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Articles 841 - 870 of 1733
Full-Text Articles in Economics
Trade And Divergence In Education Systems, Fali Huang, Pao-Li Chang
Trade And Divergence In Education Systems, Fali Huang, Pao-Li Chang
Research Collection School Of Economics
This article presents a theory on the endogenous choice of education policy and the two-way causal relationship between trade and education systems. A country’s education system determines its talent distribution and comparative advantage; the possibility of trade by raising the returns to the sector of comparative advantage in turn induces countries to further differentiate their education systems and reinforces the initial pattern of comparative advantage. Specifically, the Nash equilibrium choice of education systems by two countries interacting strategically are necessarily more divergent than their autarky choices, and yet less than what is socially optimal for the world.
Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions, Offer Lieberman, Peter C. B. Phillips
Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions, Offer Lieberman, Peter C. B. Phillips
Research Collection School Of Economics
A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the random-walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential similarity function as its AR coefficient. Consistency of the quasi-maximum likelihood estimator of the parameters in this model is established, the behaviours of the score and Hessian functions are analysed and test statistics are suggested. A complete list is provided of the normalization rates required for the consistency proof and for the score and Hessian function standardization. A large family of unit …
Optimal City Hierarchy: A Dynamic Programming Approach To Central Place Theory, Wen-Tai Hsu, Thomas J. Holmes, Frank Morgan
Optimal City Hierarchy: A Dynamic Programming Approach To Central Place Theory, Wen-Tai Hsu, Thomas J. Holmes, Frank Morgan
Research Collection School Of Economics
Central place theory is a key building block of economic geography and an empirically plausible description of city systems. This paper provides a rationale for central place theory via a dynamic programming formulation of the social planner's problem of city hierarchy. We show that there must be one and only one immediate smaller city between two neighboring larger-sized cities in any optimal solution. If the fixed cost of setting up a city is a power function, then the immediate smaller city will be located in the middle, confirming the locational pattern suggested by Christaller. We also show that the solution …
Allocative Efficiency, Mark-Ups, And The Welfare Gains From Trade, Thomas J. Holmes, Wen-Tai Hsu, Sanghoon Lee
Allocative Efficiency, Mark-Ups, And The Welfare Gains From Trade, Thomas J. Holmes, Wen-Tai Hsu, Sanghoon Lee
Research Collection School Of Economics
This paper develops an index of allocative efficiency that depends upon the distribution of mark-ups across goods and is separable from an index of standard Ricardian gains from trade. It determines how changes in trade frictions affect allocative efficiency in an oligopoly model of international trade, decomposing the effect into the cost-change channel and the price-change channel. Formulas are derived shedding light on the signs and magnitudes of the two channels. In symmetric country models, trade tends to increase allocative efficiency through the cost-change channel, yielding a welfare benefit beyond productive efficiency gains. In contrast, the price-change channel has ambiguous …
Is Urban Food Demand In The Philippines Different From China?, Tomoki Fujii
Is Urban Food Demand In The Philippines Different From China?, Tomoki Fujii
Research Collection School Of Economics
It is essential to understand the consumption pattern of food and how it changes over time to formulate sound economic policies as well as marketing and pricing strategies. In this study, we estimate the Quadratic Almost Ideal Demand System with six rounds of the Family Income Expenditure Survey exploiting the conditional linearity of the demand system. We find that the Filipino diet has become westernized and that the changes in urban food demand elasticities are qualitatively similar to those in urban China, especially for meat, fruits, and vegetables.We also offer some policy and business implications.
Complementarity In Institutional Quality In Bilateral Fdi Flows, Pao Li Chang
Complementarity In Institutional Quality In Bilateral Fdi Flows, Pao Li Chang
Research Collection School Of Economics
This paper develops a theory on the complementarity in institutional qualities between the home and host countries in bilateral FDI. Firms ‘born’ in countries with poorer institutions tend to invest more in informal institutions to mitigate political risk. The marginal advantage of higher informal institution endowment is bigger when the political risk at the FDI destination is higher. Thus, all else being equal, the ranking of the MNE’s home institutions predicts the ranking of the institutional qualities of their FDI destinations. I find robust empirical evidence for this theoretical prediction using bilateral FDI for 219 economies during year 2001-2010.
