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Articles 811 - 840 of 1733
Full-Text Articles in Economics
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Research Collection School Of Economics
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values of the LM statistics. Conditions for their validity are clearly laid out and formal justifications are given in general, and in detail under several popular spatial LM …
Asymptotic Theory For Linear Diffusions Under Alternative Sampling Scheme, Qiankun Zhou, Jun Yu
Asymptotic Theory For Linear Diffusions Under Alternative Sampling Scheme, Qiankun Zhou, Jun Yu
Research Collection School Of Economics
The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the finite sample distribution than the other two distributions. An empirical application highlights the difference in unit root testing based on the alternative asymptotic distributions.
Limit Theory For Continuous Time Systems With Mildly Explosive Regressors, Peter C. B. Phillips, Chen Ye, Jun Yu
Limit Theory For Continuous Time Systems With Mildly Explosive Regressors, Peter C. B. Phillips, Chen Ye, Jun Yu
Research Collection School Of Economics
No abstract provided.
Bias Correction For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu
Bias Correction For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu
Research Collection School Of Economics
This paper examines the finite sample properties of the quasi maximum likelihood (QML) estimators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general bias correction methods recently developed by Yang (2015), we derive up to third-order bias corrections for the QML estimators of the FE-SPD model, and propose a simple bootstrap method for their practical implementation. Monte Carlo results reveal that the QML estimators of the spatial parameters can be quite biased and that a second-order bias correction effectively removes the bias. The validity of the bootstrap method is established. Variance corrections …
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 a panel dataset from Bangladesh to examine the relationship between fertility and the adoption of electricity with the latter instrumented by infrastructure development and the quality of service delivery. We find that the adoption of electricity reduces fertility, and this impact is more pronounced when the household already has two or more children. This observation can be explained by a simple household model of time use, in which adoption of electricity affects only the optimal number of children but not necessarily current fertility behavior if the optimal number has not yet been reached.
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 …
Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang
Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang
Research Collection School Of Economics
We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML estimators. Monte Carlo simulation shows that both the QML estimators and the bootstrap standard errors perform well in finite samples under a correct assumption on initial observations, but may …
The Changing And Unchanged Nature Of Inequality And Seniority In Japan, Ken Yamada, Daiji Kawaguchi
The Changing And Unchanged Nature Of Inequality And Seniority In Japan, Ken Yamada, Daiji Kawaguchi
Research Collection School Of Economics
Wage inequality declined in the 1990s, while it increased in the 2000s for full-time male workers in Japan. We find that a decreased return to firm-specific human capital, which has been neglected in previous empirical analyses of inequality, is a key factor preventing a rise in wage inequality during the prolonged period of economic stagnation, known as Japan’s lost decades. We also find that, while changes in returns to general and specific human capital contributed to narrowing wage inequality in the 1990s and widening wage inequality in the 2000s, a significant fraction of the increase in wage inequality in the …
Social Transformation, Group Reputation, And Reputation Matching, Huan Wang, Yi Zhang
Social Transformation, Group Reputation, And Reputation Matching, Huan Wang, Yi Zhang
Research Collection School Of Economics
Unlike in small communities where one can strategically interact with another according to the latter’s individual reputation, players in complex societies often have to interact with strangers whose individual reputations cannot be easily acquired. They often have to infer their counterparts’ characteristics from the latters’ group reputation to simplify decision making. We provide a game theoretical model of reputation matching concerning corruption during social transformation. We show that the regime change from acquaintance matching to anonymous matching tends to cause rampant corruption and the effectiveness of anti-corruption policies is non-monotonic with respect to the supervision efforts.
Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su
Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su
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 and Weidner (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 …
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshina
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshina
Research Collection School Of Economics
In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis functions and estimate them by the IVQR technique. We establish the uniform consistency and asymptotic normality of the estimators of the functional coefficients. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis, a sequence of local alternatives and global alternatives, and propose a wild-bootstrap procedure …
Love, Money And Old Age Support: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Jin, Lixin Colin Xu
Love, Money And Old Age Support: Does Parental Matchmaking Matter?, Fali Huang, Ginger Zhe Jin, Lixin Colin Xu
Research Collection School Of Economics
Parental involvement in matchmaking may distort the choice of spouse because parents are willing to substitute love for market and household production, which are more sharable between parents and their children. This paper finds supportive evidence in a survey of Chinese couples. In both rural and urban areas, parent matchmaking is associated with less marital harmony between the couple, more submissive wives, and a stronger belief in old age support for the son. In contrast, its association with couple income differs by rural and urban regions, perhaps because of differences in earning opportunities and in the enforcement of the one-child …
The True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C. B. Phillips, Chirok Han
The True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C. B. Phillips, Chirok Han
Research Collection School Of Economics
This note derives the correct limit distributions of the Anderson-Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample sizes tend to infinity, and compares these results with those of the first difference least squares (FDLS) estimator. (C) 2014 Elsevier B.V. All rights reserved.
Nonparametric Testing For Anomaly Effects In Empirical Asset Pricing Models, Sainan Jin, Liangjun Su, Yonghui Zhang
Nonparametric Testing For Anomaly Effects In Empirical Asset Pricing Models, Sainan Jin, Liangjun Su, Yonghui Zhang
Research Collection School Of Economics
In this paper, we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to capture the anomaly effects of some asset-specific characteristics and the other is the flexible treatment of both observed/constructed and unobserved common factors. By estimating the unknown factors, betas, and nonparametric function simultaneously, our setup is robust to misspecification of functional form and common factors and avoids the well-known "error-in-variable" problem associated with the commonly used …
Limit Theory For An Explosive Autoregressive Process, Xiaohu Wang, Jun Yu
Limit Theory For An Explosive Autoregressive Process, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process.
Specification Testing For Transformation Models With An Application To Generalized Accelerated Failure-Time Models, Arthur Lewbel, Xun Lu, Liangjun Su
Specification Testing For Transformation Models With An Application To Generalized Accelerated Failure-Time Models, Arthur Lewbel, Xun Lu, Liangjun Su
Research Collection School Of Economics
This paper provides a nonparametric test of the specification of a transformation model. Specifically, we test whether an observable outcome Y is monotonic in the sum of a function of observable covariates X plus an unobservable error U. Transformation models of this form are commonly assumed in economics, including, e.g., standard specifications of duration models and hedonic pricing models. Our test statistic is asymptotically normal under local alternatives and consistent against nonparametric alternatives violating the implied restriction. Monte Carlo experiments show that our test performs well in finite samples. We apply our results to test for specifications of generalized accelerated …
A Class Of Symmetric And Quadratic Utility Functions Generating Giffen Demand, Massimiliano Landi
A Class Of Symmetric And Quadratic Utility Functions Generating Giffen Demand, Massimiliano Landi
Research Collection School Of Economics
I provide a simple example of a quadratic utility function that generates a Giffen demand. The utility function is symmetric, increasing and concave. Interestingly, the Giffen effect arises in the subspace where the utility function is strictly increasing and strictly concave. A full characterization of the parameter conditions under which the Giffen demand arises is provided.
Reputation Building Through Failure, Huan Wang, Yi Zhang
Reputation Building Through Failure, Huan Wang, Yi Zhang
Research Collection School Of Economics
In China, many entrepreneurs receive strong supports each time their business fails. This contradicts existing literature and differs from rare revival elsewhere. The major explanation lies in China’s unfriendly and unstable policy environments, due to which business failure per se cannot discern competence. Therefore, entrepreneurs failing because of policy shocks have the incentive for extra efforts to build reputation of competence and trustworthiness. This mechanism prepares a pool of seasoned entrepreneurs who can help alleviate damages of not only policy shocks, but also such system shocks as business cycle and sector upgrading, and therefore makes the economy more adaptable.
