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Econometrics

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2019

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Articles 1 - 30 of 103

Full-Text Articles in Social and Behavioral Sciences

The Doors Of Perception, Gary Charness, Alessandro Sontuoso Dec 2019

The Doors Of Perception, Gary Charness, Alessandro Sontuoso

ESI Working Papers

We investigate how a player’s strategic behavior is affected by the set of notions she uses in thinking about the game, i.e., the “frame”. To do so, we consider matching games where two players are presented with a set of objects, from which each player must privately choose one (with the goal of matching the counterpart’s choice). We propose a novel theory positing that different player types are aware of different attributes of the strategy options, hence different frames; we then rationalize why differences in players’ frames may lead to differences in choice behavior. Unlike previous theories of framing, our …

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Rhode Island Current Conditions Index -- December 2019, Leonard Lardaro Dec 2019

Rhode Island Current Conditions Index -- December 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin Dec 2019

Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin

Research Collection School Of Economics

We propose a heterogeneous time-varying panel data model with a latent group structure that allows the coefficients to vary over both individuals and time. We assume that the coefficients change smoothly over time and form different unobserved groups. When treated as smooth functions of time, the individual functional coefficients are heterogeneous across groups but homogeneous within a group. We propose a penalized-sieve-estimation-based classifier-Lasso (C-Lasso) procedure to identify the individuals’ membership and to estimate the group-specific functional coefficients in a single step. The classification exhibits the desirable property of uniform consistency. The C-Lasso estimators and their post-Lasso versions achieve the oracle …

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Detecting Financial Collapse And Ballooning Sovereign Risk, Peter C. B. Phillips, Sp Shi Dec 2019

Detecting Financial Collapse And Ballooning Sovereign Risk, Peter C. B. Phillips, Sp Shi

Research Collection School Of Economics

This paper proposes a new model for capturing discontinuities in the underlying financial environment that can lead to abrupt falls, but not necessarily sustained monotonic falls, in asset prices. This notion of price dynamics is consistent with existing understanding of market crashes, which allows for a mix of market responses that are not universally negative. The model may be interpreted as a martingale composed with a randomized drift process that is designed to capture various asymmetric drivers of market sentiment. In particular, the model is capable of generating realistic patterns of price meltdowns and bond yield inflations that constitute major …

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Harnessing The Power Of Social Incentives To Curb Shirking In Teams, Brice Corgnet, Brian C. Gunia, Roberto Hernán González Dec 2019

Harnessing The Power Of Social Incentives To Curb Shirking In Teams, Brice Corgnet, Brian C. Gunia, Roberto Hernán González

ESI Working Papers

We study several solutions to shirking in teams that trigger social incentives by reshaping the workplace social context. Using an experimental design, we manipulate social pressure at work by varying the type of workplace monitoring and the extent to which employees engage in social interaction. This design allows us to assess the effectiveness as well as the popularity of each solution. Despite similar effectiveness in boosting productivity across solutions, only organizational systems involving social interaction (via chat) were at least as popular as a baseline treatment. This suggests that any solution based on promoting social interaction is more likely to …

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Har Testing For Spurious Regression In Trend, Peter C. B. Phillips, Xiaohu Wang, Yonghui Zhang Dec 2019

Har Testing For Spurious Regression In Trend, Peter C. B. Phillips, Xiaohu Wang, Yonghui Zhang

Research Collection School Of Economics

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests in trend regression is of particular interest given the potential for spurious relationships in trend formulations. Following a longstanding tradition in the spurious regression literature, this paper investigates the asymptotic and finite sample properties of these test statistics in several spurious regression contexts, including regression of stochastic trends on time polynomials and regressions among independent random walks. Concordant …

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Uniform Inference In Panel Autoregression, John C. Chao, Peter C. B. Phillips Dec 2019

