Economics Commons^™

Identifying Latent Grouped Patterns In Conintegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su

Research Collection School Of Economics

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …

Efficiency, Quality Of Forecasts And Radner Equilibria, Shurojit Chatterji, Atsushi Kajii

Research Collection School Of Economics

We study a simple two period economy with no uncertainty and complete markets where agents trade based on forecasts about the second period spot price. We propose as our solution concept a set of forecasts with the following properties: there exist (heterogenous) forecasts contained in this set that lead to efficient allocations, the set contains only those forecasts that correspond to some efficient equilibrium, and Önally that the forecasts assign positive probability to the actual market clearing spot price. We call such a set of prices an efficient equilibrium with ambiguity, and interpret it as a generalization of Radner equilibrium …

Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng

Research Collection School Of Economics

Utilizing industry-level foreign direct investment (FDI) from 72 source markets to 122 destination markets between 2003 to 2018, we apply a differences-in-differences approach to evaluate the response of technology FDI to recessions. We find that research and development (R&D) intensive FDI drops when the destination market is in recession and the source market is in a normal state, and recovers to the pre-recession levels when both destination and source markets are in recession. The result is particularly pronounced in deep and long recessions, during the propagation stage of recessions, and in destination markets with stronger intellectual property protection, looser FDI …

Is Predicted Data A Viable Alternative To Real Data?, Tomoki Fujii, Roy Van Der Weide

Research Collection School Of Economics

It is costly to collect the household- and individual-level data that underlies official estimates of poverty and health. For this reason, developing countries often do not have the budget to update their estimates of poverty and health regularly, even though these estimates are most needed there. One way to reduce the financial burden is to substitute some of the real data with predicted data. An approach referred to as double sampling collects the expensive outcome variable for a sub-sample only while collecting the covariates used for prediction for the full sample. The objective of this study is to determine if …

Estimating Selection Models Without Instrument With Stata, Xavier D’Haultfœuille, Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang

Research Collection School Of Economics

This article presents the eqregsel command for implementing the estimationand bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model withoutinstrument or large support regressor, and outputs the point estimates of the ho-mogenous linear coefficients, their bootstrap standard errors, as well as the p-valuefor a specification test.

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 …

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 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 …

Detecting Latent Communities In Network Formation Models, Shujie Ma, Liangjun Su, Yichong Zhang

Research Collection School Of Economics

This paper proposes a logistic undirected network formation model which allows for assortative matching on observed individual characteristics and the presence of edge-wise fixed effects. We model the coefficients of observed characteristics to have a latent community structure and the edge-wise fixed effects to be of low rank. We propose a multi-step estimation procedure involving nuclear norm regularization, sample splitting, iterative logistic regression and spectral clustering to detect the latent communities. We show that the latent communities can be exactly recovered when the expected degree of the network is of order log n or higher, where n is the number …

Asymptotic Theory For Near Integrated Processes Driven By Tempered Linear Processes, Farzad Sabzikar, Qiying Wang, Peter C. B. Phillips

Research Collection School Of Economics

In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of the score function in a stationary first order autoregression driven by independent Gaussian innovations as the autoregressive coefficient approached unity from below. The present paper develops asymptotic theory for near-integrated random processes and associated regressions including the score function in more general settings where the errors are tempered linear processes. Tempered processes are stationary time series that have a semi-long memory property in the sense that the autocovariogram of the process resembles that of a long memory model for moderate lags but eventually diminishes …

Forecast Combinations In Machine Learning, Yue Qiu, Tian Xie, Jun Yu

Research Collection School Of Economics

This paper introduces novel methods to combine forecasts made by machine learning techniques. Machine learning methods have found many successful applications in predicting the response variable. However, they ignore model uncertainty when the relationship between the response variable and the predictors is nonlinear. To further improve the forecasting performance, we propose a general framework to combine multiple forecasts from machine learning techniques. Simulation studies show that the proposed machine-learning-based forecast combinations work well. In empirical applications to forecast key macroeconomic and financial variables, we find that the proposed methods can produce more accurate forecasts than individual machine learning techniques and …

Econometric Methods And Data Science Techniques: A Review Of Two Strands Of Literature And An Introduction To Hybrid Methods, Tian Xie, Jun Yu, Tao Zeng

Research Collection School Of Economics

The data market has been growing at an exceptional pace. Consequently, more sophisticated strategies to conduct economic forecasts have been introduced with machine learning techniques. Does machine learning pose a threat to conventional econometric methods in terms of forecasting? Moreover, does machine learning present great opportunities to cross-fertilize the field of econometric forecasting? In this report, we develop a pedagogical framework that identifies complementarity and bridges between the two strands of literature. Existing econometric methods and machine learning techniques for economic forecasting are reviewed and compared. The advantages and disadvantages of these two classes of methods are discussed. A class …

Measuring The Chinese Economic Impact Of Covid-19, Singapore Management University

Perspectives@SMU

The COVID-19 outbreak currently sweeping around the globe with deadly results will create hardships for a good proportion of businesses in China while generating new opportunities for others, says Jing Wu, Assistant Professor at The Chinese University of Hong Kong’s Department of Decision Sciences and Managerial Economics.