A Prospect Theory Of Power Transition: Why Power Transition Does Not Imply War?, Huan Wang, Yi Zhang
A Prospect Theory Of Power Transition: Why Power Transition Does Not Imply War?, Huan Wang, Yi Zhang
Research Collection School Of Economics
We present a prospect theory model to explain why power transitions do not necessarily lead to war. We find that three major mechanisms prevent the occurrence of potential power transition wars. First, the dual boiling frog effects occurring in the middle range of capability catching-up rate prevent a dominant state from preempting and a rising state from challenging the other side. Second, divergent expectations for favorable comparative growth advantage motivate both parties to keep the status quo. Third, the concerns of relative advantage deterioration over a third party in the post-war power structure help deter both parties from starting a …
Nonparametric Threshold Regression: Estimation And Inference, Daniel J. Henderson, Christopher F. Parmeter, Liangjun Su
Nonparametric Threshold Regression: Estimation And Inference, Daniel J. Henderson, Christopher F. Parmeter, Liangjun Su
Research Collection School Of Economics
The present work describes a simple approach to estimating the location of a threshold/changepoint in a nonparametric regression. This model has connections both to the time-series and regressiondiscontinuity literatures. The estimator leverages a simple decomposition, giving it the form of asemiparametric smooth coefficient model. Optimal bandwidth selection and a suite of testing facilitiesare also presented. Several empirical examples are provided to illustrate the implementation of themethods discussed here.
Wellbeing Of Singapore’S Youths, Kong Weng Ho
Wellbeing Of Singapore’S Youths, Kong Weng Ho
Research Collection School Of Economics
Given Singapore’s focus on human capital investment in its residents, the nation’s youths have experienced increases in their financial, educational, and physical wellbeing. However, how have our youths fared in their emotional and mental wellbeing? Figures from the World Values Survey show reported a gradual decline in life satisfaction for both general population and youths. Data from four waves of the National Youth Survey confirms this trend. This chapter explores and examines the non-economic channels that may have countered the positive influence of economic success on the wellbeing of youths, namely, changing family structure, heightened stressors, shifting life goals, time …
Aggregate Consumption And Debt Accumulation: An Empirical Examination Of Us Household Behavior, Yun K. Kim, Mark Setterfield, Yuan Mei
Aggregate Consumption And Debt Accumulation: An Empirical Examination Of Us Household Behavior, Yun K. Kim, Mark Setterfield, Yuan Mei
Research Collection School Of Economics
The outbreak of the financial crisis in 2008 witnessed a significant contraction in US consumption spending, as households began deleveraging following a period marked by historically high levels of household borrowing. These events call into question the canonical life-cycle theory of consumption, with its benign view of debt as a neutral instrument of optimal intertemporal expenditure smoothing. This paper draws attention to an alternative, post-Keynesian account of consumption spending in which current income, household borrowing and household indebtedness all affect current consumption. Central to the analysis is an empirical investigation of US consumption spending since the 1950s. The results of …
Asian Tiger Economies' Choices, Hwee Kwan Chow-Tan
Asian Tiger Economies' Choices, Hwee Kwan Chow-Tan
Research Collection School Of Economics
This paper considers the choices facing the Asian tiger economies regarding growth strategies that foster trans-Pacific rebalancing. A review of historical data spanning 2000 to 2008 reveals only a slight widening of the overall current account surplus but that there is considerable variation across the countries, with Hong Kong, China exhibiting the biggest increase in the saving and investment (S-I) balance. Meanwhile, cross-correlation coefficient estimates tentatively suggest that changes in the real effective exchange rate do not seem to exhibit a consistent negative lead over changes in the S-I gap in the short run over the past decade. Highimport leakage, …
Semiparametric Analysis In Conditionally Independent Multivariate Mixture Models, T. Wrobel, Denis H. Y. Leung, J. Qin, T. Hettmansperger
Semiparametric Analysis In Conditionally Independent Multivariate Mixture Models, T. Wrobel, Denis H. Y. Leung, J. Qin, T. Hettmansperger
Research Collection School Of Economics
