Physical Sciences and Mathematics Commons^™

Time Series, Unit Roots, And Cointegration: An Introduction, Lonnie K. Stevans

Lonnie K. Stevans

The econometric literature on unit roots took off after the publication of the paper by Nelson and Plosser (1982) that argued that most macroeconomic series have unit roots and that this is important for the analysis of macroeconomic policy. Yule (1926) suggested that regressions based on trending time series data can be spurious. This problem of spurious correlation was further pursued by Granger and Newbold (1974) and this also led to the development of the concept of cointegration (lack of cointegration implies spurious regression). The pathbreaking paper by Granger (1981), first presented at a conference at the University of Florida …

On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar

CBN Journal of Applied Statistics (JAS)

In this article, we present a procedure for obtaining an optimal solution to the Markowitz’s mean-variance portfolio selection problem based on the analytical solution developed in a previous research that lead to the emergence of an important model known as the Black Model. The procedure is well presented, illustrated and validated by a numerical example from real stocks dataset obtainable from a popular European stock market.

On The Development Of Residential Property Price Indices For Nigeria, Olowofeso E. Olorunsola, Abiodun S. Bada, Mohammed A. Bamanga

CBN Journal of Applied Statistics (JAS)

This work focuses on the development of house price indices for Nigeria, and the estimates of the Nigerian Residential Property Price Indices on housing characteristics are presented. Four main methods of index construction were considered, these are hedonic regression, repeat-sales, stratification and central price tendency methods. It was discovered that econometric methods like hedonic and repeat sales were constraints in constructing residential property price indices for Nigeria by the nature of the data available. Hence, the central price tendency and the sale-based stratification methods which are internationally used measures were applied to the available zonal-level dataset from a survey of …

Analysis Of Crime Data Using Principal Component Analysis: A Case Study Of Katsina State, Shehu U. Gulumbe, Dikko H. .G., Bello Yusuf

CBN Journal of Applied Statistics (JAS)

This paper analyses Katsina State crime data which consists of the averages of eight major crimes reported to the police for the period 2006 – 2008. The crimes consist of robbery, auto theft, house and store breakings, theft/stealing, grievous hurt and wounding, murder, rape, and assault. Correlation analysis and principal component analysis (PCA) were employed to explain the correlation between the crimes and to determine the distribution of the crimes over the local government areas of the state. The result has shown a significant correlation between robbery, theft and vehicle theft. While MSW local government area has the lowest crime …

Inflation And Economic Growth In Nigeria: Detecting The Threshold Level, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

This paper re-examines the issue of the existence and the level of inflation threshold in the relationship between inflation and growth in Nigeria, using three different approaches that provide appropriate procedures for estimating the threshold level and inference. While Sarel’s (1996) approach provides a threshold point estimate of 9.9 per cent that was not well identified by the data, the technique of Khan and Senhadji (2001) identifies a 10.5 per cent inflation threshold as statistically significant to explain the inflation-growth nexus in Nigeria. Also, the approach of Drukker et al (2005) suggests a two threshold point model with 11.2 and …

Understanding The Dynamics Of Inflation Volatility In Nigeria: A Garch Perspective, Babatunde S. Omotosho, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria’s inflation volatility between 1996 and 2011. Of the competing models, the asymmetric TGARCH (1,1) provides an appropriate paradigm for explaining the dynamics of headline and core CPI volatilities in Nigeria, while the symmetric GARCH (1,1) was found to be adequate for food CPI. The results are quite revealing. Firstly, model outcomes indicate …

The Economics Of Open Source, Christopher H. Hoebeke

Christopher H Hoebeke

No abstract provided.

