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Articles 1171 - 1200 of 1733
Full-Text Articles in Economics
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Research Collection School Of Economics
The robustness of the LM tests for spatial error dependence of Burridge (1980) for the linear regression model and Anselin (1988) for the panel regression model are examined. While both tests are asymptotic ally robust against distributional misspecification, their finite sample behavior can be sensitive to the spatial layout. To overcome this shortcoming, standardized LM tests are suggested. Monte Carlo results show that the new tests possess good finite sample properties. An important observation made throughout this study is that the LM tests for spatial dependence need to be both mean- and variance-adjusted for good finite sample performance to be …
Macroeconomic Effects Of Over-Investment In Housing In An Aggregative Model Of Economic Activity, Hian Teck Hoon
Macroeconomic Effects Of Over-Investment In Housing In An Aggregative Model Of Economic Activity, Hian Teck Hoon
Research Collection School Of Economics
Is there a theoretical basis for the view that the end of a period of over-investment necessarily leads to a period of below-normal employment as the excess capital stock is run down? We study the repercussions of a false boom in housing driven by prior expectations of future housing prices not justified by fundamentals. When these expectations are corrected, the result is a precipitous drop in housing prices and, on that account alone, some drop in employment. There is also a bulge in the housing stock. In the closed economy case, the downward shift of the term structure of interest …
A New Bayesian Unit Root Test In Stochastic Volatility Models, Yong Li, Jun Yu
A New Bayesian Unit Root Test In Stochastic Volatility Models, Yong Li, Jun Yu
Research Collection School Of Economics
A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. This analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics) in two important ways. First, a numerically more stable algorithm is introduced to compute the Bayes factor, taking into account the special structure of the competing models. Owing to its numerical stability, the algorithm overcomes the problem of diverged “size” in the marginal likelihood approach. Second, to improve the “power” of the unit root test, a mixed prior specification …
An Asian Response To International Financial Reforms, Hoe Ee Khor, Kim Song Tan
An Asian Response To International Financial Reforms, Hoe Ee Khor, Kim Song Tan
Research Collection School Of Economics
Asia has emerged as a much more important player in the global economy after the recent financial crisis. Together with other emerging market economies, Asia is expected to be a key driver for global economic growth in the near to medium term. Along with this, there is a rising chorus for an “Asian approach” to financial reforms in the region and internationally. There are also calls for Asia to play a bigger role in designing the new architecture for the global financial system.
Smoothing Local-To-Moderate Unit Root Theory, Peter C. B. Phillips, Tassos Magdalinos, Liudas Giraitis
Smoothing Local-To-Moderate Unit Root Theory, Peter C. B. Phillips, Tassos Magdalinos, Liudas Giraitis
Research Collection School Of Economics
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form rho = 1 + c/n, where n is the sample size and c < 0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case. (C) 2010 Elsevier B.V. All rights reserved.
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
Research Collection School Of Economics
This paper presents previous termanext term modified previous termLM test of spatial error components,next term which is shown to be previous termrobustnext term against distributional misspecifications and previous termspatialnext term layouts. The proposed previous termtestnext term differs from the previous termLM testnext term of Anselin (2001) by previous termanext term term in the denominators of the previous termtestnext term statistics. This term disappears when either the previous termerrorsnext term are normal, or the variance of the diagonal elements of the product of previous termspatialnext term weights matrix and its transpose is zero or approaches to zero as sample size goes …
Labor Supply Responses To The 1990s Japanese Tax Reforms, Ken Yamada
Labor Supply Responses To The 1990s Japanese Tax Reforms, Ken Yamada
Research Collection School Of Economics
The consumption-leisure choice model implies that an exogenous change in tax rates will induce a change in labor supply. This implication is expected to be important to labor supplied by secondary earners under a progressive tax system when spousal income alters effective marginal tax rates. This paper examines labor supply responses to the income tax changes associated with Japanese tax reforms during the 1990s. The results indicate that the hours-of-work elasticity with respect to the net-of-tax rate is 0.8 for married women.
