral entre mujeres y hombres (FMLFP) mantienen una relación significativa con la brecha de género en lectura para los países de la OCDE. Por último, nuestros resultados reafirman los hallazgos de Anghel et al. (2020) en cuanto a la relación significativa entre la brecha de género en matemáticas y diversos indicadores de igualdad de género en los países ubicados en los cuartiles más bajos de la distribución del PIB per cápita. Esta asociación se mantiene robusta incluso después de controlar por efectos fijos de país y tiempo. Sin embargo, estos resultados no se aplican a la brecha de género en los resultados de lectura.Publication Open Access Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes(Elsevier, 2017) Hualde Bilbao, Javier; Iacone, Fabrizio; Economía; EkonomiaWe consider inference for the mean of a general stationary process based on standardizing the sample mean by a frequency domain estimator of the long run variance. Here, the main novelty is that we consider alternative asymptotics in which the bandwidth is kept fixed. This does not yield a consistent estimator of the long run variance, but, for the weakly dependent case, the studentized sample mean has a Student- limit distribution, which, for any given bandwidth, appears to be more precise than the traditional Gaussian limit. When data are fractionally integrated, the fixed bandwidth limit distribution of the studentized mean is not standard, and we derive critical values for various bandwidths. By a Monte Carlo experiment of finite sample performance we find that this asymptotic result provides a better approximation than other proposals like the test statistic based on the Memory Autocorrelation Consistent (MAC) estimator of the variance of the sample mean.Publication Open Access Fixed bandwidth inference for fractional cointegration(Wiley, 2019) Hualde Bilbao, Javier; Iacone, Fabrizio; Economía; EkonomiaIn a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like ordinary least squares or narrow band least squares estimation. These advantages have been justified by means of traditional asymptotic theory and here we explore whether these improvements still hold when considering the alternative fixed bandwidth theory and, more importantly, whether this latter approach provides a more accurate approximation to the sampling distribution of the corresponding test statistics. This appears to be relevant, especially in view of the typical oversizing displayed by Wald statistics when confronted to the standard limiting theory. A Monte Carlo study of finite-sample behaviour is included.Publication Open Access The gender gap in PISA 2018 Test scores in the European Union and the transmission of gender role attitudes(2020) Chivite Monleón, Ana; Hualde Bilbao, Javier; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaLa brecha de género en las pruebas escolares existe en países en todo el mundo. Sistemáticamente, las niñas tienen peor (mejor) desempeño que los niños en matemáticas (lectura) en los test de PISA. Este trabajo se ha centrado en analizar dichas diferencias en la Unión Europea en 2018. El estudio apoya la hipótesis de la estratificación social de género, ya que se ha demostrado que, en sociedades más igualitarias, las niñas obtienen mejores resultados en matemáticas, cerrando así la brecha de género. En cuanto a la transmisión de roles de género, la ocupación de los padres parece mejorar en mayor medida los resultados matemáticos de los niños que de las niñas, mientras que son los estudios universitarios de la madre los que tienen un mayor impacto en los resultados en matemáticas de las niñas, apuntando así a una transmisión de roles de género de padres (madres) a hijos (hijas).Publication Open Access Internacionalización de los costes medioambientales del transporte por carretera transpirenaico(2014) Serrano Hernández, Adrián; Faulín Fajardo, Javier; Hualde Bilbao, Javier; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaLa finalidad principal de este estudio es analizar el problema de la contaminación atmosférica y el ruido en los dos pasos transpirenaicos más importantes de España. En Irún (País Vasco) y La Junquera (Cataluña) se produce un efecto embudo por el que trasiegan constantemente vehículos, muchos de ellos camiones (Observatorio hispano-francés de Tráfico en los Pirineos, 2013). Por tanto los vecinos de las rutas habituales de este tráfico sufren los efectos derivados del tránsito continuo de vehículos por las vías que se encuentran junto a sus casas. Es posible valorar económicamente estas externalidades de muchas formas diferentes, en este trabajo se propone el uso de encuestas de valoración contingente (Mitchell and Carson, 1989).. Además, otros objetivos secundarios serán cómo afectan otros factores en esa disposición a pagar y analizar cuáles serán los más relevantes y en los que se puede hacer hincapié. Por ello la encuesta presenta más preguntas que nos da información de variables socioeconómicas, ecológicas, demográficas, etc. de los encuestados. Por tanto, este TFM se centra en la extracción de información de los resultados de las encuestas realizadas mediante modelos probit y tobit para tener estimaciones de costes medioambientales (polución y ruido) del transporte por carretera transpirenaicoPublication Open Access Measuring the impact of an emergency financial assistance program(2016) Traibuenas Peralta, Silvia; Hualde