Convex Combinations Of Quadrant Dependent Copulas, Martin Egozcue, Luis Fuentes García, Wing Wong, Ricardas Zitikis

Martin Egozcue

It is well known that quadrant dependent (QD) random variables are also quadrant dependent in expectation (QDE). Recent literature has offered examples rigorously establishing the fact that there are QDE random variables which are not QD. The examples are based on convex combinations of specially chosen QD copulas: one negatively QD and another positively QD. In this paper we establish general results that determine when convex combinations of arbitrary QD copulas give rise to negatively or positively QD/QDE copulas. In addition to being an interesting mathematical exercise, the established results are helpful when modeling insurance and financial portfolios.

Should Voting Be Mandatory? Democratic Decision Making From The Economic Viewpoint, Olga Kosheleva, Vladik Kreinovich, Boakun Li

Departmental Technical Reports (CS)

Many decisions are made by voting. At first glance, the more people participate in the voting process, the more democratic -- and hence, better -- the decision. In this spirit, to encourage everyone's participation, several countries make voting mandatory. But does mandatory voting really make decisions better for the society? In this paper, we show that from the viewpoint of decision making theory, it is better to allow undecided voters not to participate in the voting process. We also show that the voting process would be even better -- for the society as a whole -- if we allow partial …

Obtaining Critical Values For Test Of Markov Regime Switching, Douglas G. Steigerwald, Valerie Bostwick

Douglas G. Steigerwald

For Markov regime-switching models, testing for the possible presence of more than one regime requires the use of a non-standard test statistic. Carter and Steigerwald (forthcoming, Journal of Econometric Methods) derive in detail the analytic steps needed to implement the test ofMarkov regime-switching proposed by Cho and White (2007, Econometrica). We summarize the implementation steps and address the computational issues that arise. A new command to compute regime-switching critical values, rscv, is introduced and presented in the context of empirical research.

Mindscapes And Landscapes: Hayek And Simon On Cognitive Extension, Leslie Marsh

Leslie Marsh

Hayek’s and Simon’s social externalism runs on a shared presupposition: mind is constrained in its computational capacity to detect, harvest, and assimilate “data” generated by the infinitely fine-grained and perpetually dynamic characteristic of experience in complex social environments. For Hayek, mind and sociality are co-evolved spontaneous orders, allowing little or no prospect of comprehensive explanation, trapped in a hermeneutically sealed, i.e. inescapably context bound, eco-system. For Simon, it is the simplicity of mind that is the bottleneck, overwhelmed by the ambient complexity of the environmental. Since on Simon’s account complexity is unidirectional, Simon is far more ebullient about the prospects …

Clean Energy: The Economics Of Why And How, Adele C. Morris

Brookings Scholar Lecture Series

One rationale for large public investments in clean energy technology points to concerns that have not been addressed by other policies, most notably greenhouse gas emissions and energy security. Another inspiration for clean energy policy suggests that strategic government investments would increase domestic firms' market share of a growing industry and thus help domestic firms and workers. This lecture examines the economic case for clean energy policy in the United States and addresses the issues state and local governments confront in building a clean energy industry.

Disparities In Globalization Of The World Economies, Sudhanshu K. Mishra, Binod Kumar

Sudhanshu K Mishra

This paper constructs composite indices of globalization of 131 countries spread over the five continents and classified into World-I, World-II and World-III countries. KOF, the Business Cycle Research Institute in the Swiss Federal Institute of Technology, Zurich is the source of data used in this study. The Composite Indices of Globalization have been computed by Pena’s method, which attributes the most desirable properties to the indices so constructed. On the basis of these indices, the paper investigates into the trends of globalization and disparities in globalization for a period of 11 years (1999-2009). Disparities have been obtained as the Gini’s …

Competition In Information Technologies: Standards-Essential Patents, Non-Practicing Entities And Frand Bidding, Herbert J. Hovenkamp

All Faculty Scholarship

Standard Setting is omnipresent in networked information technologies. Virtually every cellular phone, computer, digital camera or similar device contains technologies governed by a collaboratively developed standard. If these technologies are to perform competitively, the processes by which standards are developed and implemented must be competitive. In this case attaining competitive results requires a mixture of antitrust and non-antitrust legal tools.

