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Articles 961 - 990 of 1733
Full-Text Articles in Economics
Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide
Cost-Effective Estimation Of The Population Mean Using Prediction Estimators, Tomoki Fujii, Roy Van Der Weide
Research Collection School Of Economics
This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a certain moment condition must hold in general for the prediction estimator based on a Generalized-Method-of-Moment estimator to be at least as efficient as the sample mean. In an application to cost-effective double sampling, the authors show how prediction estimators may be adopted to maximize statistical precision (minimize financial costs) under a budget constraint (statistical …
Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas
Are Tournaments Optimal Over Piece Rates Under Limited Liability For The Principal?, Kosmas Marinakis, Theofanis Tsoulouhas
Research Collection School Of Economics
A highly acclaimed result is that tournaments are superior to piece rates when the agents are risk averse and their production activities are subject to a relatively large common shock. The reason is that tournaments allow the principal to trade insurance for lower income to the agents. Our analysis shows that this celebrated result does not carry over to the case when a limited liability (bankruptcy) constraint limits the payments the principal can make, provided that the liquidation value of the firm is sufficiently small. This finding has important implications for the vast number of limited liability firms. Even though …
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 details under several popular spatial LM …
Do Singaporeans Spend Too Much On Housing?, Sock Yong Phang
Do Singaporeans Spend Too Much On Housing?, Sock Yong Phang
Research Collection School Of Economics
According to a 2011 IMF study, Singapore's level of government intervention in housing finance is the highest in the developed world (Slide 3). This level of intervention in housing finance has correspondingly produced the highest level of homeownership amongst advanced countries. This housing outcome is the result of our very unique HDB-CPF housing framework – an institutional framework that was established in the 1960s during the formative period of our country?s history (Slides 4 and 5). Singapore was, at that particular point in time, faced with a situation of chronic housing shortage, low homeownership rates and an underdeveloped housing mortgage …
Nonparametric Dynamic Panel Data Models With Interactive Fixed Effects: Sieve Estimation And Specification Testing, Liangjun Su, Yonghui Zhang
Nonparametric Dynamic Panel Data Models With Interactive Fixed Effects: Sieve Estimation And Specification Testing, Liangjun Su, Yonghui Zhang
Research Collection School Of Economics
In this paper we analyze nonparametric dynamic panel data models with interactive fixed effects, where the predetermined regressors enter the models nonparametrically and the common factors enter the models linearly but with individual specific factor loadings. We consider the issues of estimation and specification testing when both the cross-sectional dimension and the time dimension are large. We propose sieve estimation for the nonparametric function by extending Bai’s (2009) principal component analysis (PCA) to our nonparametric framework. Based on the asymptotic expansion of the Gaussian quasi-log-likelihood function, we derive the convergence rate for the sieve estimator and establish its asymptotic normality. …
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Rezmi Sanver, Arunava Sen
On Domains That Admit Well-Behaved Strategy-Proof Social Choice Functions, Shurojit Chatterji, Rezmi Sanver, Arunava Sen
Research Collection School Of Economics
In this paper, we investigate domains that admit “well-behaved” strategy-proof social choice functions. We show that if the number of voters is even, then every domain that satisfies a richness condition and admits an anonymous, tops-only, unanimous and strategy-proof social choice function, must be semi-single-peaked. Conversely every semi-single-peaked domain admits an anonymous, tops-only, unanimous and strategy-proof social choice function. Semi-single-peaked domains are generalizations of single-peaked domains on a tree introduced by Demange (1982).
