Methods of Robust Econometrics with Appliactions to Economic Data
|Author:||Mgr. Eva Michalíková, Ph.D. (23.5.2012)|
|Year:||2012 - summer|
|Leaders:|| prof. RNDr. Jan Ámos Víšek CSc.
|Work type:|| Dissertations
|Awards and prizes:|
|Abstract:||The present dissertation thesis if focused on the application of methods of robust econometrics to real economic data. We focuse on the issuies of international trade in Czech Republic and the problem of employment and growth of small businesses in Europe. We also focues on estimation of panel data by classical approaches (least squares, fixed effects, GMM) and bzy robust techniques. We focuse mostly on Least Trimmed Squares (LTS).
The first part of dissertation focuses on analyzing determinants of foreign direct investments in the Czech manufacturing industry. The aim is to estimate a dynamic model where the stock of FDI is expressed as a function of several economic factors (capital per labor, profit per worker, R&D, Balassa index and others). We estimate these models by OLS, fixed effects and GMM. With regard to ambiguous results we used least trimmed squares as a diagnostic tool for detection of outliers. Elimination of two polluting industries out of the data set brings certain improvement in significance of some factors.
The second part of dissertation we focus on an estimation of models of employment and net production in 28 European countries for small businesses as a function of economic and institutional variables by special technique of estimation. We describe robust version of within group fixed effects estimation. The aim of paper is to estimate a set of models and to test the properties of estimator. With increasing number of excluded observations this technique leads to improving the quality of model.
The third part of dissertation is devoted to problems of export promotion in Czech Republic. We estimate static and dynamic gravity models where export is expressed in its dependence on export promotion and other variables (distance, GDP, political risk and others). With respect to the impossibility of summarizing the results of both models into one unique conclusion we use LTS as a diagnostic tool. Additional regression analyses lead to the conclusion that together with elimination of some countries of Africa, Central America and southeast Asia export promotion is a significant factor.