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

Econometrics Commons

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

2,305 Full-Text Articles 1,890 Authors 496,833 Downloads 106 Institutions

All Articles in Econometrics

Faceted Search

2,305 full-text articles. Page 1 of 79.

Carrots And Sticks: Optimal Contracting With Skewness Preference And Ambiguity Aversion, Joaquín Gómez Miñambres, Mark Schneider 2019 Lafayette College

Carrots And Sticks: Optimal Contracting With Skewness Preference And Ambiguity Aversion, Joaquín Gómez Miñambres, Mark Schneider

ESI Working Papers

Employment contracts often have a three-tiered structure, offering a base salary, a bonus for high performance and a penalty for poor performance. None of the standard models in contract theory generate such a contract. We show that such coarse contracts are optimal in a model where the agent exhibits two of the most robust deviations from expected utility theory: skewness preference and ambiguity aversion. The analysis identifies conditions where the optimal contract is simple and both carrots and sticks are optimal. Our analysis has implications for performance evaluation, corporate compensation structure, prize-linked savings accounts, and the determinants of intrinsic motivation.


A Bias Aggregation Theorem, Mark Schneider 2019 Chapman University

A Bias Aggregation Theorem, Mark Schneider

ESI Working Papers

In a market where some traders are rational (maximize expected utility) and others are systematically biased (deviate from expected utility due to some bias parameter, q), do equilibrium prices necessarily depend on q? In this note, focusing on the case where there is an aggregate and systematic bias in the population, we show that market prices can still be unbiased. Hence, we establish that systematically biased agents do not necessarily imply biased market prices. We show that the parametric model we use also predicts observed deviations from expected utility in laboratory and market environments.


Cooperation Among Strangers With And Without A Monetary System, Maria Bigoni, Gabriele Camera, Marco Casari 2019 University of Bologna

Cooperation Among Strangers With And Without A Monetary System, Maria Bigoni, Gabriele Camera, Marco Casari

ESI Working Papers

Human societies prosper when their members move beyond local exchange and cooperate with outsiders in the creation of wealth. Collaboration of this type presents formidable challenges because interaction is impersonal, reciprocity is unfeasible and trust cannot be easily established. Here we study this cooperation problem by modeling strategic interaction among strangers through an Intertemporal Exchange Game. The setup can be easily implemented in the laboratory to study a variety of cooperation-enhancing institutions. In particular, we study the role of a fiat monetary system by introducing intrinsically worthless tokens that can be offered in exchange for cooperation. The experiments show that ...


An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina 2019 The University of Akron

An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina

Honors Research Projects

The economic literature on economic inequality has shown that it can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the poor and middle class, who are more likely to consume. The literature has identified many factors that can lead to increasing inequality. The stock market could be one of those factors since it can either create an upward redistributive effect towards the top 10% or redistributive effect towards the middle class. This paper tested the effect of the stock market on inequality. This study contributes to ...


Accounting For Agent Heterogeneity In Market And Policy Analysis, Konstantinos Giannakas 2019 University of Nebraska-Lincoln

Accounting For Agent Heterogeneity In Market And Policy Analysis, Konstantinos Giannakas

Zea E-Books

doi:10.13014/K2416V8V

This book presents a multi-market framework of market and policy analysis that explicitly accounts for the empirically relevant heterogeneity in consumer preferences and producer characteristics. The explicit consideration of consumer and producer heterogeneity represents a significant departure from the representative consumer and producer that have been at the center of most of the literature on market and policy analysis, and enables the distributional impacts of changes in market conditions and policies to be fully identified. The framework is used to analyze the system-wide market and welfare impacts of a number of changes in market conditions (like ...


Money Is More Than Memory, Maria Bigoni, Gabriele Camera, Marco Casari 2018 University of Bologna

Money Is More Than Memory, Maria Bigoni, Gabriele Camera, Marco Casari

ESI Working Papers

Impersonal exchange is the hallmark of an advanced society and money is one key institution that supports it. Economic theory regards money as a crude arrangement for monitoring counterparts’ past conduct. If so, then a public record of past actions—or memory—should supersede the function performed by money. This intriguing theoretical postulate remains untested. In an experiment, we show that the suggested functional equivalence between money and memory does not translate into an empirical equivalence: money removed the incentives to free ride, while memory did not. Monetary systems performed a richer set of functions than just revealing past behaviors.


Modeling Interactions Between Risk, Time, And Social Preferences, Mark Schneider 2018 Chapman University

Modeling Interactions Between Risk, Time, And Social Preferences, Mark Schneider

ESI Working Papers

Recent studies have observed systematic interactions between risk, time, and social preferences that constitute violations of `dimensional independence' and are not explained by the leading models of decision making. This note provides a simple approach to modeling such interaction effects while predicting new ones. In particular, we present a model of rational-behavioral preferences that takes the convex combination of `behavioral' System 1 preferences and `rational' System 2 preferences. The model provides a unifying approach to analyzing risk, time, and social preferences, and predicts how these preferences are correlated with reliance on System 1 or System 2 thinking.


