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Articles 61 - 90 of 120
Full-Text Articles in Social and Behavioral Sciences
How To Measure Well-Being At Work And Why It Matters, Singapore Management University
How To Measure Well-Being At Work And Why It Matters, Singapore Management University
Perspectives@SMU
Supported staff are key drivers of high performing workplaces
On Time-Varying Factor Models: Estimation And Testing, Liangjun Su, Xia Wang
On Time-Varying Factor Models: Estimation And Testing, Liangjun Su, Xia Wang
Research Collection School Of Economics
Conventional factor models assume that factor loadings are fixed over a long horizon of time, which appears overly restrictive and unrealistic in applications. In this paper, we introduce a time-varying factor model where factor loadings are allowed to change smoothly over time. We propose a local version of the principal component method to estimate the latent factors and time-varying factor loadings simultaneously. We establish the limiting distributions of the estimated factors and factor loadings in the standard large N and large T framework. We also propose a BIC-type information criterion to determine the number of factors, which can be used …
A Specification Test Based On The Mcmc Output, Yong Li, Jun Yu, Tao Zeng
A Specification Test Based On The Mcmc Output, Yong Li, Jun Yu, Tao Zeng
Research Collection School Of Economics
A test statistic is proposed to assess themodel specification after the model is estimated by Bayesian MCMC methods. Thenew test is motivated from the power enhancement technique of Fan, Liao and Yao(2015). It combines a component (J1) that tests anull point hypothesis in an expanded model and a power enhancement component (J0) obtained from the null model. It is shown that J0 converges to zero when the null model is correctly specified anddiverges when the null model is misspecified. Also shown is that J1 is asymptotically X2-distributed, suggesting that theproposed test is asymptotically pivotal, when the null model is correctlyspecified. …
In-Fill Asymptotic Theory For Structural Break Point In Autoregression: A Unified Theory, Liang Jiang, Xiaohu Wang, Jun Yu
In-Fill Asymptotic Theory For Structural Break Point In Autoregression: A Unified Theory, Liang Jiang, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
This paper obtains the exact distribution of the maximum likelihood estimatorof structural break point in the OrnsteinñUhlenbeck process when a continuousrecord is available. The exact distribution is asymmetric, tri-modal, dependenton the initial condition. These three properties are also found in the önite sampledistribution of the least squares (LS) estimator of structural break point inautoregressive (AR) models. Motivated by these observations, the paper then developsan in-öll asymptotic theory for the LS estimator of structural break point inthe AR(1) coe¢ cient. The in-öll asymptotic distribution is also asymmetric, trimodal,dependent on the initial condition, and delivers excellent approximationsto the önite sample distribution. Unlike …
The Revival Of The Philippine Economy, Cesar V. Purisima, Philip Charles Zerrillo
The Revival Of The Philippine Economy, Cesar V. Purisima, Philip Charles Zerrillo
Asian Management Insights
The former Secretary of Finance for the Philippines and Chair of the Economic Development Cluster from 2010 to 2016, Cesar V. Purisima, talks about the turning around of the Philippine economy and restoring investor confidence, in this interview with Philip Zerrillo.
Robust Jump Regressions, Jia Li, Viktor Todorov, George Tauchen
Robust Jump Regressions, Jia Li, Viktor Todorov, George Tauchen
Research Collection School Of Economics
We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jump regressions are determined by a small number of jumps occurring over a fixed time interval and the rest of the components of the processes around the jump times. The latter are the continuous martingale parts of the processes as well as observation noise. By sampling more frequently the role of these components, which are hidden in the observed price, shrinks asymptotically. The robustness of our inference procedure is with respect to outliers, which are of particular …
Love, Money, And Parental Goods: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Xu, Lixin Colin Xu
Love, Money, And Parental Goods: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Xu, Lixin Colin Xu
Research Collection School Of Economics
While parental matchmaking has been widespread throughout history and across countries, we know little about the relationship between parental matchmaking and marriage outcomes. Does parental involvement in matchmaking help ensure their needs are better taken care of by married children? This paper finds supportive evidence using a survey of Chinese couples. In particular, parental involvement in matchmaking is associated with having a more submissive wife, a greater number of children, a higher likelihood of having any male children, and a stronger belief of the husband in providing old age support to his parents. These benefits, however, are achieved at the …
Harnessing The Youth Bulge, Sarah Harper
Harnessing The Youth Bulge, Sarah Harper
Asian Management Insights
How Asia can take advantage of its changing age composition.
