Methods of Robust Econometrics with Applications to Economic Data

• Název práce v češtině: Metody robustní ekonometrie s aplikacemi na ekonomická data
• Název v anglickém jazyce: Methods of Robust Econometrics with Applications to Economic Data
• Klíčová slova: PZI, zpracovatelský průmysl, Česká republika, GMM, rodinný podnik, robustní odhad, LTS, fixní efekty, export, vládní programy, gravity model, panelová data
• Klíčová slova anglicky: FDI, manufacturing industry, Czech Republic, GMM, Family business, robust estimator, LTS, fixed effects, export, government promotion, gravity model, panel data
• Akademický rok vypsání: 2011/2012
• Typ práce: disertační práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. RNDr. Jan Ámos Víšek, CSc.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 15.03.2012
• Datum zadání: 15.03.2012
• Datum a čas obhajoby: 23.05.2012 17:00
• Místo konání obhajoby: IES, Opletalova 26, 110 00 Praha 1, Místnost 109
• Datum odevzdání elektronické podoby: 18.03.2012
• Datum proběhlé obhajoby: 23.05.2012
• Oponenti: Peter Egger

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Předběžná náplň práce

Tato disertační práce se zabývá aplikací metod robustní ekonometrie na reálná ekonomická data. Práce se věnuje zejména problematice zahraničního obchodu české Republiky a dále zaměstnanosti a růstu malých podniků v Evropě. Dále je práce zaměřena na odhady panelových dat, a to jak pomocí klasických postupů (nejmenší čtverce, fixní efekty, GMM), tak i pomocí robustních metod. V práci je využita především metoda nejmenších useknutých čtverců (Least Trimmed Squares - LTS).

První stať� se zabývá analýzou determinant přímých zahraničních investic v českém zpracovatelském průmyslu. Cílem je odhadnout dynamický model, ve kterém je stav přímých zahraničních investic vyjádřen jako funkce různých veličin (podíl práce a kapitálu, R&D, energetická náročnost, podíl zisku na pracovníka, Balassùv index a další). Model je odhadován pomocí nejmenších čtverců, fixních efektů a GMM. Vzhledem k tomu, že výsledky těchto tří odhadnutých modelů nevedou k jednoznačným závěrům, je použita metoda LTS pro odhalení odlehlých pozorování. Po postupném vyloučení dvou sektorů zpracovatelského průmyslu dochází k určitému zlepšení signifikance odhadnutých parametrů v jednotlivých modelech.

Druhá stať� se zabývá problematikou malých rodinných podniků v 28 státech Evropy. V práci odhadujeme modely zaměstnanosti a produktivity pro malé podniky v závislosti na ekonomických a institucionálních veličinách pomocí speciální techniky odhadu. Tato metoda propojuje metodu LTS a metodu klasických fixních efektů (Within Group odhad). Cílem práce je odhadnout sadu modelů a otestovat touto cestou vlastnosti metody odhadu. Použití metody vede se zvyšujícím se počtem vyloučených pozorování ke zvýšení kvality odhadu a ke zvýšení signifikance jednotlivých parametrů.

Poslední stať� se věnuje problematice státní exportní podpory. V této práci je odhadován statický a dynamický gravitační model závislosti českého exportu na různých veličinách. V první řadě se snažíme zjistit, zda je export prokazatelně závislý na exportní podpoře (vyjádřené hodnotou uzavřených smluv Českou exportní bankou), dále model zahrnuje další veličiny (vzdálenost, HDP, populace, politické riziko aj.). Vzhledem k protichůdným závěrům odhadů statického a dynamického modelu je použita metoda LTS, na jejíž základě dochází k vyřazení některých specifických zemí Střední Ameriky, Afriky a Asie z datového souboru. Na základě opětovně získaných odhadů je možné uzavřít, že státní exportní podpora má pozitivní vliv na velikost českého exportu.

Předběžná náplň práce v anglickém jazyce

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.