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Research Collection School Of Economics

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2015

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Full-Text Articles in Social and Behavioral Sciences

Linear Programming-Based Estimators In Nonnegative Autoregression, Daniel P. A. Preve Dec 2015

Linear Programming-Based Estimators In Nonnegative Autoregression, Daniel P. A. Preve

Research Collection School Of Economics

This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model misspecification. Consequently, the LPE can be used to seek sources of misspecification and to isolate certain trend, seasonal or cyclical components. Simple and quite general conditions under which the LPE is strongly consistent in the presence of heavy-tailed, serially correlated, heteroskedastic disturbances are given, and a brief review of the literature on LP-based estimators in nonnegative autoregression is presented. Finite-sample properties of …

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The Impact Of Agglomeration Economies On Hospital Input Prices, Andrew Friedson, Jing Li Dec 2015

The Impact Of Agglomeration Economies On Hospital Input Prices, Andrew Friedson, Jing Li

Research Collection School Of Economics

This paper examines the extent to which agglomeration of the hospital service industry enhances the productivity of producing health care. Specifically, we use a large set of private insurance claims from the FAIR Health database to show that an increasing spatial concentration of hospital services results in a decreased cost of obtaining intermediate medical services. We explicitly test whether the reduced cost at concentrated locations arises from the ability to share intermediate service providers. The identification relies on state variation in medical lab technician licensure requirements, which influence the cost of intermediate services only through the cost of running a …

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Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang Dec 2015

Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang

Research Collection School Of Economics

It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified Mestimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality …

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Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao Dec 2015

Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao

Research Collection School Of Economics

In this paper, we study adaptive nonparametric regression estimation in the presence of conditional heteroskedastic error terms. We demonstrate that both the conditional mean and conditional variance functions in a nonparametric regression model can be estimated adaptively based on the local profile likelihood principle. Both the one-step Newton-Raphson estimator and the local profile likelihood estimator are investigated. We show that the proposed estimators are asymptotically equivalent to the infeasible local likelihood estimators [e.g., Aerts and Claeskens (1997) Journal of the American Statistical Association 92, 1536-1545], which require knowledge of the error distribution. Simulation evidence suggests that when the distribution of …

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Csi Agent On A Mission Game App, Ju Mae Rosie Ching Dec 2015

Csi Agent On A Mission Game App, Ju Mae Rosie Ching

Research Collection School Of Economics

CSI is a one-of-a-kind and first-ever iPad gaming app released early August, with the flash game at http://www.rosieching.com/csi. My primary objective was to realize my dreamed-up “MISSION STATISTICS” theme for students to apply their skills in hypothesis tests and linear regression. Another is the incorporation of their CSI results into an “enrichment 5%” of their grades. The harder an agent works, the higher his score, the sweeter the fruit of the labour which students always show massive enthusiasm for. It is also critical that students review their real-time progress, and I have ensured that in every step of each country’s …

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Competition And Gains From Trade: A Quantitative Analysis Of China Between 1995 And 2004, Wen-Tai Hsu, Yi Lu, Guiying Laura Wu Dec 2015

Competition And Gains From Trade: A Quantitative Analysis Of China Between 1995 And 2004, Wen-Tai Hsu, Yi Lu, Guiying Laura Wu

Research Collection School Of Economics

This paper provides a quantitative analysis of gains from trade for China over the period of 1995-2004, which was when China's openness drastically improved. We decompose gains from trade in two ways. First, we disentangle pro-competitive effects from a traditional Ricardian effect. Second, we separate the effect due to tariff reductions from that due to reductions in non-tariff trade costs. Our quantitative analysis shows that the pro-competitive effects account for 25.4% of the total welfare gains from trade, whereas the allocative efficiency alone accounts for 22.3%. We also find that tariff reductions account for about 31.6% of reductions of overall …

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Trade Integration, Income Divergence, And Global Imbalances, Haiping Zhang Dec 2015

Trade Integration, Income Divergence, And Global Imbalances, Haiping Zhang

Research Collection School Of Economics

We embed financial frictions and sector-specific minimum investment requirements (MIR) in a two-factor, two-sector, overlapping-generation model and showthat whether trade integration leads to convergence of the income levels among member states depends on their level of financial development. It helps reconcilethe mixed empirical evidence on trade integration and income dynamics in differentgroups of countries from the institutional perspective. In the recent decades, trade globalization has allowed developed countries to specialize towards the high-MIR, high-return production stages and tasks through international fragmentation of production and global sourcing. In our model, the “sectors” can be interpreted broadly as production stages and tasks. …

