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2014

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Articles 61 - 90 of 1582

Full-Text Articles in Economics

Threshold Regression With Endogeneity, Ping Yu, Peter C.B. Phillips Dec 2014

Threshold Regression With Endogeneity, Ping Yu, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be identified without the need for instrumentation. Second, in partially linear threshold models, both parametric and nonparametric components rely on the same data, which prima facie suggests identification failure. But, as shown here, the discontinuity structure of the threshold itself supplies identifying information for the parametric coefficients without the need for extra randomness in the regressors. Third, instrumentation plays different roles in the estimation of the …

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True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C.B. Phillips, Chirok Han Dec 2014

True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C.B. Phillips, Chirok Han

Cowles Foundation Discussion Papers

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.

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Weak Convergence To Stochastic Integrals For Econometric Applications, Hanying Liang, Peter C.B. Phillips, Hanchao Wang, Qiying Wang Dec 2014

Weak Convergence To Stochastic Integrals For Econometric Applications, Hanying Liang, Peter C.B. Phillips, Hanchao Wang, Qiying Wang

Cowles Foundation Discussion Papers

Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on function space weak convergence. In establishing weak convergence of sample covariances to stochastic integrals, the literature commonly uses martingale and semimartingale structures. While these structures have wide relevance, many applications in econometrics involve a cointegration framework where endogeneity and nonlinearity play a major role and lead to complications in the limit theory. This paper explores weak convergence limit theory to stochastic integral functionals in such settings. We use a novel decomposition of sample covariances of functions of I(1) and I(0) …

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A Note On Minimax Testing And Confidence Intervals In Moment Inequality Models, Timothy B. Armstrong Dec 2014

A Note On Minimax Testing And Confidence Intervals In Moment Inequality Models, Timothy B. Armstrong

Cowles Foundation Discussion Papers

This note uses a simple example to show how moment inequality models used in the empirical economics literature lead to general minimax relative efficiency comparisons. The main point is that such models involve inference on a low dimensional parameter, which leads naturally to a definition of “distance” that, in full generality, would be arbitrary in minimax testing problems. This definition of distance is justified by the fact that it leads to a duality between minimaxity of confidence intervals and tests, which does not hold for other definitions of distance. Thus, the use of moment inequalities for inference in a low …

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Testing Equality Of Covariance Matrices Via Pythagorean Means, Jin Seo Cho, Peter C.B. Phillips Dec 2014

Testing Equality Of Covariance Matrices Via Pythagorean Means, Jin Seo Cho, Peter C.B. Phillips

Cowles Foundation Discussion Papers

We provide a new test for equality of covariance matrices that leads to a convenient mechanism for testing specification using the information matrix equality. The test relies on a new characterization of equality between two k dimensional positive-definite matrices A and B : the traces of AB –1 and BA –1 are equal to k if and only if A = B . Using this criterion, we introduce a class of omnibus test statistics for equality of covariance matrices and examine their null, local, and global approximations under some mild regularity conditions. Monte Carlo experiments are conducted to explore the …

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Wealth Effects On World Private Financial Saving, Ray C. Fair Dec 2014

Wealth Effects On World Private Financial Saving, Ray C. Fair

Cowles Foundation Discussion Papers

This paper shows that about 70 percent of the variance of the yearly change in the world private financial saving rate can be explained by lagged changes in world stock and housing prices for the sample period 1982-2013. The results suggest that increased fluctuations in asset prices since 1995 have led to increased fluctuations in the world private financial saving rate. Wealth effects on private demand appear to be large.

