Nauki Humanistyczne i Społeczne

Central European Journal of Economic Modelling and Econometrics

Zawartość

Central European Journal of Economic Modelling and Econometrics | 2014 | No 4

Abstrakt

We calculate the dynamics of tax evasion within a multi-agent econophysics model which is adopted from the theory of magnetism and previously has been shown to capture the main characteristics from agent-based based models which build on the standard Allingham and Sandmo approach. In particular, we implement a feedback of public goods provision on the decision-making of selfish agents which aim to pursue their self interest. Our results imply that such a feedback enhances the moral attitude of selfish agents thus reducing the percentage of tax evasion. Two parameters govern the behavior of selfish agents, (i) the rate of adaption to changes in public goods provision and (ii) the threshold of perception of public goods provision. Furtheron we analyze the tax evasion dynamics for different agent compositions and under the feedback of public goods provision. We conclude that policymakers may enhance tax compliance behavior via the threshold of perception by means of targeted public relations.

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Autorzy i Afiliacje

Sascha Hokamp
Götz Seibold

Abstrakt

In recent years, autoregressive conditional duration models (ACD models) introduced by Engle and Russell in 1998 have become very popular in modelling of the durations between selected events of the transaction process (trade durations or price durations) and modelling of financial market microstructure effects. The aim of the paper is to develop Bayesian inference for the ACD models. Different specifications of ACD models will be considered and compared with particular emphasis on the linear ACD model, Box-Cox ACD model, augmented Box-Cox ACD model and augmented (Hentschel) ACD model. The analysis will consider models with the Burr distribution and the generalized Gamma distribution for the innovation term. Bayesian inference will be presented and practically used in estimation of and prediction within ACD models describing trade durations. The MCMC methods including Metropolis-Hastings algorithm are suitably adopted to obtain samples from the posterior densities of interest. The empirical part of the work includes modelling of trade durations of selected equities from the Polish stock market.

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Autorzy i Afiliacje

Roman Huptas

Abstrakt

We study the autocovariance structure of a general Markov switching second-order stationary VARMA model.Then we give stable finite order VARMA(p*, q*) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p* and q* with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states.

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Autorzy i Afiliacje

Maddalena Cavicchioli

Instrukcja dla autorów


The Central European Journal of Economic Modelling and Econometrics bases on a fully electronic editorial system available at cejeme.com, cejeme.org, cejeme.eu or cejeme.pl. This web-based editorial tracking software enables a paper-free operation of the key editorial functions of the Journal. Papers are submitted for publication electronically via electronic system (see the link "Submit article"). Also the system provides free access to the electronic form of each issue. In the review process the Central European Journal of Economic Modelling and Econometrics obeys the double blind policy. Authors submitting articles to the Central European Journal of Economic Modelling and Econometrics must follow the guidelines available at: http://www.cejeme.com/submissionguidelines.aspx. Any manuscript which does not conform to instructions will be rejected.


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