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Articles 391 - 420 of 1733
Full-Text Articles in Economics
Quantile Treatment Effects And Bootstrap Inference Under Covariate-Adaptive Randomization, Yichong Zhang, Xin Zheng
Quantile Treatment Effects And Bootstrap Inference Under Covariate-Adaptive Randomization, Yichong Zhang, Xin Zheng
Research Collection School Of Economics
In this paper, we study the estimation and inference of the quantile treatment effect under covariate‐adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we derive their asymptotic distributions uniformly over a compact set of quantile indexes, and show that, when the treatment assignment rule does not achieve strong balance, the inverse propensity score weighted estimator has a smaller asymptotic variance than the simple quantile regression estimator. For the inference of method (1), we show that the Wald test using a weighted bootstrap standard …
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, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …
Deviance Information Criterion For Latent Variable Models And Misspecified Models, Yong Li, Jun Yu, Tao Zeng
Deviance Information Criterion For Latent Variable Models And Misspecified Models, Yong Li, Jun Yu, Tao Zeng
Research Collection School Of Economics
Deviance information criterion (DIC) has been widely used for Bayesian model comparison, especially after Markov chain Monte Carlo (MCMC) is used to estimate candidate models. This paper first studies the problem of using DIC to compare latent variable models when DIC is calculated from the conditional likelihood. In particular, it is shown that the conditional likelihood approach undermines theoretical underpinnings of DIC. A new version of DIC, namely DICL, is proposed to compare latent variable models. The large sample properties of DICL are studied. A frequentist justification of DICL is provided. Like AIC, DICL provides an asymptotically unbiased estimator to …
Estimating The Benefits And Costs Of Forming Business Partnerships, Jungho Lee
Estimating The Benefits And Costs Of Forming Business Partnerships, Jungho Lee
Research Collection School Of Economics
I estimate a matching model of business‐partnership formation to quantify the relative importance of productivity gains, financing gains, and the coordination failure of effort provision (moral hazard) among partners. Productivity gains account for 61% of the gain from the observed partnerships. For partners in the first quartile of the wealth distribution, however, financing accounts for 93% of the gain. The cost of moral hazard corresponds to 42% of the entire gain from partnerships. A loan policy specifically targeting partnerships is less effective in improving welfare than a conventional loan policy that provides loans to individual entrepreneurs.
Identifying Latent Grouped Patterns In Conintegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Identifying Latent Grouped Patterns In Conintegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su
Research Collection School Of Economics
We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …
Efficiency, Quality Of Forecasts And Radner Equilibria, Shurojit Chatterji, Atsushi Kajii
Efficiency, Quality Of Forecasts And Radner Equilibria, Shurojit Chatterji, Atsushi Kajii
Research Collection School Of Economics
We study a simple two period economy with no uncertainty and complete markets where agents trade based on forecasts about the second period spot price. We propose as our solution concept a set of forecasts with the following properties: there exist (heterogenous) forecasts contained in this set that lead to efficient allocations, the set contains only those forecasts that correspond to some efficient equilibrium, and Önally that the forecasts assign positive probability to the actual market clearing spot price. We call such a set of prices an efficient equilibrium with ambiguity, and interpret it as a generalization of Radner equilibrium …
Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng
Cross-Border Technology Investments In Recessions, Juliana Yu Sun, Huanhuan Zheng
Research Collection School Of Economics
Utilizing industry-level foreign direct investment (FDI) from 72 source markets to 122 destination markets between 2003 to 2018, we apply a differences-in-differences approach to evaluate the response of technology FDI to recessions. We find that research and development (R&D) intensive FDI drops when the destination market is in recession and the source market is in a normal state, and recovers to the pre-recession levels when both destination and source markets are in recession. The result is particularly pronounced in deep and long recessions, during the propagation stage of recessions, and in destination markets with stronger intellectual property protection, looser FDI …
Is Predicted Data A Viable Alternative To Real Data?, Tomoki Fujii, Roy Van Der Weide
Is Predicted Data A Viable Alternative To Real Data?, Tomoki Fujii, Roy Van Der Weide
Research Collection School Of Economics
It is costly to collect the household- and individual-level data that underlies official estimates of poverty and health. For this reason, developing countries often do not have the budget to update their estimates of poverty and health regularly, even though these estimates are most needed there. One way to reduce the financial burden is to substitute some of the real data with predicted data. An approach referred to as double sampling collects the expensive outcome variable for a sub-sample only while collecting the covariates used for prediction for the full sample. The objective of this study is to determine if …
Estimating Selection Models Without Instrument With Stata, Xavier D’Haultfœuille, Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang
Estimating Selection Models Without Instrument With Stata, Xavier D’Haultfœuille, Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang
Research Collection School Of Economics
This article presents the eqregsel command for implementing the estimationand bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model withoutinstrument or large support regressor, and outputs the point estimates of the ho-mogenous linear coefficients, their bootstrap standard errors, as well as the p-valuefor a specification test.