Wage, Income And Consumption Inequality In Japan, 1981-2008: From Boom To Lost Decades, Jeremy Lise, Nao Sudo, Michio Suzuki, Ken Yamada, Tomoaki Yamada
Wage, Income And Consumption Inequality In Japan, 1981-2008: From Boom To Lost Decades, Jeremy Lise, Nao Sudo, Michio Suzuki, Ken Yamada, Tomoaki Yamada
Research Collection School Of Economics
In this paper we document the main features of the distributions of wages, earnings, consumption and wealth in Japan since the early 1980s using four main data sources: the Basic Survey on Wage Structure (BSWS), the Family Income and Expenditure Survey (FIES), the National Survey of Family Income and Expenditure (NSFIE) and the Japanese Panel Survey of Consumers (JPSC). We present an empirical analysis of inequality that specifically considers the path from individual wages and earnings, to household earnings, after-tax income, and finally consumption. We find that household earnings inequality rose substantially over this period. This rise is made up …
Wage Subsidies As A Tool To Fight Recessions, Hian Teck Hoon
Wage Subsidies As A Tool To Fight Recessions, Hian Teck Hoon
Research Collection School Of Economics
Since 1981, MAS has used the exchange rate as the primary tool of macroeconomic stabilisation. An exchange rate-based policy rule not only describes very well Singapore’s actual conduct of monetary policy but it has also delivered reduced volatility in inflation and output. Yet, as the quotation above suggests, during the onslaught of the contagion effects arising from the 1997–98 Asian Financial Crisis when Singapore’s export demand declined precipitously, threatening a rise in the unemployment rate, exchange rate adjustment did not act alone to counteract the decline in aggregate demand (AD). Instead, the committee set up by then - Prime Minister …
Bound Estimator Of Hiv Prevalence: Application To Malawi, Tomoki Fujii, Denis H. Y. Leung
Bound Estimator Of Hiv Prevalence: Application To Malawi, Tomoki Fujii, Denis H. Y. Leung
Research Collection School Of Economics
To find lower and upper bounds of HIV prevalence in Malawi under mild and intuitive assumptions to assess the importance of the refusal issue in the estimation of HIV prevalence. Methods: We derive bounds based on the following two key assumptions: (i) Among those who have never taken an HIV test before, those who refuse to take an HIV test (hereafter “refusers”) have at least as much risk to be HIV positive as those who participate in the HIV test, and (ii) among the refusers, those who have a prior testing experience are at least as likely to be HIV …
A New Hedonic Regression For Real Estate Prices Applied To The Singapore Residential Market, Jiang Liang, Peter C. B. Phillips, Jun Yu
A New Hedonic Regression For Real Estate Prices Applied To The Singapore Residential Market, Jiang Liang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all available data. Like the Case-Shiller repeat-sales method, the new method has the advantage of being computationally efficient. In an empirical analysis of the methodology, we fit the model to all transaction prices for private residential property holdings in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macro …
Additive Nonparametric Regression In The Presence Of Endogenous Regressors, Deniz Ozabaci, Daniel J. Henderson, Liangjun Su
Additive Nonparametric Regression In The Presence Of Endogenous Regressors, Deniz Ozabaci, Daniel J. Henderson, Liangjun Su
Research Collection School Of Economics
In this article we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient, and free from the curse of dimensionality. Monte Carlo simulations support the asymptotic developments. We employ a partially linear extension of our model to study the relationship between child care and cognitive outcomes. Some of our (average) results are consistent with the literature (e.g., negative returns to child care when mothers have higher levels of education). However, as our estimators allow for heterogeneity both across and within …
Does Market Competition Lead To Customization?, Wen-Tai Hsu, Yi Lu, Travis Ng
Does Market Competition Lead To Customization?, Wen-Tai Hsu, Yi Lu, Travis Ng
Research Collection School Of Economics
This paper proposes a theory of competition and customization. When firms allocate their production to both custom-made and standardized products, the fraction of sales from the former will increase in the face of increased competition. Recent surveys conducted by the World Bank on Chinese firms provide a rare direct measure of customization that allows us to test the above-mentioned prediction. We find empirical results consistent with the prediction.
Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White
Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White
Research Collection School Of Economics
We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time …
Intraday Periodicity Adjustments Of Transaction Duration And Their Effects On High-Frequency Volatility Estimation, Yiu Kuen Tse, Yingjie Dong
Intraday Periodicity Adjustments Of Transaction Duration And Their Effects On High-Frequency Volatility Estimation, Yiu Kuen Tse, Yingjie Dong
Research Collection School Of Economics
We study two methods of adjusting for intraday periodicity of high-frequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). We examine the effects of these adjustments on the estimation of intraday volatility using the Autoregressive Conditional Duration-Integrated Conditional Variance (ACD-ICV) method of Tse and Yang (2012). We find that daily volatility estimates are not sensitive to intraday periodicity adjustment. However, intraday volatility is found to have a weaker U-shaped volatility smile and a biased trough if intraday periodicity adjustment is not applied. In addition, adjustment taking account of trades with …
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) estimators of spatial autoregressive models (SAR) 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 many practical situations and when it does the regular QML estimators can be consistent.In cases where this condition is violated, we propose a modified QML estimation method robust against heteroskedasticity of unknown form. In both cases, asymptotic distributions of the estimators are derived, and methods …
Initial-Condition Free Estimation Of Fixed Effects Dynamic Panel Data Models, Zhenlin Yang
Initial-Condition Free Estimation Of Fixed Effects Dynamic Panel Data Models, Zhenlin Yang
Research Collection School Of Economics
It is well known that (quasi) MLE of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values; ignoring them or a wrong treatment of them will result in inconsistency or serious bias. This paper introduces a initial-condition free method for estimating the fixed-effects DPD models, through as simple modification of the quasi-score. An outer-product-of-gradients (OPG) method is also proposed for robust inference. The MLE of Hsiao, Pesaran and Tahmiscioglu (2002, Journal of Econometrics), where the initial observations are modeled, is extended to quasi MLE and an OPG method is proposed for robust inference. …
Exchange Rates And Export Structure, Wen-Tai Hsu, Yi Lu, Yingke Zhou
Exchange Rates And Export Structure, Wen-Tai Hsu, Yi Lu, Yingke Zhou
Research Collection School Of Economics
This paper studies whether changes in the exchange rate affect a country’s export structure, using an arguably exogenous sudden appreciation of renminbi on July 21, 2005 as the main source of identification. Employing combined regression discontinuity and difference-in-differences approach, we show that China’s export structure became more similar to that of the developed countries after the currency appreciation. We also find that the majority of the appreciation effect comes from the inter-firm resource reallocation rather than the inter-region or intra-firm resource reallocation.
