Social and Behavioral Sciences Commons^™

Economic Growth Before And After The Fiscal Stimulus Of 2008–2009: The Role Of Institutional Quality And Government Size, André Varella Mollick, Andre Coelho Vianna

Economics and Finance Faculty Publications and Presentations

Governments implemented fiscal stimulus packages to alleviate the global financial crisis of 2007–2009. Using annual data from 1996 to 2019, we investigate economic growth in a large sample of countries for pre-and post-Global Financial Crisis years. Our approach analyzes the interaction between institutional quality and government size (government expenditures as share of GDP), reinforced by threshold estimations. We document that economies react to government size depending on the quality of the institutions in question. First, fixed effects models indicate higher institutional quality has positive effects on growth, while government size—and its interactions with institutional quality—has negative effects. Second, the coefficients …

Natural Disasters’ Effect On Tourism Employment, Caterina Messina

Honors College Theses

Not only do natural disasters cause immediate physical damage to an area, but they often have long-lasting social and economic effects as well. Tourism is a sector of the economy that is relatively fragile and relies heavily on a stable economy. This paper attempts to capture the effect of natural disasters on the tourism industry, specifically tourism employment. This research uses panel data and focuses specifically on 7 metropolitan statistical areas in the United States between 2002-2018. Data collected from the BEA as well as SHELDUS is used in order to quantify this effect. A fixed effects model with a …

Essays On Socioeconomic Shocks And Policies In Agriculture, Wilman Iglesias

Department of Agricultural Economics: Dissertations, Theses, and Student Research

The three chapters of this doctoral dissertation estimate the responses of agricultural productivity, production value of agriculture, and crop supply to some external shocks and policies. Using unique panel datasets for Colombia and the United States, this research provides new insights regarding the responsiveness of agriculture to some socioeconomic effects and related market policies. Chapter 1 studies the impact of armed conflicts in rural areas on legal agricultural productivity in Colombia by using a production function that includes violence shocks such as the forced intra-national displacement of the rural population from 1995 to 2017. Chapter 2 investigates the effect of …

The Predictive Ability Of Stock Market Factors, Fatma Ahmed, Mohammed Elgammal Elgammal, David Gordon Mcmillan

Economics

Purpose – This paper aims to ask whether a range of stock market factors contain information that is useful to investors by generating a trading rule based on one-step-ahead forecasts from rolling and recursive regressions. Design/methodology/approach – Using USA data across 3,256 firms, the authors estimate stock returns on a range of factors using both fixed-effects panel and individual regressions. The authors use rolling and recursive approaches to generate time-varying coefficients. Subsequently, the authors generate one-step-ahead forecasts for expected returns, simulate a trading strategy and compare its performance with realised returns. Findings – Results from the panel and individual firm …

Causality Analysis Of Disaggregated Fdi Inflows On Sectorial Growth In Oecd Area, Lawrence Ogbeifun, Olatunji Abdul Shobande

Faculty and Student Publications

This article revisits the link between disaggregated Foreign Direct Investment (FDI) inflows and sectorial growth using the panel dataset of 25 Organisation for Economic Co-operation and Development (OECD) countries for the period 1990 to 2017. It adopted the panel fixed effect and Feasible Generalized Least Squares Approach in its analysis. The findings show that disaggregated FDI inflows have the potential to improve growth in the OECD area with adverse effects on domestic investment and inflationary pressure. Additionally, the results further indicate that disaggregated FDI inflows have a positive and significant relationship on the service and manufacturing sector but with no …

Temperature And Economic Activity: Evidence From India, Anuska Jain, Róisín O'Sullivan, Vis Taraz

Economics: Faculty Publications

This paper investigates the impact of temperature on economic activity in India, using state-level data from 1980–2015. We estimate that a 1 ◦C increase in contemporaneous temperature (relative to our sample mean) reduces the economic growth rate that year by 2.5 percentage points. The adverse impact of higher temperatures is more severe in poorer states and in the primary sector. Our analysis of lagged temperatures suggests that our effects are driven by the contemporaneous effect of temperature on output; we do not find evidence of a permanent impact of contemporaneous temperatures on future growth rates.

