Michel Lubrano
Biographic Data
| ID | 5935174 |
|---|---|
| NAME | Michel Lubrano |
| GIVEN NAMES | Michel |
| FAMILY NAME | Lubrano |
| SIGNATURE | LUBRANO M |
| AFFILIATIONS | Centre National de la Recherche Scientifique |
| ORCID | 0000-0003-0448-0307 |
| VERIFIED | Yes |
| TOTAL WORKS | 23 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 22 |
| WORKS AS EDITOR | 1 |
| FIRST PUBLICATION YEAR | 1986 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Bayesian inference for income inequality using a Pareto II tail with an uncertain threshold
A Bayesian look at American academic wages
Bayesian inference for TIP curves
A Bayesian Measure of Poverty in the Developing World
We propose a new methodology to revise the international poverty line (IPL) after Ravallion et al . (2009) using the same database, but augmented with new variables to take into account social inclusion in the definition of poverty along the lines of Atkinson and Bourguignon (2001). We provide an estimation of the world income distribution and of the corresponding number of poor people in the developing world. Our revised IPL is based on an augme…
Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854–871) are contingent on the specification of the model. The use of Heckman's initial conditions combined with observed and not latent lagged dependent variables leads to a counter-intuitive estimation of the true state dependence. The use of Wooldridge's initial conditions together with the observed lagged dependent variable and a proper modellin…
Modeling Interest Rates Using Reducible Stochastic Differential Equations
The following sections are included:IntroductionNonlinear Multivariate ModelingRSDEs with Constant Elasticity VolatilityBivariate Modeling of US and UK Short-term Interest RatesConclusionAppendixReferences
Bayesian Unconditional Quantile Regression
We develop Bayesian inference for an unconditional quantile regression model. Our approach provides better estimates in the upper tail of the wage distribution as well as valid small sample confidence intervals for the Oaxaca–Blinder decomposition. We analyze the recent changes in the US wage structure using data from the CPS Outgoing Rotation Group from 1992 to 2009. We find that the largest part of the recent changes is explained mainly by diff…
Human Capital, Social Capital and Scientific Research in Europe
The theory of human capital, even if it reckons the importance of time in science, is too short for explaining the existing diversity of scientific output. The paper introduces social capital as a necessary complement to explain the creation of scientific human capital. It connects these two concepts by means of a hierarchical econometric model. Bibliographical databases contain much information which is exploited to figure out collaboration, mob…
The Trade-off Between Growth and Redistribution
Why Should We Debate the Theory of Macrojustice
The Redistributive Aspects of Elie
Explicit Solutions for the Asymptotically-Optimal Bandwidth in Cross Validation
On Kolm's Theory of Macrojustice
The Econometrics of Industrial Organization
The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/ . Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article
Bayesian Inference in Dynamic Disequilibrium Models
We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple simulation procedure and renders Bayesian inference fully operational. Identification issues are discussed. We conduct a specification search using the posterior…
Bayesian Inference in Dynamic Disequilibrium Models
Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain
Cet article a pour objet l’investigation des modèles empiriques de taux d’intérêt de court terme sur données américaines. Il utilise une combinaison de méthodes classiques non paramétriques et de méthodes bayésiennes paramétriques. La forme des fonctions de dérive et de volatilité du modèle discrétisé est tout d’abord examinée au moyen d’une analyse non paramétrique préliminaire. Le texte développe ensuite une méthode bayésienne de choix de modèl…
Bayesian Analysis of Dynamic Disequilibrium Models
Ranking Economics Departments in Europe
We provide a ranking of economics departments in Europe and we discuss the methods used to obtain it. The JEL CD-ROM serves as a database for a period covering 10 years. Journals are ranked using a combination of expert opinions and citation data to produce a scale from 1 to 10. The publication output and habits of fifteen European countries plus California are then compared. Individuals with a contribution greater than a predetermined minimum le…
Smooth Transition Garch Models
This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two different regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks have separate effects. The introduction of a threshold allows for a mixed effect. A Bayesian strategy, based on the comparison between posterior and predicti…
Unit roots tests and Sarima models
Bayesian Tests for Co-Integration in the Case of Structural Breaks
This paper considers a special non-linear time series problem, that of testing for co-integration in a Bayesian framework when there is a break in the co-integrating relationship. It is shown that a partial linearization of the likelihood function solves many puzzling questions, in particular identification and common factor restrictions which are originally imbedded in the model. A generalization of the Jeffreys’ prior is derived for the dynamic…
Stability of a U. K. Money Demand Equation
The paper analyses an M3 demand for money equation for the United Kingdom. Attention is paid to the policy change that occurred in 1971 with the introduction of the measure known as Competition and Credit Control. Classical and Bayesian single equation instrumental variables procedures are developed to investigate the exogeneity of the short-term interest rate and the constancy of the parameters of the underlying relationships. The parameters of …
Bayesian Unconditional Quantile Regression
We develop Bayesian inference for an unconditional quantile regression model. Our approach provides better estimates in the upper tail of the wage distribution as well as valid small sample confidence intervals for the Oaxaca–Blinder decomposition. We analyze the recent changes in the US wage structure using data from the CPS Outgoing Rotation Group from 1992 to 2009. We find that the largest part of the recent changes is explained mainly by diff…
