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Articles 1261 - 1290 of 1733
Full-Text Articles in Economics
Subsidies For Fdi: Implications From A Model With Heterogeneous Firms, Davin Chor
Subsidies For Fdi: Implications From A Model With Heterogeneous Firms, Davin Chor
Research Collection School Of Economics
This paper analyzes the welfare effects of subsidies to attract multinational corporations when firms are heterogeneous in their productivity levels. I show that the use of a small subsidy raises welfare in the FDI host country, with the consumption gains from attracting more multinationals exceeding the direct cost of funding the subsidy program through a tax on labor income. This welfare gain stems from a selection effect, whereby the subsidy induces only the most productive exporters to switch to servicing the host's market via FDI. I further show that for the same total subsidy bill, a subsidy to variable costs …
Econometric Theory And Practice, Peter C. B. Phillips
Econometric Theory And Practice, Peter C. B. Phillips
Research Collection School Of Economics
Econometrics has been evolving as a discipline over the last decade in a way that has successfully brought theory and practice much closer together. Many of the developments are associated with laptop computing, the increasing availability of electronic databases, and the convenience of modern econometric software and matrix programming languages. The changes that have occurred affect us at every level as teachers, researchers, practitioners, readers, reviewers, and authors. No journal can stand still in the face of such changes. This editorial speaks to these changes and the way they impact our subject, our authors, and our readership.
Econometric Theory And Practice, Peter C. B. Phillips
Econometric Theory And Practice, Peter C. B. Phillips
Research Collection School Of Economics
Econometrics has been evolving as a discipline over the last decade in a way that has successfully brought theory and practice much closer together. Many of the developments are associated with laptop computing, the increasing availability of electronic databases, and the convenience of modern econometric software and matrix programming languages. The changes that have occurred affect us at every level as teachers, researchers, practitioners, readers, reviewers, and authors. No journal can stand still in the face of such changes. This editorial speaks to these changes and the way they impact our subject, our authors, and our readership.
Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin
Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin
Research Collection School Of Economics
This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and time series (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge [Wooldridge, J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models. It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem …
Technology, Unilateral Commitments And Cumulative Emissions Reduction, Shurojit Chatterji, Sayantan Ghosal
Technology, Unilateral Commitments And Cumulative Emissions Reduction, Shurojit Chatterji, Sayantan Ghosal
Research Collection School Of Economics
In this article, we argue that weak property rights over transnational pollution and the limited threat of retaliatory punishments blunts the effectiveness of a broad-based multilateral agreement to deliver the emission reductions required to mitigate climate change. Instead, we propose a policy framework that builds on unilateral commitments, endogenous innovation and technology transfer that could lead to cumulative emissions reduction by altering the participation constraints of nations over time.
Payroll Taxes, Wealth And Employment In Neoclassical Theory: Neutrality Or Non-Neutrality?, Hian Teck Hoon
Payroll Taxes, Wealth And Employment In Neoclassical Theory: Neutrality Or Non-Neutrality?, Hian Teck Hoon
Research Collection School Of Economics
The theoretical proposition that temporarily below-normal tax rates on labor this year, when merged with the prospect of reversion to normal rates next year, will encourage households to squeeze more work into this year and to work less in future years is well-founded. This proposition was recently tested anew on Icelandic data and performed well empirically (Bianchi, Gudmundsson and Zoega (2001)). But would a permanent cut in tax rates on labor encourage more work permanently—with no diminution of effectiveness? Conversely, does a permanent increase in tax rates on labor cause a permanent decline in hours worked?