A Dual System Model Of Risk And Time Preferences, Mark Schneider 2018 Chapman University

A Dual System Model Of Risk And Time Preferences, Mark Schneider

ESI Working Papers

Discounted Expected Utility theory has been a workhorse in economic analysis for over half a century. However, it cannot explain empirical violations of 'dimensional independence' demonstrating that risk interacts with time preference and time interacts with risk preference, nor does it explain present bias or magnitude-dependence in risk and time preferences, or correlations between risk preference, time preference, and cognitive reflection. We demonstrate that these and other anomalies are explained by a dual system model of risk and time preferences that unless models of a rational economic agent, models based on prospect theory, and dual process models of decision making.


Fishing Technologies: Specification And Estimation, Quinn Weninger, Larry Perruso, Helle Bunzel 2018 Iowa State University

Fishing Technologies: Specification And Estimation, Quinn Weninger, Larry Perruso, Helle Bunzel

Economics Working Papers

This paper consistently estimates the structural properties of a multiple-species fishing technology. Our approach overcomes two ubiquitous features of fisheries data generating processes that invalidate classical ordinary least squares estimators: (1) unobservability, by the researcher, of the in situ fish stock and its effect on productivity, and (2) endogenous production decisions that vary with fishermen’s private information about stock abundance and other economic variables. Our estimations obtain consistency by exploiting the timing of production decisions and the information available to fishermen when endogenous production scale and scope, i.e., targeting of individual species’, decisions are made. Our estimator adopts ...


Using Response Times To Measure Ability On A Cognitive Task, Aleksandr Alekseev 2018 Chapman University

Using Response Times To Measure Ability On A Cognitive Task, Aleksandr Alekseev

ESI Working Papers

I show how using response times as a proxy for effort coupled with an explicit process-based model can address a long-standing issue of how to separate the effect of cognitive ability on performance from the effect of motivation. My method is based on a dynamic stochastic model of optimal effort choice in which ability and motivation are the structural parameters. I show how to estimate these parameters from the data on outcomes and response times in a cognitive task. In a laboratory experiment, I find that performance on a Digit-Symbol test is a noisy and biased measure of cognitive ability ...


Mild-Explosive And Local-To-Mild-Explosive Autoregressions With Serially Correlated Errors, Yiu Lim LUI, Weilin XIAO, Jun YU 2018 Singapore Management University

Mild-Explosive And Local-To-Mild-Explosive Autoregressions With Serially Correlated Errors, Yiu Lim Lui, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper firstly extends the results of Phillips and Magdalinos (2007a) by allowing for anti-persistent errors in mildly explosive autoregressive models. It is shown that the Cauchy asymptotic theory remains valid for the least squares (LS) estimator. The paper then extends the results of Phillips, Magdalinos and Giraitis (2010) by allowing for serially correlated errors of various forms in local-to-mild-explosive autoregressive models. It is shown that the result of smooth transition in the limit theory between local-to-unity and mild-explosiveness remains valid for the LS estimator. Finally, the limit theory for autoregression with intercept is developed.


Semiparametric Maximum Likelihood Inference For Survey Sampling Problems With Nonignorable Nonresponses And Callbacks, Zhong GUAN, Denis H. Y. LEUNG, Jing QIN 2018 Singapore Management University

Semiparametric Maximum Likelihood Inference For Survey Sampling Problems With Nonignorable Nonresponses And Callbacks, Zhong Guan, Denis H. Y. Leung, Jing Qin

Research Collection School Of Economics

We model the nonresponse probabilities as logistic functions ofthe outcome variable and other covariates in the survey sampling study withcallback. The identification aspect of this callback model is investigated. Semiparametricmaximum likelihood estimators of the parameters in the responseprobabilities are proposed and studied. As a result, an efficient estimator ofthe mean of the outcome variable is constructed using the estimated responseprobabilities. Moreover, if a regression model for conditional mean of the outcomevariable given some covariate is available, then we can obtain an evenmore efficient estimate of the mean of the outcome variable by fitting the regressionmodel using an adjusted least squares ...


A Smoothed Q-Learning Algorithm For Estimating Optimal Dynamic Treatment Regime, Yanqin FAN, Ming HE, Liangjun SU, Xiao-Hua ZHOU 2018 University of Washington

A Smoothed Q-Learning Algorithm For Estimating Optimal Dynamic Treatment Regime, Yanqin Fan, Ming He, Liangjun Su, Xiao-Hua Zhou

Research Collection School Of Economics

In this paper we propose a smoothed Q-learning algorithm for estimating optimal dynamic treatment regimes. In contrast to the Q-learning algorithm in which non-regular inference is involved, we show that under assumptions adopted in this paper, the proposed smoothed Q-learning estimator is asymptotically normally distributed even when the Q-learning estimator is not and its asymptotic variance can be consistently estimated. As a result, inference based on the smoothed Q-learning estimator is standard. We derive the optimal smoothing parameter and propose a data-driven method for estimating it. The finite sample properties of the smoothed Q-learning estimator are studied and compared with ...


