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2008

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Articles 871 - 898 of 898

Full-Text Articles in Economics

Neglecting Parameter Changes In Garch Option Pricing Models And Var, Burak Hurmeydan Jan 2008

Neglecting Parameter Changes In Garch Option Pricing Models And Var, Burak Hurmeydan

LSU Doctoral Dissertations

In GARCH models, neglecting parameter changes in the conditional volatility process results in biased estimation. The estimated sum of the autoregressive parameters of the conditional volatility converges to one. In Chapter 2, I analyze the effect of changes in the parameters of conditional volatility on European call option prices when these parameters are estimated ignoring the change-points. Simulation studies show that ignoring parameter changes in the conditional variance process of GARCH(1,1) models leads to biased estimates of option prices. The bias, measured in percentages, is most pronounced for out-of-the-money options, substantial for at-the-money options, and vanishes as options move deep-in-the-money. …

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Tobacco Control And The Role Of Litigation: A Survey Of Issues In Law, Policy, And Economics, Basil C. Bitas, Pedro B. Barros Jan 2008

Tobacco Control And The Role Of Litigation: A Survey Of Issues In Law, Policy, And Economics, Basil C. Bitas, Pedro B. Barros

Research Collection Yong Pung How School Of Law

No abstract provided.

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State Health Insurance Regulations And The Price Of High-Deductible Policies, Mark H. Showalter, Amanda E. Kowalski, William J. Congdon Jan 2008

State Health Insurance Regulations And The Price Of High-Deductible Policies, Mark H. Showalter, Amanda E. Kowalski, William J. Congdon

Faculty Publications

This study examines the impact of state health insurance regulations on the price of high-deductible family and individual polices in the nongroup market. We use a unique and rich data set on actual insurance policies sold through a large Internet health insurance distributor to examine the impact of various regulations on policy prices, controlling for policy characteristics, demographic characteristics of the purchasers, and state-level demographics. We also use data from a single major insurance firm that provided offer prices for a family policy from a set of randomly selected zip codes. Both datasets suggest a strong statistical relationship between regulation …

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User Fees In Local Finance: Performance And Potential In Czech And Slovak Republics, Phillip J. Bryson Jan 2008

User Fees In Local Finance: Performance And Potential In Czech And Slovak Republics, Phillip J. Bryson

Faculty Publications

The Czech Republic and Slovakia, like other transition countries in Central and Eastern Europe, have given significant lip service to fiscal decentralization and engaged in public administration reforms. But the subnational governments of their public finance systems still lack relative autonomy, which could be addressed partly through developing independent revenue sources for their municipalities and regions. Currently, such independent revenue sources include the proceeds of a strictly nominal property tax as well as those of a small set of local user fees and taxes designed and approved by the central governments. Together they represent only about 5 percent of total …

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Is There A Role For Public Support Of Incumbent Worker On-The-Job Training?, Kevin Hollenbeck Jan 2008

Is There A Role For Public Support Of Incumbent Worker On-The-Job Training?, Kevin Hollenbeck

Upjohn Institute Working Papers

States have begun to use training subsidies as a policy tool for employment retention and business competitiveness. This paper summarizes a survey of states concerning their investments in incumbent worker training. Altogether, states are investing about $550 to $800 million, which is perhaps one percent or less of total private sector training costs. The paper further discusses a study conducted for one state in which we found significant fiscal returns implying that underinvestment of public funds for incumbent worker training may be occurring. In this state, primary sector jobs were created or retained at a public cost of less than …

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A Revelation Principle For Dominant Strategy Implementation, Jesse Schwartz, Quan Wen Jan 2008

A Revelation Principle For Dominant Strategy Implementation, Jesse Schwartz, Quan Wen

