Non-parametric estimation and evaluation of capability sets

A major difficulty for the application of Amartya Sen’s capability approach is that individual capability sets cannot readily be observed. This article proposes a non-parametric framework to construct such sets, on the basis of observed functionings of individuals that are taken to belong to a group sharing the same capability set. Within this framework, the earlier theoretical proposals of Muellbauer to compare different capability sets can be easily implemented. Associated robust empirical estimators are provided and applied to EU-SILC data on household income, material living conditions, housing quality and health; we illustrate our approach with a multilateral comparison of 32 European countries, with a comparison of both a ‘fixed ray’ and a ‘multiple rays’ evaluation metric to compare French and German capability sets, and with a multilateral comparison of socioeconomic sub-groups in France.

Bivariate box plots based on quantile regression curves

In this paper, we propose a procedure to build bivariate box plots (BBP). We first obtain the theoretical BBP for a random vector (X, Y). They are based on the univariate box plot of X and the conditional quantile curves of Y|X. They can be computed from the copula of (X, Y) and the marginal distributions. The main advantage of these BBP is that the coverage probabilities of the regions are distribution-free. So they can be selected by the users with the desired probabilities and they can be used to perform fit tests. Three reasonable options are proposed. They are illustrated with two examples from a normal model and an exponential model with a Clayton copula. Moreover, several methods to estimate the theoretical BBP are discussed. The main ones are based on linear and non-linear quantile regression. The others are based on empirical estimators and parametric and non-parametric (kernel) copula estimations. All of them can be used to get empirical BBP. Some extensions for the multivariate case are proposed as well.

A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE

Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate tail dependence. For those problems when assessing the maximal strength of dependence is important (e.g., co-movements of financial instruments), the maximal tail dependence index was introduced, but it has so far lacked empirical estimators and statistical inference results, thus hindering its practical use. In the present paper, we suggest an empirical estimator for the index, explore its statistical properties, and illustrate its performance on simulated data.

Benchmarking Study of Prospective Preferability of Various Investment Patterns

The article offers the evaluation of investment performance in stock markets, money markets, product markets and others. The comparison is based on the «Return-Risk» Model grounded on the fundamental principles of H. Markowitz’s portfolio analysis. The quantitative comparison is conducted on return-risk ratio as well as return-risk variability intervals. In the formed group of leaders, the return-risk ratio was minimal (0,12) for the money market, and maximal (0,43) for the US stock market. The patterns in focus were grouped as follows: 1. High risk aversion: US branch analysis, currency index models, currency index models (sell) and intercontinental branch analysis.2. Medium risk aversion: US stock market, world stick indexes, precious metals market and exchange goods as a whole.3. Low risk aversion: Russia’s stock market. The practical evaluation of «Return-Risk» Models received for various investment patterns proved their practical validity. The empirical estimators of investment horizons computed for various groups of investment tools are of practical use.

Inferential results for a new measure of inequality

Summary In recent decades, substantial changes have been observed in the left and right tails of income distributions in countries like the USA, Germany, the UK, and France. These changes are a major concern for policy makers. Here, we derive inferential results for a new inequality index that is specifically designed for capturing such significant shifts. We propose two empirical estimators for the index and show that they are asymptotically equivalent. Afterward, we adopt one estimator and prove its consistency and asymptotic normality. Finally, we introduce an empirical estimator for its variance and provide conditions for its consistency. An analysis of real data from the Bank of Italy Survey of Income and Wealth is also presented on the basis of the obtained inferential results.

Inter-linkages between remittance and savings in Ghana

PurposeThe increase in volumes and circulation of internal and international remittances have become a substantial part of resource flow for economic development especially in developing countries with a significant impact on household welfare. The purpose of this paper is to examine the relationship between remittances and savings mobilization.Design/methodology/approachUsing the most recent wave of the Ghana Living Standard Survey data, the study accounts for the endogeneity in remittance receipts by employing treatment effect estimators, in addition to a probit model to establish the relationship between remittances and likelihood of savings.FindingsThe results suggest that receiving remittances significantly affects household’s propensity to save. Households that receive international remittances seem to have a slightly higher probability of savings compared to households that receive only domestic remittances.Originality/valueFrom the literature, whereas the theoretical relationship between savings and remittances is mixed, it is also evident that the empirical relationship between remittances and savings has not been clearly established, especially in sub-Saharan African countries in general and Ghana in particular. The present study adds to the paucity in the literature in two main ways. First, the study provides empirical evidence on the relationship between remittances and savings by not only focusing on international remittances but also on internal remittances. Second, in sharp departure from other studies, the current study employs more robust empirical estimators in estimating the relationship between remittances and savings.