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Articles 871 - 900 of 2456
Full-Text Articles in Economics
On Factor Models With Random Missing: Em Estimation, Inference, And Cross Validation, Liangjun Su, Ke Miao, Sainan Jin
On Factor Models With Random Missing: Em Estimation, Inference, And Cross Validation, Liangjun Su, Ke Miao, Sainan Jin
Research Collection School Of Economics
We consider the estimation and inference in approximate factor models with random missing values. We show that with the low rank structure of the common component, we can estimate the factors and factor loadings consistently with the missing values replaced by zeros. We establish the asymptotic distributions of the resulting estimators and those based on the EM algorithm. We also propose a cross validation-based method to determine the number of factors in factor models with or without missing values and justify its consistency. Simulations demonstrate that our cross validation method is robust to fat tails in the error distribution and …
Made In Singapore, Pao-Li Chang, Phuong T. B. Nguyen
Made In Singapore, Pao-Li Chang, Phuong T. B. Nguyen
Research Collection School Of Economics
In this paper, we characterize the position of Singapore in global value chains and identify Singapore's key upstream and downstream trade partners. We trace how the position of Singapore 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 with other major Asian exporting countries (China, Japan, Korea and Taiwan), and which key sectors of Singapore play a major role in these global trade networks.
Monthly Spending Dynamics Of The Elderly Following A Health Shock: Evidence From Singapore, Terence C. Cheng, Jing Li, Rhema Vaithianathan
Monthly Spending Dynamics Of The Elderly Following A Health Shock: Evidence From Singapore, Terence C. Cheng, Jing Li, Rhema Vaithianathan
Research Collection School Of Economics
We use novel longitudinal data from 19 monthly waves of the Singapore Life Panel to examine the short-term dynamics of the effects health shocks have on household health and non-health spending and income by the elderly. The health shocks we study are the occurrence of new major conditions such as cancer, heart problems, and minor conditions (e.g. diabetes, and hypertension). Our empirical strategy exploits unanticipated changes in health status through the diagnosis of new health conditions, combined with an individual fixed effect framework. We find that major shocks have large and persistent effects while minor shocks have small and mainly …
Trading Regularity And Fund Performance, Jeffrey Busse, Lin Tong, Qing Tong, Zhe Zhang
Trading Regularity And Fund Performance, Jeffrey Busse, Lin Tong, Qing Tong, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that regularly trade outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse, because they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior performance, in part, by behaving as contrarians and by trading more aggressively on information. By contrast, we find no relation between trading regularity and performance among index funds.
Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei
Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei
Research Collection School Of Economics
This chapter reviews the financial development strategies adopted by the Singapore government as it navigates internal and external changes to build a vibrant center of finance in the Asia Pacific region. Sections 2 and 3 provide an overview of the structure of the financial system and the financial governance framework respectively. This is followed by a discussion, in Section 4, on the outward looking development strategy that underpinned the successful development of Singapore’s financial sector. Section 5 highlights the reforms undertaken in the aftermath of the Asian financial crisis that led to the building of a well-diversified and thriving international …
Specification Tests For Temporal Heterogeneity In Spatial Panel Models With Fixed Effects, Yuhong Xu, Zhenlin Yang
Specification Tests For Temporal Heterogeneity In Spatial Panel Models With Fixed Effects, Yuhong Xu, Zhenlin Yang
Research Collection School Of Economics
We propose score type 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 effect is treated in detail by first considering the model with individual-specific effects only, and then extending it to the model with both individual and time specific effects. Two types of tests (naive and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to an SPD model with both spatial …
Econometric Estimates Of Earth's Transient Climate Sensitivity, Peter C. B. Phillips, Thomas Leirvik, Trude Storelvmo
Econometric Estimates Of Earth's Transient Climate Sensitivity, Peter C. B. Phillips, Thomas Leirvik, Trude Storelvmo
Research Collection School Of Economics
How sensitive is Earth's climate to a given increase in atmospheric greenhouse gas (GHG) concentrations? This long-standing question in climate science was recently analyzed by dynamic panel data methods using extensive spatio-temporal data of global surface temperatures, solar radiation, and GHG concentrations over the last half century to 2010 (Storelvmo et al, 2016). Those methods revealed that atmospheric aerosol effects masked approximately one-third of the continental warming due to increasing GHG concentrations over this period, thereby implying greater climate sensitivity to GHGs than previously thought. The present study provides regularity conditions and asymptotic theory justifying the use of time series …
Semiparametric Maximum Likelihood Inference For Nonignorable Nonresponse With Callbacks, Zhong Guan, Denis H. Y. Leung, Jing Qin
Semiparametric Maximum Likelihood Inference For Nonignorable Nonresponse With 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 …
Mild-Explosive And Local-To-Mild-Explosive Autoregressions With Serially Correlated Errors, Yiu Lim Lui, Weilin Xiao, Jun Yu
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.