A Nonparametric Poolability Test For Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
A Nonparametric Poolability Test For Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
Research Collection School Of Economics
In this article we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values. A small set of Monte Carlo simulations indicate the test performs reasonably well in finite …
Local Linear Gmm Estimation Of Functional Coefficient Iv Models With Application To The Estimation Of Rate Of Return To Schooling, Liangjun Su, Irina Murtazashvili, Aman Ullah
Local Linear Gmm Estimation Of Functional Coefficient Iv Models With Application To The Estimation Of Rate Of Return To Schooling, Liangjun Su, Irina Murtazashvili, Aman Ullah
Research Collection School Of Economics
We consider the local linear GMM estimation of functional coe cient models with a mix of discrete and continuous data and in the presence of endogenous regressors. We establish the asymptotic normality of the estimator and derive the optimal instrumental variable that minimizes the asymptotic variance-covariance matrix among the class of all local linear GMM estimators. Data-dependent bandwidth sequences are also allowed for. We propose a nonparametric test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis as well as a sequence of local alternatives and global alternatives, and propose a bootstrap version for …
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Research Collection School Of Economics
Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or distributional relationships among the variables of interest. Motivated by the literature on testing conditional independence, we propose a new nonparametric test for asymmetric information, which is applicable in a variety of situations. We demonstrate that the test works reasonably well through …
Testing Monotonicity In Unobservables With Panel Data, Liangjun Su, Stefan Hoderlein, Halbert White
Testing Monotonicity In Unobservables With Panel Data, Liangjun Su, Stefan Hoderlein, Halbert White
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a crucial identifying assumption for an important class of nonparametric structural models accommodating unobserved heterogeneity. Tests for this monotonicity have previously been unavailable. This paper proposes and analyzes tests for scalar monotonicity using panel data for structures with and without time-varying unobservables, either partially or fully nonseparable between observables and unobservables. Our nonparametric tests are computationally straightforward, have well behaved limiting distributions under the null, are consistent against precisely specified alternatives, and have standard local power properties. We provide straightforward bootstrap methods for inference. Some Monte Carlo experiments show that, for empirically relevant sample …
Impact Of Food Inflation On Poverty In The Philippines, Tomoki Fujii
Impact Of Food Inflation On Poverty In The Philippines, Tomoki Fujii
Research Collection School Of Economics
We simulate the impact of food inflation between June 2006 and June 2008 on poverty across different areas and between agricultural and non-agricultural households. We explicitly treat the spatial heterogeneity in food inflation and the differences in consumption and production patterns across households by merging household expenditure survey and price datasets at the provincial level or lower. Although some of the poor agricultural households may have escaped poverty, the poorest of the poor, whether they are in an agricultural household or not, are severely and adversely affected by the food inflation.
Collusion Set Detection Using A Quasi Hidden Markov Model, Zhengxiao Wu, Xiaoyu Wu
Collusion Set Detection Using A Quasi Hidden Markov Model, Zhengxiao Wu, Xiaoyu Wu
Research Collection School Of Economics
In stock market, a collusion set is defined as a group of individuals or organizations who act cooperatively with an intention of manipulating security price. Collusion-based malpractices impose large costs on the economy, but few techniques have yet been developed for collusion set detection. In this article, we propose a quasi hidden Markov model (QHMM) approach. In particular, we consider the transactions as a marked point process with hidden states, and we calculate the class conditional probabilities to identify the malicious transactions. The detection algorithms associated with the model are recursive, hence suitable for online monitoring and detection. The QHMM …
A Smooth Test For The Equality Of Distributions, Anil Bera, Aurobindo Ghosh, Zhijie Xiao
A Smooth Test For The Equality Of Distributions, Anil Bera, Aurobindo Ghosh, Zhijie Xiao
Research Collection School Of Economics
The two-sample version of the celebrated Pearson goodness-of-fit problem has been a topic of extensive research, and several tests like the Kolmogorov-Smirnov and Cramer-von Mises have been suggested. Although these tests perform fairly well ´ as omnibus tests for comparing two probability density functions (PDFs), they may have poor power against specific departures such as in location, scale, skewness, and kurtosis. We propose a new test for the equality of two PDFs based on a modified version of the Neyman smooth test using empirical distribution functions minimizing size distortion in finite samples. The suggested test can detect the specific directions …
Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii
Decomposing The Changes Of The Divisia Price Index: Application To Inflation In The Philippines, Tomoki Fujii
Research Collection School Of Economics
We decompose the logarithmic change in the Divisia price index into the pure price, substitution, and preference effects, although the latter two effects are hard to distinguish in practice. This decomposition allows us to identify the incidence and contributing factors of inflation. In the Philippines, we find that the preference effect is much smaller than the pure price effect in all provinces. We also find that rich deciles have experienced a higher inflation than poor deciles between 1988 and 2006. However, the gap in the standards of living has actually widened because poor deciles lagged behind in consumption growth.
Robust Virtual Implementation: Toward A Reinterpretation Of The Wilson Doctrine, Georgy Artemov, Takashi Kunimoto, Roberto Serrano
Robust Virtual Implementation: Toward A Reinterpretation Of The Wilson Doctrine, Georgy Artemov, Takashi Kunimoto, Roberto Serrano
Research Collection School Of Economics
We study a mechanism design problem where arbitrary restrictions are placed on the sets of first-order beliefs of agents. Calling these restrictions Δ, we use Δ-rationalizability (Battigalli and Siniscalchi, 2003, [5]) as our solution concept, and require that a mechanism virtually implement a socially desirable outcome. We obtain two necessary conditions, Δ-incentive compatibility and Δ-measurability and show that the latter is satisfied as long as a particular zero-measure set of first-order beliefs is ruled out. In environments allowing small transfers of utility among agents, these two conditions are also sufficient.
