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A Practical Guide To Harnessing The Har Volatility Model, Adam CLEMENTS, Daniel P. A. PREVE 2021 Singapore Management University

A Practical Guide To Harnessing The Har Volatility Model, Adam Clements, Daniel P. A. Preve

Research Collection School Of Economics

The standard heterogeneous autoregressive (HAR) model is perhaps the most popular benchmark model for forecasting return volatility. It is often estimated using raw realized variance (RV) and ordinary least squares (OLS). However, given the stylized facts of RV and well-known properties of OLS, this combination should be far from ideal. The aim of this paper is to investigate how the predictive accuracy of the HAR model depends on the choice of estimator, transformation, or combination scheme made by the market practitioner. In an out-of-sample study, covering the S&P 500 index and 26 frequently traded NYSE stocks, it is found ...


Agent-Based Computational Economics: Overview And Brief History, Leigh Tesfatsion 2021 Iowa State University

Agent-Based Computational Economics: Overview And Brief History, Leigh Tesfatsion

Economics Working Papers

Scientists seek to understand how real-world systems work. Models devised for scientific purposes must always simplify reality. However, ideally, a modeling approach should be flexible as well as logically rigorous; it should permit scientists to tailor model simplifications appropriately for specific purposes at hand. Modeling flexibility and logical rigor have been the two key goals motivating the development of Agent-based Computational Economics (ACE), a variant of agent-based modeling adhering to seven specific modeling principles. This perspective provides an overview of ACE and a brief history of its development.


The Medicaid Expansion: Modeling Of Important Factors In State Decision Making, Augustus M. White 2021 University of Tennessee, Knoxville

The Medicaid Expansion: Modeling Of Important Factors In State Decision Making, Augustus M. White

Haslam Scholars Projects

No abstract provided.


A Reassessment Of The Potential For Loss-Framed Incentive Contracts To Increase Productivity: A Meta-Analysis And A Real-Effort Experiment, Paul J. Ferraro, J. Dustin Tracy 2021 Johns Hopkins University

A Reassessment Of The Potential For Loss-Framed Incentive Contracts To Increase Productivity: A Meta-Analysis And A Real-Effort Experiment, Paul J. Ferraro, J. Dustin Tracy

ESI Working Papers

Behavioral scientists have reported substantial increases in worker productivity when incentives are framed as losses rather than gains. Loss-framed incentive contracts have also been reported to be preferred by workers. These claims are challenged by results from our meta-analysis and real-effort experiment. Whereas the summary effect size from loss-framed contracts in laboratory experiments is a 0.4 SD increase in productivity, the summary effect size from _eld experiments is 0.0 SD. Although this difference may reflect differing labor environments in the laboratory and field, we detect evidence of publication biases among laboratory experiments. In a new laboratory experiment that ...


The Macroeconomic Impacts Of Entitlements, Ateeb Akhter Shah Syed, Kaneez Fatima, Riffat Naseer 2021 State Bank of Pakistan

The Macroeconomic Impacts Of Entitlements, Ateeb Akhter Shah Syed, Kaneez Fatima, Riffat Naseer

The Hilltop Review

The worries expressed by Alan Greenspan that the long run economic growth of the United States will fade away due to increasing burden of entitlements motivated us to empirically investigate the impact of entitlements of key macroeconomic variables. To examine this contemporary issue, we estimate a vector error-correction model to analyze the impact of entitlements on the price level, real output, and the long-term interest rate. The results show that a shock to entitlements leads to decrease in output and lends support to the assertion made by Alan Greenspan. Several robustness checks verify that the results remain unchanged qualitatively.


