Social and Behavioral Sciences Commons^™

Essays On Multivariate Stochastic Volatility Models, Han Chen

Dissertations and Theses Collection (Open Access)

In this dissertation, I have made several contributions to the literature on the multivariate stochastic volatility model. First, I have considered a new multivariate stochastic volatility (MSV) model based on a recently proposed novel parameterization of the correlation matrix. This modeling design is a generalization of Fisher's z-transformation to the high-dimensional case. It is fully flexible as the validity of the resulting correlation matrix is guaranteed automatically. It allows me to completely separate the driving factors of volatilities and correlations. To conduct an econometric analysis of the proposed model, I develop a new Bayesian method that relies on the Markov …

Spatial Panel Data Models With Temporal Heterogeneity, Yuhong Xu

Dissertations and Theses Collection (Open Access)

This dissertation studies the fixed effects (FE) spatial panel data (SPD) models with temporal heterogeneity (TH), where the regression coefficients and spatial coefficients are allowed to change with time. The FE-SPD model with time-varying coefficients renders the usual transformation method in dealing with the fixed effects inapplicable, and an adjusted quasi score (AQS) method is proposed, which adjusts the concentrated quasi score function with the fixed effects being concentrated out. AQS tests for the lack of temporal heterogeneity (TH) in slope and spatial parameters are first proposed. Then, a set of AQS estimation and inference methods for the FE-SPD model …

Three Essays On International Economics: Global Value Chains Of Singapore And The Cptpp; The Effects Of Oil Price Shocks On Trade, Tran Bao Phuong Nguyen

Dissertations and Theses Collection (Open Access)

This dissertation discusses two questions in international economics. The first two chapters focus on the matter of global value chains. We first explore the participation of Singapore in the global value chains by characterizing the position of Singapore in the global network and identifying Singapore’s key upstream and downstream trade partners. This is done at both the country aggregate and at the sector level. We trace how the country’s position in global value chains has changed in the past two decades: whether it has moved upstream or downstream, how involved it is in global value chains, how its trend compares …

Three Essays On Econometrics, Xin Zheng

Dissertations and Theses Collection (Open Access)

The dissertation includes three chapters on econometrics. The first chapter is about treatment effects and its application in randomized control trial. The second chapter is about specification test. The third chapter is about panel data model with fixed effects.

In the first chapter, we study the estimation and inference of the quantile treatment effect under covariate-adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we derive their asymptotic distributions uniformly over a compact set of quantile indexes, and show that, when the treatment assignment …

The Effect Of Endogenously-Determined Bullying On Test Scores, Hisham Bin Yacob Patel

Dissertations and Theses Collection (Open Access)

The problem of bullying is one of the main sources of adverse school environment. In this dissertation, I explore the effect of bullying on test scores, under the assumption that bullying is endogenously determined. Comparing my estimates with that from traditional OLS, I find that estimates from OLS grossly underestimates the effect of bullying on short-term student outcomes. I also find significant evidence of heterogeneity across various sub-groups; for example, male students are found to be less affected by bullying as compared to their female peers. Furthermore, male students are also found to be less affected by physical bullying while …

Land Policy And Welfare In China, Xin Zou

Dissertations and Theses Collection (Open Access)

This dissertation quantitatively studies the impact of land policy on welfare in China. There are two specific nationwide land policies of importance on which I focus: 1) The red-line policy that imposes a minimum 1.2 million square kilometers for agricultural use only 2) The zoning policy for urban land that strictly regulates the amount of industrial and residential land usages respectively; In the first chapter, I give an introduction about the land policy and institutional background in China and the related literature to my dissertation. Second chapter builds a two-sector(two-region) model to examine how the red-line policy interacts with land …

Stochastic Capacity Management In The Presence Of Production Resource Disruption, Boya Yang

Dissertations and Theses Collection (Open Access)

This dissertation studies the capacity investment decision of a manufacturing firm facing demand uncertainty in the presence of shortage possibility in production resources, as often ignored in the literature. These production resources can be physical resources (component / raw material) or financial resources (working capital / budget). The shortage in these resources can be caused by a variety of supply chain disruptions; examples include global disruptions like COVID-19 and financial crisis in 2008 and local disruptions like shortage of components/workforce. The dissertation analyses two important issues related to capacity management: (i) the effect of production resource disruption on the capacity …

Examining The Impact Of It Investment On Insurer Productivity: A Bootstrapped Malmquist Frontier Analysis Approach, Jee Yuen Yew

Dissertations and Theses Collection (Open Access)

This paper attempts to examine productivity changes of insurance companies in Singapore as represented by bootstrapped Malmquist indices, generated from a data envelopment analysis (DEA)-based frontier analysis, and attribute these changes to an increasing investment in information technology infrastructure and equipment, and increasing investment in staff enhancement. Through this analysis, the author finds that there has been a general increase in productivity and efficiency from 2011 – 2017, as seen from changes in the kernel density functions of productivity change between the two periods. The author also finds, through running a panel tobit regression model, that there is a positive …

Stock Market Information And Security Prices, Haoyuan Li

Dissertations and Theses Collection (Open Access)

Chapter 1: Analyst report content and stock market anomalies A series of recent papers document that security analyst recommendations tend to contradict stock-mispricing signals. This seems at odds with the large prior literature on the investment value of analyst recommendations. What justifications do analysts make when they write reports on mispriced stocks? I use the latest techniques in machine learning and textual analysis to categorize the qualitative information in a large sample of analyst reports. I find that report content can be intuitively classified into five categories or topics: 1) Growth, 2) Earnings, 3) New developments, 4) Management transactions, and …

