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Articles 691 - 720 of 828
Full-Text Articles in Econometrics
Exchange-Rate Systems And Interest-Rate Behaviour: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip
Exchange-Rate Systems And Interest-Rate Behaviour: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip
Research Collection School Of Economics
The Currency Board System in Hong Kong and the monitoring band system in Singapore are important benchmarks for two different exchange-rate systems. In this paper we consider the implications of the two exchange-rate systems on the interest-rate behaviour of the two economies. We examine the domestic–US interest differentials under the two exchange-rate regimes during the Asian Financial Crisis as well as the pre-and post-crisis periods. Using a bivariate generalized autoregressive conditional heteroscedasticity model, we also investigate whether there is any change in the correlation between the domestic and US interest rates due to the Asian Financial Crisis.
Non-Fundamental Expectations And Economic Fluctuations: Evidence From Professional Forecasts, Keen Meng Choy, Kenneth Leong, Anthony S. Tay
Non-Fundamental Expectations And Economic Fluctuations: Evidence From Professional Forecasts, Keen Meng Choy, Kenneth Leong, Anthony S. Tay
Research Collection School Of Economics
It is theoretically possible that non-fundamental idiosyncratic shocks to agents’ rational expectations are a source of economic fluctuations. Studies using data on consumer and investor sentiment suggest that this is indeed an important source of fluctuations. We present the results of a study that uses forecasts from professional forecasters to extract non-fundamental shocks to expectations. In contrast to previous studies, we show that non-fundamental expectations are not a significant source of output fluctuations, although such shocks contributed to inflation.
Profile Likelihood Estimation Of Partially Linear Panel Data Models With Fixed Effects, Liangjun Su, Aman Ullah
Profile Likelihood Estimation Of Partially Linear Panel Data Models With Fixed Effects, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We consider consistent estimation of partially linear panel data models with fixed effects. We propose profile-likelihood-based estimators for both the parametric and nonparametric components in the models and establish convergence rates and asymptotic normality for both estimators.
Analysing Survey Data With Incomplete Responses By Using A Method Based On Empirical Likelihood, Denis H. Y. Leung, Jing Qin
Analysing Survey Data With Incomplete Responses By Using A Method Based On Empirical Likelihood, Denis H. Y. Leung, Jing Qin
Research Collection School Of Economics
In many surveys, missing response is a common problem. As an example, Zahner, Jacobs, Freeman and Trainor analysed data from a study of child psychopathology in the State of Connecticut, USA. In that study, the response variable, psychopathology, was inferred from questions that were addressed to teachers of the children and was subject to a high level of missingness. However, the missing responses were supplemented by surrogate information that was provided by the parents and/or the primary care providers of the children. In such a situation, it is conceivable that the supplemental information can be used to recover some of …
Forecasting The Global Electronics Cycle With Leading Indicators: A Bayesian Var Approach, Hwee Kwan Chow, Keen Meng Choy
Forecasting The Global Electronics Cycle With Leading Indicators: A Bayesian Var Approach, Hwee Kwan Chow, Keen Meng Choy
Research Collection School Of Economics
Developments in the global electronics industry are typically monitored by tracking indicators that span a whole spectrum of activities in the sector. However, these indicators invariably give mixed signals at each point in time, thereby hampering attempts at prediction. In this paper, we propose a unified framework for forecasting the global electronics cycle by constructing a VAR model that captures the economic interactions between putative leading indicators representing expectations, orders, inventories and prices. The ability of the indicators to presage world semiconductor sales is first examined by Granger causality tests. Subsequently, an impulse response analysis confirms the leading qualities of …
Functional Form And Spatial Dependence In Dynamic Panels, Zhenlin Yang, Chen Wei Li, Yiu Kuen Tse
Functional Form And Spatial Dependence In Dynamic Panels, Zhenlin Yang, Chen Wei Li, Yiu Kuen Tse
Research Collection School Of Economics
This paper proposes a generalized dynamic error component model that simultaneously accounts for the effects of functional form and spatial dependence. Maximum likelihood method is used for model estimation and inference. An empirical illustration using the demand for cigarettes data is given.