The conditional independence assumption is commonly used in multivariate mixture models in behavioral research. We propose an exponential tilt model to analyze data from a multivariate mixture distribution with conditionally independent components. In this model, the log ratio of the density functions of the components is modeled as a quadratic function in the observations. There are a number of advantages in this approach. First, except for the exponential tilt assumption, the marginal distributions of the observations can be completely arbitrary. Second, unlike some previous methods, which require the multivariate data to be discrete, modeling can be performed based on the …
Testing Linearity Using Power Transforms Of Regressors, Yae In Baek, Jin Seo Cho, Peter C. B. Phillips
Testing Linearity Using Power Transforms Of Regressors, Yae In Baek, Jin Seo Cho, Peter C. B. Phillips
Research Collection School Of Economics
We develop a method of testing linearity using power transforms of regressors, allowing for stationary processes and time trends. The linear model is a simplifying hypothesis that derives from the power transform model in three different ways, each producing its own identification problem. We call this modeling difficulty the trifold identification problem and show that it may be overcome using a test based on the quasi-likelihood ratio (QLR) statistic. More specifically, the QLR statistic may be approximated under each identification problem and the separate null approximations may be combined to produce a composite approximation that embodies the linear model hypothesis. …
On Bias In The Estimation Of Structural Break Points, Liang Jiang, Xiaohu Wang, Jun Yu
On Bias In The Estimation Of Structural Break Points, Liang Jiang, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
Based on the Girsanov theorem, this paper obtains the exact Önite sample distribution of the maximum likelihood estimator of structural break points in a continuous time model. The exact Önite sample theory suggests that, in empirically realistic situations, there is a strong Önite sample bias in the estimator of structural break points. This property is shared by least squares estimator of both the absolute structural break point and the fractional structural break point in discrete time models. A simulation-based method based on the indirect estimation approach is proposed to reduce the bias both in continuous time and discrete time models. …
Business Time Sampling Scheme And Its Applications To Semi-Martingale Hypothesis And Estimating Integrated Volatility, Yingjie Dong, Yiu Kuen Tse
Business Time Sampling Scheme And Its Applications To Semi-Martingale Hypothesis And Estimating Integrated Volatility, Yingjie Dong, Yiu Kuen Tse
Research Collection School Of Economics
No abstract provided.
Executive Overreach By Minority Governments, Madhav S. Aney, Shubhankar Dam
Executive Overreach By Minority Governments, Madhav S. Aney, Shubhankar Dam
Research Collection School Of Economics
A provision in the Indian constitution allows the executive to make laws in the event oneof the two houses of parliament is not in session. This provision was intended to allow theexecutive to act in case there’s an immediate legislative necessity and the parliament cannotbe convened. Using a bargaining model with asymmetric information we show how partieswithin the parliament may reach an agreement on legislations when the ruling party does notcommand a majority (minority government). The model makes predictions about lawmakingpatterns by the legislature when the parliament is in session, and ordinances by the executivewhen the parliament is not in …
Structural Change Estimation In Time Series Regressions With Endogenous Variables, Junhui Qian, Liangjun Su
Structural Change Estimation In Time Series Regressions With Endogenous Variables, Junhui Qian, Liangjun Su
Research Collection School Of Economics
We propose to apply the group fused Lasso to estimate time series models with endogenous regressors and an unknown number of breaks. It can correctly determine the number of breaks and estimate the break dates asymptotically. Simulations and applications are given.
Testing The Martingale Hypothesis, Peter C. B. Phillips, Sainan Jin
Testing The Martingale Hypothesis, Peter C. B. Phillips, Sainan Jin
Research Collection School Of Economics
We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov–Smirnov and Cramér–von Mises tests. The tests are distribution-free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for their implementation and so are well suited to practical work. The article develops limit theory for the tests under the null and shows that the tests are consistent against a wide class of nonlinear, nonmartingale processes. Simulations show that the tests have good finite sample properties in comparison with other tests particularly under conditional heteroscedasticity …