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Articles 331 - 360 of 1733
Full-Text Articles in Economics
Mildly Explosive Autoregression With Anti-Persistent Errors, Yui Lim Lui, Jun Yu, Jun Yu
Mildly Explosive Autoregression With Anti-Persistent Errors, Yui Lim Lui, Jun Yu, Jun Yu
Research Collection School Of Economics
An asymptotic distribution is derived for the least squares (LS) estimate of a first-order autoregression with a mildly explosive root and anti-persistent errors. While the sample moments depend on the Hurst parameter asymptotically, the Cauchy limiting distribution theory remains valid for the LS estimates in the model without intercept and a model with an asymptotically negligible intercept. Monte Carlo studies are designed to check the precision of the Cauchy distribution in finite samples. An empirical study based on the monthly NASDAQ index highlights the usefulness of the model and the new limiting distribution.
Change In Outbreak Epicentre And Its Impact On The Importation Risks Of Covid-19 Progression: A Modelling Study, Oyelola A. Adegboye, Adeshina I. Adekunle, Anton Pak, Ezra Gayawan, Denis H. Y. Leung, Diana P. Rojas, Emma S. Mcbryde, Damon P. Eisen
Change In Outbreak Epicentre And Its Impact On The Importation Risks Of Covid-19 Progression: A Modelling Study, Oyelola A. Adegboye, Adeshina I. Adekunle, Anton Pak, Ezra Gayawan, Denis H. Y. Leung, Diana P. Rojas, Emma S. Mcbryde, Damon P. Eisen
Research Collection School Of Economics
Background: The outbreak of Severe Acute Respiratory Syndrome Coronavirus-2 (SARS-CoV-2) that was first detected in the city of Wuhan, China has now spread to every inhabitable continent, but now the attention has shifted from China to other epicentres. This study explored early assessment of the influence of spatial proximities and travel patterns from Italy on the further spread of SARS-CoV-2 worldwide. Methods: Using data on the number of confirmed cases of COVID-19 and air travel data between countries, we applied a stochastic meta-population model to estimate the global spread of COVID-19. Pearson's correlation, semi-variogram, and Moran's Index were used to …
The Effects Of Income On Health: Evidence From Lottery Wins In Singapore, Seonghoon Kim, Kanghyock Koh
The Effects Of Income On Health: Evidence From Lottery Wins In Singapore, Seonghoon Kim, Kanghyock Koh
Research Collection School Of Economics
We estimate the causal effects of household income on self-reported health status by exploiting random variations in the amount of lottery prizes won. We find that a S$10,000 (US$7,245) increase in income via lottery wins improves individuals’ health by a standard deviation of 0.18. As possible mechanisms, we find that lottery wins increase household consumption spending and improve overall life satisfaction, but do not change healthcare spending, labor supply, and risky health behavior. Previous studies, which focused on the health effects of lottery prizes in Western European countries with strong social safety nets, do not find positive effects other than …
The Role Of Macroeconomic And Policy Uncertainty In Density Forecast Dispersion, You Li, Anthony S. Tay
The Role Of Macroeconomic And Policy Uncertainty In Density Forecast Dispersion, You Li, Anthony S. Tay
Research Collection School Of Economics
We explore empirically the role of macroeconomic and policy uncertainty in explaining dispersion in professional forecasters’ density forecasts, and in explaining individual forecaster uncertainty (defined as the uncertainty expressed by individual forecasters in their density forecasts). We focus on US real output growth and inflation, using data from the Philadelphia Fed’s quarterly Survey of Professional Forecasters (SPF), 1992-2016. We find that dispersion in individual density forecasts is related to macroeconomic uncertainty, especially in longer horizon forecasts, but not policy or forecaster uncertainty. There is also little evidence that forecaster uncertainty reflects macroeconomic or policy uncertainty.