Beware The Gini Index! A New Inequality Measure, Sabiou M. Inoua 2021 Chapman University

Beware The Gini Index! A New Inequality Measure, Sabiou M. Inoua

ESI Working Papers

The Gini index underestimates inequality for heavy-tailed distributions: for example, a Pareto distribution with exponent 1.5 (which has infinite variance) has the same Gini index as any exponential distribution (a mere 0.5). This is because the Gini index is relatively robust to extreme observations; while a statistic’s robustness to extremes is desirable for data potentially distorted by outliers, it is misleading for heavy-tailed distributions, which inherently exhibit extremes. We propose an alternative inequality index: the variance normalized by the second moment. This ratio is more stable (hence more reliable) for large samples from an infinite-variance distribution than ...


Violence And Development: The Cost Countries Pay For High Rates Of Homicide, Brittany Lowe 2021 University of Louisville

Violence And Development: The Cost Countries Pay For High Rates Of Homicide, Brittany Lowe

The Cardinal Edge

Violence is one of the largest and most persistent humanitarian crises across the globe. Understanding violence’s role in economic costs and losses is crucial to informing and guiding decision makers. This study uses international panel data to conduct a log-linear regression with time and country fixed effects. It focuses on studying the causal effects of violent crime on GDP at an aggregate, international level. The results find that the homicide rate has a statistically significant, negative effect on GDP per capita. Acts of violence come not just at a humanitarian cost, but also at the cost of economic progress ...


Dynamic Resource Allocation With Cost Externality, Hao Zhao, David Porter 2021 Chapman University

Dynamic Resource Allocation With Cost Externality, Hao Zhao, David Porter

ESI Working Papers

The inter-temporal resource allocation efficiency of a property rights-based common-pool resource system is challenged by a cost externality when one user’s extraction raises the extraction cost for others. This paper builds a dynamic resource allocation model to illustrate the efficiency loss from a standard property rights market. We then create a novel inter-temporal allocation mechanism that preserves dynamic efficiency. Our dynamic resource allocation mechanism includes an optimal planning stage where the agents collectively determine a binding extraction target for each period and a market stage where agents can exchange their extraction rights assigned within each period. The theoretical model ...


Conflict In The Pool: A Field Experiment, Loukas Balafoutas, Marco Faravelli, Roman Sheremeta 2021 University of Innsbruck

Conflict In The Pool: A Field Experiment, Loukas Balafoutas, Marco Faravelli, Roman Sheremeta

ESI Working Papers

We conduct a field experiment on conflict in swimming pools. When all lanes are occupied, an actor joins the least crowded lane and asks one of the swimmers to move to another lane. The lane represents a contested scarce resource. We vary the actor’s valuation (high and low) for the good through the message they deliver. Also, we take advantage of the natural variation in the number of swimmers to proxy for their valuation. Consistent with theoretical predictions, a swimmer’s propensity to engage in conflict increases in scarcity (incentive effect) and decreases in the actor’s valuation (discouragement ...


Achieving Price Stability, Hwee Kwan CHOW, Taojun XIE 2021 Singapore Management University

Achieving Price Stability, Hwee Kwan Chow, Taojun Xie

Research Collection School Of Economics

The aim of delivering medium-term price stability is the stated objective of the Monetary Authority of Singapore. To this end, the central bank adopted an unusual exchange rate–based monetary policy framework that has served the economy well over the past decades. However, the shift from the phase of catch-up growth to a mature economy raises the question of whether the current monetary policy framework needs reformulation. Moreover, as global financial integration deepens, surges in cross-border capital flows impact Singapore’s exchange rate and asset prices, which has implications for economic dynamism and inclusion. Since a large and persistent deviation ...


Three Essays On Exchange Rate Models And Their Applications, Azza A. Mansour 2021 The Graduate Center, City University of New York

Three Essays On Exchange Rate Models And Their Applications, Azza A. Mansour

Dissertations, Theses, and Capstone Projects

Chapter 1: This chapter attempts to identify the determinant of exchange rate pass-through into producer and destination prices using highly disaggregated firm-level data of importers and exporters of the Egyptian economy from 2009 to 2013. The main findings assert the hypothesis of complete exchange rate pass-through into destination prices at the lowest level of significance for the average exporting firm that is also importing. Furthermore, the firm with the highest import intensity has a lower percentage of pass-through into destination prices, indicating that the marginal cost channel plays a more significant role in determining the speed of the exchange rate ...