The Influence Of The Government On Corporate Environmental Reporting In China: An Authoritarian Capitalism Perspective, Hui Situ, Carol Tilt, Pi-Shen Seet

Research outputs 2014 to 2021

This study uses panel data to investigate the different roles of the Chinese government in influencing companies’ decision making about corporate environmental reporting (CER) via a two-stage process. The results show that the Chinese government appears to mainly influence the decision whether to disclose or not, but has limited influence on how much firms disclose. The results also show that the traditional model of authoritarian capitalism (under which state-owned enterprises [SOEs] are the major governance arrangement) is transforming into a new model. In the new model of authoritarian capitalism, the Chinese government uses newer, more sophisticated tools to manage both …

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 …

Quantile Treatment Effects In Difference In Differences Models With Panel Data, Brantly Callaway, Tong Li

Faculty and Student Publications

Copyright © 2019 The Authors. This paper considers identification and estimation of the Quantile Treatment Effect on the Treated (QTT) under a straightforward distributional extension of the most commonly invoked Mean Difference in Differences Assumption used for identifying the Average Treatment Effect on the Treated (ATT). Identification of the QTT is more complicated than the ATT though because it depends on the unknown dependence (or copula) between the change in untreated potential outcomes and the initial level of untreated potential outcomes for the treated group. To address this issue, we introduce a new Copula Stability Assumption that says that the …

'Follow The Data' — What Data Says About Real-World Behavior In Commons Problems, Caleb M. Koch, Heinrich H. Nax

Cowles Foundation Discussion Papers

We test the game-theoretic foundations of common-pool resources using an individual-level dataset of groundwater usage that accounts for 3% of US irrigated agriculture. Using necessary and sufficient revealed preference tests for dynamic games, we find: (i) a rejection of the standard game-theoretic arguments based on strategic substitutes, and instead (ii) support for models building on reciprocity-like behavior and strategic complements. By estimating strategic interactions directly, we find that reciprocity-like interactions drive behavior more than market and climate trends. Taken together, we take a step toward developing more realistic models to understand groundwater usage, and related issues pertaining to tragedy of …

A Time-Varying True Individual Effects Model With Endogenous Regressors, Levent Kutlu, Kien C. Tran, Mike G. Tsionas

Economics and Finance Faculty Publications and Presentations

We propose a fairly general individual effects stochastic frontier model, which allows both heterogeneity and inefficiency to change over time. Moreover, our model handles the endogeneity problems if either at least one of the regressors or one-sided error term is correlated with the two-sided error term. Our Monte Carlo experiments show that our estimator performs well. We employed our methodology to the US banking data and found a negative relationship between return on revenue and cost efficiency. Estimators ignoring time-varying heterogeneity or endogeneity did not perform well and gave very different estimates compared to our estimator.

Functional Coefficient Panel Modeling With Communal Smoothing Covariates, Peter C.B. Phillips, Ying Wang

Cowles Foundation Discussion Papers

Behavior at the individual level in panels or at the station level in spatial models is often influenced by aspects of the system in aggregate. In particular, the nature of the interaction between individual-specific explanatory variables and an individual dependent variable may be affected by `global’ variables that are relevant in decision making and shared communally by all individuals in the sample. To capture such behavioral features, we employ a functional coefficient panel model in which certain communal covariates may jointly influence panel interactions by means of their impact on the model coefficients. Two classes of estimation procedures are proposed, …

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 …

Currency Unions And Trade: A Ppml Re-Assessment With High-Dimensional Fixed Effects, Mario Larch, Joschka Wanner, Yoto V. Yotov, Thomas Zylkin

Economics Faculty Publications

Recent work on the effects of currency unions (CUs) on trade stresses the importance of using many countries and years in order to obtain reliable estimates. However, for large samples, computational issues associated with the three-way (exporter-time, importer-time, and country-pair) fixed effects currently recommended in the gravity literature have heretofore limited the choice of estimator, leaving an important methodological gap. To address this gap, we introduce an iterative Poisson Pseudo-Maximum Likelihood (PPML) estimation procedure that facilitates the inclusion of these fixed effects for large data sets and also allows for correlated errors across countries and time. When applied to a …