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A Simple Adjustment For Bandwidth Snooping, Timothy B. Armstrong, Michal Kolesár Dec 2014

A Simple Adjustment For Bandwidth Snooping, Timothy B. Armstrong, Michal Kolesár

Cowles Foundation Discussion Papers

Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is unbiased. This paper proposes a simple adjustment that gives correct coverage in such situations: replace the Normal quantile with a critical value that depends only on the kernel and ratio of the maximum and minimum bandwidths the researcher has entertained. We tabulate these critical values and quantify the loss in coverage for conventional confidence intervals. For a …

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Dynamic Panel Gmm With Near Unity, Peter C.B. Phillips Dec 2014

Dynamic Panel Gmm With Near Unity, Peter C.B. Phillips

Cowles Foundation Discussion Papers

Limit theory is developed for the dynamic panel GMM estimator in the presence of an autoregressive root near unity. In the unit root case, Anderson-Hsiao lagged variable instruments satisfy orthogonality conditions but are well-known to be irrelevant. For a fixed time series sample size (T) GMM is inconsistent and approaches a shifted Cauchy-distributed random variate as the cross section sample size n → ∞. But when T → ∞, either for fixed n or as n → ∞, GMM is √ T consistent and its limit distribution is a ratio of random variables that converges to twice a standard Cauchy …

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A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing, Offer Lieberman, Peter C.B. Phillips Dec 2014

A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing, Offer Lieberman, Peter C.B. Phillips

Cowles Foundation Discussion Papers

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (SUR) models to a multivariate case including a comprehensive asymptotic theory for estimation of the model’s parameters. The extensions are useful because they lead to a generalization of the Black-Scholes formula for derivative pricing. In place of the standard assumption that the price process follows a geometric Brownian motion, we derive a new form of the Black-Scholes equation that allows for a multivariate time varying coefficient element in the price equation. The corresponding formula for the value of a European-type call option is obtained and shown …

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Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C.B. Phillips Dec 2014

Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C.B. Phillips

Cowles Foundation Discussion Papers

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 …

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Financial Bubble Implosion, Peter C.B. Phillips, Shu-Ping Shi Dec 2014

Financial Bubble Implosion, Peter C.B. Phillips, Shu-Ping Shi

Cowles Foundation Discussion Papers

Expansion and collapse are two key features of a financial asset bubble. Bubble expansion may be modeled using a mildly explosive process. Bubble implosion may take several different forms depending on the nature of the collapse and therefore requires some flexibility in modeling. This paper develops analytics and studies the performance characteristics of the real time bubble monitoring strategy proposed in Phillips, Shi and Yu (2014b,c, PSY) under alternative forms of bubble implosion that can be represented in terms of mildly integrated processes which capture various return paths to market normalcy. We propose a new reverse sample use of the …

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Restricted Likelihood Ratio Tests In Predictive Regression, Peter C.B. Phillips, Ye Chen Dec 2014

Restricted Likelihood Ratio Tests In Predictive Regression, Peter C.B. Phillips, Ye Chen

Cowles Foundation Discussion Papers

Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists in overcoming size distortion in predictive hypothesis testing. This paper provides extensions of the REML approach to more general cases which allow for drift in the predictive regressor and multiple regressors. It is shown that without modification the REML approach is seriously oversized and can have unit rejection probability in the limit under the null when the drift in the regressor is dominant. A limit theory …

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The Double Role Of Ethnic Heterogeneity In Explaining Welfare-State Generosity, Markus Jäntti, Gerald David Jaynes, John E. Roemer Dec 2014

The Double Role Of Ethnic Heterogeneity In Explaining Welfare-State Generosity, Markus Jäntti, Gerald David Jaynes, John E. Roemer

Cowles Foundation Discussion Papers

Based on theoretical models of budget-balanced social insurance and individual choice, we argue that in addition to the well-known empathy mechanism whereby ethnic heterogeneity undermines sentiments of solidarity among a citizenry to reduce welfare generosity, population heterogeneity affects the generosity of a polity’s social insurance programs through another distinct mechanism, political conflict . Ethnic heterogeneity likely intensifies political conflict and reduces welfare generosity because heterogeneity of unemployment risk makes it more difficult to achieve social consensus concerning tax-benefit programs. Utilizing two separate regression analyses covering highly diverse polities, the 50 U.S. states and District of Columbia (CPS data), and 13 …

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Informational Robustness And Solution Concepts, Dirk Bergemann, Stephen Morris Dec 2014

