Econometrics Commons^™

Macroconstants Of Development: A New Benchmark For The Strategic Development Of Advanced Countries And Firms, Andrey Bystrov, Vyacheslav Yusim, Tamilla Curtis

Dr. Tamilla Curtis

This research proposed a new indicator of countries’ development called “macroconstants of development”. The literature review indicates that the concept of "macroconstants of development" is not used at the moment in neither the theory nor the practice of industrial policy. Research of longitudinal data of total GDP, GDP per capita and their derivatives for most countries of the world was conducted. An analysis of statistical information has been done by employing econometric analyses.

Based on the analysis of the statistical data, which characterizes the development of large, technologically advanced countries in ordinary conditions, it was identified that the average acceleration …

Evaluating The Effectiveness Of Cooling Measures On Property Prices: An Exploration Of Alternative Econometric Techniques, Sock-Yong Phang, David Lee, Karol Wee, Kok-Fai Phoon

PHANG Sock Yong

No abstract provided.

Global Poverty Estimates: A Sensitivity Analysis, Shatakshee Dhongde, Camelia Minoiu

Shatakshee Dhongde

Clustering And Polarization In The Distribution Of Output: A Multivariate Perspective, Michele Battisti, Christopher Parmeter

Christopher F. Parmeter

No abstract provided.

Nonparametric Kernel Regression With Multiple Predictors And Multiple Shape Constraints, Pang Du, Christopher Parmeter, Jeffrey Racine

Christopher F. Parmeter

No abstract provided.

What Can We Learn From Benefit Transfer Errors? Evidence From 20 Years Of Research On Convergent Validity, Sapna Kaul, Kevin Boyle, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope

Christopher F. Parmeter

No abstract provided.

Due Diligence In Meta-Analysis To Support Benefit Transfer, Kevin Boyle, Christopher Parmeter, Brent Boehlert, Robert Paterson

Christopher F. Parmeter

No abstract provided.

Data-Driven Model Evaluation: A Test For Revealed Performance, Jeffrey Racine, Christopher Parmeter

Christopher F. Parmeter

No abstract provided.

Regression And Inference Under Smoothness Restrictions, Christopher Parmeter, Kai Sun, Daniel Henderson, Subal Kumbhakar

Christopher F. Parmeter

No abstract provided.

Does Atlanta Value Marta? Selecting An Autoregressive Model To Recover Willingness To Pay, Juan Moreno-Cruz, Gregory Macfarland, Laurie Garrow

Juan B. Moreno-Cruz

Understanding homeowners’ marginal willingness-to-pay (MWTP) for proximity to public transportation infrastructure is important for planning and policy. Naïve estimates of MWTP, however, may be biased as a result of spatial dependence, spatial correlation, and/or spatially endogenous variables. In this paper we discuss a class of spatial autoregressive models that control for these spatial effects, and apply them to sample data collected for the Atlanta, Georgia housing market. We provide evidence that a general-to-specific model selection methodology that relies on the generality of the spatial Durbin model (SDM) should be preferred to the classical specific-to-general methodology that begins with an assumption …

Peer Effects And Early Sexual Initiation For African-American Adolescents, Olugbenga Ajilore

Olugbenga Ajilore

Adolescent risky sexual behavior is serious problem that plagues the African-American population more than other ethnic groups. African-American males are more likely to be sexually active, have multiple partners, and have a higher incidence of sexually-transmitted diseases. This paper explores the role of peer effects on early sexual initiation for African-American youth. Most studies analyzing peer influences ignore the “reflection” problem that occurs with studying peer effects. One method of solving this problem is through the use of spatial econometrics. This study contributes to literature on adolescent risky sexual behavior by using a generalized spatial autoregressive approach to model peer …

The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest

James J Forest

In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on …

Governance-Default Risk Relationship And The Demand For Intermediated And Non-Intermediated Debt, Safdar Khan

Safdar Khan

No abstract provided.

A Simple Method To Visualize Results In Nonlinear Regression Models, Daniel Henderson, Subal Kumbhakar, Christopher Parmeter

Christopher F. Parmeter

No abstract provided.

Gdp Clustering: A Reappraisal, Michele Battisti, Christopher Parmeter

Christopher F. Parmeter

No abstract provided.

A Review Of The Bms Package For R, Shahram Amini, Christopher Parmeter

Christopher F. Parmeter

This paper describes the relative merits and attractiveness of the newest Bayesian model averaging package, BMS, available in the statistical software R to implement a Bayesian model averaging exercise. This package provides the user a wide range of customizable priors for conducting a BMA analysis, provides ample graphs to visualize results and offers several alternative model search mechanisms.

Normal Reference Bandwidths For The General Order, Multivariate Kernel Density Derivative Estimator, Christopher Parmeter, Daniel Hendseron

Christopher F. Parmeter

No abstract provided.

Smooth Coefficient Estimation Of A Seemingly Unrelated Regression, Daniel Henderson, Subal Kumbhakar, Qi Li, Christopher Parmeter

Christopher F. Parmeter

No abstract provided.

Bayesian Estimation Approaches To First-Price Auctions, Subal Kumbhakar, Christopher Parmeter, Efthymios Tsionas

Christopher F. Parmeter

This paper considers Bayesian estimation strategies for first-price auctions within the independent private value paradigm. We develop an ‘optimization’ error approach that allows for estimation of values assuming that observed bids differ from optimal bids. We further augment this approach by allowing systematic over or underbidding by bidders using ideas from the stochastic frontier literature. We perform a simulation study to showcase the appeal of the method and apply the techniques to timber auction data collected in British Columbia. Our results suggest that significant underbidding is present in the timber auctions.