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C. B. Phillips, Liangjun Su
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears to be a paradox, as knowing the true functional form should not in general be detrimental in regression. In the present case, local regression methods turn out to have a distinct advantage because of endogeneity in the regressor. The paradox arises because additional correct information is not necessarily advantageous when information is incomplete. In the …
Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Research Collection School Of Economics
This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara (2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley–Hvidkjaer–O'Hara framework by allowing the probabilities of good news and bad news …
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) cointegrating regression equation is consistent with a limiting (mixed) normal distribution irrespective of the endogeneity in the regressor, near integration as well as integration in the regressor, and serial dependence in the regression equation. The present paper shows that some closely related results apply in the case of structural nonparametric regression with independent data when there are continuous …
Limit Theory For Dating The Origination And Collapse Of Mildly Explosive Periods In Time Series Data, Jun Yu, Peter C. B. Phillips
Limit Theory For Dating The Origination And Collapse Of Mildly Explosive Periods In Time Series Data, Jun Yu, Peter C. B. Phillips
Research Collection School Of Economics
Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse dates of bubbles involving mildly explosive episodes set within longer periods where the data evolve as a stochastic trend. The dating estimators are shown to be consistent under mild regularity conditions on the process. Some simulation evidence on the performance of the estimators is reported. The proposed method works well in finite samples and …
Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors, Tassos Magdalinos, Peter C. B. Phillips
Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors, Tassos Magdalinos, Peter C. B. Phillips
Research Collection School Of Economics
An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form rho(ni) = 1 + c(i)/n(alpha), involving moderate deviations from unity when alpha is an element of (0, 1) and c(i) is an element of R are constant parameters. When the data are moderately integrated in the stationary direction (with c(i) < 0), it is shown that least squares regression is consistent and asymptotically normal but suffers from significant bias, related to simultaneous equations bias. In the moderately explosive case (where c(i) > 0) the limit theory is mixed normal with Cauchy-type tail behavior, and the rate of convergence is explosive, as in the case of a moderately explosive scalar autoregression (Phillips and …
Testing Conditional Uncorrelatedness, Liangjun Su, Aman Ullah
Testing Conditional Uncorrelatedness, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges to the standard normal distribution asymptotically. We also study the local power property of the test. Simulation shows that the test behaves quite well in finite samples.
Misaligned Incentives And Mortgage Lending In Asia, Richard Green, Roberto S. Mariano, Andrey Pavlov, Susan Wachter
Misaligned Incentives And Mortgage Lending In Asia, Richard Green, Roberto S. Mariano, Andrey Pavlov, Susan Wachter
Research Collection School Of Economics
This paper provides a conceptual basis for the price discovery potential for tradable market instruments and specifically the development of mortgage securitization in Asia and the potential dangers of such markets. Nonetheless we argue for the potential importance of securitization in Asia because of its possible role in increasing transparency of the financial sector of Asian economies. We put forth a model explaining how misaligned incentives can lead to bank generated real estate crashes and macroeconomic instability, with or without securitization under certain circumstances. We examine the banking sector’s performance in Asia compared to securitized real estate returns, to provide …
Risk, Firm Heterogeneity, And Dynamics Of Fdi Entry, Pao Li Chang, Chia-Hui Lu
Risk, Firm Heterogeneity, And Dynamics Of Fdi Entry, Pao Li Chang, Chia-Hui Lu
Research Collection School Of Economics
We study the dynamics of FDI entry under a setting with firm heterogeneity and FDI uncertainty. The risk of FDI failure depends positively on the complexity of production technology, negatively on the quality of infrastructure in the host country, and evolves over time with the extent of knowledge diffusion. The incorporation of FDI uncertainty leads to a non-monotonic relationship between technology complexity and the timing of FDI entry: firms with intermediate technology levels lead the first wave of FDI, which helps lower the investment uncertainty facing subsequent investors and induces a wider range of FDI entry in the second period. …
Tops-Only Domains, Shurojit Chatterji, Arunava Sen
Tops-Only Domains, Shurojit Chatterji, Arunava Sen
Research Collection School Of Economics
In this paper we consider the standard voting model with a finite set of alternatives A and n voters and address the following question: what are the characteristics of domains D that induce the property that every strategy-proof social choice function f : Dn → A satisfying unanimity, has the tops-only property? We first impose a minimal richness condition which ensures that for every alternative a, there exists an admissible ordering where a is maximal. We identify conditions on D that are sufficient for strategy-proofness and unanimity to imply tops onlyness in the general case of n voters and in …