Uncertainty And Reputation Effects In Credence Goods Markets, Eric Schniter, J. Dustin Tracy, Vojtěch Zíka 2021 Chapman University

Uncertainty And Reputation Effects In Credence Goods Markets, Eric Schniter, J. Dustin Tracy, Vojtěch Zíka

ESI Working Papers

Credence-goods experiments have focused on stylized settings in which experts can perfectly identify the buyer’s best option and that option works without fail. However, in nature credence goods involve uncertainties that complicate assessing the quality of service and advice. We introduce two sources of uncertainty into a credence goods experiment. The first is diagnostic uncertainty; experts receive a noisy signal of buyer type so might make an ‘honest’ mistake when advising what is in buyers’ best interests. The second is service uncertainty; the services available to the buyer do not always work. Both sources of uncertainty make detection of ...


The Effects Of Recent Minimum Wage Increases On Self-Reported Health In The United States, Liam Sigaud 2021 University of Maine

The Effects Of Recent Minimum Wage Increases On Self-Reported Health In The United States, Liam Sigaud

Electronic Theses and Dissertations

A sharp income-health gradient exists in the United States. Lower levels of income are associated with higher rates of mortality, morbidity, and risky health behaviors, as well as decreased access to health care. Growing evidence of a causal link between income and health suggests that government income-support policies may be an effective strategy for improving health outcomes among poor Americans. One such policy – the minimum wage – has experienced a surge in popularity in recent years. In 2019, twenty-five states and the District of Columbia increased their minimum wage, up from only eight states in 2011. Yet the literature on the ...


Measuring Palatability As A Linear Combination Of Nutrient Levels In Food Items, Jeffrey S. Young 2021 Murray State University

Measuring Palatability As A Linear Combination Of Nutrient Levels In Food Items, Jeffrey S. Young

Faculty & Staff Research and Creative Activity

It well known that palatability and nutritional quality of foods and/or diets are viewed as being in tension with one another. While there exist multiple measures of healthiness, there are no such measures for tastiness. This gap limits the degree to which researchers can investigate this tension and its implications for dietary behavior and hence public health and nutrition policy. The scope of future work concerning the dietary behavior of Americans would expand greatly if researchers better understood consumers’ willingness to eat certain foods, which matters as much as recommending those foods for them to eat in the first ...


Data For "Uncertainty And Reputation Effects In Credence Goods Markets", Eric Schniter, J. Dustin Tracy, Vojtěch Zíka 2021 Chapman University

Data For "Uncertainty And Reputation Effects In Credence Goods Markets", Eric Schniter, J. Dustin Tracy, Vojtěch Zíka

Economic Science Institute Data Sets

Credence-goods experiments have focused on stylized settings in which experts can perfectly identify the buyer’s best option and that option works without fail. However, in nature credence goods involve uncertainties that complicate assessing the quality of service and advice. We introduce two sources of uncertainty into a credence goods experiment. The first is diagnostic uncertainty; experts receive a noisy signal of buyer type so might make an ‘honest’ mistake when advising what is in buyers’ best interests. The second is service uncertainty; the services available to the buyer do not always work. Both sources of uncertainty make detection of ...


Different Strokes For Different Folks: Long Memory And Roughness, Shuping SHI, Jun YU 2021 Singapore Management University

Different Strokes For Different Folks: Long Memory And Roughness, Shuping Shi, Jun Yu