Bilbao, Javier; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaOne of the clearest facts regarding the actual economic crisis is the increase in social inequalities and its resulting risk for families in social exclusion. In this type of situations, the need for accessing to social protection systems deepens. In Navarre, the principal exclusion coverage system is the Renta de Inclusión Social (RIS). The RIS is a benefit of subjective right and key element for the containment of socioeconomic deterioration processes. Due to the multiple situations of long term unemployment and precarious job contracts, people without coverage present a real social need which is attended in Navarre through the RIS. The main objective of this work is to accurately predict the number of RIS Applications entering the Social Rights Department of the Government of Navarre, given its main determinant, which is Uncovered Unemployed. This prediction will serve as an extremely valuable budgetary instrument for this Department.Publication Open Access A novel test of economic convergence in time series(Springer, 2025-01-03) Hualde Bilbao, Javier; Olmo, José; Economía; Ekonomia; Institute for Advanced Research in Business and Economics - INARBEThis paper proposes a novel test for the hypothesis of economic convergence. We extend the standard definition of convergence based on the parity condition and say that two economies converge if the time series of economic output are positively cointegrated and cotrended. With this definition in place, our main contribution is to propose a test of positive cointegration that does not require estimation of the cointegrating relationship, but is able to differentiate between positive and negative cointegration. Once the possibility of positive cointegration is established in a first stage, we test for cotrending in a second stage. Our sequential proposal enjoys an excellent performance in small samples due to the fast convergence of our novel test statistic under positive cointegration. This is illustrated in a simulation exercise where we report clear evidence showing the outperformance of our proposed method compared to existing methods in the related literature that test for economic convergence using cointegration methods. The results are particularly strong for sample sizes between 25 and 50 observations. The empirical application testing for economic convergence between the G7 group of countries over the period 1990–2022 confirms these findings.Publication Open Access Open innovation and organizational innovation: organizational innovation as leverage for open innovation practices and the effect of open and organizational innovation practices on business performance(2013) Anzola Román, Paula; Hualde Bilbao, Javier; Bayona Sáez, Cristina; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaOpen innovation is currently one of the hottest topics in innovation management, in particular since in 2003 it was conceptualized as “the use of purposive inflows and outflows of knowledge to accelerate internal innovation and to expand the markets for external use of innovation, respectively” (Chesbrough et al., 2006). This concept is based on the idea that the search for innovations is carried out with the participation of external actors (Enkel et al., 2009). However, there is still research to be done regarding the process through which companies incorporate open innovation practices and take advantage of them (Huizingh, 2011). Furthermore, it has been known for some time that innovation involves much more than technology and R&D (Chesbrough, 2007); however the literature available on organizational innovation is relatively scant. Taking this into account, the present work aims to give some insight into the following questions: •How do firms turn their innovation efforts into value and how do they capture part of that value? •How does organizational innovation have an impact on the optimization of open innovation practices? •What are the effects of open innovation and organizational innovation on the business performance? The work addresses the aforementioned topic both through a qualitative and a quantitative research method. As for the first one, an in-depth case study methodology is used. The firm studied is a brake systems designer and manufacturer that underwent a profound process organizational innovation. Also, the context of openness in which the company had already been moving begun to be systematized thanks to the implementation of the new structure. A business model perspective is used to explore the first two questions raised in the introduction. The work will adopt the definition of Osterwalder and Pigneur (2009), the developers of the widely used “Business model canvas” tool for describing and discussing business models. Based on this framework, the work analyzes the process of change undergone by the firm and illustrates how and to what extent the organizational innovation contributes to the creation and capture of value, focusing especially on the way in which the open Innovation practices are leveraged by an appropriate business model design. As for the quantitative research, it is based on the Technological Innovation Survey, provided by the INE. This survey has its origins in Community Innovation Statistics (CIS), produced at a supra-national level. The sample selected corresponds to 1,323 firms from Navarre that completed the CIS for the year 2008. By means of econometric tools applied to the aforementioned data, the work aims to answer the third question posed in the introduction.Publication Open Access Revisiting inflation in the euro area allowing for long memory(Elsevier, 2017) Hualde Bilbao, Javier; Iacone, Fabrizio; Economía; EkonomiaWe analyse inflation and inflation differentials in the euro area allowing for long memory and a new type of limiting theory denoted fixed-bandwidth. Our results differ from those based on standard normal asymptotics and the short memory assumption, and we also find that the inflation differentials between 'core' and 'peripheral' countries are strongly persistent. 