Monetary Policy And Energy Price Shocks, Bao Tan Huynh
Monetary Policy And Energy Price Shocks, Bao Tan Huynh
Research Collection School Of Economics
A New Keynesian framework with endogenous energy production is proposed to investigate the role of monetary policy in addressing disturbances in energy markets. The novelty of the model lies in the endogenous production of energy with convex costs, explicit modeling of goods with different degrees of energy-dependency and sectoral price rigidities. Our analyses prescribe the desirable monetary responses to four types of energy price shocks, highlighting the distinct characteristics of each shock and affirming the need for diverse policy considerations. We also found several points of divergence in relation to previous studies on addressing energy supply shocks. In addition, we …
Singapore’S Life Program: Actuarial Framework, Longevity Risk And Impact Of Annuity Fund Return, Koon Shing Kwong, Yiu Kuen Tse, Wai-Sum Chan
Singapore’S Life Program: Actuarial Framework, Longevity Risk And Impact Of Annuity Fund Return, Koon Shing Kwong, Yiu Kuen Tse, Wai-Sum Chan
Research Collection School Of Economics
The Central Provident Fund (CPF) is a defined-contribution savings plan forming the key pillar of the pension system in Singapore. The CPF Lifelong Income For the Elderly (LIFE) program, which provides lifetime income for retirees, is a mandatory pension scheme for all Singapore residents. In this paper we construct an actuarial framework to analyze the LIFE program. We use this framework to study the plan payout outcomes with respect to changes in mortality and annuity fund return assumptions. We also examine the effects of some possible changes in the program on the payouts and bequests.
A Martingale Difference-Divergence-Based Test For Specification, Liangjun Su, Xin Zheng
A Martingale Difference-Divergence-Based Test For Specification, Liangjun Su, Xin Zheng
Research Collection School Of Economics
In this paper we propose a novel consistent model specification test based on the martingale difference divergence (MDD) of the error term given the covariates. The MDD equals zero if and only if error term is conditionally mean independent of the covariates. Our MDD test does not require any nonparametric estimation under the alternative and it is applicable even if we have many covariates in the regression model. We establish the asymptotic distributions of our test statistic under the null and a sequence of Pitman local alternatives converging to the null at the usual parametric rate. Simulations suggest that our …
Improved Likelihood Inferences For Weibull Regression Model, Yan Shen, Zhenlin Yang
Improved Likelihood Inferences For Weibull Regression Model, Yan Shen, Zhenlin Yang
Research Collection School Of Economics
A general procedure is developed for bias-correcting the maximum likelihood estimators (MLEs) of the parameters of Weibull regression model with either complete or right-censored data. Following the bias correction, variance corrections and hence improved t-ratios for model parameters are presented. Potentially improved t-ratios for other reliability-related quantities are also discussed. Simulation results show that the proposed method is effective in correcting the bias of the MLEs, and the resulted t-ratios generally improve over the regular t-ratios.