3 Lessons From The Gfc In How To Lead Through The Coronavirus Crisis, Singapore Management University

Perspectives@SMU

There are three lessons to be learned from the GFC that will help leaders in managing through the coronavirus crisis, according to a UNSW Business School expert

A Pragmatic Randomized Controlled Trial Of A Cardiac Hospital-To-Home Transitional Care Program In A Singapore Academic Medical Center, Yanying @ Tan Yanying Chen, Yi Jin Tan, Ya Sun, Cheng Zhan Chua

PhD Student’s Publications Collection

BackgroundRehospitalizations are common in healthcare. They are costly for hospitals and patients and a substantial percentage are preventable, partly because hospital-to-community transitions are often unmanaged or poorly managed. In this study, we conducted a pragmatic randomized, controlled trial to evaluate the effectiveness of a new nurse–practitioner-led transitional care program called CareHub, piloted in Singapore’s National University Hospital.MethodsStudy population included all eligible cardiac patients admitted between July 2016 and November 2016. Patients were followed for six months post-discharge. Primary outcomes other than emergency department visits were all cardiac-related: number of readmissions, specialist visits, emergency department visits, and total days readmitted. Secondary …

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 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 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 …

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 …

Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C. B. Phillips, Jiti Gao

Research Collection School Of Economics

This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the data, we allow the regressors to be cointegrated and to embody a mixture of stochastic and deterministic trends, complications which result in asymptotic degeneracy of the kernel-weighted signal matrix. To address these complications new local and global rotation techniques are introduced to transform the covariate space to accommodate multiple scenarios of induced degeneracy. Under regularity conditions we derive asymptotic results that differ …

Foreign Direct Investment And Industrial Agglomeration: Evidence From China, Wen-Tai Hsu, Yi Lu, Xuan Luo, Lianming Zhu

Research Collection School Of Economics

This paper studies the effect of foreign direct investment (FDI) on industrial ag-glomeration. Using the differential effects of FDI deregulation in 2002 in China on different industries, we find that FDI actually affects industrial agglomeration neg-atively. As FDI brings technological spillovers and various agglomeration benefits, other forces must be at work to drive our empirical finding. We propose a simple theory that FDI may discourage industrial agglomeration due to fiercer competition pressure. We find various evidence on this competition mechanism. We also examine an alternative theory based on spatial political competition, but find no evidence sup-porting it. On industrial growth, …

Robust Estimation And Inference Of Spatial Panel Data Models With Fixed Effects, Shew Fan Liu, Zhenlin Yang

Research Collection School Of Economics

It is well established that the quasi maximum likelihood (QML) estimation of the spatial regression models is generally inconsistent under unknown cross-sectional heteroskedasticity (CH) and the CH-robust methods have been developed. The same issue remains for the spatial panel data (SPD) models but the similar studies based on QML approach do not seem to have been carried out. This paper focuses on the SPD model with fixed effects (FE). We argue that under unknown CH the QML estimator for the SPD-FE model is inconsistent in general, but there are ‘special cases’ where it may remain consistent although the exact conditions …

Investing With Cryptocurrencies: A Liquidity Constrained Investment Approach, Simon Trimborn, Mingyang Li, Wolfgang Karl Hardle

Sim Kee Boon Institute for Financial Economics

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of risk-return portfolio optimization under liquidity constraints. Cryptocurrencies are included in portfolios formed with stocks of the S&P 100, US Bonds, and commodities. We illustrate the importance of the liquidity constraints in an in-sample and out-of-sample study. LIBRO improves the weight optimization in …

Random Assignments Of Bundles, Shurojit Chatterji, Liu Peng

Research Collection School Of Economics

We propose a model studying the random assignments of bundles with no free disposal. The key difference between our model and the one where objects are allocated (see Bogomolnaia and Moulin (2001)) is one of feasibility. The implications of this difference are significant. Firstly, the characterization of sd-efficient random assignments is more complex. Secondly, we are able to identify a preference restriction, called essential monotonicity, under which the random serial dictatorship rule (extended to the setting with bundles) is equivalent to the probabilistic serial rule (extended to the setting with bundles). This equivalence implies the existence of a rule on …

A Behavioral Signaling Explanation For Stock Splits: Evidence From China, Chenyu Cui, Frank Weikai Li, Jiaren Pang, Deren Xie

Research Collection Lee Kong Chian School Of Business

We propose a behavioral signaling explanation for the positive announcement effects of stock splits. There are two key behavioral ingredients in our model. First, (retail) investors have misconceptions about stock splits that make them view stock splits as good news. Second, investors are loss-averse and will be particularly disappointed if a splitting firm’s ex-post performance falls short of expectation. In a separating equilibrium, only managers with favorable private information use stock splits to signal. Using a comprehensive sample of stock splits in China over the period of 1998 to 2017, we find supporting evidence: (1) stock splits elicit positive announcement …

Why Commonality Persists?, Raja Velu, Zhaoque Zhou, Chyng Wen Tee

Research Collection Lee Kong Chian School Of Business

Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity can potentially arise from the commonality in the interpretation of real-time signals. In this paper, we go beyond the first factor and show that the other dominant principal components consistently reflects investors' herding behavior, demonstrating the multi-dimensional aspect of commonality. Instead of relating the asset returns to order flows, we take both as endogenous, and provide empirical evidence showing that returns commonality is driven …

Commentary: Where Does The Talent Pools Of Smes Come From?, T. Mandy Tham

Research Collection Lee Kong Chian School Of Business

In a commentary, SMU Assistant Professor of Finance Mandy Tham explored how ‘family members’ is defined could affect the size of talent pool for SMEs and family businesses, and suggested some criteria for the selection of family members to be nurtured for the SMEs and family businesses.

Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung

Research Collection School Of Economics

Non-response is a commonly encountered problem in many population-based surveys. Broadly speaking, non-response can be due to refusal or failure to contact the sample units. Although both types of non-response may lead to bias, there is much evidence to indicate that it is much easier to reduce the proportion of non-contacts than to do the same with refusals. In this article, we use data collected from a nationally representative survey under the Demographic and Health Surveys program to study non-response due to refusals to HIV testing in Malawi. We review existing estimation methods and propose novel approaches to the estimation …

Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang

Research Collection School Of Economics

We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with …