Faculty Articles

We introduce a perfect price discriminating (PPD) mechanism for allocation problems with private information. A PPD mechanism treats a seller, for example, as a perfect price discriminating monopolist who faces a price schedule that does not depend on her report. In any PPD mechanism, every player has a dominant strategy to truthfully report her private information. We establish a revelation principle for dominant strategy implementation: any outcome that can be dominant strategy implemented can also be dominant strategy implemented using a PPD mechanism. We apply this principle to derive the optimal, budget-balanced, dominant strategy mechanisms for public good provision and …

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A Leontief Model Of Municipal Budgeting, Phillip J. Bryson Jan 2008

A Leontief Model Of Municipal Budgeting, Phillip J. Bryson

Faculty Publications

Local budgeting in transition countries is an important process because it can reveal the extent to which fiscal decentralization has occurred. Because central planning regimes were highly centralized, adopting a market/democratic approach requires a devolution of power from the central government to regions and municipalities. A Leontief model is presented as a simple theoretical approach to local budgeting. Local revenues are considered as financial inputs and local expenditures as financial outputs. A method of measuring the degree of local autonomy as a part of the budgeting process is a part of this model.

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Optimal Bandwidth Selection In Heteroskedasticity-Autocorrelation Robust Testing, Yixiao Sun, Peter C. B. Phillips, Sainan Jin Jan 2008

Optimal Bandwidth Selection In Heteroskedasticity-Autocorrelation Robust Testing, Yixiao Sun, Peter C. B. Phillips, Sainan Jin

Research Collection School Of Economics

This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M = bT for some constant b ∈ (0, 1] and sample size T. It is shown that the nonstandard fixed-b limit distributions of such nonparametrically studentized tests provide more accurate approximations to the finite sample distributions than the standard small-b limit distribution. We further show that, for typical economic time series, the optimal bandwidth that minimizes a weighted average of type I and type II errors is larger by an order of magnitude than the …

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Refined Inference On Long Memory In Realized Volatility, Peter C. B. Phillips, Offer Lieberman Jan 2008

Refined Inference On Long Memory In Realized Volatility, Peter C. B. Phillips, Offer Lieberman

Research Collection School Of Economics

There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about by higher order theory. Standard asymptotic theory has an error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of. The new formula is independent …

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Two-Sample Estimation Of Poverty Rates For Disabled People: An Application To Tanzania, Tomoki Fujii Jan 2008

Two-Sample Estimation Of Poverty Rates For Disabled People: An Application To Tanzania, Tomoki Fujii

Research Collection School Of Economics

Estimating poverty measures for disabled people in developing countries is di cult, partly because relevant data are not available. We develop two methods to estimate poverty by the disability status of the household head. We extend the small-area estimation proposed by Elbers, Lanjouw and Lanjouw (2002, 2003) so that we can run a regression on head's disability status even when such information is unavailable in the survey. We do so by aggregation and by moment adjusted two sample instrumental variable estimation. Our results from Tanzania show that both methods work well, and that disability is indeed associated with poverty.

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Discussion Of Balistreri, Hillberry, And Rutherford (2007): Structural Estimation And Solution Of International Trade Models With Heterogeneous Firms, Davin Chor Jan 2008

Discussion Of Balistreri, Hillberry, And Rutherford (2007): Structural Estimation And Solution Of International Trade Models With Heterogeneous Firms, Davin Chor

Research Collection School Of Economics

No abstract provided.

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Education And Trade, Pao Li Chang, Fali Huang Jan 2008

Education And Trade, Pao Li Chang, Fali Huang

Research Collection School Of Economics

This paper examines the inherent link between a countryís education system and its comparative advantage in trade. It suggests that di§erences in education systems across countries are probably a stable equilibrium result that is compatible with and reinforced by trade patterns. In equilibrium, two distinct types of countries emerge, one that exports creativity-intensive products and has an education system encouraging diversity (as illustrated by the US), and the other one that exports high-quality manufactured products and has an education system promoting homogeneity in student quality (as illustrated by Japan). Our Öndings present a novel explanation for the coexistence of low …

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Rational And Boundedly Rational Behavior In Sender-Receiver Games, Massimiliano Landi, Domenico Colucci Jan 2008