Informational Robustness And Solution Concepts, Dirk Bergemann, Stephen Morris

Cowles Foundation Discussion Papers

Consider the following “informational robustness” question: what can we say about the set of outcomes that may arise in equilibrium of a Bayesian game if players may observe some additional information? This set of outcomes will correspond to a solution concept that is weaker than equilibrium, with the solution concept depending on what restrictions are imposed on the additional information. We describe a unified approach encompassing prior informational robustness results, as well as identifying the solution concept that corresponds to no restrictions on the additional information; this version of rationalizability depends only on the support of players’ beliefs and implies …

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Informational Robustness And Solution Concepts, Dirk Bergemann, Stephen Morris Dec 2014

Informational Robustness And Solution Concepts, Dirk Bergemann, Stephen Morris

Cowles Foundation Discussion Papers

We discuss four solution concepts for games with incomplete information. We show how each solution concept can be viewed as encoding informational robustness. For a given type space, we consider expansions of the type space that provide players with additional signals. We distinguish between expansions along two dimensions. First, the signals can either convey payoff relevant information or only payoff irrelevant information. Second, the signals can be generated from a common (prior) distribution or not. We establish the equivalence between Bayes Nash equilibrium behavior under the resulting expansion of the type space and a corresponding more permissive solution concept under …

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Optimal Uniform Convergence Rates And Asymptotic Normality For Series Estimators Under Weak Dependence And Weak Conditions, Xiaohong Chen, Timothy M. Christensen Dec 2014

Optimal Uniform Convergence Rates And Asymptotic Normality For Series Estimators Under Weak Dependence And Weak Conditions, Xiaohong Chen, Timothy M. Christensen

Cowles Foundation Discussion Papers

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e., sup-norm) convergence rate ( n /log n ) - p /(2p+ d ) of Stone (1982), where d is the number of regressors and p is the smoothness of the regression function. The optimal rate is achieved even for heavy-tailed martingale difference errors with finite (2 + ( d/p ))th absolute moment for d/p < 2. We also establish the asymptotic normality of t statistics for possibly nonlinear, irregular functionals of the conditional mean function under weak conditions. The results are proved by deriving a new exponential inequality for sums of weakly dependent random matrices, which is of independent interest.

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Asymptotic Size Of Kleibergen's Lm And Conditional Lr Tests For Moment Condition Models, Donald W.K. Andrews, Patrik Guggenberger Dec 2014

Asymptotic Size Of Kleibergen's Lm And Conditional Lr Tests For Moment Condition Models, Donald W.K. Andrews, Patrik Guggenberger

Cowles Foundation Discussion Papers

An influential paper by Kleibergen (2005) introduces Lagrange multiplier (LM) and conditional likelihood ratio-like (CLR) tests for nonlinear moment condition models. These procedures aim to have good size performance even when the parameters are unidentified or poorly identified. However, the asymptotic size and similarity (in a uniform sense) of these procedures has not been determined in the literature. This paper does so. This paper shows that the LM test has correct asymptotic size and is asymptotically similar for a suitably chosen parameter space of null distributions. It shows that the CLR tests also have these properties when the dimension p …

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The Nonlinear Price Fynamics Of Us Equity Etfs, Gunduz Caginalp, Mark Desantis, Akin Sayrak Dec 2014

The Nonlinear Price Fynamics Of Us Equity Etfs, Gunduz Caginalp, Mark Desantis, Akin Sayrak

Economics Faculty Articles and Research

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in valuations, we report the impact of non-classical variables including price trend and volatility using data from 2008 to 2011. We find a cubic nonlinearity in the trend suggesting that traders are not only aware of the underreaction of others, but also self-optimize by anticipating others' reactions, and sell when the uptrend is stronger than usual.

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Preliminary 2014 Montana Nonresident Traveler Expenditures And Economic Contribution, Kara Grau Dec 2014

Preliminary 2014 Montana Nonresident Traveler Expenditures And Economic Contribution, Kara Grau

Institute for Tourism and Recreation Research Publications

This report shows the 2014 preliminary economic contributions, expenditures, and average daily spending of nonresident visitors to Montana.