FRAND refers to a firm’s ex ante commitment to make its technology available at a “fair, reasonable and nondiscriminatory royalty.” The FRAND commitment results from bidding to have one’s own technology selected as a standard. Typically the FRAND commitment is …

Sustainable Water Management On Brownfields Sites, Ryan Fenwick, New England Environmental Finance Center

Sustainable Communities Capacity Building

This practice guide was developed by the Environmental Finance Center Network (EFCN) through the Capacity Building for Sustainable Communities program funded by the US Department of Housing and Urban Development and the US Environmental Protection Agency. Through a cooperative agreement with HUD, EFCN is providing capacity building and technical assistance to recipients of grants from the federal Partnership for Sustainable Communities, an interagency collaboration that aims to help towns, cities, and regions develop in more economically, environmentally, and socially sustainable ways.

Simple, Sustainable Living: An Illustrated Journal, Jenn Livermore

Independent Study Project (ISP) Collection

As we are faced with the gravity of climate change, fundamental lifestyle changes need to occur in order to achieve a sustainable future. The purpose of my creative project was to create an illustrated journal that promotes simple and sustainable living in Melbourne. This paper describes the process undertaken to complete this project. Initially, I discuss the power of art in transitioning to a post-growth society and the benefits of using an illustrated journal as an artistic medium. I also outline the background of the voluntary simplicity movement. In my Methods section, I discuss why Melbourne was a perfect location …

“Podemos Vivir Sin Oro, Pero No Sin Agua”: Un Estudio De La Minería, Sus Efectos Y El Movimiento De Resistencia En Azuay, Ecuador, Kyle Schneider

Independent Study Project (ISP) Collection

“Si bien los gobiernos neoliberales que se sucedieron en la década de los noventa definieron un marco legal e institucional ‘atractivo’ y permisivo para la inversión extranjera en el sector minero ecuatoriano, el gobierno de Rafael Correa es el primero que apuesta por la gran minería como una actividad estratégica para el modelo económico de Ecuador.”[1] Esta cita explica la política del actual gobierno con respecto a la minería, y como las industrias extractivas se han convertido en parte principales del ambicioso plan del gobierno para recaudar fondos para sus obras públicas y la inversión social. El hecho de …

Regional Specialization: Measurement & Application, Zheng Lu

Zheng Lu (Chinese: 路征)

Various measure methods for regional specialization and evolution of China's regional specialization are introduced in this presentation.

Why Clayton And Gumbel Copulas: A Symmetry-Based Explanation, Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta

Departmental Technical Reports (CS)

In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In many econometric applications, two families of copulas have been most efficient: the Clayton and the Gumbel copulas. In this paper, we provide a theoretical explanation for this empirical efficiency, by showing that these copulas naturally follow from reasonable symmetry assumptions. This symmetry justification also allows us to provide recommendations about which families of copulas we should use …

Empirical Analysis On The Effect Of The Forward Freight Agreement In Dry Bulk Based On Route C3 And C5, Gang Li

World Maritime University Dissertations

No abstract provided.

To Discuss The Future Development For Shanghai Xuanrun In Co.,Ltd Chemical Transformation, Yuqing Mao

World Maritime University Dissertations

No abstract provided.

The Economic Appraisal And Prospect Study On Lng-Powered Vessels, Zhiyuan Luo

World Maritime University Dissertations

No abstract provided.