Monthly Spending Dynamics Of The Elderly Following A Health Shock: Evidence From Singapore, Terence C. Cheng, Jing Li, Rhema Vaithianathan

Research Collection School Of Economics

We use novel longitudinal data from 19 monthly waves of the Singapore Life Panel to examine the short-term dynamics of the effects health shocks have on household health and non-health spending and income by the elderly. The health shocks we study are the occurrence of new major conditions such as cancer, heart problems, and minor conditions (e.g. diabetes, and hypertension). Our empirical strategy exploits unanticipated changes in health status through the diagnosis of new health conditions, combined with an individual fixed effect framework. We find that major shocks have large and persistent effects while minor shocks have small and mainly …

The Impact Of Foreign Remittances On Poverty In Nepal: A Panel Study Of Household Survey Data, 1996-2011, Udaya R. Wagle, Satis Devkota

Economics & Management Publications

Using data from the longitudinal panel surveys of 1996, 2004, and 2011, this paper examines the dynamics of foreign remittances and their impact on poverty in Nepal. The intent is to explore how foreign remittances have evolved and impacted poverty and economic well-being of households. Focusing on a consistent set of households across the three survey rounds in a balanced panel format helps examine the effect of foreign remittances with appropriate controls. Results from methodologically consistent, random-effects regressions that correct for potential attrition and heterogeneity bias support significant poverty-reducing and, more accurately, economic well-being-enhancing effects of foreign remittances especially when …

Convergence In Income Inequality: Further Evidence From The Club Clustering Methodology Across States In The U.S., Nicholas Apergis, Christina Christou, Rangan Gupta, Stephen M. Miller

Economics Faculty Publications

This paper contributes to the sparse literature on inequality convergence by empirically testing convergence across states in the U.S. This sample period encompasses a series of different periods that the existing literature discusses -- the Great Depression (1929–1944), the Great Compression (1945–1979), the Great Divergence (1980-present), the Great Moderation (1982–2007), and the Great Recession (2007–2009). This paper implements the relatively new method of panel convergence testing, recommended by Phillips and Sul (2007). This method examines the club convergence hypothesis, which argues that certain countries, states, sectors, or regions belong to a club that moves from disequilibrium positions to their club-specific …

A Distribution-Free Stochastic Frontier Model With Endogenous Regressors, Levent Kutlu

Economics and Finance Faculty Publications and Presentations

We provide a guideline for estimating a distribution-free panel data stochastic frontier model in the presence of endogenous variables. In particular, we consider variations of the within estimator of Cornwell et al. (1990) to allow endogenous regressors.

Bank Net Interest Margins, The Yield Curve, And The 2007–2009 Financial Crisis, Peter V. Egly, David W. Johnk, Andre V. Mollick

Economics and Finance Faculty Publications and Presentations

Using quarterly call report data from 2000 to 2016, we reexamine the relationship between net interest margins (NIM) and the yield curve for more than 5,500 U.S. commercial banks. In the full sample, yield curve and RGDP growth have positive effects on NIM, while inflation and deposit‐to‐loan ratios (D/L) have negative effects. Splitting the sample around the 2007–2009 crisis, we show the impact of yield curve and RGDP growth on NIM increasing during the “recovery” (2009Q3 to 2016Q4), and inflation and D/L changing signs. Positive effects of yield curve on profits vary with bank size and change over time.

Measuring The Effect Heterogeneity Of Police Enforcement Actions Across Spatial Contexts, Eric L. Piza

Publications and Research

Purpose: This study tests whether the effect of police actions is influenced by similar crime generators and attractors (CGAs) that influence crime. Said differently, in recognition that the presence of CGAs presents higher risk of crime at certain places, we test whether CGAs similarly create a situation where specific police enforcement actions are more effective at certain types of places than others.