Rational And Boundedly Rational Behavior In Sender-Receiver Games, Massimiliano Landi, Domenico Colucci

Research Collection School Of Economics

The authors investigate the strategic rationale behind the message sent by Osama bin Laden on the eve of the 2004 U.S. Presidential elections. They model this situation as a signaling game in which a population of receivers takes a binary choice, the outcome is decided by majority rule, sender and receivers have conflicting interests, and there is uncertainty about both players’ degree of rationality. They characterize the structure of the sequential equilibria of the game as a function of the parameters governing the uncertainty and find that in all pure strategy equilibria, the outcome most preferred by the rational sender …

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Coastal Empire Economic Monitor, 1st Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis Jan 2008

Coastal Empire Economic Monitor, 1st Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis

Coastal Empire Economic Monitor

The Coastal Empire Economic Indicators are designed to provide continuously updating quarterly snapshots of the Savannah Metropolitan Statistical Area economy. The coincident index measures the current economic heartbeat of the region. The leading index provides a short term forecast of the region’s economic activity in six to nine months.

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Coastal Empire Economic Monitor, 2nd Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis Jan 2008

Coastal Empire Economic Monitor, 2nd Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis

Coastal Empire Economic Monitor

The Coastal Empire Economic Indicators are designed to provide continuously updating quarterly snapshots of the Savannah Metropolitan Statistical Area economy. The coincident index measures the current economic heartbeat of the region. The leading index provides a short term forecast of the region’s economic activity in six to nine months.

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Coastal Empire Economic Monitor, 3rd Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis Jan 2008

Coastal Empire Economic Monitor, 3rd Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis

Coastal Empire Economic Monitor

The Coastal Empire Economic Indicators are designed to provide continuously updating quarterly snapshots of the Savannah Metropolitan Statistical Area economy. The coincident index measures the current economic heartbeat of the region. The leading index provides a short term forecast of the region’s economic activity in six to nine months.

Go to article

Coastal Empire Economic Monitor, 4th Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis Jan 2008

Coastal Empire Economic Monitor, 4th Quarter, 2008, Armstrong Atlantic State University Center For Regional Analysis

Coastal Empire Economic Monitor

The Coastal Empire Economic Indicators are designed to provide continuously updating quarterly snapshots of the Savannah Metropolitan Statistical Area economy. The coincident index measures the current economic heartbeat of the region. The leading index provides a short term forecast of the region’s economic activity in six to nine months.

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An Evaluation Of The 21st Century Workplace Skills Initiative, Kevin Hollenbeck, Bridget Timmeney Jan 2008

An Evaluation Of The 21st Century Workplace Skills Initiative, Kevin Hollenbeck, Bridget Timmeney

Reports

No abstract provided.

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Economic Reforms And Total Factor Productivity Growth In Pakistan: An Empirical Analysis, Muhammad Sabir, Qazi Masood Ahmed Jan 2008

Economic Reforms And Total Factor Productivity Growth In Pakistan: An Empirical Analysis, Muhammad Sabir, Qazi Masood Ahmed

Business Review

This paper compares the average growth rates in GDP, factor inputs and total factor productivity during pre-reform period 1972-73 to 1987-88 and the reform period 1987-88 to 2001-02 and summarizes the historical patterns. Particular attention is given to assessing the impact of structural adjustment policies on total productivity growth directly and indirectly through other determinants of total factor productivity growth, such as human capital etc.

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Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C. B. Phillips Jan 2008

Adaptive Estimation Of Autoregressive Models With Time-Varying Variances, Ke-Li Xu, Peter C. B. Phillips

Research Collection School Of Economics

Stable autoregressive models are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of the residual variances and associated adaptive least squares (ALS) estimators of the autoregressive coefficients. Simulations show that efficiency gains are achieved by the adaptive procedure.