Coarse Revealed Preference, Gaoji Hu, Jiangtao Li, John K. Quah, Rui Tang
Coarse Revealed Preference, Gaoji Hu, Jiangtao Li, John K. Quah, Rui Tang
Research Collection School Of Economics
We identify necessary and sufficient conditions under which a coarse data set canbe coarsely rationalized by a linear order (or weak order). The conditions are easy tocheck, and efficient algorithms are provided. We apply our theory to investigate theobservable restrictions of several economic models including (1) rational choice withimperfect observation; (2) multiple preferences; (3) monotone multiple preferences; and(4) minimax regret.
Executive Overconfidence And Securities Class Actions, Suman Banerjee, Mark Humphery-Jenner, Vikram Nanda, T. Mandy Tham
Executive Overconfidence And Securities Class Actions, Suman Banerjee, Mark Humphery-Jenner, Vikram Nanda, T. Mandy Tham
Research Collection Lee Kong Chian School Of Business
Overconfident CEOs/senior executives tend to have excessively positive views of their own skills and their company’s future performance. We hypothesize that overconfident managers are more likely to engage in reckless or intentional actions/disclosures that give rise to securities class actions (SCAs). Empirical evidence is supportive: Overconfident CEOs/senior executives increase SCA likelihood, though litigation risk is ameliorated through improved governance, such as following the Sarbanes–Oxley Act of 2002. Post-SCA, companies are less likely to hire an overconfident CEO. Following an SCA, overconfident CEOs appear to moderate behavior and to reduce their litigation risk.
Root-N Consistency Of Intercept Estimators In A Binary Response Model Under Tail Restrictions, Lili Tan, Yichong Zhang
Root-N Consistency Of Intercept Estimators In A Binary Response Model Under Tail Restrictions, Lili Tan, Yichong Zhang
Research Collection School Of Economics
The intercept of the binary response model is irregularly identified when the supports of both the special regressor V and the error term ε are the whole real line. This leads to the estimator of the intercept having potentially a slower than √n convergence rate, which can result in a large estimation error in practice. This paper imposes addition tail restrictions which guarantee the regular identification of the intercept and thus the √n-consistency of its estimator. We then propose an estimator that achieves the √n rate. Finally, we extend our tail restrictions to a full-blown model with endogenous regressors.
Likely Trajectory Of Fed Policy Far From Settled, Thomas Lam, David Fernandez
Likely Trajectory Of Fed Policy Far From Settled, Thomas Lam, David Fernandez
Research Collection Lee Kong Chian School Of Business
Markets seem to be assuming an almost pre-set path of Fed policy normalization in 2019, including hiking rates and shrinking the balance sheet. In contrast, we see many uncertainties ahead.
Sources Of Health Financing And Health Outcomes: A Panel Data Analysis, Tomoki Fujii
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.
Forecasting Large Covariance Matrix With High-Frequency Data: A Factor Correlation Matrix Approach, Yingjie Dong, Yiu Kuen Tse
Forecasting Large Covariance Matrix With High-Frequency Data: A Factor Correlation Matrix Approach, Yingjie Dong, Yiu Kuen Tse
Research Collection School Of Economics
We propose a factor correlation matrix approach to forecast large covariance matrix of asset returns using high-frequency data. We apply shrinkage method to estimate large correlation matrix and adopt principal component method to model the underlying latent factors. A vector autoregressive model is used to forecast the latent factors and hence the large correlation matrix. The realized variances are separately forecasted using the Heterogeneous Autoregressive model. The forecasted variances and correlations are then combined to forecast large covariance matrix. We conduct Monte Carlo studies to compare the finite sample performance of several methods of forecasting large covariance matrix. Our proposed …
Quantile Treatment Effects And Bootstrap Inference Under Covariate-Adaptive Randomization, Xin Zheng, Yichong Zhang
Quantile Treatment Effects And Bootstrap Inference Under Covariate-Adaptive Randomization, Xin Zheng, Yichong Zhang
Research Collection School Of Economics
This paper studies the estimation and inference of the quantile treatment effect under covariate-adaptive randomization. We propose three estimation methods: (1) the simple quantile regression (QR), (2) the QR with strata fixed effects, and (3) the inverse propensity score weighted QR. For the three estimators, we derive their asymptotic distributions uniformly over a set of quantile indexes and show that the estimator obtained from inverse propensity score weighted QR weakly dominates the other two in terms of efficiency, for a wide range of randomization schemes. For inference, we show that the weighted bootstrap tends to be conservative for methods (1) …
Partisan Conflict And Stock Price, Dashan Huang, Wang Liyao
Partisan Conflict And Stock Price, Dashan Huang, Wang Liyao
Research Collection Lee Kong Chian School Of Business
