Econometrics Commons^™

Bubbly Booms And Welfare, Feng Dong, Yang Jiao, Haoning Sun

Research Collection School Of Economics

We show the competing effects of a housing bubble on the real economy by developing a multi-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their housing, so a housing bubble helps firms obtain credit to finance their investment and expand production. On the other hand, a boom in the housing sector crowds out labor in the non-housing sector. We show that housing booms can reduce social welfare both in the steady state and in the transitional dynamics only when the production externalities in the non-housing sector are sufficiently large. We quantitatively evaluate our …

Navigating Generosity: A Comparative Analysis Of Charitable Donations Around The Great Recession Of 2008, Micah Blomberg

Economics Student Theses and Capstone Projects

This paper studies donations to non-profit organizations in the US and how they reacted to The Great Recession of 2008. I find statistically significant drop-offs in multiple donative subcategories, including religion, education, human services, public society benefits, and arts, culture, and humanities, making up over 50% of total donations. Donation levels after the 2008 crash tend to be slightly downward sticky, meaning the rate of increase is larger after the treatment effect. These increased rates of return allow for market correction post-recession but still reveal a deadweight loss when comparing trends in OLS betas before and after the recession, meaning …

A Gender-Based Ufc Demand Analysis, Nolen Michael

Economics Student Theses and Capstone Projects

The Ultimate Fighting Championship (UFC) has grown rapidly since its inception in the early 1990s. An important aspect of understanding the explosion of Mixed Martial Arts into mainstream appeal is the relationship between consumer demand and specific attributes of the sport. The UFC first began featuring female events in 2013. A robust division of women’s UFC fighters has developed in the years since. In this study I will be using econometric methods to evaluate the degree to which specific gender related variables influence consumer demand for the UFC. The Pay-Per-View format of UFC events is of critical importance because it …

Limitations Of Law Enforcement Involvement In Harm Reduction: A Multivariate Analysis Of State-Level Policies And Overdose Deaths, Marilyn L. Brach

Senior Theses and Projects

Research Question: How do state-level policies authorizing law enforcement to carry and administer Narcan while on duty shape overdose mortality?

Methods: State-level policies Narcan administration policies were examined and categorized. A cross-sectional regression analysis was performed to evaluate the factors influencing state variation in drug overdose deaths. Following bivariate analysis, a panel regression analysis was then executed to precisely estimate the relationship between state-level law enforcement Narcan administration policies and drug overdose deaths.

Results: The cross-sectional analysis provided findings that were largely consistent with the current literature. A higher proportion of non-Hispanic white individuals and a higher proportion of individuals …

Jargon To Jackpot: The Financial Impact Of Infusing Pop Culture References In Social Media, Madelynn Solow

Business and Economics Honors Papers

This research explores the impact of incorporating pop culture references in a company's Twitter feed on the company's stock price. Pop culture is integral to people's everyday lives, providing a sense of familiarity and fun between individuals. Many companies have started leveraging pop culture references on social media platforms like Twitter to establish a relatable and engaging connection with diverse consumer demographics. The primary purpose of this research is to investigate whether this strategy is beneficial within the stock market. It is hypothesized that incorporating pop culture references on Twitter can lead to increased sales and higher stock prices, as …

Cooperation In Temporary Partnerships, Gabriele Camera, Alessandro Gioffré

ESI Working Papers

The literature on cooperation in infinitely repeated Prisoner’s Dilemmas covers the extreme opposites of the matching spectrum: partners, a player’s opponent never changes, and strangers, a player’s opponent randomly changes in every period. Here, we extend the analysis to settings where the opponent changes, but not in every period. In these temporary partnerships, players can deter some deviations by directly sanctioning their partner. Hence, relaxing the extreme assumption of one-period matchings can support some cooperation also off equilibrium because a class of strategies emerges that are less extreme than the typical “grim” strategy. We establish conditions supporting full …

Global Coffee Production, Payton Herres

Student Papers in Local and Global Regional Economies

This study aims to provide a comprehensive understanding of the many factors that influence global coffee production, with a particular focus on weather conditions, land area, labor force, and human capital. By exploring these multifaceted aspects, this research aims to provide valuable insights for stakeholders in the coffee industry, policymakers, and researchers. This research explores patterns, calculations, and causal relationships that shape the dynamics of coffee production worldwide through a rigorous analysis of weather variables, including temperature and rainfall, along with assessments of land area, labor dynamics, and human capital. Furthermore, the research aims to illuminate the complex interplay between …