Multivariate Stochastic Volatility: A Review, Manabu Asai, Michael Mcaleer, Jun Yu
Multivariate Stochastic Volatility: A Review, Manabu Asai, Michael Mcaleer, Jun Yu
Research Collection School Of Economics
The literature on multivariate stochastic volatility (MSV) models has developed significantly over the last four years. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of MSV models is presented according to various categories, namely, (i) asymmetric models, (ii) factor models, (iii) time-varying correlation models, and (iv) alternative MSV specifications, including models based on the matrix exponential transformation, the Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods of diagnostic checking and …
The Rise In House Prices In China: Bubbles Or Fundamentals?, Jianying Hu, Liangjun Su, Sainan Jin, Wanjun Jiang
The Rise In House Prices In China: Bubbles Or Fundamentals?, Jianying Hu, Liangjun Su, Sainan Jin, Wanjun Jiang
Research Collection School Of Economics
The dramatic rise of house prices in many cities of China has brought huge attention from both the governmental and academic circles. There is a huge debate on whether the increasing house prices are driven by market fundamentals or just by speculation. Like Levin and Wright (1997a, 1997b), we decompose house prices in China into fundamental and non−fundamental components. We also consider potential nonlinear feedback from the historical growth rate of house prices on the current house prices and propose a semiparametric approach to estimate the speculative components in the model. We demonstrate that the non−fundamental part contributes a relatively …
Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy
Profiting From Mean-Reverting Yield Curve Trading Strategies, Choong Tze Chua, Winston T. H. Koh, Krishna Ramaswamy
Research Collection School Of Economics
This article studies a set of yield curve trading strategies that are based on the view that the yield curve mean reverts to an unconditional curve. These mean-reverting trading strategies exploit deviations in the level, slope, and curvature of the yield curve from historical norms. Some mean-reverting strategies were found to have significant positive profits. Furthermore, the profitability of one of these strategies significantly outperforms, on a risk-adjusted basis, alternative strategies of an investment bond or equity index.
A Semi-Parametric Estimator For Censored Selection Models With Endogeneity, Myoung-Jae Lee, Francis Vella
A Semi-Parametric Estimator For Censored Selection Models With Endogeneity, Myoung-Jae Lee, Francis Vella
Research Collection School Of Economics
We propose a semi-parametric least-squares estimator for a censored-selection (type 3 tobit) model under the mean independence of the outcome equation error u from the regressors given the selection indicator and its error term ɛ. This assumption is relatively weak in comparison to alternative estimators for this model and allows certain unknown forms of heteroskedasticity, an asymmetric error distribution, and an arbitrary relationship between the u and ɛ. The estimator requires only one-dimensional smoothing on the estimate of ɛ. We generalize the estimator to allow for an endogenous regressor whose equation contains an error w related to u and discuss …
More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors, Liangjun Su, Aman Ullah
More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We define a three-step procedure for more efficient estimation of the nonparametric regression mean with nonparametric autocorrelated errors. The procedure is based upon a nonparametric prewhitening transformation of the dependent variable that has to be estimated from the data by a local polynomial technique. We establish the asymptotic distribution of our estimator under weak dependence conditions and show that it is more efficient than the conventional local polynomial estimator. Furthermore, we consider criterion functions based on the linear exponential family, which include the local polynomial least squares criterion as a special case. Simulation evidence suggests that significant gains can be …
A Simple Test For Multivariate Conditional Symmetry, Liangjun Su
A Simple Test For Multivariate Conditional Symmetry, Liangjun Su
Research Collection School Of Economics
This paper proposes a simple consistent nonparametric test of multivariate conditional symmetry based on the principle of characteristic functions. The test statistic is shown to be asymptotically normal under the null and consistent against any conditional asymmetric distributions.