Indescribability And Its Irrelevance For Contractual Incompleteness, Takashi Kunimoto
Indescribability And Its Irrelevance For Contractual Incompleteness, Takashi Kunimoto
Research Collection School Of Economics
The incomplete contracts literature often cites indescribable contingencies as a major obstacle to the creation of completecontracts. Using agents’ minimum foresight concerning possible future payoffs, Maskin and Tirole (Rev Econ Stud 66:83–114, 1999) show that indescribability does not matter for contractual incompletenessas long as there is symmetric information at both the contracting stage and the trading stage. This is called the irrelevance theorem. The following generalization of the irrelevance theorem is shown here: indescribability does not matter even in the presenceof asymmetric information at the trading stage, as long as there is symmetric information at the contracting stage. This isan …
Comments On “Population Aging And Economic Growth In Asia” By David Bloom, David Canning And Joycelyn Finlay, Roberto S. Mariano
Comments On “Population Aging And Economic Growth In Asia” By David Bloom, David Canning And Joycelyn Finlay, Roberto S. Mariano
Research Collection School Of Economics
No abstract provided.
Advertising Collusion In Retail Markets, Kyle Bagwell, Gea M. Lee
Advertising Collusion In Retail Markets, Kyle Bagwell, Gea M. Lee
Research Collection School Of Economics
We analyze non-price advertising by retail firms, when the firms are privately informed about their respective costs of production. In a static advertising game, an advertising equilibrium exists in which lower-cost firms select higher advertising levels. In this equilibrium, informed consumers rationally employ an advertising search rule in which they buy from the highest-advertising firm since lower-cost firms also select lower prices. In a repeated advertising game, colluding firms face a trade-off: the use of advertising can promote productive efficiency, but only if sufficient current or future advertising expenses are incurred. At one extreme, if firms pool at zero advertising, …
A Shifting Paradigm And Growth Strategies Reappraisal In Post-Crisis Asia, Winston T.H. Koh
A Shifting Paradigm And Growth Strategies Reappraisal In Post-Crisis Asia, Winston T.H. Koh
Research Collection School Of Economics
The Financial Crisis of 2007 has had far-ranging implications for the global economy. Questions were raised if export-led growth model in Asia has hit the limits. Income growth must be inclusive and sustainable, and to be achieved alongside other goals. Asian economies need to rebalance growth toward greater reliance on domestic and regional demand with a greater emphasis on social and environmental sustainability.
Evaluating The Conditions For Robust Mechanism Design, Takashi Kunimoto, Roberto Serrano
Evaluating The Conditions For Robust Mechanism Design, Takashi Kunimoto, Roberto Serrano
Research Collection School Of Economics
We assess the strength of the different conditions identified in the literature of robustmechanism design. We focus on three conditions: ex post incentive compatibility,robust monotonicity, and robust measurability. Ex post incentive compatibility hasbeen shown to be necessary for any concept of robust implementation, while robustmonotonicity and robust measurability have been shown to be necessary for robust(full) exact and virtual implementation, respectively. This paper shows that whileviolations of ex post incentive compatibility and robust monotonicity do not easily goaway, we identify a mild condition on environments in which robust measurability issatisfied by all social choice functions over a residual set (i.e., …
Patrilocal Exogamy As A Monitoring Mechanism: How Inheritance And Residence Patterns Co-Evolve, Brishti Guha
Patrilocal Exogamy As A Monitoring Mechanism: How Inheritance And Residence Patterns Co-Evolve, Brishti Guha
Research Collection School Of Economics
Economists have modeled inheritance norms assuming the pattern of post-marital residence is exogenous. We model the co-evolution of these two institutions, examining how patrilineal inheritance and patrilocal exogamy reinforced each other in a patrilineal-patrilocal equilibrium. We also derive conditions for a matrilineal-matrilocal equilibrium. The endogenous choice of the old to monitor the sexual behavior of the young women who reside with them, thereby affecting the paternity confidence of the young women’s husbands and hence their incentives, is crucial. Our model fits the data on the relationship between inheritance, residence patterns and paternity confidence, and on the importance of paternity uncertainty.