Detecting Latent Communities In Network Formation Models, Shujie Ma, Liangjun Su, Yichong Zhang
Detecting Latent Communities In Network Formation Models, Shujie Ma, Liangjun Su, Yichong Zhang
Research Collection School Of Economics
This paper proposes a logistic undirected network formation model which allows for assortative matching on observed individual characteristics and the presence of edge-wise fixed effects. We model the coefficients of observed characteristics to have a latent community structure and the edge-wise fixed effects to be of low rank. We propose a multi-step estimation procedure involving nuclear norm regularization, sample splitting, iterative logistic regression and spectral clustering to detect the latent communities. We show that the latent communities can be exactly recovered when the expected degree of the network is of order log n or higher, where n is the number …
Asymptotic Theory For Near Integrated Processes Driven By Tempered Linear Processes, Farzad Sabzikar, Qiying Wang, Peter C. B. Phillips
Asymptotic Theory For Near Integrated Processes Driven By Tempered Linear Processes, Farzad Sabzikar, Qiying Wang, Peter C. B. Phillips
Research Collection School Of Economics
In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of the score function in a stationary first order autoregression driven by independent Gaussian innovations as the autoregressive coefficient approached unity from below. The present paper develops asymptotic theory for near-integrated random processes and associated regressions including the score function in more general settings where the errors are tempered linear processes. Tempered processes are stationary time series that have a semi-long memory property in the sense that the autocovariogram of the process resembles that of a long memory model for moderate lags but eventually diminishes …
Forecast Combinations In Machine Learning, Yue Qiu, Tian Xie, Jun Yu
Forecast Combinations In Machine Learning, Yue Qiu, Tian Xie, Jun Yu
Research Collection School Of Economics
This paper introduces novel methods to combine forecasts made by machine learning techniques. Machine learning methods have found many successful applications in predicting the response variable. However, they ignore model uncertainty when the relationship between the response variable and the predictors is nonlinear. To further improve the forecasting performance, we propose a general framework to combine multiple forecasts from machine learning techniques. Simulation studies show that the proposed machine-learning-based forecast combinations work well. In empirical applications to forecast key macroeconomic and financial variables, we find that the proposed methods can produce more accurate forecasts than individual machine learning techniques and …
Econometric Methods And Data Science Techniques: A Review Of Two Strands Of Literature And An Introduction To Hybrid Methods, Tian Xie, Jun Yu, Tao Zeng
Econometric Methods And Data Science Techniques: A Review Of Two Strands Of Literature And An Introduction To Hybrid Methods, Tian Xie, Jun Yu, Tao Zeng
Research Collection School Of Economics
The data market has been growing at an exceptional pace. Consequently, more sophisticated strategies to conduct economic forecasts have been introduced with machine learning techniques. Does machine learning pose a threat to conventional econometric methods in terms of forecasting? Moreover, does machine learning present great opportunities to cross-fertilize the field of econometric forecasting? In this report, we develop a pedagogical framework that identifies complementarity and bridges between the two strands of literature. Existing econometric methods and machine learning techniques for economic forecasting are reviewed and compared. The advantages and disadvantages of these two classes of methods are discussed. A class …
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C. B. Phillips, Jiti Gao
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C. B. Phillips, Jiti Gao
Research Collection School Of Economics
This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the data, we allow the regressors to be cointegrated and to embody a mixture of stochastic and deterministic trends, complications which result in asymptotic degeneracy of the kernel-weighted signal matrix. To address these complications new local and global rotation techniques are introduced to transform the covariate space to accommodate multiple scenarios of induced degeneracy. Under regularity conditions we derive asymptotic results that differ …
