Open Access. Powered by Scholars. Published by Universities.®

Econometrics Commons

Open Access. Powered by Scholars. Published by Universities.®

2598 Full-Text Articles 2003 Authors 481608 Downloads 88 Institutions

All Articles in Econometrics

Faceted Search

2598 full-text articles. Page 1 of 87.

Bayesian State Space Representation Model: Applications To Macroeconomics And International Finance, Hiroshi Morita 2018 The Graduate Center, City University of New York

Bayesian State Space Representation Model: Applications To Macroeconomics And International Finance, Hiroshi Morita

All Graduate Works by Year: Dissertations, Theses, and Capstone Projects

This dissertation develops three new econometric models using Bayesian state space representation model in order to apply to macroeconomics and international finance. It consists of 3 chapters. Chapter 1 develops a Markov mixture model of macroeconomic fundamentals to analyze the short-run dynamics of foreign exchange rates. In our model, foreign exchange rates are simultaneously determined by three parities: the interest rate parity, the inflation rate parity, and the equity return rate parity. Using four exchange rates: the U.S. dollar price of the British pound, the German mark, the Japanese yen, and the Canadian dollar, the findings are: (1) Our ...


Inference In Continuous Systems With Mildly Explosive Regressors, Ye CHEN, Peter C. B. PHILLIPS, Jun YU 2017 Singapore Management University

Inference In Continuous Systems With Mildly Explosive Regressors, Ye Chen, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

New limit theory is developed for co-moving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, and is feasible to implement in practice. Simulations show that double asymptotics deliver a good approximation to the finite sample distribution, with both finite sample and asymptotic distributions showing sensitivity to initial conditions. The methods are implemented in the US real estate market ...


Disaster And Recovery: The Effects Of Post-Disaster Aid On Economic Development, Joshua M. Drouin 2017 Murray State University

Disaster And Recovery: The Effects Of Post-Disaster Aid On Economic Development, Joshua M. Drouin

Steeplechase

The effects of aid on economic development is topic typically studied from the perspective of corruption and allocative efficiency. We examine aid to less developed nations from a different viewpoint; assuming aid reaches the intended recipients, does it actually benefit them? We utilize Indonesia and the 2004 earthquake and tsunami as a natural experiment to observe the influx of aid, and compare the regions development before and after the disaster. By establishing a baseline before the disaster, and utilizing a new start point after the destruction, we can gauge the reconstruction efforts and observe whether aid is beneficial or harmful ...


Singapore’S Life Program: Actuarial Framework, Longevity Risk And Impact Of Annuity Fund Return, Koon Shing KWONG, Yiu Kuen TSE, Wai-Sum CHAN 2017 Singapore Management University

Singapore’S Life Program: Actuarial Framework, Longevity Risk And Impact Of Annuity Fund Return, Koon Shing Kwong, Yiu Kuen Tse, Wai-Sum Chan

Research Collection School Of Economics

The Central Provident Fund (CPF) is a defined-contribution savings plan forming the key pillar of the pension system in Singapore. The CPF Lifelong Income For the Elderly (LIFE) program, which provides lifetime income for retirees, is a mandatory pension scheme for all Singapore residents. In this paper we construct an actuarial framework to analyze the LIFE program. We use this framework to study the plan payout outcomes with respect to changes in mortality and annuity fund return assumptions. We also examine the effects of some possible changes in the program on the payouts and bequests.


Specification Test For Spatial Autoregressive Models, Liangjun SU, Xi QU 2017 Singapore Management University

Specification Test For Spatial Autoregressive Models, Liangjun Su, Xi Qu

Research Collection School Of Economics

This article considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix Wn 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 ...


Strong Consistency Of Spectral Clustering For Stochastic Block Models, Liangjun SU, Wuyi WANG, Yichong ZHANG 2017 Singapore Management University

Strong Consistency Of Spectral Clustering For Stochastic Block Models, Liangjun Su, Wuyi Wang, Yichong Zhang

Research Collection School Of Economics

In this paper we prove the strong consistency of several methods based on thespectral clustering techniques that are widely used to study the communitydetection problem in stochastic block models (SBMs). We show that under someweak conditions on the minimal degree, the number of communities, and theeigenvalues of the probability block matrix, the K-means algorithm applied tothe Eigenvectors of the graph Laplacian associated with its first few largesteigenvalues can classify all individuals into the true community uniformlycorrectly almost surely. Extensions to both regularized spectral clustering anddegree-corrected SBMs are also considered. We illustrate the performance ofdifferent methods on simulated networks.


