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Articles 31 - 60 of 85
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Testing For Multiple Bubbles 2: Limit Theory Of Real Time Detectors, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Testing For Multiple Bubbles 2: Limit Theory Of Real Time Detectors, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Research Collection School Of Economics
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolves as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right tailed unit root tests (each with a di§erent recursive algorithm) that may be used in real time to locate the origination and collapse dates of bubbles. …
Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David Kuo Chuen Lee, Alan Cheong, Kok Fai Phoon, Karol Wee
Housing Policies In Singapore: Evaluation Of Recent Proposals And Recommendations For Reform, Sock Yong Phang, David Kuo Chuen Lee, Alan Cheong, Kok Fai Phoon, Karol Wee
Research Collection School Of Economics
The Singapore housing market is unusual in its high homeownership rate, the dominance of HDB housing, and the extensive intervention of the government in regulating housing supply and demand in both the HDB and private housing sectors. Recent rapid population increases in a low interest rate and high global liquidity environment has resulted in accelerated house prices increases in Singapore. Earlier this year, the government launched “Our Singapore Conversation” of which discussion on housing policies constitutes one major component. This “conversation” comes in the wake of several consecutive rounds of measures to stabilize housing prices using various instruments. This paper …
Inconsistent Var Regression With Common Explosive Roots, Peter C. B. Phillips, Tassos Magdalinos
Inconsistent Var Regression With Common Explosive Roots, Peter C. B. Phillips, Tassos Magdalinos
Research Collection School Of Economics
Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved.
Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Testing For Multiple Bubbles 1: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Research Collection School Of Economics
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple bubble phenomena within the same sample period. To meet this challenge the present paper develops a new recursive flexible window method that is better suited for practical implementation with long …
Contract Enforcement: A Political Economy Model Of Legal Development, Fali Huang
Contract Enforcement: A Political Economy Model Of Legal Development, Fali Huang
Research Collection School Of Economics
In an effort to understand why the relative usage of relational and legal contracts differs across societies, this article builds a political economy model of legal development where legal quality of contract enforcement is a costly public good. It finds that legal investment tends to be too small under elite rule but too large under majority rule in comparison with the socially optimal level. Furthermore, elite rule, low legal quality, and high-income inequality may form a self-perpetuating circle that hinders economic development. In contrast to the conventional view, this article suggests that the often-observed association between heavy reliance on relational …
Allocative Efficiency, Mark-Ups, And The Welfare Gains From Trade, Thomas J. Holmes, Wen-Tai Hsu, Sanghoon Lee
Allocative Efficiency, Mark-Ups, And The Welfare Gains From Trade, Thomas J. Holmes, Wen-Tai Hsu, Sanghoon Lee
Research Collection School Of Economics
This paper develops an index of allocative efficiency that depends upon the distribution of mark-ups across goods and is separable from an index of standard Ricardian gains from trade. It determines how changes in trade frictions affect allocative efficiency in an oligopoly model of international trade, decomposing the effect into the cost-change channel and the price-change channel. Formulas are derived shedding light on the signs and magnitudes of the two channels. In symmetric country models, trade tends to increase allocative efficiency through the cost-change channel, yielding a welfare benefit beyond productive efficiency gains. In contrast, the price-change channel has ambiguous …
Robust Estimation And Inference For Jumps In Noisy High Frequency Data: A Local-To-Continuity Theory For The Pre-Averaging Method, Jia Li
Research Collection School Of Economics
We develop an asymptotic theory for the pre-averaging estimator when asset price jumps are weakly identified, here modeled as local to zero. The theory unifies the conventional asymptotic theory for continuous and discontinuous semimartingales as two polar cases with a continuum of local asymptotics, and explains the breakdown of the conventional procedures under weak identification. We propose simple bias-corrected estimators for jump power variations, and construct robust confidence sets with valid asymptotic size in a uniform sense. The method is also robust to certain forms of microstructure noise.
Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow
Is The Renminbi East Asia’S Dominant Reference Currency? A Reconsideration, Hwee Kwan Chow
Research Collection School Of Economics
Recent empirical studies show that the Chinese currency renminbi is either becoming or has become a dominant reference currency in East Asia. This paper reviews the evidence with daily exchange rate data from seven East Asian economies namely, Indonesia, Korea, Malaysia, the Philippines, Singapore, Thailand and Taiwan. We consider the likely problems and pitfalls associated with the application of Frankel-Wei regressions to determine the weights of the US dollar and the renminbi in the implicit currency baskets. We show empirically the estimation of currency weights using non-orthogonalised renminbi movements could suffer from imprecision and/or inconsistency. To circumvent the simultaneity bias …
Policy Responses In An Unstable Globalized Economy: Multi-Stressed Low-Earning Families In Singapore, Irene Y. H. Ng, Kong Weng Ho
Policy Responses In An Unstable Globalized Economy: Multi-Stressed Low-Earning Families In Singapore, Irene Y. H. Ng, Kong Weng Ho
Research Collection School Of Economics
The Singapore government responded swiftly to the 2008 global recession, doling out a range of policies in aid of all levels of wage earners. This paper explores the impacts of economic trends and government policies on low-wage earners. Using a theoretical model and empirical data from a pilot study of recipients of a government Work Support Program, it demonstrates the effects of socioeconomic factors on multi-stressed low-earning families. It discusses the adequacy of current policies in addressing the multiple stressors experienced by low-wage earners.
The Consequences Of A Public Health Insurance Option: Evidence From Medicare Part D Prescription Drug Markets, Daniel P. Miller, Jungwon Yeo
The Consequences Of A Public Health Insurance Option: Evidence From Medicare Part D Prescription Drug Markets, Daniel P. Miller, Jungwon Yeo
Research Collection School Of Economics
This paper examines a public option competing alongside private insurers in Medicare Part D. We estimate a random coefficient demand system and oligopoly supply-side model with endogenous premium subsidies and risk adjustment payments. If the public option does not affect health risk sorting, counterfactual results show modest competitive benefits. However, increased subsidy payments eliminate welfare gains regardless of the public option's cost position. If the public option adversely selects -- facilitating insurers' ability to cream-skim favorable risk -- the risk adjustment mechanism creates a downward pricing distortion, amplifying competitive benefits. Despite greater selection, total surplus may increase, but the division …
How Does Childbirth Alter Intrahousehold Resource Allocation?: Evidence From Japan, Tomoki Fujii, Ryuichiro Ishikawa
How Does Childbirth Alter Intrahousehold Resource Allocation?: Evidence From Japan, Tomoki Fujii, Ryuichiro Ishikawa
Research Collection School Of Economics
Exploiting unique panel data that include direct measurements of resource allocation within households, we investigated the impact of childbirth on intrahousehold allocation for married Japanese couples. Based on a collective model of the household, we developed reduced-form and structural-form estimation equations that allow us to focus on private goods to track the changes in intrahousehold resource allocation. We found one additional child is associated with a reduction in the wife's private expenditure share by at least two percentage points. This may be because she substitutes more say in decisions on the children for her own private expenditure share.
Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide
Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide
Research Collection School Of Economics
This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a certain moment condition must hold in general for the prediction estimator based on a Generalized-Method-of-Moment estimator to be at least as efficient as the sample mean. In an application to cost-effective double sampling, the authors show how prediction estimators may be adopted to maximize statistical precision (minimize financial costs) under a budget constraint (statistical …
Welfare Reform And At-Risk Mothers' Labour Supply, Christine Ho
Welfare Reform And At-Risk Mothers' Labour Supply, Christine Ho
Research Collection School Of Economics
We analyse the impact of the early 1990s welfare waivers and the 1996 TANF reform in the United States on at-risk mothers' labour supply behaviour using the PSID. We find that whereas the welfare waivers had limited impacts on at-risk mothers, the TANF reform played an important role in encouraging those mothers to increase their labour supply at the intensive margin.
Solving Myanmar’S Catch-22, Sim Yee Lau, Kim Song Tan
Solving Myanmar’S Catch-22, Sim Yee Lau, Kim Song Tan
Research Collection School Of Economics
No abstract provided.
Political Risk And Institutional Quality Difference Across Countries: Impacts On Fdi By Multinational Firms, Pao Li Chang, Chia-Hui Lu
Political Risk And Institutional Quality Difference Across Countries: Impacts On Fdi By Multinational Firms, Pao Li Chang, Chia-Hui Lu
Research Collection School Of Economics
No abstract provided.
Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas
Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas
Research Collection School Of Economics
A highly acclaimed result is that tournaments are superior to piece rates when the agents are risk averse and their production activities are subject to a relatively large common shock. The reason is that tournaments allow the principal to trade insurance for lower income to the agents. Our analysis shows that this celebrated result does not carry over to the case when a limited liability (bankruptcy) constraint limits the payments the principal can make, provided that the liquidation value of the firm is sufficiently small. This finding has important implications for the vast number of limited liability firms. Even though …
Do Singaporeans Spend Too Much On Housing?, Sock Yong Phang
Do Singaporeans Spend Too Much On Housing?, Sock Yong Phang
Research Collection School Of Economics
According to a 2011 IMF study, Singapore's level of government intervention in housing finance is the highest in the developed world (Slide 3). This level of intervention in housing finance has correspondingly produced the highest level of homeownership amongst advanced countries. This housing outcome is the result of our very unique HDB-CPF housing framework – an institutional framework that was established in the 1960s during the formative period of our country?s history (Slides 4 and 5). Singapore was, at that particular point in time, faced with a situation of chronic housing shortage, low homeownership rates and an underdeveloped housing mortgage …
A Nonparametric Poolability Test For Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
A Nonparametric Poolability Test For Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
Research Collection School Of Economics
In this article we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values. A small set of Monte Carlo simulations indicate the test performs reasonably well in finite …
Nonparametric Dynamic Panel Data Models With Interactive Fixed Effects: Sieve Estimation And Specification Testing, Liangjun Su, Yonghui Zhang
Nonparametric Dynamic Panel Data Models With Interactive Fixed Effects: Sieve Estimation And Specification Testing, Liangjun Su, Yonghui Zhang
Research Collection School Of Economics
In this paper we analyze nonparametric dynamic panel data models with interactive fixed effects, where the predetermined regressors enter the models nonparametrically and the common factors enter the models linearly but with individual specific factor loadings. We consider the issues of estimation and specification testing when both the cross-sectional dimension and the time dimension are large. We propose sieve estimation for the nonparametric function by extending Bai’s (2009) principal component analysis (PCA) to our nonparametric framework. Based on the asymptotic expansion of the Gaussian quasi-log-likelihood function, we derive the convergence rate for the sieve estimator and establish its asymptotic normality. …
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Rezmi Sanver, Arunava Sen
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Rezmi Sanver, Arunava Sen
Research Collection School Of Economics
In this paper, we investigate domains that admit “well-behaved” strategy-proof social choice functions. We show that if the number of voters is even, then every domain that satisfies a richness condition and admits an anonymous, tops-only, unanimous and strategy-proof social choice function, must be semi-single-peaked. Conversely every semi-single-peaked domain admits an anonymous, tops-only, unanimous and strategy-proof social choice function. Semi-single-peaked domains are generalizations of single-peaked domains on a tree introduced by Demange (1982).
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Research Collection School Of Economics
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values of the LM statistics. Conditions for their validity are clearly laid out and formal justifications are given in general, and in details under several popular spatial LM …
Collusion Set Detection Using A Quasi Hidden Markov Model, Zhengxiao Wu, Xiaoyu Wu
Collusion Set Detection Using A Quasi Hidden Markov Model, Zhengxiao Wu, Xiaoyu Wu
Research Collection School Of Economics
In stock market, a collusion set is defined as a group of individuals or organizations who act cooperatively with an intention of manipulating security price. Collusion-based malpractices impose large costs on the economy, but few techniques have yet been developed for collusion set detection. In this article, we propose a quasi hidden Markov model (QHMM) approach. In particular, we consider the transactions as a marked point process with hidden states, and we calculate the class conditional probabilities to identify the malicious transactions. The detection algorithms associated with the model are recursive, hence suitable for online monitoring and detection. The QHMM …
A Smooth Test For The Equality Of Distributions, Anil Bera, Aurobindo Ghosh, Zhijie Xiao
A Smooth Test For The Equality Of Distributions, Anil Bera, Aurobindo Ghosh, Zhijie Xiao
Research Collection School Of Economics
The two-sample version of the celebrated Pearson goodness-of-fit problem has been a topic of extensive research, and several tests like the Kolmogorov-Smirnov and Cramer-von Mises have been suggested. Although these tests perform fairly well ´ as omnibus tests for comparing two probability density functions (PDFs), they may have poor power against specific departures such as in location, scale, skewness, and kurtosis. We propose a new test for the equality of two PDFs based on a modified version of the Neyman smooth test using empirical distribution functions minimizing size distortion in finite samples. The suggested test can detect the specific directions …
Impact Of Food Inflation On Poverty In The Philippines, Tomoki Fujii
Impact Of Food Inflation On Poverty In The Philippines, Tomoki Fujii
Research Collection School Of Economics
We simulate the impact of food inflation between June 2006 and June 2008 on poverty across different areas and between agricultural and non-agricultural households. We explicitly treat the spatial heterogeneity in food inflation and the differences in consumption and production patterns across households by merging household expenditure survey and price datasets at the provincial level or lower. Although some of the poor agricultural households may have escaped poverty, the poorest of the poor, whether they are in an agricultural household or not, are severely and adversely affected by the food inflation.