Partisan conflict has been one dominant theme in U.S. politics in recent years. By using the textual index of Azzimonti (2018), this paper shows that partisan conflict positively predicts market returns, controlling for economic predictors and proxies for uncertainty, disagreement, geopolitical risk, and political sentiment. A one standard-deviation increase in partisan conflict is associated with a 0.58% increase in next month market return. The forecasting power concentrates in periods when the president is from the Republican Party or the majority of House is Republicans. Partisan conflict is positively related to downside risk, and makes investors more conservative when its value …
Revisiting The Foundations Of Dominant-Strategy Mechanisms, Yi-Chun Chen, Jiangtao Li
Revisiting The Foundations Of Dominant-Strategy Mechanisms, Yi-Chun Chen, Jiangtao Li
Research Collection School Of Economics
An important question in mechanism design is whether there is any theoretical foundation for the use of dominant-strategy mechanisms. This paper studies the maxmin and Bayesian foundations of dominant-strategy mechanisms in general social choice environments with quasi-linear preferences and private values. We propose a condition called the uniform shortest-path tree that, under regularity, ensures the foundations of dominant-strategy mechanisms. This exposes the underlying logic of the existence of such foundations in the single-unit auction setting, and extends the argument to cases where it was hitherto unknown. To prove this result, we adopt the linear programming approach to mechanism design. In …
The Grid Bootstrap For Continuous Time Models, Yiu Lim Lui, Weilin Xiao, Jun Yu
The Grid Bootstrap For Continuous Time Models, Yiu Lim Lui, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic around its in fill asymptotic distribution which is non-pivotal and depends on the initial condition. Monte Carlo studies show that the gird bootstrap method performs better than the in-fill asymptotic theory and much better than the long-span theory. Empirical applications to U.S. interest rate data highlight …
Potential Crime Risk And Housing Market Responses, Seonghoon Kim, Kwan Ok Lee
Potential Crime Risk And Housing Market Responses, Seonghoon Kim, Kwan Ok Lee
Research Collection School Of Economics
We study how information on local (dis)amenities is transmitted and manifested in housing markets. Using nationwide data on multifamily homes in South Korea, we analyze heterogeneity in the effect of a sex offender's presence on sale prices and rents of nearby homes. Our results demonstrate that the price effect of the offender's move-in varies significantly by spatial context. People react more strongly and persistently to the move-in of the offender in places wherein indicators of social connectedness are stronger, such as places with relatively low population density. We also find that, unlike housing prices, rents do not change in response …
Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Identifying Latent Grouped Patterns In Cointegrated 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) 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 both the C-Lasso …
Change Detection And The Causal Impact Of The Yield Curve, Shuping Shi, Peter C. B. Phillips, Stan Hurn
Change Detection And The Causal Impact Of The Yield Curve, Shuping Shi, Peter C. B. Phillips, Stan Hurn
Research Collection School Of Economics
Causal relationships in econometrics are typically based on the concept of predictability and are established by testing Granger causality. Such relationships are susceptible to change, especially during times of financial turbulence, making the real-time detection of instability an important practical issue. This article develops a test for detecting changes in causal relationships based on a recursive evolving window, which is analogous to a procedure used in recent work on financial bubble detection. The limiting distribution of the test takes a simple form under the null hypothesis and is easy to implement in conditions of homoskedasticity and conditional heteroskedasticity of an …
Threshold Regression Asymptotics: From The Compound Poisson Process To Two-Sided Brownian Motion, Ping Yu, Peter C. B. Phillips
Threshold Regression Asymptotics: From The Compound Poisson Process To Two-Sided Brownian Motion, Ping Yu, Peter C. B. Phillips
Research Collection School Of Economics
The asymptotic distribution of the least squares estimator in threshold regression is expressed in terms of a compound Poisson process when the threshold effect is fixed and as a functional of two-sided Brownian motion when the threshold effect shrinks to zero. This paper explains the relationship between this dual limit theory by showing how the asymptotic forms are linked in terms of joint and sequential limits. In one case, joint asymptotics apply when both the sample size diverges and the threshold effect shrinks to zero, whereas sequential asymptotics operate in the other case in which the sample size diverges first …
Labour Research Conference 2018: Upskilling Of Mature Workers, Stephen Hoskins, Luca Facchinello
Labour Research Conference 2018: Upskilling Of Mature Workers, Stephen Hoskins, Luca Facchinello
Research Collection School Of Economics
Many developed countries are approaching an era of ageing population due to an increase in longevity and decrease in fertility rates. Singapore is no exception, having one of the fastest ageing populations in Asia, which is driven by low fertility rates and the third longest life expectancy in the world. The number of elderly citizens, defined as those aged 65 and above, is expected to triple to 900,000 by 2030, making up about 28% of the total population in Singapore (Population SG, 2016). This changing population age profile, combined with a competitive labour market, means it makes business sense to …