Intergenerational Earnings Mobility In Singapore And The United States, Irene Y. H. Ng, Xiaoyi Shen, Kong Weng Ho
Intergenerational Earnings Mobility In Singapore And The United States, Irene Y. H. Ng, Xiaoyi Shen, Kong Weng Ho
Research Collection School Of Economics
This study compared intergenerational earnings mobility in Singapore and the United States by replicating the sample criteria in the Singapore National Youth Survey on the U.S. Panel Study of Income Dynamics. The mean estimated earnings elasticities are almost identical: 0.26 in Singapore and 0.28 in the United States. Transformed to 0.44 and 0.47 respectively to reflect permanent status, mobility in the two countries is moderately low compared internationally. The finding of similar mobility is not surprising given that the two countries have similar economic realities, welfare systems, education regimes, and labor structures. Policy makers face the daunting challenge of overcoming …
Analyzing And Forecasting Business Cycles In A Small Open Economy: A Dynamic Factor Model For Singapore, Hwee Kwan Chow, Keen Meng Choy
Analyzing And Forecasting Business Cycles In A Small Open Economy: A Dynamic Factor Model For Singapore, Hwee Kwan Chow, Keen Meng Choy
Research Collection School Of Economics
A dynamic factor model is applied to a large panel dataset of Singapore’s macroeconomic variables and global economic indicators with the initial objective of analyzing business cycles in a small open economy. The empirical results suggest that four common factors are present in the quarterly time series, which can broadly be interpreted as world, regional, electronics and domestic economic cycles. The estimated factor model explains well the observed fluctuations in real economic activity and price inflation, leading us to use it in forecasting Singapore’s business cycles. We find that the forecasts generated by the factors are generally more accurate than …
What Do We Expect From Our Friends?, Stephen Leider, Markus M. Mobius, Tanya S. Rosenblat, Quoc-Anh Do
What Do We Expect From Our Friends?, Stephen Leider, Markus M. Mobius, Tanya S. Rosenblat, Quoc-Anh Do
Research Collection School Of Economics
We conduct a field experiment in a large real-world social network to examine how subjects expect to be treated by their friends and by strangers who make allocation decisions in modified dictator games. While recipients’ beliefs accurately account for the extent to which friends will choose more generous allocations than strangers (i.e. directed altruism), recipients are not able to anticipate individual differences in the baseline altruism of allocators (measured by giving to an unnamed recipient, which is predictive of generosity towards named recipients). Recipients who are direct friends with the allocator, or even recipients with many common friends, are no …
Keeping Dictators Honest: The Role Of Population, Quoc-Anh Do, Filipe R. Campante
Keeping Dictators Honest: The Role Of Population, Quoc-Anh Do, Filipe R. Campante
Research Collection School Of Economics
In order to explain the apparently paradoxical presence of acceptable governance in many non-democratic regimes, economists and political scientists have focused mostly on institutions acting as de facto checks and balances. In this paper, we propose that population plays a similar role in guaranteeing the quality of governance and redistribution. We argue and demonstrate with historical evidence that the concentration of population around the policy making center serves as an insurgency threat to a dictatorship, inducing it to yield to more redistribution and better governance. We bring this centered concept of population concentration to the data through the Centered Index …
A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do
A Centered Index Of Spatial Concentration: Axiomatic Approach With An Application To Population And Capital Cities, Filipe R. Campante, Quoc-Anh Do
Research Collection School Of Economics
We construct an axiomatic index of spatial concentration around a center or capital point of interest, a concept with wide applicability from urban economics, economic geography and trade, to political economy and industrial organization. We propose basic axioms (decomposability and monotonicity) and refinement axioms (order preservation, convexity, and local monotonicity) for how the index should respond to changes in the underlying distribution. We obtain a unique class of functions satisfying all these properties, defined over any n-dimensional Euclidian space: the sum of a decreasing, isoelastic function of individual distances to the capital point of interest, with specific boundaries for the …
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 a modified LM test of spatial error components, which is shown to be robust against distributional misspecifications and spatial layouts. The proposed test differs from the LM test of Anselin (2001) by a term in the denominators of the test statistics. This term disappears when either the errors are normal, or the variance of the diagonal elements of the product of spatial weights matrix and its transpose is zero or approaches to zero as sample size goes large. When neither is true, as is often the case in practice, the effect of this term can be significant …
Asymptotics And Bootstrap For Transformed Panel Data Regressions, Liangjun Su, Zhenlin Yang
Asymptotics And Bootstrap For Transformed Panel Data Regressions, Liangjun Su, Zhenlin Yang
Research Collection School Of Economics
This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the parameter estimates, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference …
Semiparametric Prevalence Estimation From A Two-Phase Survey, Denis H. Y. Leung, J Qin
Semiparametric Prevalence Estimation From A Two-Phase Survey, Denis H. Y. Leung, J Qin
Research Collection School Of Economics
This paper studies a semi-parametric method for estimating the prevalence of a binary outcome using a two-phase survey. The motivation for a two-phase survey is, due to time, money and ethical considerations, it is impossible to carry out comprehensive evaluation on all subjects in a large random sample of the population. Rather, a relatively inexpensive "screening test" is given to all subjects in the random sample and only individuals more likely to have a positive outcome (cases) will be selected for a further "gold standard" test to verify the outcome. Therefore, individuals with verified outcome form a non-random sample from …
Instability And The Incentives For Corruption, Filipe R. Campante, Davin Chor, Quoc-Anh Do
Instability And The Incentives For Corruption, Filipe R. Campante, Davin Chor, Quoc-Anh Do
Research Collection School Of Economics
We investigate the relationship between corruption and political stability, from both theoretical and empirical perspectives. We propose a model of incumbent behavior that features the interplay of two effects: a horizon effect, whereby greater instability leads the incumbent to embezzle more during his short window of opportunity, and a demand effect, by which the private sector is more willing to bribe stable incumbents. The horizon effect dominates at low levels of stability, because firms are unwilling to pay high bribes and unstable incumbents have strong incentives to embezzle, whereas the demand effect gains salience in more stable regimes. Together, these …
Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C. B. Phillips
Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C. B. Phillips
Research Collection School Of Economics
Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a non-parametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient C(n) -> infinity and C(n)/n -> 0 as n -> 8. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a …
Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu
Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approaches range from crude Euler-type approximations and higher order stochastic Taylor series expansions to more complex polynomial-based expansions and infill approximations to the likelihood based on a continuous time data record. The methods are discussed, their properties are outlined and their relative finite sample performance compared in a simulation experiment with the nonlinear CIR diffusion model, which …
Global Analysis Of An Expectations Augmented Evolutionary Dynamics, Angelo Antoci, Antonio Gay, Massimiliano Landi, Pier Luigi Sacco
Global Analysis Of An Expectations Augmented Evolutionary Dynamics, Angelo Antoci, Antonio Gay, Massimiliano Landi, Pier Luigi Sacco
Research Collection School Of Economics
We consider a deterministic evolutionary model where players form expectations about future play. Players are not fully rational and have expectations that change over time in response to current payoffs and feedback from the past. We provide a complete characterization of the qualitative dynamics so induced for a two strategy population game, and relate our findings to standard evolutionary dynamics and equilibrium selection when agents have rational forward looking expectations.
Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps
Future Fiscal And Budgetary Shocks, Hian Teck Hoon, Edmund S. Phelps
Research Collection School Of Economics
We study the effects of future tax and budgetary shocks in a non-monetary and possibly non-Ricardian economy. An (unanticipated) temporary labor tax cut to be effective on a given future date—a delayed “debt bomb”—causes at once a drop in the (unit) value placed on the firms' business asset, the customer, with the result that share prices, the hourly wage, and employment drop in tandem. This paradox of reduced activity through announcement of future “stimulus” does not hinge on an upward jump of long interest rates. A future tax-rate cut lacking a “sunset” provision has the same negative effects.
Testing For Parameter Stability In Quantile Regression Models, Liangjun Su, Zhijie Xiao
Testing For Parameter Stability In Quantile Regression Models, Liangjun Su, Zhijie Xiao
Research Collection School Of Economics
We propose a test for structural change of conditional distribution in dynamic regression models. The test is constructed based on time series regression quantile estimates and complements conventional parameter instability tests in least-square type regression models. Asymptotic distribution for our test under the null hypothesis is derived.
Can A Representative Agent Model Represent A Heterogeneous Agent Economy?, Sungbae An, Yongsung Chang, Sun-Bin Kim
Can A Representative Agent Model Represent A Heterogeneous Agent Economy?, Sungbae An, Yongsung Chang, Sun-Bin Kim
Research Collection School Of Economics
Accounting for observed fluctuations in aggregate employment, consumption, and real wage using the optimality conditions of a representative household requires preferences that are incompatible with economic priors. In order to reconcile theory with data, we construct a model with heterogeneous agents whose decisions are difficult to aggregate because of incomplete capital markets and the indivisible nature of labor supply. If we were to explain the model-generated aggregate time series using decisions of a stand-in household, such a household must have a nonconcave or unstable utility as is often found with the aggregate US data.