Foreign Direct Investment And Industrial Agglomeration: Evidence From China, Wen-Tai Hsu, Yi Lu, Xuan Luo, Lianming Zhu
Foreign Direct Investment And Industrial Agglomeration: Evidence From China, Wen-Tai Hsu, Yi Lu, Xuan Luo, Lianming Zhu
Research Collection School Of Economics
This paper studies the effect of foreign direct investment (FDI) on industrial ag-glomeration. Using the differential effects of FDI deregulation in 2002 in China on different industries, we find that FDI actually affects industrial agglomeration neg-atively. As FDI brings technological spillovers and various agglomeration benefits, other forces must be at work to drive our empirical finding. We propose a simple theory that FDI may discourage industrial agglomeration due to fiercer competition pressure. We find various evidence on this competition mechanism. We also examine an alternative theory based on spatial political competition, but find no evidence sup-porting it. On industrial growth, …
Robust Estimation And Inference Of Spatial Panel Data Models With Fixed Effects, Shew Fan Liu, Zhenlin Yang
Robust Estimation And Inference Of Spatial Panel Data Models With Fixed Effects, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
It is well established that the quasi maximum likelihood (QML) estimation of the spatial regression models is generally inconsistent under unknown cross-sectional heteroskedasticity (CH) and the CH-robust methods have been developed. The same issue remains for the spatial panel data (SPD) models but the similar studies based on QML approach do not seem to have been carried out. This paper focuses on the SPD model with fixed effects (FE). We argue that under unknown CH the QML estimator for the SPD-FE model is inconsistent in general, but there are ‘special cases’ where it may remain consistent although the exact conditions …
Random Assignments Of Bundles, Shurojit Chatterji, Liu Peng
Random Assignments Of Bundles, Shurojit Chatterji, Liu Peng
Research Collection School Of Economics
We propose a model studying the random assignments of bundles with no free disposal. The key difference between our model and the one where objects are allocated (see Bogomolnaia and Moulin (2001)) is one of feasibility. The implications of this difference are significant. Firstly, the characterization of sd-efficient random assignments is more complex. Secondly, we are able to identify a preference restriction, called essential monotonicity, under which the random serial dictatorship rule (extended to the setting with bundles) is equivalent to the probabilistic serial rule (extended to the setting with bundles). This equivalence implies the existence of a rule on …
Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung
Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung
Research Collection School Of Economics
Non-response is a commonly encountered problem in many population-based surveys. Broadly speaking, non-response can be due to refusal or failure to contact the sample units. Although both types of non-response may lead to bias, there is much evidence to indicate that it is much easier to reduce the proportion of non-contacts than to do the same with refusals. In this article, we use data collected from a nationally representative survey under the Demographic and Health Surveys program to study non-response due to refusals to HIV testing in Malawi. We review existing estimation methods and propose novel approaches to the estimation …
Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang
Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang
Research Collection School Of Economics
We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with …
Common Power Laws For Cities And Spatial Fractal Structures, Tomoya Mori, Tony E. Smith, Wen-Tai Hsu
Common Power Laws For Cities And Spatial Fractal Structures, Tomoya Mori, Tony E. Smith, Wen-Tai Hsu
Research Collection School Of Economics