Quasi-Experiments And Hedonic Property Value Methods, Christopher Parmeter, Jaren Pope

Christopher F. Parmeter

There has recently been a dramatic increase in the number of papers that have combined quasi-experimental methods with hedonic property models. This is largely due to the concern that cross-sectional hedonic methods may be severely biased by omitted variables. While the empirical literature has developed extensively, there has not been a consistent treatment of the theory and methods of combining hedonic property models with quasi-experiments. The purpose of this chapter is to fill this void. An effort is made to provide background information on the traditional hedonic theory, the traditional cross-sectional hedonic methods as well as the newer quasi-experimental hedonic …

Empirical Implementation Of Nonparametric First-Price Auction Models, Daniel Henderson, John List, Daniel Millimet, Christopher Parmeter, Michael Price

Christopher F. Parmeter

Although these estimators are popular in the literature, many key features necessary for proper implementation have yet to be uncovered. Here we provide several suggestions for nonparametric estimation of first-price auction models. Specifically, we show how to impose monotonicity of the equilibrium bidding strategy; a key property of structural auction models not guaranteed in standard nonparametric estimation. We further develop methods for automatic bandwidth selection. Finally, we discuss how to impose monotonicity in auctions with differing numbers of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.

Income Polarization, Convergence Tools And Mixture Analysis, Michele Battisti, Christopher Parmeter

Christopher F. Parmeter

Modeling the cross-country distribution of per capita using mixture analysis provides a natural platform for the recovery or detection of clubs of countries. Unfortunately, these mixture methods, when based on a strictly univariate approach are limiting towards one's ability to learn about the underlying process of the emergence of the clubs. This paper takes a fresh look at the sources contributing to the emergence of clubs in the distribution of cross-country output using bivariate and multivariate mixture analysis.

Empirical Evidence For Decreasing Returns To Scale In A Health Capital Model, Titus Galama, Patrick Hullegie, Meijer Erik, Sarah Outcault

Titus Galama

We estimate a health investment equation, derived from a health capital model that is an extension of the well-known Grossman model. Of particular interest is whether the health production function has constant returns to scale, as in the standard Grossman model, or decreasing returns to scale, as in the Ehrlich-Chuma model and extensions thereof. The model with decreasing returns to scale has a number of theoretically and empirically desirable characteristics that the constant returns model does not have. Although our empirical equation does not point-identify the decreasing returns to scale curvature parameter, it does allow us to test for constant …

Bayesian Model Averaging In R, Shahram Amini, Christopher Parmeter

Christopher F. Parmeter

Bayesian model averaging has increasingly witnessed applications across an array of empirical contexts. However, the dearth of available statistical software which allows one to engage in a model averaging exercise is limited. It is common for consumers of these methods to develop their own code, which has obvious appeal. However, canned statistical software can ameliorate one’s own analysis if they are not intimately familiar with the nuances of computer coding. Moreover, many researchers would prefer user ready software to mitigate the inevitable time costs that arise when hard coding an econometric estimator. To that end, this paper describes the relative …

Economies Of Scope Of Lending And Mobilizing Deposits In Microfinance Institutions: A Semiparametric Analysis, Valentina Hartarska, Christopher Parmeter, Denis Nadolynak

Christopher F. Parmeter

No abstract provided.

Using Econometrics: A Practical Guide, A. Studenmund

A. H. Studenmund

No abstract provided.

Economies Of Scope For Microfinance: Differences Across Output Measures, Valentina Hartarska, Christopher Parmeter, Denis Nadolynak, Beibei Zhu

Christopher F. Parmeter

In banking, scope economies of mobilizing deposits and lending are often estimated, while consideration of the same measures for microfinance institutions (MFI) is still in its infancy. An open issue remains regarding what characterizes an output of an MFI. Moreover, depending on the output used, do estimated scope economies differ? We use a novel data set for over 800 MFI across more than 70 countries to estimate economies of scope. Our findings suggest that statistical differences arise between estimates of scope economies. However, our qualitative findings indicate that both of these measures provide similar overviews of the landscape of scope …

Market Power, Eu Integration And Privatization: The Case Of Romania, Gabriel Asaftei, Christopher Parmeter

Christopher F. Parmeter

This paper investigates the effects on pricing behavior of firms in a transition economy resulting from integration into the European Union’s Common Market and changes in ownership. We use a semiparametric model with a rich panel of manufacturing firms in Romania from 1995 to 2003 to estimate firm-level markups. We find that markups are higher in more concentrated industries and less exposed to foreign competition. Trade integration appears to generally increase competitive pressure on markups. Industries exposed to more international competition experience a larger change in markups following integration into the European Union’s Common Market. However, as the initial impact …

Which Hedonic Models Can We Trust To Recover The Marginal Willingness To Pay For Environmental Amenities?, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope

Christopher F. Parmeter

The hedonic property value model is among our foremost tools for evaluating the economic consequences of policies that target the supply of local public goods, environmental services, and urban amenities. We design a theoretically consistent and empirically realistic Monte Carlo study of whether omitted variables seriously undermine the method’s ability to accurately identify economic values. Our results suggest that large gains in accuracy can be realized by moving from the standard linear specifications for the price function to a more flexible framework that uses a combination of spatial fixed effects, quasi-experimental identification, and temporal controls for housing market adjustment

The Benefit Transfer Challenges, Kevin Boyle, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope

Christopher F. Parmeter

Presidential Executive Order 12,866 requires federal agencies to design “cost-effective” regulations and to assess “costs and benefits” of these regulations on the basis of “the best reasonably obtainable scientific, technical, economic, and other information.” Benefit transfers are one economic approach used to estimate these benefits and costs, and the use of existing economic information to predict the effects of new policies is well established. However, advancing the practice of benefit transfers is crucial if economists are to play a role in developing federal policies. We review contributions to the benefit-transfer literature and present a unified conceptual framework to guide the …