Advertising Competition In Retail Markets, Kyle Bagwell, Gea Myoung Lee
Advertising Competition In Retail Markets, Kyle Bagwell, Gea Myoung Lee
Research Collection School Of Economics
We consider non-price advertising by retail firms that are privately informed as to their respective production costs. We construct an advertising equilibrium, in which informed consumers use an advertising search rule whereby they buy from the highest-advertising firm. Consumers are rational in using the advertising search rule, since the lowest-cost firm advertises the most and also selects the lowest price. Even though the advertising equilibrium facilitates productive efficiency, we establish conditions under which firms enjoy higher expected profit when advertising is banned. Consumer welfare falls in this case, however. Under free entry, social surplus is higher when advertising is allowed. …
Profile Quasi-Maximum Likelihood Estimation Of Partially Linear Spatial Autoregressive Models, Liangjun Su, Sainan Jin
Profile Quasi-Maximum Likelihood Estimation Of Partially Linear Spatial Autoregressive Models, Liangjun Su, Sainan Jin
Research Collection School Of Economics
We propose profile quasi-maximum likelihood estimation of spatial autoregressive models that are partially linear. The rate of convergence of the spatial parameter estimator depends on some general features of the spatial weight matrix of the model. The estimators of other finite-dimensional parameters in the model have the regular √n-rate of convergence and the estimator of the nonparametric component is consistent but with different restrictions on the choice of bandwidth parameter associated with different natures of the spatial weights. Monte Carlo simulations verify our theory and indicate that our estimators perform reasonably well in finite samples.
Off The Cliff And Back? Credit Conditions And International Trade During The Global Financial Crisis, Davin Chor, Kalina Manova
Off The Cliff And Back? Credit Conditions And International Trade During The Global Financial Crisis, Davin Chor, Kalina Manova
Research Collection School Of Economics
We study the collapse of international trade flows during the global financial crisis using detailed data on monthly US imports. We show that credit conditions were an important channel through which the crisis affected trade volumes, by exploiting the variation in the cost of capital across countries and over time, as well as the variation in financial vulnerability across sectors. Countries with higher interbank rates and thus tighter credit markets exported less to the US during the peak of the crisis. This effect was especially pronounced in sectors that require extensive external financing, have limited access to trade credit, or …
Bimodal T-Ratios: The Impact Of Thick Tails On Inference, Carlo V. Fioro, Vassilis A. Hajivassiliou, Peter C. B. Phillips
Bimodal T-Ratios: The Impact Of Thick Tails On Inference, Carlo V. Fioro, Vassilis A. Hajivassiliou, Peter C. B. Phillips
Research Collection School Of Economics
This paper studies the distribution of the classical t-ratio with data generated from distributions with no finite moments and shows how classical testing is affected by bimodality. A key condition in generating bimodality is independence of the observations in the underlying data-generating process (DGP). The paper highlights the strikingly different implications of lack of correlation versus statistical independence in DGPs with infinite moments and shows how standard inference can be invalidated in such cases, thereby pointing to the need for adapting estimation and inference procedures to the special problems induced by thick-tailed (TT) distributions. The paper presents theoretical results for …
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Research Collection School Of Economics
Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or distributional relationships among the variables of interest. Motivated by the literature on testing conditional independence, we propose a new nonparametric test for asymmetric information which is applicable in a variety of situations. We demonstrate the test works reasonably well through Monte …
How Robust Is Undominated Nash Implementation?, Takashi Kunimoto
How Robust Is Undominated Nash Implementation?, Takashi Kunimoto
Research Collection School Of Economics
Palfrey and Srivastava (1991) show that almost any social choice correspondence(SCC) is implemented in undominated Nash equilibrium, a refinement of Nash equilibrium. By requiring solution concepts to have closed graph in the limit of complete information, Chung and Ely (2003) investigate the robustness of undominated Nash implementation. Their robustness test concludes that when preferences are strict (or more generally, hedonic), only monotonic SCCs can be implemented in the closure of the undominated Nash (equilibrium) correspondence. This paper re-examines this robustness test. I show that almost any SCC is implemented in the closure of the undominated Nash correspondence, provided that the …
Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C. B. Phillips
Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C. B. Phillips
Research Collection School Of Economics
Least absolute deviations (LAD) estimation of linear time series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.