Uniform Inference In Panel Autoregression, John C. Chao, Peter C. B. Phillips

Research Collection School Of Economics

This paper considers estimation and inference concerning the autoregressive coefficient (rho) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for rho that are asymptotically valid, having asymptotic coverage probability at least that of the nominal level uniformly over the parameter space. The starting point for our confidence procedure is the estimating equation of the Anderson-Hsiao (AH) IV procedure. It is well known that the AH IV estimation suffers from weak instrumentation when rho is near unity. But it is not so well known that …

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News-Driven Expectations And Volatility Clustering, Sabiou M. Inoua Dec 2019

News-Driven Expectations And Volatility Clustering, Sabiou M. Inoua

ESI Working Papers

Financial volatility obeys two well-established empirical properties: it is fat-tailed (power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for these regularities, notably agent-based computational models, which typically invoke complicated mechanisms, however. It can be shown that trend-following speculation generates the power law in an intrinsic way. But this model cannot exaplain clustered volatility. This paper extends the model and offers a simple explanation for clustered volatility: the impact of exogenous news on traders’ expectations. Owing to the famous no-trade results, rational expectations, the dominant model of news-driven expectations, is hard …

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Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu Dec 2019

Finance And Ideology: The Firm-Level Channels, Hao Liang, Rong Wang, Haikun Zhu

Research Collection Lee Kong Chian School Of Business

We provide firm-level evidence on how politicians’ ideologies affect economic outcomes and financial development by exploring a unique setting of ideological discontinuity in China from Maoism to Dengism around 1978. We find the ideological exposure during a politician’s early adulthood has an enduring effect on contemporary firm and city policies. Firms governed by “Mao’s mayors” have more stakeholder spending, lower pay inequality, and less internationalization than those governed by Deng’s. Further evidence suggests politicians’ ideology may affect economic activities through channels other than economic policy. Selection bias, endogenous matching and mayor age effect are unlikely to drive our results.

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Price Signaling And Bargain Hunting In Markets With Partially Informed Populations, Mark Schneider, Daniel Graydon Stephenson Nov 2019

Price Signaling And Bargain Hunting In Markets With Partially Informed Populations, Mark Schneider, Daniel Graydon Stephenson

ESI Working Papers

Classical studies of asymmetric information focus on situations where only one side of a market is informed. This study experimentally investigates a more general case where some sellers are informed and some buyers are informed. We establish the existence of semiseparating perfect Bayesian equilibria where prices serve as informative signals of quality to uninformed buyers, while informed buyers can often leverage their informational advantage by purchasing high quality items from uninformed sellers at bargain prices. These models provide a rational foundation for the co-existence of bargains, price signaling, and Pareto efficiency in markets with asymmetric information. We test these theoretical …

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Do Appeals To Donor Benefits Raise More Money Than Appeals To Recipient Benefits? Evidence From A Natural Field Experiment With Pick.Click.Give., John A. List, James J. Murphy, Michael K. Price, Alexander G. James Nov 2019

Do Appeals To Donor Benefits Raise More Money Than Appeals To Recipient Benefits? Evidence From A Natural Field Experiment With Pick.Click.Give., John A. List, James J. Murphy, Michael K. Price, Alexander G. James

ESI Working Papers

We partnered with Alaska’s Pick.Click.Give. Charitable Contributions Program to implement a statewide natural field experiment with 540,000 Alaskans designed to explore whether targeted appeals emphasizing donor benefits through warm glow impact donations. Results highlight the relative import of appeals to self. Individuals who received such an appeal were 4.5 percent more likely to give and gave 20 percent more than counterparts in the control group. Yet, a message that instead appealed to recipient benefits had no effect on average donations relative to the control group. We also find evidence of long-run effects of warm glow appeals in the subsequent year.

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A Class Of N-Player Colonel Blotto Games With Multidimensional Private Information, Christian Ewerhart, Dan Kovenock Nov 2019

A Class Of N-Player Colonel Blotto Games With Multidimensional Private Information, Christian Ewerhart, Dan Kovenock

ESI Working Papers

We consider a class of incomplete-information Colonel Blotto games in which N ≥ 2 agents are engaged in (N + 1) battlefields. An agent’s vector of battlefield valuations is drawn from a generalized sphere in Lp-space. We identify a Bayes-Nash equilibrium in which any agent’s resource allocation to a given battlefield is strictly monotone in the agent’s valuation of that battlefield. In contrast to the single-unit case, however, agents never enjoy any information rent. We also outline an extension to networks of Blotto games.