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 incentive compatibility and individual rationality 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. The main contribution of this paper is the characterization of the budget-surplus maximizing mechanism satisfying incentive compatibility and individual rationality (Theorem 1 for Bayesian implementation and Theorem 3 for dominant strategy implementation) that applies to a finite discretization over the standard model. Making use of the proposed budget-surplus maximizing mechanisms, we show that some known results do not …
Learning By Supplying And Competition Threat, Yi-Fan Chen, Alireza Naghavi, Shin-Kun Peng
Learning By Supplying And Competition Threat, Yi-Fan Chen, Alireza Naghavi, Shin-Kun Peng
Research Collection School Of Economics
This study proposes a model of learning by supplying in an international outsourcing framework, where the supplier of a relationship-specific input can reverse engineer and become a competitor to its partner in the final goods market. Transmitting knowledge to a more capable supplier therefore creates competitive threat despite the benefits it brings within an outsourcing relationship. In particular, in markets with less differentiated products and for standard inputs that require less knowledge to be shared, choosing an intermediate capability level supplier prompts a strategic expansion of output to deter supplier entry in the final goods market, resulting in higher profits …
Pregnancy Persistently Reduces Alcohol Purchases: Causal Evidence From Scanner Data, Aljoscha Janssen, Elle Parslow
Pregnancy Persistently Reduces Alcohol Purchases: Causal Evidence From Scanner Data, Aljoscha Janssen, Elle Parslow
Research Collection School Of Economics
We analyze household-level changes in alcohol consumption in response to pregnancy. Using scanner data, we identify households with a pregnant household member. Within an event study and a dynamic difference-in-differences estimation, we find that during a first pregnancy, households reduce their alcohol purchases by 36%. After pregnancy, purchases of alcohol are 34% lower than before pregnancy. We do not find any effect during the second pregnancy. One possible explanation for our result is that lower consumption during pregnancy changes habits and reduces consumption in the long term. We discuss other explanations and comment on policy implications.
Identifying Latent Group Structures In Nonlinear Panels, Wuyi Wang, Liangjun Su
Identifying Latent Group Structures In Nonlinear Panels, Wuyi Wang, Liangjun Su
Research Collection School Of Economics
We propose a procedure to identify latent group structures in nonlinear panel data models where some regression coefficients are heterogeneous across groups but homogeneous within a group and the group number and membership are unknown. To identify the group structures, we consider the order statistics for the preliminary unconstrained consistent estimators of the regression coefficients and translate the problem of classification into the problem of break detection. Then we extend the sequential binary segmentation algorithm of Bai (1997) for break detection from the time series setup to the panel data framework. We demonstrate that our method is able to identify …
Informal Institutions And Comparative Advantage Of South-Based Mnes: Theory And Evidence, Pao-Li Chang, Yuting Chen
Informal Institutions And Comparative Advantage Of South-Based Mnes: Theory And Evidence, Pao-Li Chang, Yuting Chen
Research Collection School Of Economics
This paper builds a theory based on “informal institutions” to characterize the comparative advantage of South-based MNEs. MNEs headquartered in countries with poorer state institutions are shown to endogenously invest more in firm-specific institutional capital to compensate for the lack of state institutions, and as an optimal response, undertake FDI in countries with weaker institutions. We conduct an extensive test of the theory using worldwide firm-level greenfield FDI flows during 2009–2016, employing (among others) variations in the interaction of prevalence of informal institutions at home and state institutional qualities of host countries, as well as heterogeneity across sectors and firms …
A Theory Of Revealed Indirect Preference, Gaoji Hu, Jiangtao Li, John K.-H. Quah, Rui Tang
A Theory Of Revealed Indirect Preference, Gaoji Hu, Jiangtao Li, John K.-H. Quah, Rui Tang
Research Collection School Of Economics
A preference over menus is said to be an indirect preference if it is induced by a preference over the objects that make up those menus, i.e., a menu A is ranked over B whenever A contains an object that is preferred to every object in B. The basic question we address in this paper is the following: suppose an observer has partial information of an agent’s ranking over certain menus; what necessary and sufficient conditions on those rankings guarantee the existence of a preference over objects that induces the observed menu rankings? Our basic result has a wide variety …