On Booms That Never Bust: Ambiguity In Experimental Asset Markets With Bubbles, Brice Corgnet, Roberto Hernán-González, Praveen Kujal 2018 Chapman University

On Booms That Never Bust: Ambiguity In Experimental Asset Markets With Bubbles, Brice Corgnet, Roberto Hernán-González, Praveen Kujal

ESI Working Papers

We study the effect of ambiguity on the formation of bubbles and on the occurrence of crashes in experimental asset markets à la Smith, Suchanek, and Williams (1988). We extend their framework to an environment where the fundamental value of the asset is ambiguous. We show that, when the fundamental value is ambiguous, asset prices tend to be lower than when it is risky although bubbles form in both the ambiguous and the risky environments. Additionally, bubbles do not crash in the ambiguous case whereas they do so in the risky one. These findings regarding depressed prices and the absence ...


Does Uber Save Lives?, Liam Devlin 2018 Georgia College

Does Uber Save Lives?, Liam Devlin

Georgia College Student Research Events

Uber has claimed that their service saves lives by reducing alcohol related traffic fatalities. I believe their claim is poorly supported and suffers from personal interest bias. Prior research on Uber’s impact on traffic fatalities has shown various results that contradict each other. Due to these mixed results, I was motivated to conduct research of my own into how Uber impacts a city. I utilize state and county level panel data on traffic fatalities as my dependent variable to determine if the introduction of Uber has an impact on traffic fatalities. Since Uber was introduced to most metropolitan statistical ...


Conditional Independence In A Binary Choice Experiment, Nathaniel Wilcox 2018 Chapman University

Conditional Independence In A Binary Choice Experiment, Nathaniel Wilcox

ESI Working Papers

Experimental and behavioral economists, as well as psychologists, commonly assume conditional independence of choices when constructing likelihood functions for structural estimation. I test this assumption using data from a new experiment designed for this purpose. Within the limits of the experiment’s identifying restriction and designed power to detect deviations from conditional independence, conditional independence is not rejected. In naturally occurring data, concerns about violations of conditional independence are certainly proper and well-taken (for well-known reasons). However, when an experimenter employs contemporary state-of-the-art experimental mechanisms and designs, the current evidence suggests that conditional independence is an acceptable assumption for analyzing ...


Selection In The Lab: A Network Approach, Aleksandr Alekseev, Mikhail Freer 2018 Chapman University

Selection In The Lab: A Network Approach, Aleksandr Alekseev, Mikhail Freer

ESI Working Papers

We study the selection problem in economic experiments by focusing on its dynamic and network aspects. We develop a dynamic network model of student participation in a subject pool, which assumes that students' participation is driven by the two channels: the direct channel of recruitment and the indirect channel of student interaction. Using rich recruitment data from a large public university, we find that the patterns of participation and biases are consistent with the model. We also find evidence of both short- and long-run selection biases between males and females, as well as between cohorts of students. Males tend to ...


The Econometric Analysis Of The Factors Affecting The Revenue Of Bangkok Port, Viyada Suriyakul Na Ayudhaya, Praew Ritthirungrat 2018 World Maritime University

The Econometric Analysis Of The Factors Affecting The Revenue Of Bangkok Port, Viyada Suriyakul Na Ayudhaya, Praew Ritthirungrat

World Maritime University Dissertations

No abstract provided.


A Theory Of Conservative Revivals, Murat Iyigun, Jared Rubin, Avner Seror 2018 University of Colorado, Boulder

A Theory Of Conservative Revivals, Murat Iyigun, Jared Rubin, Avner Seror

ESI Working Papers

Why do some societies fail to adopt more efficient political and economic institutions in response to changing economic conditions? And why do such conditions sometimes generate conservative ideological backlashes and, at other times, progressive social and political movements? We propose an explanation that highlights the interplay--or lack thereof--between productivity, cultural beliefs and institutions. In our model, production shocks that benefit one sector of the economy may induce forward-looking elites to provide public goods associated with a different, more traditional sector that benefits their interests. This investment results in more agents generating cultural beliefs complementary to the provision of the ...


A Posterior-Based Wald-Type Statistic For Hypothesis Testing, Yong LI, Xiaobin LIU, Tao ZENG, Jun YU 2018 Singapore Management University

A Posterior-Based Wald-Type Statistic For Hypothesis Testing, Yong Li, Xiaobin Liu, Tao Zeng, Jun Yu

Research Collection School Of Economics

A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions. The new statistic can be explained as a posterior version of Wald test and have several nice properties. First, it is well-defined under improper prior distributions. Second, it avoids Jeffreys-Lindley's paradox. Third, under the null hypothesis and repeated sampling, it follows a x2 distribution asymptotically, offering an asymptotically pivotal test. Fourth, it only requires inverting the posterior covariance for the parameters of interest. Fifth and perhaps most importantly, when a random sample from the posterior distribution (such as an MCMC output) is available, the proposed ...


Digital Commons powered by bepress