A Note On Separability And Intra-Household Resource Allocation In A Collective Household Model, Tomoki Fujii, Ryuichiro Ishikawa
A Note On Separability And Intra-Household Resource Allocation In A Collective Household Model, Tomoki Fujii, Ryuichiro Ishikawa
Research Collection School Of Economics
This paper shows that it is possible to track the changes in the distribution of power within a couple by focusing on the changes in the pattern of private consumption when the consumption decisions are efficient and private consumption is separable from public consumption in individual preferences. We first show that the separability of private consumption from public consumption at the individual level carries over to the household level. Hence, changes in public consumption only matters through a change in the residual budget available for private consumption. When the consumption decisions within the household is efficient, private consumption decisions can …
Bias In The Mean Reversion Estimator In Continuous-Time Gaussian And Lévy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu
Bias In The Mean Reversion Estimator In Continuous-Time Gaussian And Lévy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu
Research Collection School Of Economics
Continuous-time Levy processes have become increasingly popular in the asset pricing literature and estimation of the mean reversion parameter has attracted attention recently. This paper develops the approximate nite-sample bias of the ordinary least squares or quasi maximum likelihood estimator of the mean reversion parameter in continuous-time Levy processes. Simulations show that in general the approximate bias works well in capturing the true bias of the mean reversion estimator under difference scenarios. However, when the time span is small and the mean reversion parameter is approaching its lower bound, we find it more difficult to approximate well the nite-sample bias.
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 [4] . We also show that …
A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah
A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah
Research Collection School Of Economics
In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R2) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being appropriately standardized, the nonparametric R2 is asymptotically normally distributed under the null hypothesis and a sequence of Pitman local alternatives. We also prove the consistency of the test and propose a bootstrap method to obtain the bootstrap p-values. We conduct a small set of simulations and compare our test with some popular parametric and nonparametric tests in …
Schemes Work Hand In Hand To Boost Wages, Hian Teck Hoon
Schemes Work Hand In Hand To Boost Wages, Hian Teck Hoon
Research Collection School Of Economics
Professor Hoon Hian Teck discussed how this year's Budget helps both workers and companies push for higher productivity. The Workfare Income Supplement (WIS) scheme in 2007 provided one answer to boost the earnings of low-wage workers. The Wage Credit Scheme (WCS) introduced in Budget 2013 is another innovative policy instrument that works in tandem with the Productivity and Innovation Credit (PIC) scheme to help SMEs on their journey to becoming more productive. Under WCS, the Government covers 40 per cent of the wage increase from increased productivity (obtained through the PIC scheme), leaving the firm with a higher profit. Since …
Host Country Financial Development And Mnc Activity, L. Kamran Bilir, Davin Chor, Manova Kalina
Host Country Financial Development And Mnc Activity, L. Kamran Bilir, Davin Chor, Manova Kalina
Research Collection School Of Economics
Multinational corporations (MNCs) manage complex operations, often blending features of three modes of FDI that are well understood in isolation but not in tandem, namely: horizontal, vertical and export-platform FDI. We develop a three-country model with heterogeneous firms, in order to analyze how financing constraints in the FDI host country affect the relative strength of these three motives for FDI. In our model, financial development in the host country fosters entry by domestic firms, making the local market more competitive for MNC products. This leads MNCs to orient their affiliate sales away from the local market toward other markets instead. …
The Future Of Wages In Singapore, Hian Teck Hoon
The Future Of Wages In Singapore, Hian Teck Hoon
Research Collection School Of Economics
Prof Hoon discussed the future of wages in Singapore and identified major trends affecting Singapore's labour market over the past decade. He noted that in the future, SMEs that are unable to raise workers' productivity to match the higher labour costs will exit the industry, thus leading to job destruction. Also, for there to be a steady supply of jobs with good pay for Singaporeans, the country would need to continue to attract MNCs by harnessing its relative strength in institutional quality and the availability of a highly skilled workforce. Success in helping SMEs to raise their productivity levels and …
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Research Collection School Of Economics
The robustness of the Lagrange Multiplier (LM) tests for spatial error dependence of Burridge (1980) and Born and Breitung (2011) for the linear regression model, and Anselin (1988) and Debarsy and Etur (2010) for the panel regression model with random or fixed effects are examined. While all tests are asymptotically robust against distributional mis‐specification, their finite sample behaviour may be sensitive to the spatial layout. To overcome this shortcoming, standardized LM tests are suggested. Monte Carlo results show that the new tests possess good finite sample properties. An important observation made throughout this study is that the LM tests for …