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Institutional Complementarity Across Countries In Bilateral Fdi Flows: Theory And Evidence, Pao-Li Chang Dec 2015

Institutional Complementarity Across Countries In Bilateral Fdi Flows: Theory And Evidence, Pao-Li Chang

Research Collection School Of Economics

This paper builds a theory to characterize the comparative advantage of MNEs based in countries of different institutional qualities. It is shown that MNEs headquartered in countries of poorer state institutions will invest more in `informal institutions; and choose to undertake FDI in countries of weaker institutions. At the aggregate, MNEs on average generate more net profits in countries of weaker institutions, the poorer the institutional environment at home. I conduct an extensive test of the theory using bilateral FDI volume for 219 economies in year 2001-2010. The results indicate a statistically significant and robust institutional complementarity effect in bilateral …

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New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu Dec 2015

New Methodology For Constructing Real Estate Price Indices Applied To The Singapore Residential Market, Liang Jiang, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. …

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Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse Dec 2015

Intraday Value-At-Risk: An Asymmetric Autoregressive Conditional Duration Approach, Shouwei Liu, Yiu Kuen Tse

Research Collection School Of Economics

We propose to compute the Intraday Value-at-Risk (IVaR) for stocks using real-time transaction data. Tick-by-tick data filtered by price duration are modeled using a two-state asymmetric autoregressive conditional duration (AACD) model, and the IVaR is calculated using Monte Carlo simulation based on the estimated AACD model. Backtesting results for the New York Stock Exchange (NYSE) show that the IVaR calculated using the AACD method outperforms those using the Dionne et al. (2009) and Giot (2005) methods.

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Improved Inferences For Spatial Regression Models, Shew Fan Liu, Zhenlin Yang Nov 2015

Improved Inferences For Spatial Regression Models, Shew Fan Liu, Zhenlin Yang

Research Collection School Of Economics

The quasi-maximum likelihood (QML) method is popular in the estimation and inference for spatial regression models. However, the QML estimators (QMLEs) of the spatial parameters can be quite biased and hence the standard inferences for the regression coefficients (based on t-ratios) can be seriously affected. This issue, however, has not been addressed. The QMLEs of the spatial parameters can be bias-corrected based on the general method of Yang (2015b, J. of Econometrics 186, 178-200). In this paper, we demonstrate that by simply replacing the QMLEs of the spatial parameters by their bias-corrected versions, the usual t-ratios for the regression coefficients …

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Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu Nov 2015

Testing For Multiple Bubbles: Limit Theory Of Real-Time Detectors, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This article provides the limit theory of real-time dating algorithms for bubble detection that were suggested in Phillips, Wu, and Yu (PWY; International Economic Review 52 [2011], 201-26) and in a companion paper by the present authors (Phillips, Shi, and Yu, 2015; PSY; International Economic Review 56 [2015a], 1099-1134. Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolve 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 different recursive …

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Optimal Taxation And Debt With Uninsurable Risks To Human Capital Accumulation, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima Nov 2015

Optimal Taxation And Debt With Uninsurable Risks To Human Capital Accumulation, Piero Gottardi, Atsushi Kajii, Tomoyuki Nakajima

Research Collection School Of Economics

We consider an economy where individuals face uninsurable risks to their human capital accumulation and analyze the optimal level of linear taxes on capital and labor income together with the optimal path of government debt. We show that in the presence of such risks, it is beneficial to tax both labor and capital and to issue public debt. We also assess the quantitative importance of these findings, and show that the benefits of government debt and capital taxes both increase with the magnitude of idiosyncratic risks and the degree of relative risk aversion.

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A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiaobin Liu, Jun Yu Nov 2015

A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiaobin Liu, Jun Yu

Research Collection School Of Economics

A new Bayesian test statistic is proposed to test a point null hypothesis based on a quadratic loss. The proposed test statistic may be regarded as the Bayesian version of the Lagrange multiplier test. Its asymptotic distribution is obtained based on a set of regular conditions and follows a chi-squared distribution when the null hypothesis is correct. The new statistic has several important advantages that make it appealing in practical applications. First, it is well-defined under improper prior distributions. Second, it avoids Jeffrey-Lindley's paradox. Third, it always takes a non-negative value and is relatively easy to compute, even for models …

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Remittances Without Borders, Tan Swee Liang, S. N. Venkataramanan, Anil Kishora Nov 2015