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Keynote Address At The Executive Seminar On Exchange Rate Policy And Economic Management In Nigeria, Godwin I. Emefiele Dec 2014

Keynote Address At The Executive Seminar On Exchange Rate Policy And Economic Management In Nigeria, Godwin I. Emefiele

Economic and Financial Review

This is keynote address delivered by the Governor of Central Bank, Godwin I. Emefiele, on the executive seminar on exchange rate policy and economic development- Is there a need for paradigm shift?

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Exchange Rates, Capital Flows And Monetary Policy: Lessons From Emerging Market Economies, Biodun Adedipe Dec 2014

Exchange Rates, Capital Flows And Monetary Policy: Lessons From Emerging Market Economies, Biodun Adedipe

Economic and Financial Review

This paper proceeds in four sections as follows: section 1 is the introduction, section 2 gives a cursory summary of the literature on the 'trilemma-dilemma' that tend more towards the relevance of capital controls as an independent instrument in monetary policy irrespective of the exchange rate regime, while section 3 examines the evidence and effectiveness of the management of the process and relationships in emerging market economies (EME). Section 4 examines a country experience, while section 5 draws inferences for Nigeria and section 6 concludes with recommendations.

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Economic Analysis Of Michigan Commercial Vehicle Enforcement Strategies, Randy José Jorge Díaz Dec 2014

Economic Analysis Of Michigan Commercial Vehicle Enforcement Strategies, Randy José Jorge Díaz

Masters Theses

Transportation infrastructure is an essential component of a nation’s success as it allows efficient transportation of goods to all economic markets, providing economic stability and ensuring trade competiveness. Nearly 70 percent of all of Michigan’s freight is shipped by truck and Michigan is ranked eighth in the USA in terms of the value of its exports with $50 billion per year. Unfortunately, commercial vehicles also contribute to the deterioration of pavement, reducing air quality and potentially influencing road safety. To enforce commercial vehicle laws and regulations, most states utilize fixed weigh stations supplemented with other enforcement strategies. Although fixed weigh …

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Sources Of Productivity Spillovers: Panel Data Evidence From China, Badi H. Baltagi, Peter H. Egger, Michaela Kesina Dec 2014

Sources Of Productivity Spillovers: Panel Data Evidence From China, Badi H. Baltagi, Peter H. Egger, Michaela Kesina

Center for Policy Research

This paper assesses sources of productivity spillovers in China's electric and electronic manufacturing industry using a rich panel data-set of 25,360 firms observed over the period 2004-2007. This industry is characterized by its important reliance on technology. In particular, the paper focuses on the role of other firms' productivity as well as productivity shifters in affecting own firm-level total factor productivity. In addition, this paper examines the possible difference between spillovers from foreign-owned units and from units which participate at global markets through exporting in comparison to domestically-owned and non-exporting units. We find evidence of stronger spillovers from exporting firms …

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Sabbaticals, Kevin F. Hallock Dec 2014

Sabbaticals, Kevin F. Hallock

Economics Faculty Publications

With the year end upon you and many workplaces closing, reducing hours or accommodating employee vacations because of the holidays, this column focuses on rewards in the form of time away from work that is not so common -- sabbaticals. Sabbaticals are a generous benefit to those workers who have them. And they can clearly be an important part of a total rewards package. According to inc.com, while 5% of firms in the US offer sabbaticals, 25% of the companies listed in "Best Companies to Work For" offer them. Corporate sabbaticals, however, aren't typically as generous in length as those …

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Gross Domestic Product (Gdp) Rebasing And The Impact On Nigeria's Investment Environment, Bismark J. Rewane Dec 2014

Gross Domestic Product (Gdp) Rebasing And The Impact On Nigeria's Investment Environment, Bismark J. Rewane

Bullion

The paper looks at the impact of the rebasing on an important economic variable - investment. This is because investment is necessary for capital accumulation and economic growth. Specifically, this study examines the impact of GDP rebasing on Nigeria's investment environment. ln addition to this introduction section, section 2 considers GDP rebasing and the Nigerian case, section 3 is on the Nigerian Financial System Strategy (FSS) 2020, section 4 is on investment types, drivers and the Nigerian environment, section 5 offers some lessons for Nigeria and section 6 is the summary and conclusion.