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Research Collection School Of Economics
Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or distributional relationships among the variables of interest. Motivated by the literature on testing conditional independence, we propose a new nonparametric test for asymmetric information, which is applicable in a variety of situations. We demonstrate that the test works reasonably well through …
Testing Monotonicity In Unobservables With Panel Data, Liangjun Su, Stefan Hoderlein, Halbert White
Testing Monotonicity In Unobservables With Panel Data, Liangjun Su, Stefan Hoderlein, Halbert White
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a crucial identifying assumption for an important class of nonparametric structural models accommodating unobserved heterogeneity. Tests for this monotonicity have previously been unavailable. This paper proposes and analyzes tests for scalar monotonicity using panel data for structures with and without time-varying unobservables, either partially or fully nonseparable between observables and unobservables. Our nonparametric tests are computationally straightforward, have well behaved limiting distributions under the null, are consistent against precisely specified alternatives, and have standard local power properties. We provide straightforward bootstrap methods for inference. Some Monte Carlo experiments show that, for empirically relevant sample …
Local Linear Gmm Estimation Of Functional Coefficient Iv Models With Application To The Estimation Of Rate Of Return To Schooling, Liangjun Su, Irina Murtazashvili, Aman Ullah
Local Linear Gmm Estimation Of Functional Coefficient Iv Models With Application To The Estimation Of Rate Of Return To Schooling, Liangjun Su, Irina Murtazashvili, Aman Ullah
Research Collection School Of Economics
We consider the local linear GMM estimation of functional coe cient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable that minimizes the asymptotic variance-covariance matrix among the class of all local linear GMM estimators. Data-dependent bandwidth sequences are also allowed for. We propose a nonparametric test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis as well as a sequence of local alternatives and global alternatives, and propose a bootstrap version for …
Robust Virtual Implementation: Toward A Reinterpretation Of The Wilson Doctrine, Georgy Artemov, Takashi Kunimoto, Roberto Serrano
Robust Virtual Implementation: Toward A Reinterpretation Of The Wilson Doctrine, Georgy Artemov, Takashi Kunimoto, Roberto Serrano
Research Collection School Of Economics
We study a mechanism design problem where arbitrary restrictions are placed on the sets of first-order beliefs of agents. Calling these restrictions Δ, we use Δ-rationalizability (Battigalli and Siniscalchi, 2003, [5]) as our solution concept, and require that a mechanism virtually implement a socially desirable outcome. We obtain two necessary conditions, Δ-incentive compatibility and Δ-measurability and show that the latter is satisfied as long as a particular zero-measure set of first-order beliefs is ruled out. In environments allowing small transfers of utility among agents, these two conditions are also sufficient.
A Note On Separability And Intra-Household Resource Allocation In A Collective Household Model, Tomoki Fujii, Ryuichiro Ishikawa
A Note On Separability And Intra-Household Resource Allocation In A Collective Household Model, Tomoki Fujii, Ryuichiro Ishikawa
Research Collection School Of Economics
This paper shows that it is possible to track the changes in the distribution of power within a couple by focusing on the changes in the pattern of private consumption when the consumption decisions are efficient and private consumption is separable from public consumption in individual preferences. We first show that the separability of private consumption from public consumption at the individual level carries over to the household level. Hence, changes in public consumption only matters through a change in the residual budget available for private consumption. When the consumption decisions within the household is efficient, private consumption decisions can …
Bias In The Mean Reversion Estimator In Continuous-Time Gaussian And Lévy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu
Bias In The Mean Reversion Estimator In Continuous-Time Gaussian And Lévy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu
Research Collection School Of Economics
Continuous-time Levy processes have become increasingly popular in the asset pricing literature and estimation of the mean reversion parameter has attracted attention recently. This paper develops the approximate nite-sample bias of the ordinary least squares or quasi maximum likelihood estimator of the mean reversion parameter in continuous-time Levy processes. Simulations show that in general the approximate bias works well in capturing the true bias of the mean reversion estimator under difference scenarios. However, when the time span is small and the mean reversion parameter is approaching its lower bound, we find it more difficult to approximate well the nite-sample bias.