House Prices And Affordability, R. Greenaway-Mcgrevy, Peter C. B. Phillips
House Prices And Affordability, R. Greenaway-Mcgrevy, Peter C. B. Phillips
Research Collection School Of Economics
The decade following the global financial crisis (GFC) has witnessed rampant house price appreciation in many cities of the developed world. The metropolitan centres of New Zealand showcase this phenomenon with house price appreciation persistently outpacing income growth. In Auckland, the ratio of prevailing median house prices to median household income rose from 6.4 in 2010 to 10.0 in 2016 (Demographia, Citation2011, Citation2017), before declining to 8.6 by 2019 as house prices flat-lined while household incomes increased (Demographia, Citation2020). However, a strong resurgence in house prices during 2020 means that this ratio has resumed its upward trajectory, with an increase …
Retirement Preparedness In Singapore, Junxing Chay, Seonghoon Kim
Retirement Preparedness In Singapore, Junxing Chay, Seonghoon Kim
Research Collection School Of Economics
This chapter presents empirical evidence on a variety of measures to assess the social and economic well-being of near-retirees and retirees in Singapore based on rich data from the Singapore Life Panel, a nationally representative monthly panel survey of 50- to 70-year-old adults in Singapore. Large differences in retirement behaviour and household financial conditions related to retirement preparedness across education and wealth groups are documented. This suggests the importance of a retirement-related policy that focuses on the low-skilled and low-wealth groups. In addition, we discuss and evaluate current public policy designed to increase the employment of older workers and propose …
Generalized Jump Regressions For Local Moments, Tim Bollerslev, Jia Li, Leonardo Salim Saker Chaves
Generalized Jump Regressions For Local Moments, Tim Bollerslev, Jia Li, Leonardo Salim Saker Chaves
Research Collection School Of Economics
We develop new high-frequency-based inference procedures for analyzing the relationship between jumps in instantaneous moments of stochastic processes. The estimation consists of two steps: the nonparametric determination of the jumps as differences in local averages, followed by a minimum-distance type estimation of the parameters of interest under general loss functions that include both least-square and more robust quantile regressions as special cases. The resulting asymptotic distribution of the estimator, derived under an infill asymptotic setting, is highly nonstandard and generally not mixed normal. In addition, we establish the validity of a novel bootstrap algorithm for making feasible inference including bias-correction. …
Public Health Insurance And Pharmaceutical Innovation: Evidence From China, Xuan Zhang, Huihua Nie
Public Health Insurance And Pharmaceutical Innovation: Evidence From China, Xuan Zhang, Huihua Nie
Research Collection School Of Economics
Developing countries are characterized by low levels of pharmaceutical innovation. A likely reason is their small market size, which is not because of the population size but because of low levels of income and lack of health insurance coverage. This study exploits a natural experiment from the implementation of a public health insurance program for rural residents in China (New Cooperative Medical Scheme [NCMS]) to examine whether the pharmaceutical industry increases innovation regarding diseases covered by the NCMS that are prevalent in rural areas. We examine the 1993–2009 patent data to gauge pharmaceutical innovation in China. Diseases with a 10% …
Joint Tests For Dynamic And Spatial Effects In Short Dynamic Panel Data Models With Fixed Effects And Heteroskedasticity, Zhenlin Yang
Joint Tests For Dynamic And Spatial Effects In Short Dynamic Panel Data Models With Fixed Effects And Heteroskedasticity, Zhenlin Yang
Research Collection School Of Economics
Simple and reliable tests are proposed for testing the existence of dynamic and/or spatial effects in fixed-effects panel data models with small T and possibly heteroskedastic errors. The tests are constructed based on the adjusted quasi scores (AQS), which correct the conditional quasi scores given the initial differences to account for the effect of initial values. To improve the finite sample performance, standardized AQS tests are also derived, which are shown to have much improved finite sample properties. All the proposed tests are robust against nonnormality, but some are not robust against cross-sectional heteroskedasticity (CH). A different type of adjustments …