East Asia Pacific Economies: Looking Good, Singapore Management University
East Asia Pacific Economies: Looking Good, Singapore Management University
Perspectives@SMU
The World Bank expects recovering global trade and commodity prices to buoy regional prospects
Will Politics Trump Economic Growth?, Singapore Management University
Will Politics Trump Economic Growth?, Singapore Management University
Perspectives@SMU
While economic uncertainties remain, investors should not worry about the White House jeopardising the U.S. economy
Enhancing Singapore’S Pension Scheme: A Blueprint For Further Flexibility, Koon Shing Kwong, Yiu Kuen Tse, Wai Sum Chan
Enhancing Singapore’S Pension Scheme: A Blueprint For Further Flexibility, Koon Shing Kwong, Yiu Kuen Tse, Wai Sum Chan
Research Collection School of Economics
Building a social security system to ensure Singapore residents have peace of mind in funding for retirement has been at the top of Singapore government’s policy agenda over the last decade. Implementation of the Lifelong Income For the Elderly (LIFE) scheme in 2009 clearly shows that the government spares no effort in improving its pension scheme to boost its residents’ income after retirement. Despite the recent modifications to the LIFE scheme, Singapore residents must still choose between two plans: the Standard and Basic plans. To enhance the flexibility of the LIFE scheme with further streamlining of its fund management, we …
Does Wage-Inflation Targeting Complement Foreign Exchange Intervention? An Evaluation Of A Multi-Target, Two-Instrument Monetary Policy Framework, Taojun Xie, Jingting Liu, Joseph D. Alba, Wai-Mun Chia
Does Wage-Inflation Targeting Complement Foreign Exchange Intervention? An Evaluation Of A Multi-Target, Two-Instrument Monetary Policy Framework, Taojun Xie, Jingting Liu, Joseph D. Alba, Wai-Mun Chia
Research Collection Lee Kong Chian School Of Business
We assess the inclusion of wage inflation as an intermediate target of an emerging central bank using a dynamic stochastic general equilibrium model with sticky wages and prices calibrated for the South Korean economy. The model includes wage inflation as an additional target jointly with domestic price inflation and the output gap in a Taylor- type interest rate rule operating with a sterilized foreign exchange (FX) intervention rule. Our results show a complementary relationship between wage inflation targeting and price inflation targeting. That is, by supplementing price inflation targeting with wage inflation targeting, welfare improves for cases with and without …
Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu
Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This paper develops the asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst parameter greater than or equal to one half. It is shown that the asymptotic theory for the persistent parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered. When the persistent parameter is positive, …
Firm Boundaries And Financing With Opportunistic Stakeholder Behaviour, Madhav S. Aney, Elie Appelbaum, Sanjay Banerji
Firm Boundaries And Financing With Opportunistic Stakeholder Behaviour, Madhav S. Aney, Elie Appelbaum, Sanjay Banerji
Research Collection School Of Economics
We explore the impact of strategic behaviour between three major stakeholders, namelyequity holders, debt holders, and a supplier of a critical input, on the choice of a firm’s capitalstructure and its organisational design, determining in-house production versus outsourcing theprocurement of the critical input. We show that an opportunistic coalition of the supplierand debt holders can trigger strategic bankruptcy even when the firm is solvent. Equity holdersrespond to this by either eliminating the supplier by producing the input in-house, or by reducingthe exposure to debt by funding the firm’s capital requirement through equity. Both responsescreate inefficiency since production of the input …
Granger Causality And Structural Causality In Cross-Section And Panel Data, Xun Lu, Liangjun Su, Halbert White
Granger Causality And Structural Causality In Cross-Section And Panel Data, Xun Lu, Liangjun Su, Halbert White
Research Collection School Of Economics
Granger noncausality in distribution is fundamentally a probabilistic conditional independence notion that can be applied not only to time series data but also to cross-section and panel data. In this paper, we provide a natural definition of structural causality in cross-section and panel data and forge a direct link between Granger (G-) causality and structural causality under a key conditional exogeneity assumption. To put it simply, when structural effects are well defined and identifiable, G-non-causality follows from structural noncausality, and with suitable conditions (e.g., separability or monotonicity), structural causality also implies G-causality. This justifies using tests of G-non-causality to test …
Corporate Donations And Shareholder Value, Hao Liang, Luc Renneboog
Corporate Donations And Shareholder Value, Hao Liang, Luc Renneboog
Research Collection Lee Kong Chian School Of Business
Do corporate donations enhance shareholder wealth or reflect agency problems? We address this question for a global sample of firms whereby we distinguish between charitable and political donations, as well as between donations in cash and in kind. We find that charitable donations are positively related to financial performance and firm value, which is consistent with the value-enhancement hypothesis. This positive effect on firm value is stronger for cash than in-kind donations. In contrast, political donations do not appear to enhance shareholder value, but rather tend to reflect agency problems, as they are higher for firms with poor internal corporate …
A Tale Of Two Cities: Global Entrepreneurship Monitor 2016, Singapore Management University
A Tale Of Two Cities: Global Entrepreneurship Monitor 2016, Singapore Management University
Perspectives@SMU
In recent years, Hong Kong and Shenzhen have experienced an explosive growth in the start-up support ecosystem.