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Gdp Rebasing And Implications For Fss 2020., Oluwatoyin Jokosenumi Dec 2014

Gdp Rebasing And Implications For Fss 2020., Oluwatoyin Jokosenumi

Bullion

A resilient economy founded upon a reliable financial system, is attainable upon the creation and management of a sound and progressive economic statistics and indicators such as the Gross Domestic Products (GDP) and other scholars’ parameters. This paper examines the GDP rebasing and its impact on Nigeria’s investment. The paper explains the concept of GDP; the need to maintain a strategic GDP; how it is computed and / or rebased. This is then followed by examining its implications, on all economic programs.

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Hispanic Entrepreneurship In Nebraska: Trends And Economic Profile, Lissette Aliaga-Linares Dec 2014

Hispanic Entrepreneurship In Nebraska: Trends And Economic Profile, Lissette Aliaga-Linares

Latino/Latin American Studies Policy Briefs

The growth of the Hispanic population in Nebraska was accompanied by a significant increase in Hispanic entrepreneurship at the beginning of the 2000s. From 2002 to 2007, the 3,065 Hispanic-owned businesses constituted a small but dynamic and resilient segment of business growth in the state. Did participation in self-employment decrease for Hispanics after the economic crisis of 2008? What are the characteristics of Hispanic-owned businesses and Hispanics business-owners in Nebraska? Do some of these characteristics reveal social or economic barriers that could prevent these businesses from succeeding?

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A Study Of Technical Efficiency Of Deposit Money Banks In Nigeria (2007 - 2012), Auwalu I. Fagge Dec 2014

A Study Of Technical Efficiency Of Deposit Money Banks In Nigeria (2007 - 2012), Auwalu I. Fagge

Bullion

This paper examines the technical efficiency of deposit money banks (DMBS') in Nigeria. Measures of technical efficiency are derived in the Nigerian deposit money banks (DMBS') by implementing non-parametric, data envelopment analysis technique on a cross section of 24 banks taken from 2007 to 2013. The efficiency concepts, measurement and methodology were discussed. The existence of technical efficiency is established. The result suggests that the sources of overall technical inefficiency, the observed issues are due to poor input utilization (managerial inefficiency) and failure to operate almost productive scale size. Therefore, in this research the paper suggests or considers some important …

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Special Remarks At The Executive Seminar On Exchange Rate Policy And Economic Management In Nigeria - Is There A Need For Paradigm Shift?, S.O. Alade Dec 2014

Special Remarks At The Executive Seminar On Exchange Rate Policy And Economic Management In Nigeria - Is There A Need For Paradigm Shift?, S.O. Alade

Economic and Financial Review

This is a special remark delivered by the Deputy Governor (Economic Policy) during the 23rd edition of the Annual Executive Seminar jointly organized by the Research and Human Resources Departments with the theme: "Exchange rate policy and economic management in Nigeria- Is there need for a paradigm shift?

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Empirical Exposition Of Monetary Policy Under Fixed And Managed Float Exchange Rate Regime: Any Lesson For Nigeria, F.O. Egwaikhide, M. Oyinlola, O. Adeniyi, D. B. Olanipekun Dec 2014

Empirical Exposition Of Monetary Policy Under Fixed And Managed Float Exchange Rate Regime: Any Lesson For Nigeria, F.O. Egwaikhide, M. Oyinlola, O. Adeniyi, D. B. Olanipekun

Economic and Financial Review

The paper empirically investigated the relationship between monetary aggregates and the exchange rate under alternative exchange rate regimes in Nigeria. Using data spanning 1961 to 2013 to estimate vector auto-regressive (VAR) models, a number of findings ensued.

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