City-size distributions are known to be well approximated by power laws across a wide range of countries. But such distributions are also meaningful at other spatial scales, such as within certain regions of a country. Using data from China, France, Germany, India, Japan, and the United States, we first document that large cities are significantly more spaced out than would be expected by chance alone. We next construct spatial hierarchies for countries by first partitioning geographic space using a given number of their largest cities as cell centers and then continuing this partitioning procedure within each cell recursively. We find …
Hybrid Stochastic Local Unit Roots, Offer Lieberman, Peter C. B. Phillips
Hybrid Stochastic Local Unit Roots, Offer Lieberman, Peter C. B. Phillips
Research Collection School Of Economics
Two approaches have dominated formulations designed to capture small departures from unit root autoregressions. The first involves deterministic departures that include local-to-unity (LUR) and mildly (or moderately) integrated (MI) specifications where departures shrink to zero as the sample size n -> infinity. The second approach allows for stochastic departures from unity, leading to stochastic unit root (STUR) specifications. This paper introduces a hybrid local stochastic unit root (LSTUR) specification that has both LUR and STUR components and allows for endogeneity in the time varying coefficient that introduces structural elements to the autoregression. This hybrid model generates trajectories that, upon normalization, …
Random Assignment Of Bundles, Shurojit Chatterji, Peng Liu
Random Assignment Of Bundles, Shurojit Chatterji, Peng Liu
Research Collection School Of Economics
We propose a model studying the random assignments of bundles with no free disposal. The key difference between our model and the one where objects are allocated (see Bogomolnaia and Moulin (2001)) is one of feasibility. The implications of this difference are significant. Firstly, the characterization of sd-efficient random assignments is more complex. Secondly, we are able to identify a preference restriction, called essential monotonicity, under which the random serial dictatorship rule (extended to the setting with bundles) is equivalent to the probabilistic serial rule (extended to the setting with bundles). This equivalence implies the existence of a rule on …
Welfare Consequences Of Access To Health Insurance For Rural Households: Evidence From The New Cooperative Medical Scheme In China, Jessica Ya Sun
Welfare Consequences Of Access To Health Insurance For Rural Households: Evidence From The New Cooperative Medical Scheme In China, Jessica Ya Sun
Research Collection School Of Economics
This study evaluates the welfare benefits of the New Cooperative Medical Scheme (NCMS), the main public health insurance plan for the rural population in China. The findings show that the value of the NCMS to recipients is slightly lower than the government's costs of implementation, ranging from 0.79 to 0.97 per RMB of the resource cost of the NCMS. The estimated moral hazard costs are low compared with the total benefits. It is also estimated that the benefits originating from the NCMS's insurance function only constitute 20% of the total benefits, suggesting a need for higher generosity levels among rural …
Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity, Liyao Li, Zhenlin Yang
Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity, Liyao Li, Zhenlin Yang
Research Collection School Of Economics
We consider the estimation and inference of fixed effects (FE) spatial dynamic panel data (SDPD) models under small T and unknown heteroskedasticity by extending the M-estimation strategy for homoskedastic FE-SDPD model of Yang (2018, Journal of Econometrics). Unbiased estimating equations are obtained by adjusting the conditional quasi-score functions given the initial observations, leading to M-estimators that are free from the initial conditions and robust against unknown cross-sectional heteroskedasticity. Consistency and asymptotic normality of the proposed M-estimator are established. The standard errors are obtained by representing the estimating equations as sums of martingale differences. Monte Carlo results show that the proposed …
Sustainable Cooperation In International Trade: A Quantitative Analysis, Yuan Mei
Sustainable Cooperation In International Trade: A Quantitative Analysis, Yuan Mei
Research Collection School Of Economics