Urbanization Policy And Economic Development: A Quantitative Analysis Of China's Differential Hukou Reforms, Wen-Tai Hsu, Lin Ma
Urbanization Policy And Economic Development: A Quantitative Analysis Of China's Differential Hukou Reforms, Wen-Tai Hsu, Lin Ma
Research Collection School Of Economics
The household registration system (hukou system) in China has hampered rural-urban migration by posing large migration friction. The system has been gradually relaxed in the past few decades, but the reforms have been differential in city size and by the coastal-inland divide. We find a striking contrast in the migration patterns between years 2005 and 2015; rural people tended to move more to the coastal urban region in 2005, but more to the inland urban region in 2015. We calibrate a spatial quantitative model to the world economy in both years with China being divided into the rural, coastal urban, …
Point Optimal Testing With Roots That Are Functionally Local To Unity, Anna Bykhovskaya, Peter C. B. Phillips
Point Optimal Testing With Roots That Are Functionally Local To Unity, Anna Bykhovskaya, Peter C. B. Phillips
Research Collection School Of Economics
Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for autoregressive coefficients, and enabling the development of methods robust to departures from unit roots. The present paper shows how to generalize LUR asymptotics to cases where the localized departure from unity is a time varying function rather than a constant. Such a functional local unit root (FLUR) model has much greater generality and encompasses many cases of additional interest that appear in practical work, …
Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu
Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This paper derives asymptotic properties of the least squares estimator of the autoregressive parameter in local to unity processes with errors being fractional Gaussian noises with the Hurst parameter H. It is shown that the estimator is consistent when H ∈ (0, 1). Moreover, the rate of convergence is n when H ∈ [0.5, 1). The rate of convergence is n2H when H ∈ (0, 0.5). Furthermore, the limit distribution of the centered least squares estimator depends on H. When H = 0.5, the limit distribution is the same as that obtained in Phillips (1987a) for the local to …
On Strategy-Proofness And The Salience Of Single-Peakedness In A Private Goods Economy, Shurojit Chatterji, Masso Jordi, Serizawa Shigehiro
On Strategy-Proofness And The Salience Of Single-Peakedness In A Private Goods Economy, Shurojit Chatterji, Masso Jordi, Serizawa Shigehiro
Research Collection School Of Economics
We consider strategy-proof rules operating on a rich domain of preference profiles in a set up where multiple private goods have to be assigned to a set of agents with entitlements where preferences display satiation. We show that if the rule is in addition "desirable", in that it is tops-only, continuous, same-sided and individually rational with respect to the entitlements, then the preferences in the domain have to satisfy a variant of single-peakedness (referred to as smilattice single-peakedness). We also provide a converse of this main finding. It turns our that this domain coincides with the one already identified in …
Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang
Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang
Research Collection School Of Economics
We propose a quasi-Bayesian method to conduct inference for the production frontier. This approach combines multiple first-stage extreme quantile estimates by the quasi-Bayesian method to produce the point estimate and confidence interval for the production frontier. We show the asymptotic properties of the proposed estimator and the validity of the inference procedure. The finite sample performance of our method is illustrated through simulations and an empirical application.
Decomposing Duration Dependence: Skill Depreciation Vs. Statistical Discrimination, Ismail Baydur, Jianhuan Xu
Decomposing Duration Dependence: Skill Depreciation Vs. Statistical Discrimination, Ismail Baydur, Jianhuan Xu
Research Collection School Of Economics
This paper develops a random matching model with unobserved worker heterogeneity and learning about worker types from unemployment duration. The model features negative duration dependence that stems from unobserved heterogeneity as well as statistical discrimination and skill depreciation. We estimate our model using micro-level data from Current Population Survey (CPS) and we decompose the contribution of each channel to job finding rates by duration. We find that shutting down statistical discrimination substantially increases the job finding rates of the long-term unemployed while skill depreciation mainly affects the medium-term unemployed.