'Core' economies appear to have less persistent differentials and may be more integrated, while 'peripheral' countries with high inflation may find themselves under competitive pressure for a long time.Publication Open Access The Ricardian Model: theoretical and empirical review(2017) Goñi Córdoba, Beatriz; Gómez Gómez-Plana, Antonio; Hualde Bilbao, Javier; Facultad de Ciencias Económicas y Empresariales; Ekonomia eta Enpresa Zientzien FakultateaThe Ricardian Model is the most widely explained theory in International Economics. Despite its pedagogical importance in this field, its empirical performance is not exempted from controversies. According to this classical model, relative productivities across counties determine trade patterns. On this article, in the model’s 200th anniversary, the classical theory is presented along with some extensions and a model where its empirical performance is analyzed. In this model relative productivity and unit labor costs are analyzed as drivers of German and French trade patterns. The results show that coefficients seem to be correctly signed and are statistically significant, even though much of the trade patterns remain to be unexplained. Therefore, other models are necessary to fully explain trade patterns between Germany and France.Publication Open Access A simple test for the equality of integration orders(2012) Hualde Bilbao, Javier; Economía; EkonomiaA necessary condition for two time series to be nontrivially cointegrated is the equality of their respective integration orders. Thus, it is standard practice to test for order homogeneity prior to testing for cointegration. Tests for the equality of integration orders are particular cases of more general tests of linear restrictions among memory parameters of different time series, for which asymptotic theory has been developed in parametric and semiparametric settings. However, most tests have been developed in stationary and invertible settings, and, more importantly, many of them are invalid when the observables are cointegrated, because they usually involve inversion of an asymptotically singular matrix. We propose a general testing procedure which does not suffer from this serious drawback, and, in addition, it is very simple to compute, it covers the stationary/nonstationary and invertible/noninvertible ranges, and, as we show in a Monte Carlo experiment, it works well in finite samples.Publication Open Access Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration(Wiley, 2015) Hualde Bilbao, Javier; Iacone, Fabrizio; Economía; EkonomiaIn a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like Phillips (1991), analysed the so-called small-b asymptotic approximation to its sampling distribution. Recently, an alternative limiting theory (fixed-b asymptotics) has been successfully employed to approximate sampling distributions. With the purpose of comparing both approaches, we derive here the fixed-b limit of WC estimators in a fractional setting, filling also some gaps in the traditional (small-b) theory. We also provide some Monte Carlo evidence that suggests that the fixed-b limit is more accurate.Publication Open Access Truncated sum-of-squares estimation of fractional time series models with generalized power law trend(Institute of Mathematical Statistics, 2022) Hualde Bilbao, Javier; Nielsen, Morten Ørregaard; Economía; EkonomiaWe consider truncated (or conditional) sum-of-squares estimation of a parametric fractional time series model with an additive deterministic structure. The latter consists of both a drift term and a generalized power law trend. The memory parameter of the stochastic component and the power parameter of the deterministic trend component are both considered unknown real numbers to be estimated and belonging to arbitrarily large compact sets. Thus, our model captures different forms of nonstationarity and noninvertibility as well as a very flexible deterministic specification. As in related settings, the proof of consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the objective function over a large admissible parameter space and due to the competition between stochastic and deterministic components. As expected, parameter estimates related to the deterministic component are shown to be consistent and asymptotically normal only for parts of the parameter space depending on the relative strength of the stochastic and deterministic components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic component for the entire parameter space. Furthermore, the asymptotic distribution of the latter estimates is unaffected by the presence of the deterministic component, even when this is not consistently estimable. We also include Monte Carlo simulations to illustrate our results.