The Impact Of In-House Unnatural Death On Property Values: Evidence From Hong Kong, Zheng Chang, Jing Li
The Impact Of In-House Unnatural Death On Property Values: Evidence From Hong Kong, Zheng Chang, Jing Li
Research Collection School Of Economics
The occurrence of in-house unnatural death could negatively affect the value of housing property. This study evaluates the geographic and temporal scope of the impact of unnatural death on property values in Hong Kong. By exploiting the spatial and intertemporal variation of the shock in a difference-in-differences approach, we find significant negative externalities of unnatural death incidence on neighborhood housing values. On average, units in which an unnatural death occurred experience a 25% drop in value following the death. Nearby units on the same floor also show a significant price drop of 4.5%. Prices of units on other floors of …
On Strategy-Proofness And The Salience Of Single-Peakedness, Shurojit Chatterji, Jordi Masso
On Strategy-Proofness And The Salience Of Single-Peakedness, Shurojit Chatterji, Jordi Masso
Research Collection School Of Economics
We consider strategy-proof social choice functions operating on a rich domain of preference profiles. We show that if the social choice function satisfies in addition tops-onlyness, anonymity and unanimity then the preferences in the domain have to satisfy a variant of single-peakedness (referred to as semilattice single-peakedness). We do so by deriving from the social choice function an endogenous partial order (a semilattice) from which the notion of a semilattice single-peaked preference can be defined. We also provide a converse of this main finding. Finally, we show how well-known restricted domains under which nontrivial strategy-proof social choice functions are admissible …
News Co-Occurrence, Attention Spillover, And Return Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu
News Co-Occurrence, Attention Spillover, And Return Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu
Research Collection School Of Economics
We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a long-short portfolio based on news co-occurrence generates a significant monthly alpha of 68 basis points. The results are robust to the inclusion of alternative attention proxies, sentiment measures, other news- and information-based predictors, across recession and expansion periods. We further validate the attention spillover effect by showing that news co-mentioning leads to greater increases in Google and …
Estimating Switching Costs With Market Share Data: An Application To Medicare Part D, Jung Won Yeo, Daniel P. Miller
Estimating Switching Costs With Market Share Data: An Application To Medicare Part D, Jung Won Yeo, Daniel P. Miller
Research Collection School Of Economics
Choice inertia and switching frictions are well-documented features of the demand for health insurance. In this paper, we estimate switching costs in the Medicare Part D market with aggregate market share data using standard discrete choice models for differentiated products. We consider various modelling assumptions: myopic and forward-looking consumers, and with and without random coefficients. Both myopic and forward-looking consumer models with no random coefficients yield switching cost estimates that closely match the actual average switching frequency, with implied dollar-valued switching costs of $1600 to $2000. We find the inclusion of random coefficients to the myopic consumer model results in …
On Incentive Compatible, Individually Rational Public Good Provision Mechanisms, Takashi Kunimoto, Cuiling Zhang
On Incentive Compatible, Individually Rational Public Good Provision Mechanisms, Takashi Kunimoto, Cuiling Zhang
Research Collection School Of Economics
This paper characterizes mechanisms satisfying Bayesian incentive compatibility (BIC) and interim individual rationality (IIR) in the classical public good provision problem. Many papers in the literature obtain the results in the so-called standard model of ex ante identical agents with a continuous, closed interval of types. Although the standard model and more generally a continuum type space are widely used in the literature, it is nonetheless an abstraction of reality. Given that the public good provision problem has occupied a central application in the theory of mechanism design, we propose a "stress test" for the results in the standard model …
Specification Tests Based On Mcmc Output, Yong Li, Jun Yu, Tao Zeng
Specification Tests Based On Mcmc Output, Yong Li, Jun Yu, Tao Zeng
Research Collection School Of Economics
Two test statistics are proposed to determine model specification after a model is estimated by an MCMC method. The first test is the MCMC version of IOSA test and its asymptotic null distribution is normal. The second test is motivated from the power enhancement technique of Fan et al. (2015). It combines a component (J1) that tests a null point hypothesis in an expanded model and a power enhancement component (J0) obtained from the first test. It is shown that J0 converges to zero when the null model is correctly specified and diverges when the null model is misspecified. Also …