This paper studies the use of Monte Carlo simulation techniques in the field of econometrics, specifically statistical inference. First, I examine several estimators by deriving properties explicitly and generate their distributions through simulations. Here, simulations are used to illustrate and support the analytical results. Then, I look at test statistics where derivations are costly because of the sensitivity of their critical values to the data generating processes. Simulations here establish significance and necessity for drawing statistical inference. Overall, the paper examines when and how simulations are needed in studying econometric theories.

Thesis (Ph. D.)--Bob Jones University, 1988. / Bibliography: leaves 365-369.

Thesis (M.A.)--University of Missouri-Columbia, 2004. / Typescript. Includes bibliographical references (leaves 67-80). Also available on the Internet.

Thesis (M.A.)--University of Missouri-Columbia, 2004. / Typescript. Includes bibliographical references (leaves 67-80). Also available on the Internet.

O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasticidade-PIB, tanto para IRPF quanto IRPJ, acima da unidade, na maioria dos modelos estimados, e existem períodos determinados que impactam consideravelmente sobre à arrecadação desses tributos. / This dissertation estimates the GDP elasticity of income tax revenue for individuals (IRPF) and corporations (IRPJ) between 1986 and 2012. Additionally the research incorporates an analysis of the macroeconomic and microeconomic effects of taxation. IRPF and IRPJ are analyzed in great detail, including economic as well as legal aspects. An Error Correction Model is estimated to obtain the elasticities. The results show that both elasticities are higher than unit and that reforms that took place in some periods have a significant impact on tax collection.

O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasticidade-PIB, tanto para IRPF quanto IRPJ, acima da unidade, na maioria dos modelos estimados, e existem períodos determinados que impactam consideravelmente sobre à arrecadação desses tributos. / This dissertation estimates the GDP elasticity of income tax revenue for individuals (IRPF) and corporations (IRPJ) between 1986 and 2012. Additionally the research incorporates an analysis of the macroeconomic and microeconomic effects of taxation. IRPF and IRPJ are analyzed in great detail, including economic as well as legal aspects. An Error Correction Model is estimated to obtain the elasticities. The results show that both elasticities are higher than unit and that reforms that took place in some periods have a significant impact on tax collection.

Ο ρόλος του εμπορίου στην οικονομία και τα οφέλη που επιφέρει είναι σχεδόν τόσο παλιά, όσο και η ίδια η οικονομική επιστήμη. Τις τελευταίες δεκαετίες ο ρόλος της απελευθέρωσης του εμπορίου και τα υποθετικά οφέλη που προκύπτουν από αυτό επεκτάθηκε και θεωρείται ένας από τους επιταχυντές της οικονομικής μεγέθυνσης, αλλά και πρωταρχική πηγή σύγκλισης των οικονομιών των κρατών. Μετά το 2ο παγκόσμιο πόλεμο η σταδιακή απελευθέρωση των αγορών και πρόσφατα το «δόγμα» της παγκοσμιοποίησης άνοιξε νέους ορίζοντες στο διεθνές εμπόριο και προώθησε την δημιουργία εμπορικών συνασπισμών μεταξύ των χωρών παγκοσμίως. Σε μια εν δυνάμει παγκόσμια αρένα συναλλαγών η γνώση για την επιρροή που μπορεί να ασκήσει στην προώθηση της οικονομικής μεγέθυνσης αποτελεί κρίσιμο ζήτημα. Παρά τη μεγάλη προσπάθεια που έχει αφιερωθεί στη μελέτη του ζητήματος, υπάρχουν λίγα πειστικά στοιχεία σχετικά με την επίδραση του εμπορικού ανοίγματος στο εισόδημα των κρατών και στη σύγκλιση της οικονομικής τους μεγέθυνσης. Η παρούσα διατριβή έχει ως θεματικό πυρήνα τη διερεύνηση της επίδρασης που είχε η Σύνοδος της Βαρκελώνης το 1995, στη σύγκλιση της οικονομικής μεγέθυνσης των χωρών της λεκάνης της Μεσογείου. Για τον έλεγχο της ύπαρξης της σύγκλισης αρχικά εφαρμόστηκαν οι έλεγχοι του Dickey-Fuller και Philips-Perron. Κατόπιν στα πλαίσια της ενδογενούς θεωρίας υιοθετήθηκε η ανάλυση με πάνελ παρατηρήσεις. Τα αποτελέσματα ανέδειξαν την παρουσία σύγκλισης μετά τη σύνοδο και με την μεταβλητή του εμπορικού ανοίγματος να συμβάλει σημαντικά. / The role of commerce in economy and the benefits incurred by it, are almost as old as the science of economy itself. Over the last decades, the role of free trade police and the potential benefits of it expanded and this considered to be one of the main factor of economic growth as well as the primary source of convergence of the economies of nations. After the second world war, the gradual free trade policy and recently the “dogma” of globalization opened new horizons in the international commerce and encouraged the establishment of commercial coalitions between countries worldwide. In an existing global arena of transactions, the insight on the influence it can exert in promoting the economic development, remains a crucial matter. In spite of the great effort given on the study of the issue, there is little convincing evidence for the influence of the trade gap concerning the income of nations and the convergence of the economic development. The present dissertation has its thematic core on the study of the influence which the Barcelona summit had in 1985 on the convergence of the economic growth of the Mediterranean countries. To ensure the existence of this convergence initially Dickey – Fuller’ s and Phillips – Perron’s proof techniques were applicable. Then, in the scope of the endogenous theory the analysis through panel observations was adopted. The results proved the existence of convergence after the summit, with the variable of the trade gap contributing significantly.

This study examines the relationship between financial inclusion and economic growth, more specifically if financial inclusion is an important factor for economic growth. A sub question was stated as well, if the six proxies of the financial inclusion measurement respectively have an impact on economic growth. To help examine this research area we have compiled panel data from 20 countries with different income levels over a time period of 19 years. The time period on which this study is focusing is 2002-2020. The tests conducted in this study are the Dickey-Fuller unit root test and the Arellano-Bond dynamic panel GMM method. Given the result of the dynamic panel estimation, we found that financial inclusion has a positive relation to economic growth. The result also indicated that three of the six proxies for financial inclusion were statistically significant and have a positive relation to economic growth. To conclude, the study found empirical evidence that financial inclusion is an important factor for economic growth.

This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. The purpose is to try and find evidence of mean reversion on both lists and if a black swan event will interfere with the mean reverting behaviour. The results we could find was that there is mean reversion on the market for our time period 2005-2022. We could also find evidence of mean reversion during the three black swan events, 2008 financial crisis, Brexit, and Covid-19 pandemic.

This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. The research was conducted with a positivistic philosophy in conjunction with a realistic approach. Since the research question has been deducted from the theoretical framework the research has a deductive approach, a quantitative technique was adapted when the data at hand was mainly future and spot rate data.   Data on 13 currencies ranging from 2005 to 2010 was used. The prices were available in weekly intervals for all currencies except for the Brazilian real, Swiss frank and the Mexican peso. The statistical test that was used is the Augmented Dickey-Fuller test and the Phillips-Ouliaris cointegration test. The test was conducted on the whole timeframe. After that, the data was divided into three sub periods to show if the efficiency where different in the period before the crises (2005-2007), during the crises (2008-2009) and after the crises (2010). The test has also been done on annual and quarterly data to show if the length of the time period tested has an effect on efficiency. The PO test has been conducted on all data and the ADF test has been conducted on the whole timeframe and the sub periods.   The results show that, ten of the currencies which we had weakly data, the future is a good predictor of the future spot exchange rate. This is true when the tests are done on an interval of one year and more. For the three currencies that we had monthly data, the results showed cointegration on the whole timeframe. When shorter time periods were tested the currencies that consisted of monthly data showed no cointegration sooner than the weakly data. When test is done on quarterly data, only one test is cointegrated. It cannot concluded that, the future was not a good predictor for the future spot exchange rate during this time, merely that this particular test might be the true one and that the tests where not able to capture it. Several reasons for this are presented in the analysis chapter, where the statistical tests and their design are mentioned among other reasons.