Stability of a U. K. Money Demand Equation
The paper analyses an M3 demand for money equation for the United Kingdom. Attention is paid to the policy change that occurred in 1971 with the introduction of the measure known as Competition and Credit Control. Classical and Bayesian single equation instrumental variables procedures are developed to investigate the exogeneity of the short-term interest rate and the constancy of the parameters of the underlying relationships. The parameters of …
Bayesian Tests for Co-Integration in the Case of Structural Breaks
This paper considers a special non-linear time series problem, that of testing for co-integration in a Bayesian framework when there is a break in the co-integrating relationship. It is shown that a partial linearization of the likelihood function solves many puzzling questions, in particular identification and common factor restrictions which are originally imbedded in the model. A generalization of the Jeffreys’ prior is derived for the dynamic…
Unit roots tests and Sarima models
Smooth Transition Garch Models
This paper proposes a new kind of asymmetric GARCH where the conditional variance obeys two different regimes with a smooth transition function. In one formulation, the conditional variance reacts differently to negative and positive shocks while in a second formulation, small and big shocks have separate effects. The introduction of a threshold allows for a mixed effect. A Bayesian strategy, based on the comparison between posterior and predicti…
Ranking Economics Departments in Europe
We provide a ranking of economics departments in Europe and we discuss the methods used to obtain it. The JEL CD-ROM serves as a database for a period covering 10 years. Journals are ranked using a combination of expert opinions and citation data to produce a scale from 1 to 10. The publication output and habits of fifteen European countries plus California are then compared. Individuals with a contribution greater than a predetermined minimum le…
Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain
Cet article a pour objet l’investigation des modèles empiriques de taux d’intérêt de court terme sur données américaines. Il utilise une combinaison de méthodes classiques non paramétriques et de méthodes bayésiennes paramétriques. La forme des fonctions de dérive et de volatilité du modèle discrétisé est tout d’abord examinée au moyen d’une analyse non paramétrique préliminaire. Le texte développe ensuite une méthode bayésienne de choix de modèl…
Bayesian Analysis of Dynamic Disequilibrium Models
Bayesian Inference in Dynamic Disequilibrium Models
The Econometrics of Industrial Organization
The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/ . Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article
Bayesian Inference in Dynamic Disequilibrium Models
We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple simulation procedure and renders Bayesian inference fully operational. Identification issues are discussed. We conduct a specification search using the posterior…
Explicit Solutions for the Asymptotically-Optimal Bandwidth in Cross Validation
On Kolm's Theory of Macrojustice
The Trade-off Between Growth and Redistribution
Why Should We Debate the Theory of Macrojustice
The Redistributive Aspects of Elie
Human Capital, Social Capital and Scientific Research in Europe
The theory of human capital, even if it reckons the importance of time in science, is too short for explaining the existing diversity of scientific output. The paper introduces social capital as a necessary complement to explain the creation of scientific human capital. It connects these two concepts by means of a hierarchical econometric model. Bibliographical databases contain much information which is exploited to figure out collaboration, mob…
Modeling Interest Rates Using Reducible Stochastic Differential Equations
The following sections are included:IntroductionNonlinear Multivariate ModelingRSDEs with Constant Elasticity VolatilityBivariate Modeling of US and UK Short-term Interest RatesConclusionAppendixReferences
Bayesian Unconditional Quantile Regression
We develop Bayesian inference for an unconditional quantile regression model. Our approach provides better estimates in the upper tail of the wage distribution as well as valid small sample confidence intervals for the Oaxaca–Blinder decomposition. We analyze the recent changes in the US wage structure using data from the CPS Outgoing Rotation Group from 1992 to 2009. We find that the largest part of the recent changes is explained mainly by diff…
Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women
We find that the empirical results reported in Chang (Journal of Applied Econometrics 2011; 26(5): 854–871) are contingent on the specification of the model. The use of Heckman's initial conditions combined with observed and not latent lagged dependent variables leads to a counter-intuitive estimation of the true state dependence. The use of Wooldridge's initial conditions together with the observed lagged dependent variable and a proper modellin…
A Bayesian Measure of Poverty in the Developing World
We propose a new methodology to revise the international poverty line (IPL) after Ravallion et al . (2009) using the same database, but augmented with new variables to take into account social inclusion in the definition of poverty along the lines of Atkinson and Bourguignon (2001). We provide an estimation of the world income distribution and of the corresponding number of poor people in the developing world. Our revised IPL is based on an augme…
Bayesian inference for TIP curves
A Bayesian look at American academic wages
Bayesian inference for income inequality using a Pareto II tail with an uncertain threshold
Economics (18 works) · Econometrics (17 works) · Mathematics (15 works) · Computer Science (14 works) · Bayesian probability (10 works) · Monetary Policy and Economic Impact (10 works) · Statistics (10 works) · Artificial Intelligence (7 works) · Economic theories and models (5 works) · Income, Poverty, and Inequality (5 works)