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Full-Text Articles in Economics

Robust Jump Regressions, Jia Li, Viktor Todorov, George Tauchen May 2017

Robust Jump Regressions, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jump regressions are determined by a small number of jumps occurring over a fixed time interval and the rest of the components of the processes around the jump times. The latter are the continuous martingale parts of the processes as well as observation noise. By sampling more frequently the role of these components, which are hidden in the observed price, shrinks asymptotically. The robustness of our inference procedure is with respect to outliers, which are of particular …

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Love, Money, And Parental Goods: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Xu, Lixin Colin Xu May 2017

Love, Money, And Parental Goods: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Xu, Lixin Colin Xu

Research Collection School Of Economics

While parental matchmaking has been widespread throughout history and across countries, we know little about the relationship between parental matchmaking and marriage outcomes. Does parental involvement in matchmaking help ensure their needs are better taken care of by married children? This paper finds supportive evidence using a survey of Chinese couples. In particular, parental involvement in matchmaking is associated with having a more submissive wife, a greater number of children, a higher likelihood of having any male children, and a stronger belief of the husband in providing old age support to his parents. These benefits, however, are achieved at the …

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Singapore’S Life Program: Actuarial Framework, Longevity Risk And Impact Of Annuity Fund Return, Koon Shing Kwong, Yiu Kuen Tse, Wai-Sum Chan May 2017

Singapore’S Life Program: Actuarial Framework, Longevity Risk And Impact Of Annuity Fund Return, Koon Shing Kwong, Yiu Kuen Tse, Wai-Sum Chan

Research Collection School Of Economics

The Central Provident Fund (CPF) is a defined-contribution savings plan forming the key pillar of the pension system in Singapore. The CPF Lifelong Income For the Elderly (LIFE) program, which provides lifetime income for retirees, is a mandatory pension scheme for all Singapore residents. In this paper we construct an actuarial framework to analyze the LIFE program. We use this framework to study the plan payout outcomes with respect to changes in mortality and annuity fund return assumptions. We also examine the effects of some possible changes in the program on the payouts and bequests.

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Granger Causality And Structural Causality In Cross-Section And Panel Data, Xun Lu, Liangjun Su, Halbert White Apr 2017

Granger Causality And Structural Causality In Cross-Section And Panel Data, Xun Lu, Liangjun Su, Halbert White

Research Collection School Of Economics

Granger noncausality in distribution is fundamentally a probabilistic conditional independence notion that can be applied not only to time series data but also to cross-section and panel data. In this paper, we provide a natural definition of structural causality in cross-section and panel data and forge a direct link between Granger (G-) causality and structural causality under a key conditional exogeneity assumption. To put it simply, when structural effects are well defined and identifiable, G-non-causality follows from structural noncausality, and with suitable conditions (e.g., separability or monotonicity), structural causality also implies G-causality. This justifies using tests of G-non-causality to test …

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Firm Boundaries And Financing With Opportunistic Stakeholder Behaviour, Madhav S. Aney, Elie Appelbaum, Sanjay Banerji Apr 2017

Firm Boundaries And Financing With Opportunistic Stakeholder Behaviour, Madhav S. Aney, Elie Appelbaum, Sanjay Banerji

Research Collection School Of Economics

We explore the impact of strategic behaviour between three major stakeholders, namelyequity holders, debt holders, and a supplier of a critical input, on the choice of a firm’s capitalstructure and its organisational design, determining in-house production versus outsourcing theprocurement of the critical input. We show that an opportunistic coalition of the supplierand debt holders can trigger strategic bankruptcy even when the firm is solvent. Equity holdersrespond to this by either eliminating the supplier by producing the input in-house, or by reducingthe exposure to debt by funding the firm’s capital requirement through equity. Both responsescreate inefficiency since production of the input …

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Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu Apr 2017

Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst parameter greater than or equal to one half. It is shown that the asymptotic theory for the persistent parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered. When the persistent parameter is positive, …

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Local And Global Sd-Strategy-Proofness Of Ordinal Mechanisms On Block-Connected Domains, Peng Liu Mar 2017

Local And Global Sd-Strategy-Proofness Of Ordinal Mechanisms On Block-Connected Domains, Peng Liu