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Cooperation In Indefinitely Repeated Helping Games: Existence And Characterization, Gabriele Camera, Alessandro Gioffré Nov 2019

Cooperation In Indefinitely Repeated Helping Games: Existence And Characterization, Gabriele Camera, Alessandro Gioffré

ESI Working Papers

Experiments that investigate the spontaneous emergence of money in laboratory societies rely on indefinitely repeated helping games with random matching (Camera et al., 2013; Camera and Casari, 2014). An important open issue is the lack of a general proof of existence of an equilibrium capable of supporting the efficient allocation under private monitoring, without money. Here, we fill this gap by offering a general proof, as well as by characterizing the efficient non-monetary equilibrium. This technique can be extended to study games with simultaneous actions.

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Rhode Island Current Conditions Index -- November 2019, Leonard Lardaro Nov 2019

Rhode Island Current Conditions Index -- November 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Quantifying Quality Specialization Across Space: Skills, Sorting, And Agglomeration, Pao-Li Chang, Angdi Lu, Xin Yi Nov 2019

Quantifying Quality Specialization Across Space: Skills, Sorting, And Agglomeration, Pao-Li Chang, Angdi Lu, Xin Yi

Research Collection School Of Economics

We quantify the supply-side determinants of quality specialization across space. Specifically, we complement the quality specialization literature in international trade and study how larger cities specialize in higher-quality goods within a country. In our general equilibrium model, firms in larger cities produce goods with higher quality, because agglomeration benefits accrue more to skilled workers who are also more efficient in upgrading quality. Two channels are at work in our model. The first channel is through the treatment effect of agglomeration, such that firms become more productive if they locate in a larger city. The second channel works through sorting, in …

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Breaking Up: Experimental Insights Into Economic (Dis)Integration, Gabriele Camera, Lukas Hohl, Rolf Weder Oct 2019

Breaking Up: Experimental Insights Into Economic (Dis)Integration, Gabriele Camera, Lukas Hohl, Rolf Weder

ESI Working Papers

Standard international economic theory suggests that people should embrace economic integration because it promises large gains. But recent events such as Brexit indicate a desire for economic disintegration. Here we report results of an experiment, based on a strategic analytical framework, of how size and distribution of potential gains from integration influence outcomes and individuals’ inclination to embrace integration. We find that cross-country inequality in potential gains acts as a friction to realize those gains. This suggests that to better understand recent phenomena, international economic theory should account for distributional considerations and behavioral aspects it currently ignores.

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Persistence And Cyclical Dynamics Of Us And Uk House Prices: Evidence From Over 150 Years Of Data, Giorgio Canarella, Luis Gil-Alana, Rangan Gupta, Stephen M. Miller Oct 2019

Persistence And Cyclical Dynamics Of Us And Uk House Prices: Evidence From Over 150 Years Of Data, Giorgio Canarella, Luis Gil-Alana, Rangan Gupta, Stephen M. Miller

Economics Faculty Publications

This paper provides a new and unique look at the dynamics and persistence of historical house prices in the USA and the UK using fractional integration techniques not previously applied to housing markets. Unlike previous research, we consider two components of persistence of house prices: the component associated with the long-run trend and the component associated with the cycle. We find evidence of cyclical and long-run persistence in the UK housing markets. In contrast, we fail to find evidence of cyclical persistence for the USA. For the sub-samples, which account for a structural break in each series, an important difference …

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Rhode Island Current Conditions Index -- October 2019, Leonard Lardaro Oct 2019

Rhode Island Current Conditions Index -- October 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Non-Separable Models With High-Dimensional Data, Liangjun Su, T Ura, Yc Zhang Oct 2019