How does the presence of multilateral institutions affect the sustainability of trade-policy cooperation? Do free-trade agreements make multilateral cooperation less sustainable? Will countries be more likely to deviate from negotiated tariffs when more trade liberalization realizes in the future? These questions have been studied in theory literature using models that feature repeated games, but have yet to be quantitatively analyzed. In this paper, I propose a methodology to quantitatively characterize the equilibrium strategies on tariffs of various nations in a widely used repeated-game framework. I then apply this methodology to address these questions from a quantitative perspective. The numerical results …
Fertility And Rural Electrification In Bangladesh, Tomoki Fujii, Abu S. Shonchoy
Fertility And Rural Electrification In Bangladesh, Tomoki Fujii, Abu S. Shonchoy
Research Collection School Of Economics
We use contemporaneous and retrospective panel datasets to examine the household-level relationship between fertility and access to electricity in Bangladesh. We find that access to electricity reduces fertility by about 0.2 children over a period of five years or total fertility rate by about 1.2 in most estimates. This finding is robust with respect to the choice of the estimation method, the choice of sample, and potential presence of endogeneity. The finding also corroborates the theoretical predictions on time use and consumption pattern derived from our model of electrification and fertility. The results also suggest that television is an important …
Why Do Businesses Grow Faster In Urban Areas Than In Rural Areas?, Lee, Jungho, Jianhuan Xu
Why Do Businesses Grow Faster In Urban Areas Than In Rural Areas?, Lee, Jungho, Jianhuan Xu
Research Collection School Of Economics
We document that growth of business earnings is mostly observed among young firmsin metro areas. Three explanations are considered: metro areas attract more-productiveentrepreneurs, and reaching the optimal size takes time due to borrowing constraints;metro areas provide better learning opportunities; and high operating costs in metroareas allow only the productive firms to survive. We use a firm-dynamics model with alocation choice to quantify the extent to which the three theories explain the data. Wefind the first two theories largely explain the high growth among metro, young firms. Ourmodel also suggests the distortion in entrepreneurs’ location choice can induce substantialwelfare loss.
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Local Powers Of Least-Squares-Based Test For Panel Fractional Ornstein-Uhlenbeck Process, Katsuto Tanaka, Weilin Xiao, Jun Yu
Research Collection School Of Economics
Based on the least squares estimator, this paper proposes a novel method to test the sign of the persistence parameter in a panel fractional Ornstein-Uhlenbeck process with a known Hurst parameter H. Depending on H ∈ (1/2, 1), H = 1/2, or H ∈ (0, 1/2), three test statistics are considered. In the null hypothesis the persistence parameter is zero. Based on a panel of continuous record of observations, the null asymptotic distributions are obtained when T is fixed and N is assumed to go to infinity, where T is the time span of the sample and N is the …
Infrastructure Investment And Travel Time, Yumi Koh, Gea M. Lee
Infrastructure Investment And Travel Time, Yumi Koh, Gea M. Lee
Research Collection School Of Economics
We examine additional travel time that arises as reconstruction of non-functioning bridges gets delayed. Our simulations show that the extent to which a budget increase reduces such additional travel time is rather modest. We show that a substantial portion of the unsolved travel time results from budgetary allocations.
Corrigendum To "On Time-Varying Factor Models: Estimation And Testing" [J. Econometrics 198 (2017) 84-101], Liangjun Su, Xia Wang
Corrigendum To "On Time-Varying Factor Models: Estimation And Testing" [J. Econometrics 198 (2017) 84-101], Liangjun Su, Xia Wang
Research Collection School Of Economics
We note that Su and Wang (2017, On Time-varying Factor Models: Estimation and Testing, Journal of Econometrics 198, 84-101) ignore the bias terms when estimating the time-varying factor models. In this note, we correct the theoretical results on the estimation of time-varying factor models. The asymptotic results for testing the correct specification of time invariant factor loadings are not affected.