Micro-Finance Competition: Motivated Micro-Lenders, Double-Dipping And Default, Brishti Guha, Prabal Roy Chowdhury
Micro-Finance Competition: Motivated Micro-Lenders, Double-Dipping And Default, Brishti Guha, Prabal Roy Chowdhury
Research Collection School Of Economics
We develop a tractable model of competition among motivated MFIs. We find that equilibria may or may not involve double-dipping (and consequently default), with there being double-dipping whenever the MFIs are very profit-oriented. Moreover, in an equilibrium with double-dipping, borrowers who double-dip are actually worse off compared to those who do not. Further, for intermediate levels of motivation, there can be multiple equilibria, with a doubledipping equilibrium co-existing with a no default equilibrium. Interestingly, an increase in MFI competition can lower efficiency, as well as increase the extent of double-dipping and default. Further, the interest rates may go either way, …
Entropy-Based Analysis And Bioinformatics-Inspired Integration Of Global Economic Information Transfer, Jinkyu Kim, Gunn Kim, Sungbae An, Young-Kyun Kwon, Sungroh Yoon
Entropy-Based Analysis And Bioinformatics-Inspired Integration Of Global Economic Information Transfer, Jinkyu Kim, Gunn Kim, Sungbae An, Young-Kyun Kwon, Sungroh Yoon
Research Collection School Of Economics
The assessment of information transfer in the global economic network helps to understand the current environment and the outlook of an economy. Most approaches on global networks extract information transfer based mainly on a single variable. This paper establishes an entirely new bioinformatics-inspired approach to integrating information transfer derived from multiple variables and develops an international economic network accordingly. In the proposed methodology, we first construct the transfer entropies (TEs) between various intra- and inter-country pairs of economic time series variables, test their significances, and then use a weighted sum approach to aggregate information captured in each TE. Through a …
Impact Of Sovereign Debt Restructuring On Financial Flows: The Case Of Indonesia, Hwee Kwan Chow, C. Adams
Impact Of Sovereign Debt Restructuring On Financial Flows: The Case Of Indonesia, Hwee Kwan Chow, C. Adams
Research Collection School Of Economics
No abstract provided.
Estimation Of Monthly Volatility: An Empirical Comparison Of Realized Volatility, Garch And Acd-Icv Methods, Shouwei Liu, Yiu Kuen Tse
Estimation Of Monthly Volatility: An Empirical Comparison Of Realized Volatility, Garch And Acd-Icv Methods, Shouwei Liu, Yiu Kuen Tse
Research Collection School Of Economics
We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the realized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carlo results show that the ACD-ICV method performs well against the other two methods. Evidence on the Chicago Board Options Exchange volatility index (VIX) shows that it predicts the ACD-ICV volatility estimates better than it predicts the RV estimates. While the RV method is popular for the estimation of monthly volatility, its performance is inferior to the GARCH method.
Can A Financial Conditions Index Guide Monetary Policy? The Case Of Singapore, Hwee Kwan Chow
Can A Financial Conditions Index Guide Monetary Policy? The Case Of Singapore, Hwee Kwan Chow
Research Collection School Of Economics
In this study, we explore the issue of whether a financial conditions index can serve as a useful guide to monetary policy in the context of Singapore. To this end, we construct an index that comprises not only the usual monetary variables like interest rates, exchange rates and credit expansions but also asset prices such as stock prices and house prices. The choice of these constituent series is motivated by the role they play in the monetary transmission mechanism with consideration given to the key role leverage plays in modern business cycles and the risk-taking channel magnified by the prolonged …
Ex Post Destruction In The Hold-Up Problem, Huan Wang, Juyuan Zhang, Yi Zhang
Ex Post Destruction In The Hold-Up Problem, Huan Wang, Juyuan Zhang, Yi Zhang
Research Collection School Of Economics
We investigate whether or not ex post destruction can solve the hold-up problem. After clarifying the difference between ex post destruction and nontrade when negotiation breaks down, we show that the option of ex post destruction is not sufficient to enhance ex ante efficiency. In particular, only if the information about the spitefulness of the supplier is coarse enough, will the option of ex post destruction alleviate the inefficiency of underinvestment caused by the hold-up problem.
Variable Selection In Nonparametric And Semiparametric Regression Models, Liangjun Su, Yonghui Zhang
Variable Selection In Nonparametric And Semiparametric Regression Models, Liangjun Su, Yonghui Zhang
Research Collection School Of Economics
This chapter reviews the literature on variable selection in nonparametric and semiparametric regression models via shrinkage. We highlight recent developments on simultaneous variable selection and estimation through the methods of least absolute shrinkage and selection operator (Lasso), smoothly clipped absolute deviation (SCAD) or their variants, but restrict our attention to nonparametric and semiparametric regression models. In particular, we consider variable selection in additive models, partially linear models, functional/varying coefficient models, single index models, general nonparametric regression models, and semiparametric/nonparametric quantile regression models.