Who Helps Tsimane Children And Adults?, Eric Schniter, Daniel K. Cummings, Paul L. Hooper, Maguin Gutierrez Cayuba, Jonathan Stieglitz, Benjamin C. Trumble, Hillard S. Kaplan, Michael D. Gurven

ESI Working Papers

We consider several forms of helping behavior among Tsimane Amerindians of Bolivia, including provision of shelter, childcare, food, sickcare, loans, advice, and cultural influence. While kin selection theory is traditionally invoked to explain nepotistic nurturing of youngsters by closely related kin, much less attention has been given to understanding the help provided to children and adults by individuals without close genetic relatedness. To explain who provides the various forms of help that we consider, we evaluate support for several predictions derived from kin selection theory: that helpers are most often closely related and from an older generation, provide more help …

Housing Markets Since Shapley And Scarf, Mustafa Oguz Afacan, Gaoji Hu, Jiangtao Li

Research Collection School Of Economics

Shapley and Scarf (1974) appeared in the first issue of the Journal of Mathematical Economics, and is one of the journal’s most impactful publications. As we approach the remarkable milestone of the journal’s 50th anniversary (1974–2024), this article serves as a commemorative exploration of Shapley and Scarf (1974) and the extensive body of literature that follows it.

Wild Bootstrap Inference For Instrumental Variables Regressions With Weak And Few Clusters, Wenjie Wang, Yichong Zhang

Research Collection School Of Economics

We study the wild bootstrap inference for instrumental variable regressions under an alternative asymptotic framework that the number of independent clusters is fixed, the size of each cluster diverges to infinity, and the within cluster dependence is sufficiently weak. We first show that the wild bootstrap Wald test controls size asymptotically up to a small error as long as the parameters of endogenous variables are strongly identified in at least one of the clusters. Second, we establish the conditions for the bootstrap tests to have power against local alternatives. We further develop a wild bootstrap Anderson–Rubin test for the full-vector …

Estimating The Stability Of Okun's Law, Xinrui (Crystal) Wang, Samuel Schreyer

SACAD: John Heinrichs Scholarly and Creative Activity Days

This study focuses on employing the gap version of Okun's Law, conducting regression analysis between the output gap and the unemployment gap to assess their effectiveness and long-term stability, and also estimates the significant relationship between the output gap and the unemployment gap. This study also compares the output gap dynamics during economic contractions and expansions.

Ambiguity And Ambiguity Attitudes Across Auctions, Cary Deck, Paan Jindapon, Tigran Melkonyan, Mark Schneider

ESI Working Papers

Studies of ambiguity perceptions and attitudes are moving beyond the Ellsberg urn to examine people’s responses to ambiguity in naturally occurring events, games, and financial markets. In this study, we measure ambiguity perceptions and attitudes for market prices and allocations in four classical auction formats (first-price and second-price sealed bid auctions, English and Dutch clock auctions). We find ambiguity attitudes, representing individual preferences, are stable across auctions. However, the perceived ambiguity surrounding auction prices is lowest for English clock auctions which are obviously strategyproof (OSP), followed by second-price auctions which are strategyproof (SP), followed by a tie between first-price and …

Optimal Inference For Spot Regressions, Tim Bollerslev, Jia Li, Yuexuan Ren

Research Collection School Of Economics

Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas with high-frequency data. The "local Gaussian" property of the generic continuous-time benchmark model enables optimal "finite-sample" inference in a well-defined sense. It also affords more reliable inference in empirically realistic settings compared to conventional large-sample approaches. Two applications pertaining to the tracking performance of leveraged ETFs and an intraday event study illustrate the practical usefulness of the new procedures.

Bootstrap Inference For Quantile Treatment Effects In Randomized Experiments With Matched Pairs, Liang Jiang, Xiaobin Liu, Peter C B Phillips, Yichong Zhang

Research Collection School Of Economics

This paper examines methods of inference concerning quantile treatment effects (QTEs) in randomized experiments with matched-pairs designs (MPDs). Standard multiplier bootstrap inference fails to capture the negative dependence of observations within each pair and is therefore conservative. Analytical inference involves estimating multiple functional quantities that require several tuning parameters. Instead, this paper proposes two bootstrap methods that can consistently approximate the limit distribution of the original QTE estimator and lessen the burden of tuning parameter choice. Most especially, the inverse propensity score weighted multiplier bootstrap can be implemented without knowledge of pair identities.