Unilateral Measures And Emissions Mitigation, Shurojit Chatterji, Sayantan Ghosal, Sean Walsh, John Whalley
Unilateral Measures And Emissions Mitigation, Shurojit Chatterji, Sayantan Ghosal, Sean Walsh, John Whalley
Research Collection School Of Economics
We discuss global climate mitigation that builds on existing unilateral measures to cut emissions. We document and discuss the rationale for such unilateral measures argue that such measures have the potential to generate positive spillover effects both within and across countries. In a simple dynamic model of learning we show that while single countries on their own may never get to the point of switching completely to low emission activities, a learning process with positive spillovers across nations is more likely to deliver a global switch to low emissions. We discuss the key features of a new global Intellectual Property …
Estimation Of Bidder Valuations In An Fcc Spectrum Auction, Jungwon Yeo
Estimation Of Bidder Valuations In An Fcc Spectrum Auction, Jungwon Yeo
Research Collection School Of Economics
The Federal Communications Commission (FCC) uses auctions to allocate radio spectrum frequencies to wireless service providers. The innovation of the auction design is that it offers many heterogeneous licenses simultaneously in one ascending auction. This paper develops an empirical model and procedure to estimate bidder valuations. Given that the complex nature of the auction does not admit formal modeling in a general setting, I do not explore a particular model of equilibrium bidding. Instead, I propose two revealed preference inequalities which should hold in any reasonable model of these auctions. The first inequality requires that a bidder never bids on …
Applicant Screening And Performance-Related Outcomes, Fali Huang, Peter Cappelli
Applicant Screening And Performance-Related Outcomes, Fali Huang, Peter Cappelli
Research Collection School Of Economics
A fundamental problem faced by employers is how to elicit effort from employees. Most economic models suggest that employers meet this challenge by monitoring employees carefully to prevent shirking. But there is another option that relies on heterogeneity across employees, and that is to screen job candidates to find workers with a stronger work ethic who require less monitoring. We might therefore expect employers who screen candidates more intensively to monitor them less. Using data from a national sample of US employers, we find that employers who screen applicants more intensively for factors that should predict work ethic also monitor …
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Remzi Sanver, Arunava Sen
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Remzi Sanver, Arunava Sen
Research Collection School Of Economics
In this paper, we investigate domains that admit “well-behaved” strategy-proof social choice functions. We show that if the number of voters is even, then every domain that satisfies a richness condition and admits an anonymous, tops-only, unanimous and strategy-proof social choice function, must be semi-single-peaked. Conversely every semi-single-peaked domain admits an anonymous, tops-only, unanimous and strategy-proof social choice function. Semi-single-peaked domains are generalizations of single-peaked domains on a tree introduced by Demange (1982
Optimal Monetary Policy In A Model With Recursive Preferences, Sungbae An
Optimal Monetary Policy In A Model With Recursive Preferences, Sungbae An
Research Collection School Of Economics
This paper provides a simple and elegance approach for an empirical investigation of a model with Epstein-Zin (1989) preferences. The perturbation method implemented in Dynare is readily applicable for computation of equilibrium and welfare. A stylized new Keynesian economy with sticky prices is analyzed and optimal simple rules are accessed across various types of monetary policy rules.