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Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha Jan 2008

Target Saving In An Overlapping Generations Model, Ashok S. Guha, Brishti Guha

Research Collection School Of Economics

We examine a model in which the utility function has been engineered so that it is optimal for consumers to aim for a fixed target level of retirement resources. In this case consumption displays excess sensitivity to current income as well as perfect old age insurance. In an overlapping generations model, this leads naturally to multiple and unstable equilibria. Under static expectations, it also leads to a well-defined dynamics, including possible historical traps, implosions involving ever-diminishing capital stock and ever-increasing interest rates, and the feasibility of optimal one-time interventions.

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Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow Jan 2008

Hong Kong's Money: The History, Logic And Operation Of The Currency Peg, Hwee Kwan Chow

Research Collection School Of Economics

No abstract provided.

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Unit Root Model Selection, Peter C. B. Phillips Jan 2008

Unit Root Model Selection, Peter C. B. Phillips

Research Collection School Of Economics

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient Cn?? and Cn/n?0 as n??. Strong consistency holds when Cn/(log logn)3?? under conventional assumptions on initial conditions and under a slightly stronger condition when initial conditions are infinitely distant in the unit root model. The limit distribution of the AIC criterion is obtained.

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Essays On Models For Financial Volatility, Mihaela Oana Craioveanu Jan 2008

Essays On Models For Financial Volatility, Mihaela Oana Craioveanu

LSU Doctoral Dissertations

This research is focused on models for volatility. After the introduction of realized volatility as a consistent estimator for daily volatility, time series models without latent variables have been used to model and forecast volatility. The first part of this research provides a critical review of some of the commonly used realized volatility models and addresses the problem of stationarity and lag selection. In the empirical part we apply our methodology to thirty Dow Jones Industrial Average stocks from the NYSE TAQ dataset. We address the lag selection problem for each of the stocks considered. We find that models based …

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Technology Diffusion And Total Factor Productivity Growth, Subaran Roy Jan 2008

Technology Diffusion And Total Factor Productivity Growth, Subaran Roy

LSU Doctoral Dissertations

I investigate the effects of two important channels of technology diffusion (i) Foreign Direct Investment (FDI) and (ii) import of capital goods, on the total factor productivity (TFP) growth. My first essay contributes to the literature by empirically investigating the role of initial distance of a country from the technology frontier in determining the net effect of FDI on TFP growth. In this essay, I find that the net effect of FDI on TFP growth decreases with the increase in distance. In order to take this research a step further, I implement the recently developed threshold regression technique to explore …

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Statistical Abstract And Data Sources _2008, University Of New Mexico Bureau Of Business And Economic Research Jan 2008

Statistical Abstract And Data Sources _2008, University Of New Mexico Bureau Of Business And Economic Research

BBER Publications

This report provides a comprehensive overview of New Mexico's economy in 2008, including economic forecasts, employment trends, population change, exports, manufacturing, tourism, county profiles, and comparative state data. Prepared for the Annual Economic Outlook Conference, it serves as a reference resource for researchers, planners, businesses, and policymakers seeking current demographic and economic information on New Mexico.

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Statistical Abstract Data Sources_2008, University Of New Mexico Bureau Of Business And Economic Research, Economic Development Department Of New Mexico Jan 2008

Statistical Abstract Data Sources_2008, University Of New Mexico Bureau Of Business And Economic Research, Economic Development Department Of New Mexico

BBER Publications

This report compiles statewide and county-level data on population, employment, industry performance, exports, manufacturing, tourism, wages, and economic development trends. The volume also includes economic outlook analyses, state comparisons, and extensive guidance on data sources available for New Mexico research.

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Annual Economic Outlook Conference_Jan 2008, University Of New Mexico Bureau Of Business And Economic Research Jan 2008

Annual Economic Outlook Conference_Jan 2008, University Of New Mexico Bureau Of Business And Economic Research

BBER Publications

This report documents New Mexico's economy during the onset of the national recession, presenting forecasts for employment, income, industry performance, exports, tourism, manufacturing, and demographic change. It also includes detailed county and community profiles, labor force statistics, and comparative state economic indicators.

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