Robust Inference On Correlation Under General Heterogeneity, Liudas Giraitis, Yuefei Li, Peter C. B. Phillips

Research Collection School Of Economics

Considerable evidence in past research shows size distortion in standard tests for zero autocorrelation or zero cross-correlation when time series are not independent identically distributed random variables, pointing to the need for more robust procedures. Recent tests for serial correlation and cross-correlation in Dalla, Giraitis, and Phillips (2022) provide a more robust approach, allowing for heteroskedasticity and dependence in uncorrelated data under restrictions that require a smooth, slowly-evolving deterministic heteroskedasticity process. The present work removes those restrictions and validates the robust testing methodology for a wider class of innovations and regression residuals allowing for heteroscedastic uncorrelated and non-stationary data settings. …

Panel Data Models With Time-Varying Latent Group Structures, Yiren Wang, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism, the model may have different numbers of groups and/or different group memberships before and after the break. With preliminary nuclear norm regularized estimation followed by row- and column-wise linear regressions, we estimate the break point based on the idea of binary segmentation and the latent group structures together with the number of groups before and after the break by sequential testing K-means algorithm simultaneously. It is …

Reinvigorating Gva Nowcasting In The Post-Pandemic Period: A Case Study For India, Kaustubh Na, Soumya Suvra Bhadury, Saurabh Ghosh

Bulletin of Monetary Economics and Banking

We reinvigorate nowcasting models considering structural changes caused by the COVID-19 pandemic. It emphasizes the need to understand the heterogeneous impact of shocks on agriculture, industry, and services sectors in an emerging market economy (e.g., India). Our findings advocate a bottom-up approach that tracks sectors separately rather than a headline number. Our results suggest including digital-activity index and supply-side disruption index in the post-pandemic period could improve nowcast performance. Expectation-Maximization (E-M) algorithm is used to combine data series based on their availability. Among bridging methods, the averaging method is preferred due to its simplicity and flexibility.

Cognitive Abilities And Individual Earnings In Hybrid Continuous Double Auctions, Yan Peng, Jason Shachat, Lijia Wei, S. Sarah Zhang

ESI Working Papers

We study the influence of cognitive abilities, in particular reaction time, trader intuition (Theory of Mind), and cognitive reflection abilities, on human participants’ individual earnings when competing alongside algorithmic traders in continuous double auctions. In balanced markets, where each human trader has an algorithmic trader clone with the same valuations or costs, faster human reaction time significantly improves trading performance, while Theory of Mind can be detrimental to human trading performance, particularly for sellers. For unbalanced markets with humans and algorithmic traders on opposite sides of the market, the effects of cognitive abilities depend on trader role as well as …

One-Half Heuristic In Overconfidence Research, Vojtěch Zíka

ESI Working Papers

This laboratory experiment (N=120) explored the possibility that overconfidence research concerning overestimation and overplacement may be affected by the one-half heuristic, a tendency of individuals to estimate quantities with unknown distributions at half of the maximum value. The data from multiple rounds of the computerized hand game Rock–Paper–Scissors provide convincing evidence that half of the maximum is the most popular estimate and that manipulating the game’s average score can affect the direction and magnitude of estimation, averaging, and placement levels. The resulting methodological proposal is that the score participants estimate should have an expected value equal to half of the …

Horizontal Economic Inequality And Mass Atrocity Risk: A Large-Sample Empirical Inquiry, Charles H. Anderton, Roxane A. Anderton

Genocide Studies and Prevention: An International Journal

Our research question is: Does inter-group horizontal economic inequality elevate state-perpetrated mass atrocity risk? Theoretical perspectives in genocide studies show how economic and other forms of discrimination against ethnic or religious groups can elevate the risk of government violence against them. Among the approximately five dozen large-sample empirical studies of mass atrocity risk, only a few consider the effects of economic discrimination. Moreover, no large-sample empirical studies, to the best of our knowledge, test hypotheses related to how inter-group horizontal economic inequalities (as distinct from vertical economic inequalities based on GINI coefficients or quantile income or wealth measures) affect mass …