Effects Of The Great Recession On American Retirement Funding, 2017 University of Tennessee, Knoxville
Effects Of The Great Recession On American Retirement Funding, Tanner G. Hamil
University of Tennessee Honors Thesis Projects
No abstract provided.
17-04 Deception And Reception: The Behavior Of Information Providers And Users, 2017 Chapman University
17-04 Deception And Reception: The Behavior Of Information Providers And Users, Roman M. Sheremeta, Timothy W. Shields
ESI Working Papers
We investigate the behavior of information providers (underwriters) and users (investors) in a controlled laboratory experiment where underwriters have incentives to deceive and investors have incentives to avoid deception. Participants play simultaneously as underwriters and investors in one-shot information transmission games. The results of our experiment show a significant proportion of both deceptive and non-deceptive underwriters. Despite the presence of deceptive underwriters, investors are receptive to underwriters’ reports, gleaning information content, albeit overly optimistic. Within our sample, deception by underwriters and reception by investors are the most profitable strategies. Moreover, participants who send deceptive reports to investors, but at the ...
17-03 Targeted Campaign Competition, Loyal Voters, And Supermajorities, 2017 Université Paris-Saclay
17-03 Targeted Campaign Competition, Loyal Voters, And Supermajorities, Pierre C. Boyer, Kai A. Konrad, Brian Roberson
ESI Working Papers
We consider campaign competition in which candidates compete for votes among a continuum of voters by engaging in persuasive efforts that are targetable. Each individual voter is persuaded by campaign effort and votes for the candidate who targets more persuasive effort to this voter. Each candidate chooses a level of total campaign effort and allocates their effort among the set of voters. We completely characterize equilibrium for the majoritarian objective game and compare that to the vote-share maximizing game. If the candidates are symmetric ex ante, both types of electoral competition dissipate the rents from once in expectation. However, the ...
17-02 The Paradox Of Power: Understanding Fiscal Capacity In Imperial China And Absolutist Regimes, 2017 London School of Economics
17-02 The Paradox Of Power: Understanding Fiscal Capacity In Imperial China And Absolutist Regimes, Debin Ma, Jared Rubin
ESI Working Papers
Tax extraction in Qing China was low relative to Western Europe. It is not obvious why: China was much more absolutist and had stronger rights over property and people. Why did the Chinese not convert their absolute power into revenue? We propose a model, supported by historical evidence, which suggests that i) the center could not ask its tax collecting agents to levy high taxes because it would incentivize agents to overtax the peasantry; ii) the center could not pay agents high wages in return for high taxes because the center had no mechanism to commit to refrain from confiscating ...
The Logic And Limits Of Event Studies In Securities Fraud Litigation, 2017 University of Pennsylvania Law School
The Logic And Limits Of Event Studies In Securities Fraud Litigation, Jill E. Fisch, Jonah B. Gelbach, Jonathan Klick
Event studies have become increasingly important in securities fraud litigation after the Supreme Court’s decision in Halliburton II. Litigants have used event study methodology, which empirically analyzes the relationship between the disclosure of corporate information and the issuer’s stock price, to provide evidence in the evaluation of key elements of federal securities fraud, including materiality, reliance, causation, and damages. As the use of event studies grows and they increasingly serve a gatekeeping function in determining whether litigation will proceed beyond a preliminary stage, it will be critical for courts to use them correctly.
This Article explores an array ...
A Case Study In Tipping: An Economic Anomaly, 2017 University of Kansas
A Case Study In Tipping: An Economic Anomaly, Megan Nelson
Crossing Borders: A Multidisciplinary Journal of Undergraduate Scholarship
When dining in a restaurant or having a drink at a bar, do you tip? If yes, what do you base the tip amount on? Is it who you are with? Do men tip more than women? Do you tip less when your actions are masked by a larger group? The answers to these questions are something that economists have struggled to explain. The most difficult question being: Why do people pay an additional amount when they have absolutely no legal obligation to do so? This case study explores the variables that lead to higher or lower tip amounts ...
Identifying Latent Structures In Panel Data, 2017 Singapore Management University
Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C. B. Phillips
in multiple linear regression models via group fused Lasso (least absolute shrinkage
Granger Causality And Structural Causality In Cross-Section And Panel Data, 2017 Singapore Management University
Granger Causality And Structural Causality In Cross-Section And Panel Data, Xun Lu, Liangjun Su, Halbert White
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- ...
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, 2017 Singapore Management University
Adaptive Nonparametric Regression With Conditional Heteroskedasticity, Sainan Jin, Liangjun Su, Zhijie Xiao
Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC) recently developed in Li et al. (2014b) to determine the best candidate model. RDIC is a better information criterion than the widely used deviance information criterion (DIC) when latent variables are involved in candidate models. Empirical analysis using US data shows that the optimal model selected by RDIC can be different from that by DIC.