Dynamic Treatment Effect Analysis Of Tv Effects On Child Cognitive Development, Fali Huang, Myoung-Jae Lee
Dynamic Treatment Effect Analysis Of Tv Effects On Child Cognitive Development, Fali Huang, Myoung-Jae Lee
Research Collection School Of Economics
We investigate whether TV watching at ages 6-7 and 8-9 affects cognitive development measured by math and reading scores at ages 8-9, using a rich childhood longitudinal sample from NLSY79. Dynamic panel data models are estimated to handle the unobserved child-specific factor, endogeneity of TV watching, and dynamic nature of the causal relation. A special emphasis is placed on the last aspect, where TV watching affects cognitive development, which in turn affects future TV watching. When this feedback occurs, it is not straightforward to identify and estimate the TV effect. We develop a two-stage estimation method which can deal with …
Advertising Competition In Retail Markets, Kyle Bagwell, Gea M. Lee
Advertising Competition In Retail Markets, Kyle Bagwell, Gea M. Lee
Research Collection School Of Economics
We consider non-price advertising by retail firms that are privately informed as to their respective production costs. We construct an advertising equilibrium, in which informed consumers use an advertising search rule whereby they buy from the highest-advertising firm. Consumers are rational in using the advertising search rule, since the lowest-cost firm advertises the most and also selects the lowest price. Even though the advertising equilibrium facilitates productive effi ciency, we establish conditions under which firms enjoy higher expected profit when advertising is banned. Consumer welfare falls in this case, however. Under free entry, social surplus is higher when advertising is …
Advertising Collusion In Retail Markets, Kyle Bagwell, Gea M. Lee
Advertising Collusion In Retail Markets, Kyle Bagwell, Gea M. Lee
Research Collection School Of Economics
We analyze non-price advertising by retail firms, when the firms are privately informed about their respective costs of production. In a static advertising game, an advertising equilibrium exists in which lower-cost firms select higher advertising levels. In this equilibrium, informed consumers rationally employ an advertising search rule in which they buy from the highest- advertising firm, since lower-cost firms also select lower prices. In a repeated advertising game, colluding firms face a tradeoff: the use of advertising can promote productive efficiency but only if sufficient current or future advertising expenses are incurred. At one extreme, if firms pool at zero …
Financial Development And The Patterns Of International Capital Flows, Jurgen Von Hagen, Haiping Zhang
Financial Development And The Patterns Of International Capital Flows, Jurgen Von Hagen, Haiping Zhang
Research Collection School Of Economics
We develop a tractable, two-country, overlapping-generations model and show that cross-country differences in financial development can explain three recent empirical patterns of international capital flows: Financial capital flows from relatively poor to relatively rich countries while foreign direct investment flows in the opposite direction; net capital flows go from poor to rich countries; despite its negative net international investment position, the US receives a positive net international investment income. We also explore the welfare and distributional effects of international capital flows and show that the direction of capital flows may change along the convergence process of a developing country. Matsuyama …
The Labor Market Of Italian Politicians, Antonio Merlo, Vincenzo Galasso, Massimiliano Landi, Andrea Mattozzi
The Labor Market Of Italian Politicians, Antonio Merlo, Vincenzo Galasso, Massimiliano Landi, Andrea Mattozzi
Research Collection School Of Economics
We analyze the career profiles of Italian legislators in the post-war period. Using a unique, newly collected dataset that contains detailed information on all the politicians who have been elected to the Italian Parliament between 1948 and 2008, we address a number of important issues that pertain to their career paths prior to election to Parliament, their parliamentary careers, and their post-Parliament employment. Our data span two institutional regimes: Italy's First Republic (1948-1994) and the Second Republic (1994-present), characterized by different electoral rules and party structures. We first present a brief overview of the Italian political system. We then provide …