Remittances Without Borders, Tan Swee Liang, S. N. Venkataramanan, Anil Kishora

Research Collection School Of Economics

A Pan-Asian Mobile Remittance Platform might just be the next big disruption in global remittances. One out of every 28 people lives in a country that they were not born in. As migrants, they are estimated by The World Bank to send home US$636 billion in 2017, with three-quarters remitted to developing countries. These remittances form a significant percentage of the Gross Domestic Product (GDP) of many of these developing countries. Given their magnitude and contribution to national economies, even a small reduction in remittance cost adds billions to these local economies. Mobile-to-mobile cross border remittances have recently shown that …

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Supplement To Two Papers On Multiple Bubbles [Online Supplementary Materials], Peter C. B. Phillips, Shuping Shi, Jun Yu Nov 2015

Supplement To Two Papers On Multiple Bubbles [Online Supplementary Materials], Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This paper provides a supplement to two companion papers by the authors: “Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500” (PSY1 hereafter); and “Testing for Multiple Bubbles: Limit Theory of Real Time Detectors” (PSY2 hereafter). Section 1 supplements the empirical application of PSY1 by examining the robustness of the bubble identification and dating results to the choice of the minimum window size parameter used in the rolling regression framework of PSY. Section 2 provides proofs of supplementary lemmas that facilitate analysis of the multiple bubble case, derives the limit behaviour of the recursive unit …

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Panel Data Models With Interactive Fixed Effects And Multiple Structural Breaks, Degui Li, Junhui Qian, Liangjun Su Nov 2015

Panel Data Models With Interactive Fixed Effects And Multiple Structural Breaks, Degui Li, Junhui Qian, Liangjun Su

Research Collection School Of Economics

In this paper we consider estimation of common structural breaks in panel data models with unobservable interactive fixed effects. We introduce a penalized principal component (PPC) estimation procedure with an adaptive group fused LASSO to detect the multiple structural breaks in the models. Under some mild conditions, we show that with probability approaching one the proposed method can correctly determine the unknown number of breaks and consistently estimate the common break dates. Furthermore, we estimate the regression coefficients through the post-LASSO method and establish the asymptotic distribution theory for the resulting estimators. The developed methodology and theory are applicable to …

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Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping Shi, Jun Yu Nov 2015

Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500, Peter C. B. Phillips, Shuping 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 in real time. 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, this article develops a new recursive flexible window method that is better suited for practical implementation with long …

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Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li Nov 2015

Cointegration Of Matched Home Purchases And Rental Price Indexes: Evidence From Singapore, Badi H. Baltagi, Jing Li

Research Collection School Of Economics

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish a cointegrating relationship between the home purchase price and rental price based on nationally estimated indexes. Second, area-specific indexes demonstrate strong cross-correlations, invalidating the use of first generation panel unit root tests that ignore these cross-correlations. Third, Pesaran's CIPS test indicates …

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Model Selection In The Presence Of Incidental Parameters, Yeonseok Lee, Peter C. B. Phillips Oct 2015

Model Selection In The Presence Of Incidental Parameters, Yeonseok Lee, Peter C. B. Phillips

Research Collection School Of Economics

This paper considers model selection in panels where incidental parameters are present. Primary interest centers on selecting a model that best approximates the underlying structure involving parameters that are common within the panel. It is well known that conventional model selection procedures are often inconsistent in panel models and this can be so even without nuisance parameters. Modifications are then needed to achieve consistency. New model selection information criteria are developed here that use either the Kullback-Leibler information criterion based on the profile likelihood or the Bayes factor based on the integrated likelihood with a bias-reducing prior. These model selection …

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Monetizing Housing For Retirement In Singapore, Sock Yong Phang Oct 2015

Monetizing Housing For Retirement In Singapore, Sock Yong Phang

Research Collection School Of Economics

In 2015, the value of housing assets owned by households in Singapore at the aggregate level was 55% of their net worth.1 Ninety percent of Singapore households owned their homes, meaning that almost all households had wealth saved in housing, and households’ housing wealth was 2.1 times that of the country’s gross domestic product. In addition, Singapore is facing an aging population. The resident old age support ratio, defined as the number of persons aged 20–64 per person aged 65 years and over, decreased from 9.0 in 2000 to 5.7 in 2015.2 Against this backdrop of asset-rich and aging households, …

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Bias-Correction For Weibull Common Shape Estimation, Yan Shen, Zhenlin Yang Oct 2015

Bias-Correction For Weibull Common Shape Estimation, Yan Shen, Zhenlin Yang

Research Collection School Of Economics

A general method for correcting the bias of the maximum likelihood estimator (MLE) of the common shape parameter of Weibull populations, allowing a general right censorship, is proposed in this paper. Extensive simulation results show that the new method is very effective in correcting the bias of the MLE, regardless of censoring mechanism, sample size, censoring proportion and number of populations involved. The method can be extended to more complicated Weibull models.