Weak Law V Strong Ties: An Empirical Study Of Business Investment, Law And Political Connections In China, Wei Zhang, Ji Li
Weak Law V Strong Ties: An Empirical Study Of Business Investment, Law And Political Connections In China, Wei Zhang, Ji Li
Research Collection Yong Pung How School Of Law
Based on a large-scale survey of Chinese entrepreneurs, our study explores how institutions (formal and informal) influence investment decisions made by private companies. The study finds that, consistent with the conventional view, a more effective legal system is correlated with short-term general investment, and that the judiciary is important mainly because of its restraint over the state. The role of effective courts, however, diminishes when private entrepreneurs consider making long-term investment. We find a positive association between the entrepreneurs’ political backgrounds and their R&D investment, suggesting that Chinese courts, in spite of decades of reform, are not yet viewed as …
Local And Global Sd-Strategy-Proofness Of Ordinal Mechanisms On Block-Connected Domains, Peng Liu
Local And Global Sd-Strategy-Proofness Of Ordinal Mechanisms On Block-Connected Domains, Peng Liu
Research Collection School Of Economics
The adjacency by Monjardet (2009) is weakened to a flip between two adjacently ranked blocks and called block-adjacency. The connectedness defined accordingly, blockconnectedness, covers some interesting unconnected domains. An ordinal mechanism on a block-connected domain is block-adjacent sd-strategy-proof if reporting the true preference always leads to a lottery that stochastically dominates the lottery delivered by reporting any preference block-adjacent to the sincere one.A condition on a block-connected domain called path-nestedness is proposed and shown sufficient for the equivalence between sd-strategy-proofness and block-adjacent sd-strategy-proofness. The sequentially dichotomous domain by Liu (2017) is an application. In addition, we systematically search for the …
Lag Length Selection In Panel Autoregression, Chirok Han, Peter C. B. Phillips, Donggyu Sul
Lag Length Selection In Panel Autoregression, Chirok Han, Peter C. B. Phillips, Donggyu Sul
Research Collection School Of Economics
Model selection by BIC is well known to be inconsistent in the presence of incidental parameters. This article shows that, somewhat surprisingly, even without fixed effects in dynamic panels BIC is inconsistent and overestimates the true lag length with considerable probability. The reason for the inconsistency is explained, and the probability of overestimation is found to be 50% asymptotically. Three alternative consistent lag selection methods are considered. Two of these modify BIC, and the third involves sequential testing. Simulations evaluate the performance of these alternative lag selection methods in finite samples.