Research Collection School Of Economics

The adjacency by Monjardet (2009) is weakened to a flip between two adjacently ranked blocks and called block-adjacency. The connectedness defined accordingly, blockconnectedness, covers some interesting unconnected domains. An ordinal mechanism on a block-connected domain is block-adjacent sd-strategy-proof if reporting the true preference always leads to a lottery that stochastically dominates the lottery delivered by reporting any preference block-adjacent to the sincere one.A condition on a block-connected domain called path-nestedness is proposed and shown sufficient for the equivalence between sd-strategy-proofness and block-adjacent sd-strategy-proofness. The sequentially dichotomous domain by Liu (2017) is an application. In addition, we systematically search for the …

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How To Describe Objects?, Liu Peng Mar 2017

How To Describe Objects?, Liu Peng

Research Collection School Of Economics

This paper addresses the problem of randomly allocating n indivisible objects to n agents where each object can be evaluated according to a set of characteristics. The planner chooses a subset of characteristics and a ranking of them. Then she describes each object as a list of values according to the ranking of those chosen characteristics. Being informed of such a description, each agent figures out her preference that is lexicographically separable according to the characteristics chosen and ranked by the planner. Hence a description of the objects induces a collection of admissible preferences. We call a description good if …

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Determinants Of Urban Land Supply In China: How Do Political Factors Matter?, Wen-Tai Hsu, Xiaolu Li, Yang Tang, Jing Wu Mar 2017

Determinants Of Urban Land Supply In China: How Do Political Factors Matter?, Wen-Tai Hsu, Xiaolu Li, Yang Tang, Jing Wu

Research Collection School Of Economics

This paper explores two political factors for their potential effects on urban land supply in China: corruption, and competition for promotion. We find that standard urban economic predictions hold in the sense that both population and income increases are strongly significant determinants for the increase in urban land supply. Conditional on these demand-side factors, we find that the usage of two-stage auctions (as a proxy for corruption) is highly correlated with the increase in land supply. The corruption effects are strongest for commercial land, followed by residential land and then industrial land. To shed light on the competition motives among …

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Lag Length Selection In Panel Autoregression, Chirok Han, Peter C. B. Phillips, Donggyu Sul Mar 2017

Lag Length Selection In Panel Autoregression, Chirok Han, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

Model selection by BIC is well known to be inconsistent in the presence of incidental parameters. This article shows that, somewhat surprisingly, even without fixed effects in dynamic panels BIC is inconsistent and overestimates the true lag length with considerable probability. The reason for the inconsistency is explained, and the probability of overestimation is found to be 50% asymptotically. Three alternative consistent lag selection methods are considered. Two of these modify BIC, and the third involves sequential testing. Simulations evaluate the performance of these alternative lag selection methods in finite samples.

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Joint Spatial Time Series Epidemiological Analysis Of Malaria And Cutaneous Leishmaniasis Infection, O. A. Adegboye, M. Al-Saghir, Denis H. Y. Leung Mar 2017

Joint Spatial Time Series Epidemiological Analysis Of Malaria And Cutaneous Leishmaniasis Infection, O. A. Adegboye, M. Al-Saghir, Denis H. Y. Leung

Research Collection School Of Economics

Malaria and leishmaniasis are among the two most important health problems of many developing countries especially in the Middle East and North Africa. It is common for vector-borne infectious diseases to have similar hotspots which may be attributed to the overlapping ecological distribution of the vector. Hotspot analyses were conducted to simultaneously detect the location of local hotspots and test their statistical significance. Spatial scan statistics were used to detect and test hotspots of malaria and cutaneous leishmaniasis (CL) in Afghanistan in 2009. A multivariate negative binomial model was used to simultaneously assess the effects of environmental variables on malaria …

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Econometric Reviews Honors Esfandiar Maasoumi, Peter C. B. Phillips, Aman Ullah Mar 2017

Econometric Reviews Honors Esfandiar Maasoumi, Peter C. B. Phillips, Aman Ullah

Research Collection School Of Economics

This Special Issue of Econometric Reviews (ER) is a tribute to Esfandiar Maasoumi for his longstanding contributions to the econometrics profession as an outstanding researcher, a revered teacher and supervisor, and a journal editor of three decades, all of which manifests his extraordinary devotion to the discipline of econometrics and to its growing community of students and scholars. Essie, as he is universally known to his friends, colleagues, and the international community, took on the editorship of ER in 1987. At that point, as (very) senior members of the profession will remember, the journal had a paperback cover, no formal …

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Reduced Forms And Weak Instrumentation, Peter C. B. Phillips Mar 2017

Reduced Forms And Weak Instrumentation, Peter C. B. Phillips

Research Collection School Of Economics

This paper develops exact finite sample and asymptotic distributions for a class of reduced form estimators and predictors, allowing for the presence of unidentified or weakly identified structural equations. Weak instrument asymptotic theory is developed directly from finite sample results, unifying earlier findings and showing the usefulness of structural information in making predictions from reduced form systems in applications. Asymptotic results are reported for predictions from models with many weak instruments. Of particular interest is the finding that, in unidentified and weakly identified structural models, partially restricted reduced form predictors have considerably smaller forecast mean square errors than unrestricted reduced …

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The Selection And Causal Effects Of Work Incentives On Labor Productivity: Evidence From A Two Stage Randomized Controlled Trial In Malawi, Hyuncheol Bryant Kim, Seonghoon Kim, Thomas T. Kim Mar 2017

The Selection And Causal Effects Of Work Incentives On Labor Productivity: Evidence From A Two Stage Randomized Controlled Trial In Malawi, Hyuncheol Bryant Kim, Seonghoon Kim, Thomas T. Kim

Research Collection School Of Economics

Incentives are essential to promote labor productivity. We implemented a two-stage field experiment to measure effects of career and wage incentives on productivity through self-selection and causal effect channels. First, workers were hired with either career or wage incentives. After employment, a random half of workers with career incentives received wage incentives and a random half of workers with wage incentives received career incentives. We find that career incentives attract higher-performing workers than wage incentives but do not increase productivity for existing workers. Instead, wage incentives increase productivity for existing workers. Observable characteristics are limited in explaining the selection effect.

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Random Assignments On Preference Domains With A Tier Structure, Peng Liu, Huaxia Zeng Feb 2017

Random Assignments On Preference Domains With A Tier Structure, Peng Liu, Huaxia Zeng

Research Collection School Of Economics

We address a standard random assignment problem (Bogomolnaia and Moulin (2001)) and search forsd-strategy-proof, sd-efficient and sd-envy-free or equal-treatment-of-equals rules.Our main result is that on a connected domain (Sato (2013)),if there exists a rule satisfying these axioms, this domain is endowed with a restricted tier structure.Furthermore, we show that, on such a domain, the Probabilistic Serial rule is the unique rulethat satisfies these axioms.As an extension, we introduce outside options to the model, and establish the same characterizations.

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Deviance Information Criterion For Bayesian Model Selection: Justification And Variation, Yong Li, Jun Yu, Tao Zeng Feb 2017

Deviance Information Criterion For Bayesian Model Selection: Justification And Variation, Yong Li, Jun Yu, Tao Zeng

Research Collection School Of Economics

Deviance information criterion (DIC) has been extensively used for making Bayesian model selection. It is a Bayesian version of AIC and chooses a model that gives the smallest expected Kullback-Leibler divergence between the data generating process (DGP) and a predictive distribution asymptotically. We show that when the plug-in predictive distribution is used, DIC can have a rigorous decision-theoretic justification under regularity conditions. An alternative expression for DIC, based on the Bayesian predictive distribution, is proposed. The new DIC has a smaller penalty term than the original DIC and is very easy to compute from the MCMC output. It is invariant …

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Jobs For Justice(S): Corruption In The Supreme Court Of India, Madhav S. Aney, Shubhankar Dam, Giovanni Ko Feb 2017

Jobs For Justice(S): Corruption In The Supreme Court Of India, Madhav S. Aney, Shubhankar Dam, Giovanni Ko

Research Collection School Of Economics

We investigate whether judicial decisions are affected by career concerns of judges byanalysing two questions: Do judges respond to pandering incentives by ruling in favourof the government in the hope of receiving jobs after retiring from the Court? Does thegovernment actually reward judges who ruled in its favour with prestigious jobs? To answerthese questions we construct a dataset of all Supreme Court of India cases involving thegovernment from 1999 till 2014, with an indicator for whether the decision was in its favouror not. We find that pandering incentives have a causal effect on judicial decision-making.The exposure of a judge to …

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Vat Treatment Of Financial Institutions, Ismail Baydur, Fatih Yilmaz Feb 2017

Vat Treatment Of Financial Institutions, Ismail Baydur, Fatih Yilmaz

Research Collection School Of Economics

This paper studies the effects of exempt treatment of financial services under a VATsystem. We develop a general equilibrium model with elastic labor supply, endogenous entry, anda banking sector. The banking sector provides loan services to producers and payment servicesto consumers. Our model display three key distortions under exempt treatment: (i) self-supplybias in the banking sector, (ii) consumption distortions, (iii) input distortions and tax cascading.Then, we calibrate our model to match the salient features of the tax system EU countries. Atax neutral policy regime switch from exempt treatment to full-taxation in loan services improveswelfare about 4%. Shutting down the entry …

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Determinants Of Urban Land Supply In People's Republic Of China: How Do Political Factors Matter?, Wen-Tai Hsu, Xiaolu Li, Yang Tang, Jing Wu Jan 2017

Determinants Of Urban Land Supply In People's Republic Of China: How Do Political Factors Matter?, Wen-Tai Hsu, Xiaolu Li, Yang Tang, Jing Wu

Research Collection School Of Economics

This paper explores whether and how corruption and competition-for-promotion motives affect urban land supply in the People's Republic of China. Conditional on demand-side factors, we find that corruption is highly correlated with an increase in land supply. The corruption effects are strongest for commercial land, followed by residential land, and then industrial land. To shed light on the competition motives among prefectural leaders, we examine how the number of years in office affects land supply and distinguish among different hypotheses. Our empirical results show robust rising trends in land sales. These results are consistent with the hypothesis that among prefectural …

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Efficient Augmented Inverse Probability Weighted Estimation In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung Jan 2017

Efficient Augmented Inverse Probability Weighted Estimation In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung

Research Collection School Of Economics

When analyzing data with missing data, a commonly used method is the inverse probability weighting (IPW) method, which reweights estimating equations with propensity scores. The popularity of the IPW method is due to its simplicity. However, it is often being criticized for being inefficient because most of the information from the incomplete observations is not used. Alternatively, the regression method is known to be efficient but is nonrobust to the misspecification of the regression function. In this article, we propose a novel way of optimally combining the propensity score function and the regression model. The resulting estimating equation enjoys the …

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Changes In Depressive Symptoms Among Older Adults With Multiple Chronic Conditions: Role Of Positive And Negative Social Supports, Sangnam Ahn, Seonghoon Kim, Hongmei Zhang Jan 2017

Changes In Depressive Symptoms Among Older Adults With Multiple Chronic Conditions: Role Of Positive And Negative Social Supports, Sangnam Ahn, Seonghoon Kim, Hongmei Zhang

Research Collection School Of Economics

Depression severely affects older adults in the United States. As part of the social environment, significant social support was suggested to ameliorate depression among older adults. We investigate how varying forms of social support moderate depressive symptomatology among older adults with multiple chronic conditions (MCC). Data were analyzed using a sample of 11,400 adults, aged 65 years or older, from the 2006–2012 Health and Retirement Study. The current study investigated the moderating effects of positive or negative social support from spouse, children, other family, and friends on the association between MCC and depression. A linear mixed model with repeated measures …

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Determining Individual Or Time Effects In Panel Data Models, Xun Lu, Liangjun Su Jan 2017

Determining Individual Or Time Effects In Panel Data Models, Xun Lu, Liangjun Su

Research Collection School Of Economics

In this paper we propose a jackknife method to determine individual and time e⁄ects in linear panel data models. We rst show that when both the serial and cross-sectional correlation among the idiosyncratic error terms are weak, our jackknife method can pick up the correct model with probability approaching one (w.p.a.1). In the presence of moderate or strong degree of serial correlation, we modify our jackknife criterion function and show that the modied jackknife method can also select the correct model w.p.a.1. We conduct Monte Carlo simulations to show that our new methods perform remarkably well in nite samples. We …

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Comments On “Rich Debt, Poor Debt: Assessing Household Indebtedness And Debt Repayment Capacity”, Sock Yong Phang Jan 2017

Comments On “Rich Debt, Poor Debt: Assessing Household Indebtedness And Debt Repayment Capacity”, Sock Yong Phang

Research Collection School Of Economics

This paper assesses the system-wide impacts of Malaysia’s rising household debt.Malaysia’s household debt-to-GDP ratio (HDGR) increased from 76% in 2009 to 89%in 2016. This increase has raised concerns regarding the implications for householdfinancial resilience and banking system stability. The paper uses a micro-level datasetthat integrates income and debt to calculate financial margin (FM) and the probabilityof default (PD) for individuals at the baseline, and when subject to various shocks.This allows the estimation of loss to lenders in the event of default, and from there,the banking system’s debt-at-risk. The findings show that default is more likely forhouseholds with a debt service …

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Comments On “Rich Debt, Poor Debt: Assessing Household Indebtedness And Debt Repayment Capacity”, Sock Yong Phang Jan 2017

Comments On “Rich Debt, Poor Debt: Assessing Household Indebtedness And Debt Repayment Capacity”, Sock Yong Phang

