Effect of social contribution evasion on working time allocation: theoretical contribution in a two sector model
This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific variable will exceed a threshold value. We argue that the contemporaneous model is well-suited to rational expectations applications (and pricing exercises), in that it does not require the initial regimes to be predetermined. We investigate the properties of the model and evaluate its finitesample maximum likelihood performance. We also propose a method to determine the number of regimes based on a modified Hansen (1992) procedure. Furthermore, we construct multiple-step ahead forecasts and evaluate the forecasting performance of the model. Finally, an empirical application of the short term interest rate yield is presented and discussed.
|Date of creation:||01 Apr 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://economia.uniparthenope.it/ise/sito/index.htm
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carillo, Maria Rosaria & Pugno, Maurizio, 2004. "The underground economy and underdevelopment," Economic Systems, Elsevier, vol. 28(3), pages 257-279, September.
- Schneider, Friedrich, 2002. "The Size and Development of the Shadow Economies of 22 Transition and 21 OECD Countries," IZA Discussion Papers 514, Institute for the Study of Labor (IZA).
- Spence, Michael, 1976. "Product Selection, Fixed Costs, and Monopolistic Competition," Review of Economic Studies, Wiley Blackwell, vol. 43(2), pages 217-35, June.
- Dixit, Avinash K & Stiglitz, Joseph E, 1975.
"Monopolistic Competition and Optimum Product Diversity,"
The Warwick Economics Research Paper Series (TWERPS)
64, University of Warwick, Department of Economics.
- Dixit, Avinash K & Stiglitz, Joseph E, 1977. "Monopolistic Competition and Optimum Product Diversity," American Economic Review, American Economic Association, vol. 67(3), pages 297-308, June.
- Lin, Wen-Zhung & Yang, C. C., 2001. "A dynamic portfolio choice model of tax evasion: Comparative statics of tax rates and its implication for economic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1827-1840, November.
- Ethier, Wilfred J, 1982. "National and International Returns to Scale in the Modern Theory of International Trade," American Economic Review, American Economic Association, vol. 72(3), pages 389-405, June.
- Aghion, P. & Howitt, P., 1990.
"A Model Of Growth Through Creative Destruction,"
DELTA Working Papers
90-12, DELTA (Ecole normale supérieure).
- Philippe Aghion & Peter Howitt, 1990. "A Model of Growth Through Creative Destruction," NBER Working Papers 3223, National Bureau of Economic Research, Inc.
- Aghion, P. & Howitt, P., 1989. "A Model Of Growth Through Creative Destruction," UWO Department of Economics Working Papers 8904, University of Western Ontario, Department of Economics.
- Aghion, P. & Howitt, P., 1989. "A Model Of Growth Through Creative Destruction," Working papers 527, Massachusetts Institute of Technology (MIT), Department of Economics.
- Lai, Ching-Chong & Chang, Wen-Ya, 1988. "Tax Evasion and Tax Collections: An Aggregate Demand-Aggregate Supply Analysis," Public Finance = Finances publiques, , vol. 43(1), pages 138-46.
- Romer, Paul M, 1990.
"Endogenous Technological Change,"
Journal of Political Economy,
University of Chicago Press, vol. 98(5), pages S71-102, October.
- Braun, Juan & Loayza, Norman V., 1994. "Taxation, public services, and the informal sector in a model of endogenous growth," Policy Research Working Paper Series 1334, The World Bank.
- Loayza, Norman V., 1996.
"The economics of the informal sector: a simple model and some empirical evidence from Latin America,"
Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 45(1), pages 129-162, December.
- Loayza, Norman A., 1997. "The economics of the informal sector : a simple model and some empirical evidence from Latin America," Policy Research Working Paper Series 1727, The World Bank.
- Jones, Charles I, 1995. "R&D-Based Models of Economic Growth," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 759-84, August.
- Aghion, Philippe & Howitt, Peter, 1992. "A Model of Growth Through Creative Destruction," Scholarly Articles 12490578, Harvard University Department of Economics.
- repec:att:wimass:9610 is not listed on IDEAS
- Ricketts, Martin, 1984. "On the Simple Macroeconomics of Tax Evasion: An Elaboration of the Peacock-Shaw Approach," Public Finance = Finances publiques, , vol. 39(3), pages 420-24.
- Peacock, Alan & Shaw, G K, 1982. "Tax Evasion and Tax Revenue Loss," Public Finance = Finances publiques, , vol. 37(2), pages 269-78.
- Allingham, Michael G. & Sandmo, Agnar, 1972. "Income tax evasion: a theoretical analysis," Journal of Public Economics, Elsevier, vol. 1(3-4), pages 323-338, November.
- Andreoni, J. & Erard, B. & Feinstein, J., 1996.
9610r, Wisconsin Madison - Social Systems.
- Maria Rosaria Carillo & Erasmo Papagni, 2002. "Economia sommersa e crescita economica in presenza di complementarietà tra innovazione e capitale umano," Rivista di Politica Economica, SIPI Spa, vol. 92(3), pages 249-280, May-June.
- Dominik H. Enste & Friedrich Schneider, 2000. "Shadow Economies: Size, Causes, and Consequences," Journal of Economic Literature, American Economic Association, vol. 38(1), pages 77-114, March.
When requesting a correction, please mention this item's handle: RePEc:prt:dpaper:6_2007. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antonietta Milano)The email address of this maintainer does not seem to be valid anymore. Please ask Antonietta Milano to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.