A Characterization Of Single-Peaked Preferences Via Random Social Choice Functions, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
A Characterization Of Single-Peaked Preferences Via Random Social Choice Functions, Shurojit Chatterji, Arunava Sen, Huaxia Zeng
Research Collection School Of Economics
The paper proves the following result: every path-connected domain of preferences that admits a strategy-proof, unanimous, tops-only random social choice function satisfying a compromise property, is single-peaked. Conversely, every single-peaked domain admits a random social choice function satisfying these properties. Single-peakedness is defined with respect to arbitrary trees. We also show that a maximal domain that admits a strategy-proof, unanimous, tops-only random social choice function satisfying a stronger version of the compromise property, is single-peaked on a line. A converse to this result also holds. The paper provides justification of the salience of single-peaked preferences and evidence in favour of …
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 application of this model. Contrary to the …
Borrower Targeting Under Microfinance: Competition With Motivated Microfinance Institutions And Strategic Complementarity, Brishti Guha, Prabal Roy Chowdhury
Borrower Targeting Under Microfinance: Competition With Motivated Microfinance Institutions And Strategic Complementarity, Brishti Guha, Prabal Roy Chowdhury
Research Collection School Of Economics
We examine how increased competition among motivated microfinance institutions (MFIs) impacts the poorest borrowers’ access to microfinance. We find that competition depends on inequality, technology, and the possibility of double-dipping (borrowing from several sources). Without competition, even a motivated MFI may lend to the not-so-poor in preference to poor borrowers. If double-dipping is feasible, competition may encourage lending to the poor. The presence of double-dipping is critical for MFI competition to have a positive effect. When double-dipping is feasible, MFI coordination may worsen borrower targeting whenever inequality is intermediate. We discuss policy implications dealing with double-dipping, MFI coordination, and competition.
Bayesian Testing Volatility Persistence In Stochastic Volatility Models With Jumps, Xiaobin Liu, Yong Li
Bayesian Testing Volatility Persistence In Stochastic Volatility Models With Jumps, Xiaobin Liu, Yong Li
Research Collection School Of Economics
Whether or not there is a unit root persistence in volatility of financial assets has been a long-standing topic of interest to financial econometricians and empirical economists. The purpose of this article is to provide a Bayesian approach for testing the volatility persistence in the context of stochastic volatility with Merton jump and correlated Merton jump. The Shanghai Composite Index daily return data is used for empirical illustration. The result of Bayesian hypothesis testing strongly indicates that the volatility process doesn’t have unit root volatility persistence in this stock market.
Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips' Work And Some New Results, Jun Yu
Research Collection School Of Economics
Econometric analysis of continuous time models has drawn the attention of Peter Phillips for 40 years, resulting in many important publications by him. In these publications he has dealt with a wide range of continuous time models and the associated econometric problems. He has investigated problems from univariate equations to systems of equations, from asymptotic theory to finite sample issues, from parametric models to nonparametric models, from identification problems to estimation and inference problems, from stationary models to nonstationary and nearly nonstationary models. This paper provides an overview of Peter Phillips' contributions in the continuous time econometrics literature. We review …
Robustify Financial Time Series Forecasting With Bagging, Sainan Jin, Liangjun Su, Aman Ullah
Robustify Financial Time Series Forecasting With Bagging, Sainan Jin, Liangjun Su, Aman Ullah
Research Collection School Of Economics
In this paper we propose a revised version of (bagging) bootstrap aggregating as a forecast combination method for the out-of-sample forecasts in time series models. The revised version explicitly takes into account the dependence in time series data and can be used to justify the validity of bagging in the reduction of mean squared forecast error when compared with the unbagged forecasts. Monte Carlo simulations show that the new method works quite well and outperforms the traditional one-step-ahead linear forecast as well as the nonparametric forecast in general, especially when the in-sample estimation period is small. We also find 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 a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null hypothesis of linearity to obtain the restricted residuals which are then used to construct the test statistic. We show that after being appropriately centered and standardized, the test statistic is asymptotically normally distributed under both the null hypothesis and a sequence of Pitman local alternatives by using the concept of conditional strong mixing that was recently …