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Technology And Contractions: Evidence From Manufacturing, Roberto M. Samaniego, Yu Sun Oct 2015

Technology And Contractions: Evidence From Manufacturing, Roberto M. Samaniego, Yu Sun

Research Collection School Of Economics

Theory suggests a range of technological characteristics that might interact with the business cycle depending on what kind of shocks or propagation mechanisms are quantitatively important. We use variation in industry growth within manufacturing to determine which technological characteristics interact significantly with the business cycle. We find that growth in labor intensive industries is especially sensitive to contractions. We show this cross-industry asymmetry occurs specifically in contractions, not in recoveries nor over the cycle in general.

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Poverty Decomposition By Regression: An Application To Tanzania, Tomoki Fujii Oct 2015

Poverty Decomposition By Regression: An Application To Tanzania, Tomoki Fujii

Research Collection School Of Economics

We develop a poverty decomposition method that is based on a consumption regression model. Because this method uses an integral of the partial derivatives of a poverty measure with respect to time, the resulting poverty decomposition satisfies time-reversion consistency and sub-period additivity. Unlike the existing poverty decomposition methods, it allows us to ascribe the observed change in poverty to various covariates of interest collected at a disaggregate level. This method is applied to two datasets from Tanzania to assess, among others, the short- and long-term impacts of infrastructure and market access on poverty.

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Measure Of Location-Based Estimators In Simple Linear Regression, Xijia Liu, Daniel P. A. Preve Sep 2015

Measure Of Location-Based Estimators In Simple Linear Regression, Xijia Liu, Daniel P. A. Preve

Research Collection School Of Economics

In this paper we consider certain measure of location-based estimators (MLBEs) for the slope parameter in a linear regression model with a single stochastic regressor. The median-unbiased MLBEs are interesting as they can be robust to heavy-tailed samples and, hence, preferable to the ordinary least squares estimator (LSE). Two different cases are considered as we investigate the statistical properties of the MLBEs. In the first case, the regressor and error are assumed to follow a symmetric stable distribution. In the second, other types of regressions, with potentially contaminated errors, are considered. For both cases the consistency and exact finite-sample distributions …

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Bias In The Estimation Of Mean Reversion In Continuous-Time Levy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu Sep 2015

Bias In The Estimation Of Mean Reversion In Continuous-Time Levy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu

Research Collection School Of Economics

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.

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Semiparametric Estimation Of Partially Linear Dynamic Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang Sep 2015

Semiparametric Estimation Of Partially Linear Dynamic Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang

Research Collection School Of Economics

In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation methods are proposed for the first-differenced model. One is composed of a semiparametric GMM estimator for the finite dimensional parameter and a local polynomial estimator for the infinite dimensional parameter m based on the empirical solutions to Fredholm integral equations of the second kind, and the other is a sieve IV estimate of the …

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Agreeing To Agree And Dutch Books, Yi-Chun Chen, Ehud Lehrer, Jiangtao Li, Dov Samet, Eran Shmaya Sep 2015

Agreeing To Agree And Dutch Books, Yi-Chun Chen, Ehud Lehrer, Jiangtao Li, Dov Samet, Eran Shmaya

Research Collection School Of Economics

We say that agreeing to agree is possible for an event E if there exist posterior beliefs of the agents with a common prior such that it is common knowledge that the agents' posteriors for E coincide. We propose a notion called Dutch book which is a profile of interim contracts between an outsider and the agents based on the occurrence of E, such that the outsider makes positive profit in all states. We show that in a finite state space, when the agents cannot tell whether Eoccurred or not, agreeing to agree is possible for E if and only …

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Wealth Inequality And Financial Development: Revisiting The Symmetry Breaking Mechanism, Haiping Zhang Sep 2015

Wealth Inequality And Financial Development: Revisiting The Symmetry Breaking Mechanism, Haiping Zhang

Research Collection School Of Economics

No abstract provided.

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Expropriation Risk And Competition Within The Military, Madhav S. Aney, Giovanni Ko Sep 2015

Expropriation Risk And Competition Within The Military, Madhav S. Aney, Giovanni Ko

Research Collection School Of Economics

How can agents in the military, who control the means of coercion, commit not to expropriate from producers? In this paper we propose competition within the military as one of the mechanisms that can deter predation and consequently create commitment. In our model, even if agents within the military could expropriate all output costlessly, it is attractive to protect producers from predating military units. This marginal defensive advantage and consequently defence is an effective way to potentially eliminate is because there is a other military units, reducing competition and leading to higher future payoffs. Our model predicts that greater internal …

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