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CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Furio Camillo Rosati - Director "Ordered Correlation Forest" 
CEIS Working Paper No. 577 RICCARDO DI FRANCESCO, University of Rome Tor Vergata - Department of Economics and Finance
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Empirical studies in various social sciences often involve categorical outcomes with inherent ordering, such as self-evaluations of subjective well-being and self-assessments in health domains. While ordered choice models, such as the ordered logit and ordered probit, are popular tools for analyzing these outcomes, they may impose restrictive parametric and distributional assumptions. This paper introduces a novel estimator, the ordered correlation forest, that can naturally handle non-linearities in the data and does not assume a specific error term distribution. The proposed estimator modifies a standard random forest splitting criterion to build a collection of forests, each estimating the conditional probability of a single class. Under an “honesty” condition, predictions are consistent and asymptotically normal. The weights induced by each forest are used to obtain standard errors for the predicted probabilities and the covariates’ marginal effects. Evidence from synthetic data shows that the proposed estimator features a superior prediction performance than alternative forest-based estimators and demonstrates its ability to construct valid confidence intervals for the covariates’ marginal effects. "On the Output Effect of Fiscal Consolidation Plans: A Causal Analysis"
CEIS Working Paper No. 578 LORENZO CARBONARI, UniversitĂ di Roma "Tor Vergata"
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ALESSIO FARCOMENI, University of Rome Tor Vergata - Department of Economics and Finance
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FILIPPO MAURICI, University of Rome Tor Vergata
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GIOVANNI TROVATO, University of Rome Tor Vergata - Faculty of Economics
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Using data from 16 OECD countries over the period 1981-2011, this paper studies how different policy announcements affect economic growth in situations of fiscal consolidation. We focus on government announcements regarding reductions in expenditure and increases in taxation. We use a mediation analysis to uncover the direct and indirect effects elicited by such announcements. We find that during debt consolidation periods, announcements related to consolidation plans have no direct impact on GDP growth. However, spending cuts announcements have substantial negative indirect effects, resulting in overall negative total effects, while tax increases have negligible indirect and overall impacts. Our findings propose a new interpretation of the results of Alesina et al. (2015b): in terms of announcements, once accounting for indirect effects, spending cuts are more harmful to growth than tax hikes. "Monetary Regimes and Real Exchange Rates: Long-Run Evidence at the Product Level"
CEIS Working Paper No. 579 JASON KIM, Brown University
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MARCO MELLO, University of Aberdeen
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COSIMO PETRACCHI, University of Rome Tor Vergata - Department of Economics and Finance
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Compiling a novel dataset of prices for products sold in sixteen European countries starting in 1972, we establish that monetary-regime breaks, from peg to floating regimes, increase not only the volatility of nominal exchange rates, but also the volatility of product-level real exchange rates. Our result holds for any type of products-tradables versus nontradables-although the volatility of the real exchange rates of tradables responds less to breaks than the volatility of the real exchange rates of nontradables. Overall, the law of one price is less likely to hold under floating regimes for both tradables and nontradables. | | ^top
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