Methods: Using longitudinal logistic regression models incorporating panel data, we measure the effect of various police enforcement actions on gun violence in Newark, NJ. Risk Terrain Modeling (RTM) was further used to test whether the effect of the …

Endogeneity In Panel Stochastic Frontier Models: An Application To The Japanese Cotton Spinning Industry, Mustafa U. Karakaplan, Levent Kutlu

Economics and Finance Faculty Publications and Presentations

We present a panel stochastic frontier model that handles the endogeneity problem. This model can treat the endogeneity of both frontier and inefficiency variables. We apply our method to examine the technical efficiency of Japanese cotton spinning industry. Our results indicate that market concentration is endogenous, and when its endogeneity is properly handled, it has a larger negative impact on the technical efficiency of cotton spinning plants. We find that the exogenous model substantially overestimates efficiency in concentrated markets.

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 …

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

Research Collection School Of Economics

In this article, 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 …

A Practical Test For Strict Exogeneity In Linear Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang, Jie Wei

Research Collection School Of Economics

This paper provides a practical test for strict exogeneity in linear panel data models with fixed effects when the number of individuals N goes to infinity while the number of time periods T is fixed. The test is based on the supremum of a sequence of Wald test statistics. Under suitable conditions, we establish the asymptotic distribution of the test statistic and consistency of the test. A bootstrap procedure is proposed to improve the finite sample performance and the validity of the procedure is justified. We investigate the finite sample performance of the test via a small set of Monte …

Us Airport Ownership, Efficiency, And Heterogeneity, Levent Kutlu, Patrick Mccarthy

Economics and Finance Faculty Publications and Presentations

All US commercial airports are in the public sector yet not all have the same ownership type. For medium and large hub US airports we use stochastic frontier analysis to analyze the efficiency differences for alternative airport ownership types. We find that while form of ownership may matter for cost efficiency, in general its effect is relatively small. Yet type of public sector ownership does have cost efficiency implications in certain environments. Further, when heterogeneity is not controlled, the results change substantially so that type of ownership matters much more which demonstrates the importance of controlling for cross section heterogeneity.

Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshino

Research Collection School Of Economics

In this paper we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We estimate the functional coefficients by the sieve-IVQR technique and establish the uniform consistency and asymptotic normality of the estimators. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients and study its asymptotic. We conduct simulations to evaluate the finite sample behavior of our estimator and test statistic, and apply our method to study the estimation of quantile Engel curves.

Shrinkage Estimation Of Common Breaks In Panel Data Models Via Adaptive Group Fused Lasso, Junhui Qian, Liangjun Su

Research Collection School Of Economics

In this paper we consider estimation and inference of common breaks in panel data models via adaptive group fused Lasso. We consider two approaches—penalized least squares (PLS) for first-differenced models without endogenous regressors, and penalized GMM (PGMM) for first-differenced models with endogeneity. We show that with probability tending to one, both methods can correctly determine the unknown number of breaks and estimate the common break dates consistently. We establish the asymptotic distributions of the Lasso estimators of the regression coefficients and their post Lasso versions. We also propose and validate a data-driven method to determine the tuning parameter used in …

Granger Causality And Structural Causality In Cross-Section And Panel Data, Xun Lu, Liangjun Su, Halbert White

Research Collection School Of Economics

Granger non-causality 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 non-causality, and with suitable conditions (e.g., separability or monotonicity), structural causality also implies G-causality. This justifies using tests of G- non-causality …

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 …

A Longitudinal Analysis Of Cars, Transit, And Employment Outcomes, Michael J. Smart, Nicholas J. Klein

Mineta Transportation Institute

Access to cars and transit can influence individuals’ ability to reach opportunities such as jobs, health care, and other important activities. While access to cars and public transit varies considerably across time, space, and across populations, most research portrays car access as a snapshot in time; some people have a car and others do not. But does this snapshot approach mask variation in car ownership over time? And how does access to particular types of transportation resources influence individuals’ economic outcomes?

The authors improve upon existing research by using panel data from 1999 to 2013 from the Panel Study of …