Non-Separable Models With High-Dimensional Data, Liangjun Su, T Ura, Yc Zhang

Research Collection School Of Economics

This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and numerical differentiation, respectively, where control variables are selected via a localized method of L-1-penalization at each value of the continuous treatment. In the second stage we estimate the average and marginal distribution of the potential …

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Make It Too Difficult And I’Ll Give-Up; Let Me Succeed And I’Ll Excel: The Interaction Between Assigned And Personal Goals, James Fan, Joaquin Gomez-Minambres, Samuel Smithers Oct 2019

Make It Too Difficult And I’Ll Give-Up; Let Me Succeed And I’Ll Excel: The Interaction Between Assigned And Personal Goals, James Fan, Joaquin Gomez-Minambres, Samuel Smithers

ESI Working Papers

We examine the motivational effects of setting both assigned and personal non-binding goals on a real effort laboratory experiment. In order to derive conjectures for our experiment, we develop a model with goal-dependent preferences. In line with previous studies, we find that goal setting leads to a higher performance. We also find that goal-setting is most effective if subjects were able to achieve previous goals. Therefore, in goal setting, “success breeds success”. In particular, we observe that when subjects are initially allowed to attain assigned goals, they are better at self-motivating in the future when performing under personal goals.

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Investment Choice Architecture In Trust Games: When “All-In” Is Not Enough, Joaquin Gómez-Miñambres, Eric Schniter, Timothy W. Shields Oct 2019

Investment Choice Architecture In Trust Games: When “All-In” Is Not Enough, Joaquin Gómez-Miñambres, Eric Schniter, Timothy W. Shields

ESI Working Papers

While many economic interactions feature “All-or-Nothing” options nudging investors towards going “all-in”, such designs may unintentionally affect reciprocity. We manipulate the investor’s action space in two versions of the “trust game”. In one version investors can invest either “all” their endowment or “nothing”. In the other version, they can invest any amount of the endowment. Consistent with our intentions-based model, we show that "all-or-nothing” designs coax more investment but limit investors’ demonstrability of intended trust. As a result, “all-in” investors are less generously reciprocated than when they can invest any amount, where full investments are a clearer signal of trustworthiness.

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Labor Contracts, Gift-Exchange And Reference Wages: Your Gift Need Not Be Mine!, Hernán Bejerano, Brice Corgnet, Joaquín Gómez-Miñambres Oct 2019

Labor Contracts, Gift-Exchange And Reference Wages: Your Gift Need Not Be Mine!, Hernán Bejerano, Brice Corgnet, Joaquín Gómez-Miñambres

ESI Working Papers

We extend Akerlof’s (1982) gift-exchange model to the case in which reference wages respond to changes in the work environment such as those related to unemployment benefits or workers’ productivity levels. Our model shows that these changes spur disagreements between workers and employers regarding the value of the reference wage. These disagreements tend to weaken the gift-exchange relationship thus reducing production levels and wages. We find support for these predictions in a controlled, yet realistic, workplace environment. Our work also sheds light on several stylized facts regarding employment relationships such as the increased intensity of labor conflicts when economic conditions …

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Give Me A Challenge Or Give Me A Raise, Aleksandr Alekseev Sep 2019

Give Me A Challenge Or Give Me A Raise, Aleksandr Alekseev

ESI Working Papers

I study the effect of task difficulty on workers' effort and compare it to the effect of monetary rewards in an incentivized lab experiment. I find that task difficulty has an inverse-U effect on effort, and that this effect is quantitatively large when compared to the effect of conditional monetary rewards. Difficulty acts as a mediator of monetary rewards: conditional rewards are most effective at the intermediate or high levels of difficulty. I show that the inverse-U pattern of effort response to difficulty is not consistent with the Expected Utility model but is consistent with the Rank-Dependent Utility model that …

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Rhode Island Current Conditions Index -- September 2019, Leonard Lardaro Sep 2019

Rhode Island Current Conditions Index -- September 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Singapore As A Sustainable City: Past, Present And The Future, Tomoki Fujii, Rohan Ray Sep 2019