The Political Cost? Religious Segregation, Peace Walls, And House Prices, John A. McCord, Michael J. McCord, Peadar T. Davis, Martin E. Haran, Sean MacIntyre 2017 University of Ulster

The Political Cost? Religious Segregation, Peace Walls, And House Prices, John A. Mccord, Michael J. Mccord, Peadar T. Davis, Martin E. Haran, Sean Macintyre

Peace and Conflict Studies

The longstanding issue of discrimination and segregation in housing markets has enveloped housing market analysis and particularly the understanding of house price determination. Whilst the relationship of segregation in residential space is diverse and encompasses numerous taxonomies, in Northern Ireland, the high level of market segregation is compounded by the addition of tactile barriers such as Peace walls. The existence of these tactile barriers serves to physically segregate communities and have the capacity to prevent the restoration of normal community interactions and market processes. This paper attempts to quantify and measure the disamenity implications and costs of these hard structures ...


Essays On Inequality And Macroeconomic Stability, Thomas Hauner 2017 The Graduate Center, City University of New York

Essays On Inequality And Macroeconomic Stability, Thomas Hauner

All Graduate Works by Year: Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters. . .

Chapter 1: Aggregate Wealth and Its Distribution as Determinants of Financial Crises: Panel Evidence This essay investigates the relationship between wealth inequality and financial crises across a panel of nine advanced economies over the past 100 years. While substantiation of a role for income inequality is ambiguous in the literature, evidence is presented suggesting a unique capacity for the accumulation of assets to increase the likelihood of a future financial crisis episode. Testing long-run panel data with a reduced form, two-way fixed effects model, estimates suggest that increasing wealth inequality, in an economy with ...


Who Influences Your Outcomes? The Effect Of Culture And Ethnic Origin, Neighborhood And Peers On Personal Income: A Spatial Econometric Analysis Of New York City, Anna Arakelyan 2017 The Graduate Center, City University of New York

Who Influences Your Outcomes? The Effect Of Culture And Ethnic Origin, Neighborhood And Peers On Personal Income: A Spatial Econometric Analysis Of New York City, Anna Arakelyan

All Graduate Works by Year: Dissertations, Theses, and Capstone Projects

Being a “social animal”, each person is inherently embedded into a complex structure of social relations. He has role models to aspire to, conformity rules to follow, and expectations to meet. This paper explores the different social influences each person experiences in life. Specifically, I consider how a person’s ethnic community, age reference group, occupational and industry group peers, and residential area neighbors affect his total income. I introduce a novel model of multiple social networks and discuss various identification implications. I apply the model empirically to New York City, which naturally is a very favorable environment to test ...


No Mere Tautology: The Division Of Labor Is Limited By The Division Of Labor, Andrew Smyth, Bart J. Wilson 2017 Marquette University

No Mere Tautology: The Division Of Labor Is Limited By The Division Of Labor, Andrew Smyth, Bart J. Wilson

ESI Working Papers

We explore the intersection of growth theory and the theory of the firm with an experiment. Economic growth is possible in our experiment when agents specialize to exploit increasing returns. We find that low opportunity costs are sufficient for Marshallian internal economies, but that Marshallian external economies are slow to emerge in four probing treatment conditions. Transaction costs do not hamper external economies as we anticipated prior to collecting data. When external economies falter, it is because new ideas about the cost and value of more extensive specialization fail to emerge. Ideas are what make further divisions of the division ...


School Resources And Student Outcomes: Evidence From The State Of Illinois, Alyssa Cooper 2017 Illinois State University

School Resources And Student Outcomes: Evidence From The State Of Illinois, Alyssa Cooper

Stevenson Center for Community and Economic Development

Literature on the subject of school resources and student outcomes tends to find that there is a positive relationship between both variables. Most literature uses per-pupil spending (PPS) or teacher salaries as a measure of school resources. While I have modeled both in my paper, my focus in this paper is on per-pupil spending. Using data from the Illinois State Board of Education from 2006-2016 and measuring student outcomes through average ACT scores, operational PPS is found to be insignificant, whereas instructional PPS is found to be positive and significant at the 5% level. Estimates suggest that a 1 standard ...


Bubble Testing Under Deterministic Trends, Xiaohu WANG, Jun YU 2017 Chinese University of Hong Kong

Bubble Testing Under Deterministic Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the ordinary least squares estimator of the autoregressive (AR) coefficient in various AR models, when data is generated from trend-stationary models in different forms. It is shown that, depending on how the autoregression is specified, the commonly used right-tailed unit root tests may tend to reject the null hypothesis of unit root in favor of the explosive alternative. A new procedure to implement the right-tailed unit root tests is proposed. It is shown that when the data generating process is trend-stationary, the test statistics based on the proposed procedure cannot find evidence of ...


Sources Of Health Financing And Health Outcomes: A Panel Data Analysis, Tomoki FUJII 2017 Singapore Management University

Sources Of Health Financing And Health Outcomes: A Panel Data Analysis, Tomoki Fujii

Research Collection School Of Economics

We study the differential impacts of public and private sources of health spending on health outcomes using a triple difference approach. We find that private health spending has on average a higher health-promoting effect than public health spending. This result is robust with respect to the choice of outcome measure and covariates in the regression and driven primarily by the countries with ineffective governments. Once we restrict our sample to countries with effective governments, private health spending is no better than public health spending for improving the health outcome.