Three Essays On International Trade Policies, Xin Yi

Dissertations and Theses Collection (Open Access)

This dissertation studies the empirical and quantitative implications of trade policies. The first chapter examines the effects of trade policies on quality specialization across cities within a country. Specifically, we complement the quality specialization literature in international trade and study how larger cities within a country produce goods with higher quality. We first establish three stylized facts on how product quality is related to agglomeration, firm productivity, and worker skills. We then rationalize these facts in a spatial equilibrium model where all the elements mentioned above are present and firms are free to choose their locations. Using firm-level data from …

Essays On Time Series And Financial Econometrics, Yijie Fei

Dissertations and Theses Collection (Open Access)

This dissertation contains four essays in financial econometrics. In the first essay, some asymptotic results are derived for first-order autoregression with a root moderately deviating from unity and a nonzero drift. It is shown that the drift changes drastically the large sample properties of the least-squares (LS) estimator. The second essay is concerned with the joint test of predictability and stability in the context of predictive regression. The null hypothesis under investigation is that the potential predictors exhibit no predictability and incur no structural break during the sample period. We first show that the IVX estimator provides better finite sample …

Three Essays On Quality Of Tradable Products, Angdi Lu

Dissertations and Theses Collection (Open Access)

This dissertation includes three essays on the quality of tradable products. The first chapter studies the supply-side determinants of quality specialization across Chinese cities. Specifically, we complement the quality specialization literature in international trade and study how larger cities within a country produce goods with higher quality. In our general equilibrium model, firms in larger cities specialize in higher-quality products because agglomeration benefits (arising from the treatment effect of agglomeration and firm sorting) accrue more to skilled workers, who are also more efficient in upgrading quality, although these effects are partially mitigated by higher skill premium in larger cities. Using …

Essays On Heterogeneous Large Panel Data Models, Ke Miao

Dissertations and Theses Collection (Open Access)

This dissertation consists of three papers which contribute to the estimation and inference theory of the heterogeneous large panel data models. The first chapter studies a panel threshold model with interactive fixed effects. The least-squares estimators in the shrinking-threshold-effect framework are explored. The inference theory on both slope coefficients and the threshold parameter is derived, and a test for the presence of the threshold effect is proposed. The second chapter considers the least-squares estimation of a panel structure threshold regression (PSTR) model, where parameters may exhibit latent group structures. Under some regularity conditions, the latent group structure can be correctly …

Three Essays On Financial Economics, Jiangyuan Li

Dissertations and Theses Collection (Open Access)

Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market returns both in- and out-ofsample. Consistent with the theory in Atmaz and Basak (2018), the disagreement index asymmetrically predicts market returns with greater power in high sentiment periods, is positively associated with investor expectations of market returns, predicts market returns through a cash flow channel, and can explain the positive volume-volatility relationship.

Essays On Nonstationary Econometrics, Yanbo Liu

Dissertations and Theses Collection (Open Access)

My dissertation consists of three essays that contribute new theoretical results to robust inference procedures and machine learning algorithms in nonstationary models.

Chapter 2 compares OLS and GLS in autoregressions with integrated noise terms. Grenander and Rosenblatt (2008) gave sufficient conditions for the asymptotic equivalence of GLS and OLS in deterministic trend extraction. However when extending to univariate autoregression model yt = ρnyt−1 + ut , ρn = 1 + c nα , ut = ut−1 + t , and t is one iid disturbance term with zero expectation and σ 2 variance, the asymptotic equivalence no longer holds. Under …

Essays On Empirical Asset Pricing, Liyao Wang

Dissertations and Theses Collection (Open Access)

The dissertation consists of four chapters on empirical asset pricing. The first chapter reexamines the existence of time-series momentum. Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one month return. Using the same data set as Moskowitz, Ooi, and Pedersen (2012) (MOP, henceforth), we show that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t -statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, the performance of …

Policy Impact Evaluations On Labour And Health, Junxing Chay

Dissertations and Theses Collection (Open Access)

This dissertation consists of three chapters that evaluate the impacts of public policies on labour and health.

The first chapter studies a wage supplement scheme in Singapore, called the Workfare Income Supplement, which targets older low-income workers. I exploit differences in maximum benefits across age and over time to find that increasing benefits generosity encourages labour market participation and selfemployment. I also find improved life satisfaction and happiness among those with low education, who are likely to be eligible for the scheme. These results suggest that wage supplements can ease some burdens of an ageing population.

The second chapter investigates …

Essays On A Mechanism Design Approach To The Problem Of Bilateral Trade And Public Good Provision, Cuiling Zhang

Dissertations and Theses Collection (Open Access)

The dissertation consists of three chapters which studies a mechanism design approach to the problem of bilateral trade and public good provision.

Chapter 1 characterizes mechanisms satisfying Bayesian incentive compatibility (BIC) and interim individual rationality (IIR) in the classical public good provision problem. We propose a stress test for the results in the standard continuum type space by subject- ing them to a finite type space. The main contribution of this paper is to propose a set of techniques that allow us to characterize the efficient and optimal mechanisms in a discrete setup. Using these techniques, we conclude that many …

Three Essays On Nonstationary Time Series Econometrics, Yiu Lim Lui

Dissertations and Theses Collection (Open Access)

This dissertation comprises three papers that separately study different nonstationary time series models.

The first paper, titled as "The Grid Bootstrap for Continuous Time Models", is a joint work with Professor Jun Yu and Professor Weilin Xiao. It considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous-time models driven by a Lévy process. Its asymptotic validity is discussed under the assumption that the sampling interval (h) shrinks to zero, the time span (N) goes to infinity or both. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic …