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Articles 781 - 810 of 1733
Full-Text Articles in Economics
Greece Caught In Death Spiral, Augustine H. H. Tan
Greece Caught In Death Spiral, Augustine H. H. Tan
Research Collection School Of Economics
The country is trapped between twin evils akin to the sea monsters Scylla and Charybdis that threatened Odysseus' voyage.
Role For Singapore In Mobile Phone Remittances, Tan Swee Liang, Singanallore Narayanan Venkataramanan, Anil Kishora
Role For Singapore In Mobile Phone Remittances, Tan Swee Liang, Singanallore Narayanan Venkataramanan, Anil Kishora
Research Collection School Of Economics
As sending money home this way takes off, the country can provide a Pan-Asian platform
Predictability Of Exchange Rates With Taylor Rule Fundamentals: Evidence From Inflation-Targeting Emerging Countries, Joseph D. Alba, Donghyun Park, Taojun Xie
Predictability Of Exchange Rates With Taylor Rule Fundamentals: Evidence From Inflation-Targeting Emerging Countries, Joseph D. Alba, Donghyun Park, Taojun Xie
Research Collection School Of Economics
We investigate the out-of-sample predictability of U.S. dollar exchange rates with Taylor rule fundamentals in thirteen emerging countries with inflation-targeting monetary policy regimes. We find some evidence of out-of-sample exchange rate predictability for Brazil, Czech Republic, Hungary, Philippines, Thailand, and South Africa. Plots of the coefficients of U.S. inflation and Philippine inflation predict the direction of the U.S. dollar-Philippine peso exchange rates to be opposite to that predicted by the Taylor principle.
Grandchild Care, Intergenerational Transfers, And Grandparents’ Labor Supply, Christine Ho
Grandchild Care, Intergenerational Transfers, And Grandparents’ Labor Supply, Christine Ho
Research Collection School Of Economics
One-fifth of children aged below five with employed mothers benefit from grandparent provided child care as their main source of daycare in the US. Using data from the health and retirement study, we investigate how grandchild care needs relate to intergenerational transfers of time and money and grandparents’ labor supply behavior. We find that grandparents with a new born grandchild are more likely to provide grandchild care while married grandparents are also more likely to be employed and provide financial help. Grandparents with grandchildren living close by provided higher time transfers while married grandmothers with resident grandchildren also worked longer …
Export-Learning And Fdi With Heterogeneous Firms, Amanda Jakobsson
Export-Learning And Fdi With Heterogeneous Firms, Amanda Jakobsson
Research Collection School Of Economics
I present a dynamic general equilibrium model with heterogeneous firms that can innovate, learn how to export and then go on to become multinational firms. Entering the foreign market is a dynamic process where firms first learn how to export and then can learn how to adapt production to a low-wage location (multinational production). I solve the model numerically and, starting from a 1990 benchmark of US and Mexico, study how policy changes such as stronger patent protection and trade liberalization affect innovation, technology transfer and consumer welfare. In particular, I disentangle how labor resources are reallocated within regions in …
Memorial To Edmond Malinvaud, Peter C. B. Phillips
Memorial To Edmond Malinvaud, Peter C. B. Phillips
Research Collection School Of Economics
A great man, a wide-ranging thinker and writer, a pre-eminent researcher, andan inspiring educator passed away on 7 March 2015, leaving the world of economicsso much the poorer and narrower. Edmond Malinvaud was a giant amongmany giants in the subject and one who strode uniquely and comfortably acrossthe entire discipline like an academic colossus
Halbert White Jr. Memorial Jfec Lecture: Pitfalls And Possibilities In Predictive Regression, Peter C. B. Phillips
Halbert White Jr. Memorial Jfec Lecture: Pitfalls And Possibilities In Predictive Regression, Peter C. B. Phillips
Research Collection School Of Economics
Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent contributions to this subject, focusing on the main pitfalls in conducting predictive regression and on some of the possibilities offered by modern econometric methods. The latter options include indirect inference and techniques of endogenous instrumentation that use convenient temporal transforms of persistent regressors. Some additional suggestions are made for bias elimination, quantile crossing amelioration, and control of predictive model misspecification.
Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips
Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips
Research Collection School Of Economics
Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that …
Specification Test For Panel Data Models With Interactive Fixed Effects, Liangjun Su, Sainan Jin, Yonghui Zhang
Specification Test For Panel Data Models With Interactive Fixed Effects, Liangjun Su, Sainan Jin, Yonghui Zhang
Research Collection School Of Economics
In this paper, we propose a consistent nonparametric test for linearity in panel data models with interactive fixed effects. To construct the test statistic, we need to estimate the model under the null hypothesis of linearity and then obtain the restricted residuals. We show that after being appropriately centered and standardized, the test statistic is asymptotically normally distributed both under the null hypothesis and a sequence of Pitman local alternatives. To improve the finite sample performance, we propose a bootstrap procedure to obtain the bootstrap p-values. A small set of Monte Carlo simulations illustrates that our test performs well in …
E-Learning In Higher Education For Adult Learners In Singapore, Guan Chong, Ding Ding, Kong Weng Ho
E-Learning In Higher Education For Adult Learners In Singapore, Guan Chong, Ding Ding, Kong Weng Ho
Research Collection School Of Economics
Countries across the world have witnessed tremendous expansion of adult education and dramatic growth of adult learners. Moreover, with the growing importance of life-long learning, online learning has become a popular tool which is well received by adult learners. In order to enhance adult learners’ learning experience, we have conducted an exploratory research on online learning for adult learners to understand the challenges faced by them in their pursuit of higher education. The results suggest that technical trainings or preparations are needed prior to e-learning and infrastructure needs to be improved. The findings also emphasize on the importance of using …
Modified Qml Estimation Of Spatial Autoregressive Models With Unknown Heteroskedasticity And Nonnormality, Shew Fan Liu, Zhenlin Yang
Modified Qml Estimation Of Spatial Autoregressive Models With Unknown Heteroskedasticity And Nonnormality, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
In the presence of heteroskedasticity, Lin and Lee (2010) show that the quasi-maximum likelihood (QML) estimator of the spatial autoregressive (SAR) model can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In this paper, we first show that this condition may hold in certain situations and when it does the regular QML estimator can still be consistent. In cases where this condition is violated, we propose a simple modified QML estimation method robust against unknown heteroskedasticity. In both cases, asymptotic distributions of the estimators are derived, and methods …
Expropriation Risk And Competition With The Military, Madhav S. Aney, Giovanni Ko
Expropriation Risk And Competition With The Military, Madhav S. Aney, Giovanni Ko
Research Collection School Of Economics
How can agents in the military, who control the means of coercion, commit not to expropriate from producers? In this paper we propose competition within the military as one of the mechanisms that can deter predation and consequently create commitment. In our model, even if agents within the military could expropriate all output costlessly, it is attractive to protect producers from predating military units. This is because there is a marginal defensive advantage and consequently defense is an effective way to potentially eliminate other military units, reducing competition and leading to higher future payoffs. Our model predicts that greater internal …
Asymptotic Distribution And Finite-Sample Bias Correction Of Qml Estimators For Spatial Dependence Model, Shew Fan Liu, Zhenlin Yang
Asymptotic Distribution And Finite-Sample Bias Correction Of Qml Estimators For Spatial Dependence Model, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model. In particular, the effect of spatial dependence on the convergence rate of the QML estimators has not been formally studied, and methods for correcting finite sample bias of the QML estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the applications of this model, as …
Limit Theory For Vars With Mixed Roots Near Unity, Peter C. B. Phillips, Ji Hyung Lee
Limit Theory For Vars With Mixed Roots Near Unity, Peter C. B. Phillips, Ji Hyung Lee
Research Collection School Of Economics
Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are useful in empirical testing for multiple manifestations of nonstationarity - in particular for distinguishing mildly explosive roots from roots that are local to unity and for testing commonality in persistence.
Testing Additive Separability Of Error Term In Nonparametric Structural Models, Liangjun Su, Yundong Tu, Aman Ullah
Testing Additive Separability Of Error Term In Nonparametric Structural Models, Liangjun Su, Yundong Tu, Aman Ullah
Research Collection School Of Economics
This paper considers testing additive error structure in nonparametric structural models, against the alternative hypothesis that the random error term enters the nonparametric model non-additively. We propose a test statistic under a set of identification conditions considered by Hoderlein, Su and White (2012), which require the existence of a control variable such that the regressor is independent of the error term given the control variable. The test statistic is motivated from the observation that, under the additive error structure, the partial derivative of the nonparametric structural function with respect to the error term is one under identification. The asymptotic distribution …
A General Method For Third-Order Bias And Variance Corrections On A Nonlinear Estimator, Zhenlin Yang
A General Method For Third-Order Bias And Variance Corrections On A Nonlinear Estimator, Zhenlin Yang
Research Collection School Of Economics
Motivated by a recent study of Bao and Ullah (2007a) on finite sample properties of MLE in the pure SAR (spatial autoregressive) model, a general method for third-order bias and variance corrections on a nonlinear estimator is proposed based on stochastic expansion and bootstrap. Working with concentrated estimating equation simplifies greatly the high-order expansions for bias and variance; a simple bootstrap procedure overcomes a major difficulty in analytically evaluating expectations of various quantities in the expansions. The method is then studied in detail using a more general SAR model, with its effectiveness in correcting bias and improving inference fully demonstrated …
On Time-Varying Factor Models: Estimation And Testing, Liangjun Su, Xia Wang
On Time-Varying Factor Models: Estimation And Testing, Liangjun Su, Xia Wang
Research Collection School Of Economics
Conventional factor models assume that factor loadings are fixed over a long horizon of time, which appears overly restrictive and unrealistic in applications. In this paper, we introduce a time-varying factor model where factor loadings are allowed to change smoothly over time. We propose a local version of the principal component method to estimate the latent factors and time-varying factor loadings simultaneously. We establish the limiting distributions of the estimated factors and factor loadings in the standard large N and large T framework. We also propose a BIC-type information criterion to determine the number of factors, which can be used …
A Bayesian Specification Test, Yong Li, Tao Zeng, Jun Yu
A Bayesian Specification Test, Yong Li, Tao Zeng, Jun Yu
Research Collection School Of Economics
A Bayesian test statistic is proposed to assess the model specification after the model is estimated by Bayesian MCMC methods. The proposed approach does not require an alternative model to be specified and is applicable to a variety of models, including latent variable models, structural dynamic choice models, and dynamics stochastic general equilibrium (DSGE) models, for which frequentist methods are difficult to use. The properties of the test statistic are established and its implementation is discussed. The test is easy to use and the test statistic can be calculated from MCMC outputs even when there are latent variables. The method …
Employment Duration And Match Quality Over The Business Cycle, Ismail Baydur, Toshihiko Mukoyama
Employment Duration And Match Quality Over The Business Cycle, Ismail Baydur, Toshihiko Mukoyama
Research Collection School Of Economics
This paper studies the cyclical behavior of employment duration using data from the National Longitudinal Survey of Youth 1979 cohort. We estimate a proportional hazard model with competing risks, distinguishing different types of separations. A higher unemployment rate at the start of an employment relationship increases the probability that the worker quits to take or look for another job, but it decreases the probability that the firm fires the worker. The net effect of these opposing forces on the overall duration of the employment is negative, but small, implying that match quality is weakly pro-cyclical. We also build a simple …
Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin
Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin
Research Collection School Of Economics
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon andWeidner (2014a), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors to …
Welfare-To-Work Reform And Intergenerational Support: Grandmothers' Response To The 1996 Prwora, Ho, Christine
Welfare-To-Work Reform And Intergenerational Support: Grandmothers' Response To The 1996 Prwora, Ho, Christine
Research Collection School Of Economics
The 1996 Personal Responsibility and Work Opportunity Reconciliation Act (PRWORA; Pub. L. 104-193) in the United States aimed at encouraging work among low-income mothers with children below age 18. In this study, the author used a sample of 2,843 intergenerational family observations from the Health and Retirement Study to estimate the effects of the reform on single grandmothers who are related to those mothers. The results suggest that the reform decreased time transfers but increased money transfers from grandmothers. The results are consistent with an intergenerational family support network where higher child care subsidies motivated the family to shift away …
Home Prices And Inequality: Singapore Versus Other Global Superstar Cities, Sock Yong Phang
Home Prices And Inequality: Singapore Versus Other Global Superstar Cities, Sock Yong Phang
Research Collection School Of Economics
The Global City concept originates from the work of sociologist Saskia Sassen, which dates back to the 1980s. In an age of globalisation, division of labour is international in scope and production activities are distributed across the world. A global city is a significant point where the internationally oriented financial and producer services that make the global economy run choose to agglomerate.
A Combined Approach To The Inference Of Conditional Factor Models, Yan Li, Liangjun Su, Yuewa Xu
A Combined Approach To The Inference Of Conditional Factor Models, Yan Li, Liangjun Su, Yuewa Xu
Research Collection School Of Economics
This article develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature-the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new test statistics for investigating key hypotheses in the context of conditional factor models. Our tests can be performed on a single asset or jointly across multiple assets. We further propose a novel test to directly check whether the parametric model used in our first stage is …
Optimal Jackknife For Unit Root Models, Ye Chen, Jun Yu
Optimal Jackknife For Unit Root Models, Ye Chen, Jun Yu
Research Collection School Of Economics
A new jackknife method is introduced to remove the first order bias in unit root models. It is optimal in the sense that it minimizes the variance among all the jackknife estimators of the form considered in Phillips and Yu (2005) and Chambers and Kyriacou (2013) after the number of subsamples is selected. Simulations show that the new jackknife reduces the variance of that of Chambers and Kyriacou by about 10% for any selected number of subsamples without compromising bias reduction. The results continue to hold true in near unit root models. (C) 2014 Elsevier B.V. All rights reserved.
Inefficiency In The Shadow Of Unobservable Reservation Payoffs, Madhav S. Aney
Inefficiency In The Shadow Of Unobservable Reservation Payoffs, Madhav S. Aney
Research Collection School Of Economics
This paper considers the problem of allocating an object between two players in an environment with one sided asymmetric information when their reservation payoffs depend on the type of the informed player, causing the reservation payoff of the uninformed player to be unobservable to her. Inefficiency arises naturally in this setting and can be characterized by a simple condition on the reservation payoffs that is necessary and sufficient. I derive the necessary and sufficient condition for the existence of an implementable allocation that at least weakly dominates the reservation payoffs. Under a mild assumption on the distribution of types, I …
China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow
China's Yuan: Asia's Future Anchor Currency?, Hwee Kwan Chow
Research Collection School Of Economics
The yuan is becoming more widely used in pricing and settling intra-regional trade and investment. Asian currencies' movements are likely to shift more in tandem with the yuan, leading to it becoming one of Asia's lead currencies. Singapore is now the world's second-most- important offshore yuan trading hub after Hong Kong.
Lag Length Selection For Unit Root Tests In The Presence Of Nonstationary Volatility, Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor
Lag Length Selection For Unit Root Tests In The Presence Of Nonstationary Volatility, Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor
Research Collection School Of Economics
A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size, rather than data-determined, the latter being standard empirical practice. We investigate the finite sample impact of unconditional heteroskedasticity on conventional data-dependent lag selection methods in augmented Dickey–Fuller type regressions and propose new lag selection criteria which allow for unconditional heteroskedasticity. Standard lag selection methods are shown to have a tendency …
Nonparametric Predictive Regression, Ioannis Kasparis, Elena Andreou, Peter C. B. Phillips
Nonparametric Predictive Regression, Ioannis Kasparis, Elena Andreou, Peter C. B. Phillips
Research Collection School Of Economics
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance parameter free and holds for a wide range of predictors including stationary as well as non-stationary fractional and near unit root processes. Asymptotic theory and simulations show that the proposed tests are more powerful than existing parametric predictability tests when deviations from unity are large or the predictive regression is nonlinear. Empirical illustrations to monthly SP500 stock returns data are provided. …
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu
Research Collection School Of Economics
The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. We also find that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting, and option pricing.
Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang
Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang
Research Collection School Of Economics
We consider the problem of supplementing survey data with additional information from a population. The framework we use is very general; examples are missing data problems, measurement error models and combining data from multiple surveys. We do not require the survey data to be a simple random sample of the population of interest. The key assumption we make is that there exists a set of common variables between the survey and the supplementary data. Thus, the supplementary data serve the dual role of providing adjustments to the survey data for model consistencies and also enriching the survey data for improved …