SMU Economics and Statistics Working Paper Series

The log realized volatility of financial assets is often modeled as an autoregressive fractionally integrated moving average model (ARFIMA) process, denoted by ARFIMA(p, d, q), with p = 1 and q = 0. Two conflicting results have been found in the literature regarding the dynamics. One stream shows that the data series has a long memory (i.e., the fractional parameter d > 0) with strong mean reversion (i.e., the autoregressive coefficient |α1| ≈ 0). The other stream suggests that the volatil-ity is rough (i.e., d < 0) with highly persistent dynamic (i.e., α1 → 1). To consolidate the findings, this paper first examines the finite sample properties of alternative estimation methods employed in the literature for the ARFIMA(1, d, 0) model and then applies the outperforming techniques to a wide range of financial assets. The candidate methods include two parametric maximum likeli-hood (ML) methods (the maximum time-domain modified profile likelihood (MPL) and maximum frequency-domain likelihood) and two semiparametric methods (the local Whittle method and log periodogram estimation method). The two parametric methods work well across all parameter set-tings, with the MPL method outperforming. In contrast, the two semiparametric methods have a very large upward bias for d and an equally large downward bias for α1 when α1 is close to unity. The poor performance of the semiparametric methods in the presence of a highly persistent dynamic might lead to a false conclusion of long memory. In the empirical applications, we find that the log realized volatilities of exchange rate futures over the past decade have a long memory, where the point estimate of d is between 0.4 and 0.5 and the estimate of α1 is near zero. For other finan-cial assets considered (including stock indices and industry indices), we find that they have rough volatility, with the point estimate of d being negative and the point estimates of α1 close to unity.


Wild Bootstrap For Instrumental Variable Regressions With Weak And Few Clusters, Wenjie WANG, Yichong ZHANG 2021 Singapore Management University

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

Research Collection School Of Economics

We study the wild bootstrap inference for instrumental variable (quantile) regressions in the framework of a small number of large clusters, in which the number of clusters is viewed as fixed and the number of observations for each cluster diverges to infinity. For subvector inference, we show that the wild bootstrap Wald test with or without using the cluster-robust covariance matrix 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. We further develop a wild bootstrap Anderson-Rubin (AR) test for full-vector inference and ...


Discordant Relaxations Of Misspecified Models, Desire Kedagni, Lixiong Li, Ismael Mourifie 2021 Iowa State University

Discordant Relaxations Of Misspecified Models, Desire Kedagni, Lixiong Li, Ismael Mourifie

Economics Working Papers

In many set identified models, it is difficult to obtain a tractable characterization of the identified set. Therefore, empirical works often construct confidence region based on an outer set of the identified set. Because an outer set is always a superset of the identified set, this practice is often viewed as conservative yet valid. However, this paper shows that, when the model is refuted by the data, a nonempty outer set could deliver conflicting results with another outer set derived from the same underlying model structure, so that the results of outer sets could be misleading in the presence of ...


Keeping A Clean Reputation: More Evidence On The Perverse Effects Of Disclosure, Cary Deck, J. Dustin Tracy 2021 Chapman University

Keeping A Clean Reputation: More Evidence On The Perverse Effects Of Disclosure, Cary Deck, J. Dustin Tracy

ESI Working Papers

When a principal relies on an agent, a conflict of interest can encourage the agent to provide biased advice. Conventional wisdom suggests that such behavior can be reduced through disclosure requirements. However, disclosure has been shown to exacerbate self-serving bias and can actually lead to greater harm for the principal in one-shot interactions. But in many naturally occurring settings, agents form reputations, a mechanism that could diminish the incentive to provide biased advice. We test for bias in the advice agents provide when faced with reputation concerns, and examine the impact of disclosure in such an environment. In controlled laboratory ...


On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye 2021 The University of Western Ontario

On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye

Electronic Thesis and Dissertation Repository

In this thesis, the Heston-Nandi GARCH(1,1) (henceforth, HN-GARCH) option pricing model is fitted via 4 maximum likelihood-based estimation and calibration approaches using simulated returns and/or options. The purpose is to examine the benefits of the joint estimation using both returns and options over the fundamental returns-only estimation on GARCH models. From our empirical studies, with the additional option sample, we can improve the efficiency of the estimates for HN-GARCH parameters. Nonetheless, the improvements for the risk premium factor, both from empirical standard errors, and sample RMSEs, are insignificant. In addition, option prices are simulated with a pre-defined ...


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