Joint Spatial Time Series Epidemiological Analysis Of Malaria And Cutaneous Leishmaniasis Infection, O. A. Adegboye, M. Al-Saghir, Denis H. Y. Leung
Joint Spatial Time Series Epidemiological Analysis Of Malaria And Cutaneous Leishmaniasis Infection, O. A. Adegboye, M. Al-Saghir, Denis H. Y. Leung
Research Collection School Of Economics
Malaria and leishmaniasis are among the two most important health problems of many developing countries especially in the Middle East and North Africa. It is common for vector-borne infectious diseases to have similar hotspots which may be attributed to the overlapping ecological distribution of the vector. Hotspot analyses were conducted to simultaneously detect the location of local hotspots and test their statistical significance. Spatial scan statistics were used to detect and test hotspots of malaria and cutaneous leishmaniasis (CL) in Afghanistan in 2009. A multivariate negative binomial model was used to simultaneously assess the effects of environmental variables on malaria …
The Selection And Causal Effects Of Work Incentives On Labor Productivity: Evidence From A Two Stage Randomized Controlled Trial In Malawi, Hyuncheol Bryant Kim, Seonghoon Kim, Thomas T. Kim
The Selection And Causal Effects Of Work Incentives On Labor Productivity: Evidence From A Two Stage Randomized Controlled Trial In Malawi, Hyuncheol Bryant Kim, Seonghoon Kim, Thomas T. Kim
Research Collection School Of Economics
Incentives are essential to promote labor productivity. We implemented a two-stage field experiment to measure effects of career and wage incentives on productivity through self-selection and causal effect channels. First, workers were hired with either career or wage incentives. After employment, a random half of workers with career incentives received wage incentives and a random half of workers with wage incentives received career incentives. We find that career incentives attract higher-performing workers than wage incentives but do not increase productivity for existing workers. Instead, wage incentives increase productivity for existing workers. Observable characteristics are limited in explaining the selection effect.
How To Describe Objects?, Liu Peng
How To Describe Objects?, Liu Peng
Research Collection School Of Economics
This paper addresses the problem of randomly allocating n indivisible objects to n agents where each object can be evaluated according to a set of characteristics. The planner chooses a subset of characteristics and a ranking of them. Then she describes each object as a list of values according to the ranking of those chosen characteristics. Being informed of such a description, each agent figures out her preference that is lexicographically separable according to the characteristics chosen and ranked by the planner. Hence a description of the objects induces a collection of admissible preferences. We call a description good if …
Determinants Of Urban Land Supply In China: How Do Political Factors Matter?, Wen-Tai Hsu, Xiaolu Li, Yang Tang, Jing Wu
Determinants Of Urban Land Supply In China: How Do Political Factors Matter?, Wen-Tai Hsu, Xiaolu Li, Yang Tang, Jing Wu
Research Collection School Of Economics
This paper explores two political factors for their potential effects on urban land supply in China: corruption, and competition for promotion. We find that standard urban economic predictions hold in the sense that both population and income increases are strongly significant determinants for the increase in urban land supply. Conditional on these demand-side factors, we find that the usage of two-stage auctions (as a proxy for corruption) is highly correlated with the increase in land supply. The corruption effects are strongest for commercial land, followed by residential land and then industrial land. To shed light on the competition motives among …
Reduced Forms And Weak Instrumentation, Peter C. B. Phillips
Reduced Forms And Weak Instrumentation, Peter C. B. Phillips
Research Collection School Of Economics
This paper develops exact finite sample and asymptotic distributions for a class of reduced form estimators and predictors, allowing for the presence of unidentified or weakly identified structural equations. Weak instrument asymptotic theory is developed directly from finite sample results, unifying earlier findings and showing the usefulness of structural information in making predictions from reduced form systems in applications. Asymptotic results are reported for predictions from models with many weak instruments. Of particular interest is the finding that, in unidentified and weakly identified structural models, partially restricted reduced form predictors have considerably smaller forecast mean square errors than unrestricted reduced …
Econometric Reviews Honors Esfandiar Maasoumi, Peter C. B. Phillips, Aman Ullah
Econometric Reviews Honors Esfandiar Maasoumi, Peter C. B. Phillips, Aman Ullah
Research Collection School Of Economics
This Special Issue of Econometric Reviews (ER) is a tribute to Esfandiar Maasoumi for his longstanding contributions to the econometrics profession as an outstanding researcher, a revered teacher and supervisor, and a journal editor of three decades, all of which manifests his extraordinary devotion to the discipline of econometrics and to its growing community of students and scholars. Essie, as he is universally known to his friends, colleagues, and the international community, took on the editorship of ER in 1987. At that point, as (very) senior members of the profession will remember, the journal had a paperback cover, no formal …