Non-Separable Models With High-Dimensional Data, Liangjun SU, Takuya URA, Yichong ZHANG 2017 Singapore Management University

Non-Separable Models With High-Dimensional Data, Liangjun Su, Takuya Ura, Yichong Zhang

Research Collection School Of Economics

This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and penalized conditional density estimation, respectively, where control variables are selected via a localized method of L1-penalization at each value of the continuous treatment. In the second stage we estimate the average and the marginal distribution ...


Wealth Disparities For Early Childhood Anthropometrics And Skills: Evidence From Chilean Longitudinal Data, Jere R. Behrman, Dante Contreras, Isidora Palma, Esteban Puentes 2017 University of Pennsylvania

Wealth Disparities For Early Childhood Anthropometrics And Skills: Evidence From Chilean Longitudinal Data, Jere R. Behrman, Dante Contreras, Isidora Palma, Esteban Puentes

Population Center Working Papers (PSC/PARC)

We study wealth disparities in the formation of anthropometrics, cognitive skills and socio-emotional skills. We use a sample of preschool and early school children in Chile. We extend the previous literature by using longitudinal data, which allow us to study the dynamics of child growth and skills formation. Also, we include information on mother's and father's schooling attainment and mother's cognitive ability. We find that there are no significant anthropometric differences favoring the better-off at birth (and indeed length differences at birth to the disadvantage of the better-off), but during the first 30 months of life wealth ...


The Attack And Defense Of Weakest Link Networks, Dan Kovenock, Brian Roberson, Roman M. Sheremeta 2017 Chapman University

The Attack And Defense Of Weakest Link Networks, Dan Kovenock, Brian Roberson, Roman M. Sheremeta

ESI Working Papers

We experimentally test the qualitatively different equilibrium predictions of two theoretical models of attack and defense of a weakest-link network of targets. In such a network, the attacker’s objective is to successfully attack at least one target and the defender’s objective is to defend all targets. The models differ in how the conflict at each target is modeled — specifically, the lottery and auction contest success functions (CSFs). Consistent with equilibrium in the auction CSF model, attackers utilize a stochastic “guerrilla-warfare” strategy, which involves randomly attacking at most one target with a random level of force. Inconsistent with equilibrium ...


Loss Aversion And The Quantity-Quality Tradeoff, Jared Rubin, Anya Samek, Roman M. Sheremeta 2017 Chapman University

Loss Aversion And The Quantity-Quality Tradeoff, Jared Rubin, Anya Samek, Roman M. Sheremeta

ESI Working Papers

Firms face an optimization problem that requires a maximal quantity output given a quality constraint. But how do firms incentivize quantity and quality to meet these dual goals, and what role do behavioral factors, such as loss aversion, play in the tradeoffs workers face? We address these questions with a theoretical model and an experiment in which participants are paid for both quantity and quality of a real effort task. Consistent with basic economic theory, higher quality incentives encourage participants to shift their attention from quantity to quality. However, we also find that loss averse participants shift their attention from ...


Time Series Copulas For Heteroskedastic Data, Ruben Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn 2017 Melbourne Business School

Time Series Copulas For Heteroskedastic Data, Ruben Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn

Michael Stanley Smith

We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co-movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using exchange rate returns, we show that the resulting copula models can capture their marginal distributions more accurately than univariate and multivariate GARCH models, and produce more accurate value at risk forecasts.


Do Weapons Make Warfare? An Instrumental Variables Approach Towards Investigating The Relationship Between Small Arms Abundance, Civil Conflict Onset, And Civil Conflict Intensity, Gabriel S. Barrett 2017 Macalester College

Do Weapons Make Warfare? An Instrumental Variables Approach Towards Investigating The Relationship Between Small Arms Abundance, Civil Conflict Onset, And Civil Conflict Intensity, Gabriel S. Barrett

Political Science Honors Projects

Scholars, journalists, and policymakers frequently attribute the intensity and onset of civil conflict to the abundance of small arms. However, the direction of causality has been difficult to assess due to a lack of data on the illicit small arms market and the plausibly endogenous relationship between the abundance of weapons and civil conflict. Using a new dataset of estimated small arms prices, I determine that a decrease in the price of small arms is significantly and negatively correlated with an increase in the intensity of conflict in the following year. I also determine that small arms prices increase in ...


Direct Effects Of Bundled Payments For Care Improvement Initiative: A County-Level Approach, Konstantinos Panitsas Mr 2017 City University of New York (CUNY)

Direct Effects Of Bundled Payments For Care Improvement Initiative: A County-Level Approach, Konstantinos Panitsas Mr

School of Arts & Sciences Theses

Implementing a nonlinear, Difference-in-Differences estimation method, I quantify the positive impact bundled payment reforms have on vulnerable population groups living in U.S. counties where this cost reducing initiative was implemented. I find statistically significant effects of this health-care initiative on the elderly and the economically disadvantaged individuals.


Digital Commons powered by bepress