Estimation Of Large Dimensional Factor Models With An Unknown Number Of Breaks, 2017 Singapore Management University
Estimation Of Large Dimensional Factor Models With An Unknown Number Of Breaks, Shujie Ma, Liangjun Su
In this paper we study the estimation of a large dimensional factor model when the factor loadings exhibit an unknown number of changes over time. We propose a novel three-step procedure to detect the breaks if any and then identify their locations. In the first step, we divide the whole time span into subintervals and fit a conventional factor model on each interval. In the second step, we apply the adaptive fused group Lasso to identify intervals containing a break. In the third step, we devise a grid search method to estimate the location of the break on each identified ...
Functional Coefficient Estimation With Both Categorical And Continuous Data, 2017 Singapore Management University
Functional Coefficient Estimation With Both Categorical And Continuous Data, Liangjun Su, Y. Chen, A. Ullah
We propose a local linear functional coefficient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the finite sample performance of our estimator. As an application, we estimate a wage determination function that explicitly allows the return to education to depend on other variables. We find evidence of the complex interacting patterns among the regressors in the wage equation, such as increasing returns to education when experience is very low, high return to education for ...
Testing For Monotonicity In Unobservables Under Unconfoundedness, 2017 Singapore Management University
Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang
Monotonicity in a scalar unobservable is a common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption and in some economic applications unlikely to hold, e.g., random coefficient models. Its failure can have substantive adverse consequences, in particular inconsistency of any estimator that is based on it. Having a test for this hypothesis is hence desirable. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together with a conditional ...
Testing Conditional Independence Via Empirical Likelihood, 2017 Singapore Management University
Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White
We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time ...
Testing Homogeneity In Panel Data Models With Interactive Fixed Effects, 2017 Singapore Management University
Testing Homogeneity In Panel Data Models With Interactive Fixed Effects, Liangjun Su, Q. Chen
This paper proposes a residual-based LM test for slope homogeneity in large dimensional panel data models with interactive fixed effects. We first run the panel regression under the null to obtain the restricted residuals, and then use them to construct our LM test statistic. We show that after being appropriately centered and scaled, our test statistic is asymptotically normally distributed under the null and a sequence of Pitman local alternatives. The asymptotic distributional theories are established under fairly general conditions which allow for both lagged dependent variables and conditional heteroskedasticity of unknown form by relying on the concept of conditional ...
Structural Change Estimation In Time Series Regressions With Endogenous Variables, 2017 Shanghai Jiao Tong University
Structural Change Estimation In Time Series Regressions With Endogenous Variables, Junhui Qian, Liangjun Su
We propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.
Specification Testing For Transformation Models With Applications To Generalized Accelerated Failure-Time Models, Arthur Lewbel, Xun Lu, Liangjun Su
This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in economics, including, e.g., standard specifications of duration models and hedonic pricing models. Our test statistic is asymptotically normal under local alternatives and consistent against nonparametric alternatives violating the implied restriction. Monte Carlo experiments show that our test performs well in finite samples. We apply our results to test for specifications of generalized ...
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, 2017 Singapore Management University
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshina
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 approximate the unknown functional coefficients by some basis functions and estimate them by the IVQR technique. We establish the uniform consistency and asymptotic normality of the estimators of the functional coefficients. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis, a sequence of local alternatives and global alternatives, and propose a wild-bootstrap procedure ...
Specification Test For Spatial Autoregressive Models, 2017 Singapore Management University
Specification Test For Spatial Autoregressive Models, Liangjun Su, Xi Qu
This paper considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix is true. We derive the limiting distributions of the test under the null hypothesis of correct specification and a sequence of local alternatives. We show that the test is free of nuisance parameters asymptotically under the null and prove the consistency of our test. To improve the finite sample performance of our test, we also propose a residual-based wild bootstrap and justify its asymptotic validity. We conduct a small set of Monte Carlo simulations to investigate the ...
Shrinkage Estimation Of Common Breaks In Panel Data Models Via Adaptive Group Fused Lasso, 2017 Shanghai Jiaotong University
Shrinkage Estimation Of Common Breaks In Panel Data Models Via Adaptive Group Fused Lasso, Junhui Qian, Liangjun Su
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 ...
Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, 2017 Singapore Management University
Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang
We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML estimators. Monte Carlo simulation shows that both the QML estimators and the bootstrap standard errors perform well in finite samples under a correct assumption on initial observations, but may ...