Singapore As A Sustainable City: Past, Present And The Future, Tomoki Fujii, Rohan Ray

Research Collection School Of Economics

This paper outlines Singapore’s major sustainability challenges and its policy response in the areas of land use, transportation, waste management, water, and energy. We review the current and past Concept Plans from the perspective of sustainable land use and provide an overview of transportation policy in Singapore. We also examine Singapore’s policies to manage increasing wastes and review the four tap water management plan. Finally, we look at various initiatives by the government for sustainable use of energy. While Singapore has been successful in many ways in transforming itself into one of the most prosperous and sustainable cities in the …

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An Interview Question That Brought About Some Thoughts, Zhengxiao Wu Sep 2019

An Interview Question That Brought About Some Thoughts, Zhengxiao Wu

Research Collection School Of Economics

We tackle the question posed by journalist Mehdi Hassan – on how many Chinese lives could be lost or would have to be lost to justify a single percentage of economic growth. We considered a utility maximization problem where the utility function is defined to be the sum of the life expectancy at birth for all Chinese nationals.

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Self-Selecting Into Being A Dictator: Distributional Consequences, Lara Ezquerra, Praveen Kujal Sep 2019

Self-Selecting Into Being A Dictator: Distributional Consequences, Lara Ezquerra, Praveen Kujal

ESI Working Papers

We allow for principals to self-select into delegating, or not, the allocation decision to an agent in a modified dictator game. The standard dictator game arises when principal´s choose to make the allocation decision themselves. Dictators thus obtained transfer lower amounts to receivers, relative to when the decision making is passed to an agent under delegation (or in the standard dictator game). Principals choose to be a dictator nearly half of the time. The average amount transferred by individuals who delegate in more than half of the rounds is significantly higher than the quantity transferred by those who choose to …

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Estimation And Inference Of Fractional Continuous-Time Model With Discrete-Sampled Data, Xiaohu Wang, Weilin Xiao, Jun Yu Sep 2019

Estimation And Inference Of Fractional Continuous-Time Model With Discrete-Sampled Data, Xiaohu Wang, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper proposes a two-stage method for estimating parameters in a para-metric fractional continuous-time model based on discrete-sampled observations. In the first stage, the Hurst parameter is estimated based on the ratio of two second-order differences of observations from different time scales. In the second stage, the other parameters are estimated by the method of moments. All estimators have closed-form expressions and are easy to obtain. A large sample theory of the pro-posed estimators is derived under either the in-fill asymptotic scheme or the double asymptotic scheme. Extensive simulations show that the proposed theory performs well in finite samples. Two …

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Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu Sep 2019

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu

Research Collection School Of Economics

This paper introduces a parsimonious and yet flexible semiparametric model to forecastfinancial volatility. The new model extends a related linear nonnegative autoregressive modelpreviously used in the volatility literature by way of a power transformation. It is semiparametric inthe sense that the distributional and functional form of its error component is partially unspecified.The statistical properties of the model are discussed and a novel estimation method is proposed.Simulation studies validate the new method and suggest that it works reasonably well in finitesamples. The out-of-sample forecasting performance of the proposed model is evaluated against anumber of standard models, using data on S&P 500 …

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Lying And Shirking Under Oath, Nicolas Jacquemet, Alexander James, Stéphane Luchini, James J. Murphy, Jason F. Shogren Aug 2019

Lying And Shirking Under Oath, Nicolas Jacquemet, Alexander James, Stéphane Luchini, James J. Murphy, Jason F. Shogren

ESI Working Papers

This study explores whether an oath to honesty can reduce both shirking and lying among crowd-sourced internet workers. Using a classic coin-flip experiment, we first show that a substantial majority of Mechanical Turk workers both shirk and lie when reporting the number of heads flipped. We then demonstrate lying can be reduced by first asking each worker to swear voluntarily on his or her honor to tell the truth in subsequent economic decisions. The oath, however, did not reduce shirking as measured by time- at-coin-flip-task, although it did increase the time they spent answering a demographic survey. Conditional on response, …

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