Firm Productivity And The Variety Of Inputs And Outputs: Evidence From Chinese Trade Data, Ken Onishi, Jianhuan Xu, Guang Yang
Firm Productivity And The Variety Of Inputs And Outputs: Evidence From Chinese Trade Data, Ken Onishi, Jianhuan Xu, Guang Yang
Research Collection School Of Economics
This paper studies how the trade liberalization in China changes the firm productivity. We develop a framework to estimate revenue productivity (TFPR) and real productivity (TFPQ) with multi-product firms. We find that the aggregate TFPR increases 30\% from 2002-2007 and TFPQ increases 22\%, suggesting that the observed TFPR increase is mainly driven by real productivity change rather than the markup change. We further decompose the change of productivity into three channels: (1) access to foreign inputs; (2) technology upgrade; (3) resource re-allocation within the firm. We find the most significant channel is the last one, which explains half of the …
Density Of Demand And The Consumer Benefit From Uber, Matthew H. Shapiro
Density Of Demand And The Consumer Benefit From Uber, Matthew H. Shapiro
Research Collection School Of Economics
Uber has attracted the attention of economists and policy makers for its innovations in the taxicab market and its potential for significant consumer welfare gains. The size of this gain depends in part on whether these innovations permit transactions previously costly or infeasible. Using New York City — the largest taxi market in the country — as its context, this paper estimates the level of any technological advantage Uber has over hail taxis in matching to consumers. I combine publicly available transportation data with data scraped from Uber and traffic cameras to estimate a model of the demand for transportation …
Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips
Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips
Research Collection School Of Economics
This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the data. These methods are a forward recursive algorithm, a rolling window algorithm, and a recursive evolving algorithm all of which utilize subsample tests of Granger causality within a lagaugmented vector autoregressive framework. The limit distributions for these subsample Wald tests are provided. Bootstrap methods are developed to control family-wise size in the implementation …
The Convergence Of Water, Electricity And Gas Industries: Implications For Ppp Design And Regulation, Sock Yong Phang
The Convergence Of Water, Electricity And Gas Industries: Implications For Ppp Design And Regulation, Sock Yong Phang
Research Collection School Of Economics
In several countries that have privatised their utilities, power and water are separate industries regulated by sector-specific regulators. In a parallel development, desalination has become an important source of water supply in countries where there is a shortage of cheap and clean freshwater. Where the energy source is gas, the use of gas-fired power plants to supply electricity for desalination links the water, electricity and gas industries. We use the case of the financial collapse of an integrated water and power project to illustrate the problems that can arise from such convergence, and to draw lessons for firms, Public-Private Partnerships …
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Research Collection School Of Economics
We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period …
Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang
Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang
Research Collection School Of Economics
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS-OPMD method leads to finite sample improved tests over the usual methods. More importantly in non-standard problems where a genuine (quasi) score is not available and the usual methods fail, the proposed AQS-OPMD method provides feasible solutions. The AQS tests are formally derived and …
Mandarins Make Markets: Leadership Rotations And Inter-Provincial Trade In China, Junyan Jiang, Yuan Mei
Mandarins Make Markets: Leadership Rotations And Inter-Provincial Trade In China, Junyan Jiang, Yuan Mei
Research Collection School Of Economics
The careers of many public officials span multiple localities, yet the economic effects of their inter-regional movements are not well understood. This paper focuses on the rotation of provincial leaders in China and studies its impact on regional economic integration. Estimation results using the gravity framework indicate that when a provincial leader is appointed as the party secretary of a new province, the trade volume from the new province to the old province increases, but not vice versa. Additional analyses using two novel datasets that capture the intensity of inter-provincial socioeconomic activities in China corroborate this finding. We then construct …
The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang
The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang
Research Collection School Of Economics
We investigate the testable implications of the theory of stable matchings in two-sided matching markets with one-sided preferences. Our main result connects the revealed preference analysis to the well-known lattice structure of the set of stable matchings, and tests the rationalizability of a data set by analyzing the joins and meets of matchings.
Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao
Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao
Research Collection School Of Economics
This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asymptotic validity of a uniform confidence band for series estimators and show that it can also be used to conduct nonparametric specification test for conditional moment restrictions. New results on the validity of heteroskedasticity and autocorrelation consistent (HAC) estimators with increasing dimension are established for making feasible inference. An empirical application on the unemployment volatility …