Research Collection School Of Economics

This paper assesses the system-wide impacts of Malaysia’s rising household debt.Malaysia’s household debt-to-GDP ratio (HDGR) increased from 76% in 2009 to 89%in 2016. This increase has raised concerns regarding the implications for householdfinancial resilience and banking system stability. The paper uses a micro-level datasetthat integrates income and debt to calculate financial margin (FM) and the probabilityof default (PD) for individuals at the baseline, and when subject to various shocks.This allows the estimation of loss to lenders in the event of default, and from there,the banking system’s debt-at-risk. The findings show that default is more likely forhouseholds with a debt service …

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Mixed-Scale Jump Regressions With Bootstrap Inference, Jia Li, Viktor Todorov, George Tauchen Jan 2017

Mixed-Scale Jump Regressions With Bootstrap Inference, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

We develop an efficient mixed-scale estimator for jump regressions using high-frequency asset returns. A fine time scale is used to accurately identify the locations of large rare jumps in the explanatory variables such as the price of the market portfolio. A coarse scale is then used in the estimation in order to attenuate the effect of trading frictions in the dependent variable such as the prices of potentially less liquid assets. The proposed estimator has a non-standard asymptotic distribution that cannot be made asymptotically pivotal via studentization. We propose a novel bootstrap procedure for feasible inference and justify its asymptotic …

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Strategy-Proofness Of The Probabilistic Serial Rule On Sequentially Dichotomous Domains, Peng Liu Jan 2017

Strategy-Proofness Of The Probabilistic Serial Rule On Sequentially Dichotomous Domains, Peng Liu

Research Collection School Of Economics

A class of preference domains is proposed: sequentially dichotomous domains. On any sequentially dichotomous domain, the probabilistic serial rule (Bogomolnaia and Moulin (2001)) is sd-strategy-proof. In addition, any sequentially dichotomous domain is maximal for the probabilistic serial rule to be sd-strategy-proof.

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On Estimating Market Microstructure Noise Variance, Yingjie Dong, Yiu Kuen Tse Jan 2017

On Estimating Market Microstructure Noise Variance, Yingjie Dong, Yiu Kuen Tse

Research Collection School Of Economics

We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. Our results show that our proposed estimates have lower (absolute) mean error and root mean-squared error, and their performance is quite stable at different time scales.

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A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing, Offer Lieberman, Peter C. B. Phillips Jan 2017

A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing, Offer Lieberman, Peter C. B. Phillips

Research Collection School Of Economics

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (STUR) models to a multivariate case including asymptotic theory for estimation of the model's parameters. The extensions are useful for applications of STUR modeling and because they lead to a generalization of the Black-Scholes formula for derivative pricing. In place of the standard assumption that the price process follows a geometric Brownian motion, we derive a new form of the Black-Scholes equation that allows for a multivariate time varying coefficient element in the price equation. The corresponding formula for the value of a European-type call option …

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Estimating Smooth Structural Change In Cointegration Models, Peter C. B. Phillips, Degui Li, Jiti Gao Jan 2017

Estimating Smooth Structural Change In Cointegration Models, Peter C. B. Phillips, Degui Li, Jiti Gao

Research Collection School Of Economics

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time, and considers time-varying coefficient functions estimated by nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down in this setting when the functional coefficients are multivariate. The reason for this breakdown is a kernel induced degeneracy in the weighted signal matrix associated with the nonstationary regressors, a new phenomenon in the kernel regression literature. Some new techniques are developed to address the degeneracy and resolve the asymptotics, using a path-dependent local coordinate transformation to reorient coordinates and …

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Reducing Extreme Poverty Through Skill Training For Industry Job Placement, Abu S. Shonchoy, Selim Raihan, Tomoki Fujii Jan 2017

Reducing Extreme Poverty Through Skill Training For Industry Job Placement, Abu S. Shonchoy, Selim Raihan, Tomoki Fujii

Research Collection School Of Economics

Vocational training programs aimed at rapidly growing sectors have the potential to reduce skills gaps, improve income and employment potentials. Such programs often been unsuccessful, because they are not driven by industry-demand and market-linkages, and they are not well targeted. Our rigorous RCT-based impact study shows that a targeted training-program offered to poor rural households in northwest Bangladesh has significant effects on employment in garment factories. Data from a follow-up — six and twelve months’ after the intervention — shows a statistically significant and large employment effect of the training program when it is combined with the stipend or internship.This …

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