Jackknife Model Averaging For Quantile Regressions, Xun Lu, Liangjun Su
Jackknife Model Averaging For Quantile Regressions, Xun Lu, Liangjun Su
Research Collection School Of Economics
In this paper, we consider the problem of frequentist model averaging for quantile regression (QR) when all the M models under investigation are potentially misspecified and the number of parameters in some or all models is diverging with the sample size n. To allow for the dependence between the error terms and the regressors in the QR models, we propose a jackknife model averaging (JMA) estimator which selects the weights by minimizing a leave-one-out cross-validation criterion function and demonstrate that the jackknife selected weight vector is asymptotically optimal in terms of minimizing the out-of-sample final prediction error among the given …
Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C. B. Phillips
Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C. B. Phillips
Research Collection School Of Economics
This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is unknown. Two approaches are considered — penalized least squares (PLS) for models without endogenous regressors, and penalized GMM (PGMM) for models with endogeneity. In both cases we develop a new variant of Lasso called classifier-Lasso (C-Lasso) that serves to shrink individual coefficients to the unknown group-specific coefficients. C-Lasso achieves simultaneous classification and consistent estimation in a single …
Unilateral Emissions Mitigation, Spillovers, And Global Learning, Shurojit Chatterji, Sayantan Ghosal, Sean Walsh, John Whalley
Unilateral Emissions Mitigation, Spillovers, And Global Learning, Shurojit Chatterji, Sayantan Ghosal, Sean Walsh, John Whalley
Research Collection School Of Economics
What's the role of unilateral measures in global climate change mitigation in a post-Durban, post 2012 global policy regime? We argue that under conditions of preference heterogeneity, unilateral emissions mitigation at a subnational level may exist even when a nation is unwilling to commit to emission cuts. We establish that under certain assumptions, in a global strongly connected network of countries, learning the costs of switching to a low emissions activity can result in a universal adoption of such activities. We analyze the features of a policy proposal that could accelerate convergence to a low carbon world in the presence …
A Flexible And Automated Likelihood Based Framework For Inference In Stochastic Volatility Models, Hans J. Skaug, Jun Yu
A Flexible And Automated Likelihood Based Framework For Inference In Stochastic Volatility Models, Hans J. Skaug, Jun Yu
Research Collection School Of Economics
The Laplace approximation is used to perform maximum likelihood estimation of univariate and multivariate stochastic volatility (SV) models. It is shown that the implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic differentiation (AD). Several algorithms are proposed and compared with some existing maximum likelihood methods using both simulated data and actual data. It is found that the new methods match the statistical efficiency of the existing methods while significantly reducing the coding effort. Also proposed are simple methods for obtaining the filtered, smoothed and predictive values for the latent variable. …
Minimum Investment Requirements, Financial Market Globalization, And Symmetry Breaking, Haiping Zhang
Minimum Investment Requirements, Financial Market Globalization, And Symmetry Breaking, Haiping Zhang
Research Collection School Of Economics
We incorporate wealth heterogeneity and the minimum investment requirements in the model of Matsuyama (2004, Econometrica) and provide a complete characterization of symmetry breaking. In particular, we identify the extensive margin of investment as a key channel through which the interest rate may respond positively to capital accumulation, or equivalently, the interest rate can be higher in the rich than in the poor countries. Then, financial market globalization may lead to “uphill” capital flows from the poor to the rich countries, which widens the initial cross-country income gap and leads to income divergence among inherently identical countries, a phenomenon that …
Assessing Market Failures In Export Pioneering Activities: A Structural Estimation Approach, Shang-Jin Wei, Ziru Wei, Jianhuan Xu
Assessing Market Failures In Export Pioneering Activities: A Structural Estimation Approach, Shang-Jin Wei, Ziru Wei, Jianhuan Xu
Research Collection School Of Economics
The paper provides a first structural-estimation-based assessment of an influential hypothesis that export pioneers are too few relative to social optimum due to knowledge spillover in new market explorations. Such market failure requires two inequalities to hold simultaneously: the discovery cost is greater than any individual firm’s expected profit but Smaller than the sum of all potential exporters’ expected profits. Neither has to hold in the data. We estimate the structural parameters based on the customs data of Chinese electronics exports. While we find positive discover cost and spillovers, "missing pioneers" are nonetheless a low probability event.