Valuing Improvements To Coastal Waters Using Choice Experiments: An Application To Revisions Of The Eu Bathing Waters Directive, Stephen Hynes, Dugald Tinch, Nick Hanley

Working Papers

Planned changes to the European Union’s Bathing Waters Directive (2006/7 EC) will force member states to produce improvements in a number of parameters of coastal water quality. This study uses the choice experiment method to estimate the economic benefits attached to such improvements, based on a sample of recreationalists on beaches in Ireland. The analysis indicates that improvements in all of the bathing water related attributes studied result in positive willingness to pay, and also show evidence of scope effects. Using random parameters and latent class modelling techniques, potential heterogeneity in preferences is then investigated and shown to be present …

Global Optimization Of Some Difficult Benchmark Functions By Cuckoo-Host Co-Evolution Meta-Heuristics, Sudhanshu K. Mishra

Sudhanshu K Mishra

This paper proposes a novel method of global optimization based on cuckoo-host co-evaluation. It also develops a Fortran-77 code for the algorithm. The algorithm has been tested on 96 benchmark functions (of which the results of 32 relatively harder problems have been reported). The proposed method is comparable to the Differential Evolution method of global optimization.

Environmental Impacts Of Stover Removal In The Corn Belt, Alicia English, Wallace E. Tyner, Juan Sesmero, Phillip Owens, David J. Muth Jr.

David J. Muth

When considering the market for biomass from corn stover resources erosion and soil quality issues are important to consider. Removal of stover can be beneficial in some areas, especially when coordinated with other conservation practices, such as vegetative barrier strips and cover crops. However, benefits are highly dependent on several factors, namely if farmers see costs and benefits associated with erosion and the tradeoffs with the removal of biomass. This paper uses results from an integrated RUSLE2/WEPS model to incorporate six different regime choices, covering management, harvest and conservation, into a simple profit maximization model to show these tradeoffs.

Investing In An Agricultural Legacy, Leo Paul Goeringer

Graduate Theses and Dissertations

America's agricultural producers continue to age. According to the U.S. Census of Agriculture, the average age of farm operators increased from 55.3 in 2002 to 57.1 in 2007. During the same period, the Census shows a thirty percent decrease in the number of farmers under age 25. Young and beginning producers (YBPs) entering agriculture face high startup costs and a shortage of land to own or rent.

With these concerns in mind, this manuscript details the impact of an innovative proposed loan program for YBPs in Arkansas, which would offer concessionary interest rates and loan fees by participating banks for …

Analysis Of Bank Failure And Size Of Assets, Guancun Zhong

UNLV Theses, Dissertations, Professional Papers, and Capstones

The financial health of the banking industry is an important prerequisite for economic stability and growth. Bank failures in the United States have run in cycles largely associated with the collapse of economic bubbles. The number of bank failures has increased dramatically over the last thirty years (Halling and Hayden, 2007). In this thesis, we try to address the following two questions: 1) What is the relationship, if any, between a bank's asset size and its likelihood of failures? 2) How can we use statistical tools to predict the numbers of bank failures in the future? Various modeling techniques are …

Developments In The Global Energy Markets And Constructing The Future Of The Persian Gulf Security, Nihat Cengel

Graduate Program in International Studies Theses & Dissertations

This study analyses the global energy projections and regional dynamics in the Persian Gulf. It is shown that the future projections in the world energy markets signify the importance of cooperation between developed and developing countries. It is also suggested that connected to the global economic crises and the regional demand change in the energy market, there is a growing need for international support to the Persian Gulf security.

I argue that the Gulf Cooperation Council (GCC) could play a crucial role for eliminating political conflicts and maintaining the regional stability. As a result, collective arm transfer to the region, …

“Advancing With The Times: Industrial Design Protection In The Era Of Virtual Migration”, Horacio E. Gutiérrez

IP Theory

No abstract provided.

Back To The Future Of Green Powered Economies, Juan B. Moreno-Cruz, M. Scott Taylor

Juan B. Moreno-Cruz

The purpose of this paper is to introduce the concept of power density [Watts/m2] into economics. By introducing an explicit spatial structure into a simple general equilibrium model we are able to show how the power density of available energy resources determines the extent of energy exploitation, the density of urban agglomerations, and the peak level of income per capita. Using a simple Malthusian model to sort population across geographic space we demonstrate how the density of available energy supplies creates density in energy demands by agglomerating economic activity. We label this result the density-creates-density hypothesis and evaluate it using …