A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang
A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang
Research Collection School Of Economics
This paper proposes a class of nonlinear stochastic volatility models based on the Box-Cox transformation which offers an alternative to the one introduced in Andersen (1994). The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including the well known lognormal stochastic volatility model, and has an advantage in the ease with which different specifications on stochastic volatility can be tested. In addition, the functional form of transformation which induces marginal normality of volatility is obtained as a byproduct of this general way of modeling stochastic volatility. The efficient method of moments approach is used …
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Density Analysis, Anthony S. Tay, Christopher Ting
Research Collection School Of Economics
We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.
L S Penrose's Limit Theorem: Tests By Simulation, Pao Li Chang, Vincent Chua, Moshe Machover
L S Penrose's Limit Theorem: Tests By Simulation, Pao Li Chang, Vincent Chua, Moshe Machover
Research Collection School Of Economics
L S Penrose's Limit Theorem-which is implicit in Penrose (1952, p. 72) [Penrose, 1952. On the Objective Study of Crowd Behavior. H. K. Lewis and Co, London, p. 72] and for which he gave no rigorous proof-says that, in simple weighted voting games, if the number of voters increases indefinitely and the relative quota is pegged, then-under certain conditions-the ratio between the voting powers of any two voters converges to the ratio between their weights. Lindner and Machover (2004) [Lindner I., Machover M. 2004. L.S. Penrose's limit theorem: proof of some special cases. Mathematical Social Sciences 47, 37-49] prove some …
Semi-Parametric Inference In A Bivariate (Multivariate) Mixture Model, Denis H. Y. Leung, Jing Qin
Semi-Parametric Inference In A Bivariate (Multivariate) Mixture Model, Denis H. Y. Leung, Jing Qin
Research Collection School Of Economics
We consider estimation in a bivariate mixture model in which the component distributions can be decomposed into identical distributions. Previous approaches to estimation involve parametrizing the distributions. In this paper, we use a semi-parametric approach. The method is based on the exponential tilt model of Anderson (1979), where the log ratio of probability (density) functions from the bivariate components is linear in the observations. The proposed model does not require training samples, i.e., data with confirmed component membership. We show that in bivariate mixture models, parameters are identifiable. This is in contrast to previous works, where parameters are identifiable if …
Realized Variance And Market Microstructure Noise - Comment, Peter C. B. Phillips, Jun Yu
Realized Variance And Market Microstructure Noise - Comment, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
No abstract provided.
Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse
Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse
Research Collection School Of Economics
Using the Box-Cox regression model with heteroscedasticity (BCHR), we re-examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata () using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic. Furthermore, estimation of the BCHR model is straightforward and the confidence intervals of the BCHR regression quantiles are easy to compute.
An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse
An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse
Research Collection School Of Economics
Research in the literature shows that initial public offerings (IPOs) of common stocks are systematically priced at a discount to their subsequent initial trading price. The large underpricing magnitude in the Chinese IPO market has attracted much attention. We consider three hypotheses that may explain the IPO underpricing in China. These are the winner's curse hypothesis, the ex ante uncertainty hypothesis and the signaling hypothesis. Among these hypotheses, the winner's curse hypothesis has not been tested in the Chinese market. Using IPO data for online fixed-price offerings from November 1995 to December 1998, our results show that the winner's curse …
Cross-Validation In Nonparametric Regression With Outliers, Denis H. Y. Leung
Cross-Validation In Nonparametric Regression With Outliers, Denis H. Y. Leung
Research Collection School Of Economics
A popular data-driven method for choosing the bandwidth in standard kernel regression is cross-validation. Even when there are outliers ill the data, robust kernel regression can be used to estimate the unknown regression curve [Robust and Nonlinear Time Series Analysis. Lecture Notes in Statist. (1984) 26 163-184]. However, Under these Circumstances Standard cross-validation is no longer a satisfactory bandwidth selector because it is unduly influenced by extreme prediction errors caused by the existence of these Outliers. A more robust method proposed here is a cross-validation method that discounts the extreme prediction errors. In large samples the robust method chooses consistent …
A New Approach To Robust Inference In Cointegration, Sainan Jin, Peter Phillips, Yixiao Sun
A New Approach To Robust Inference In Cointegration, Sainan Jin, Peter Phillips, Yixiao Sun
Research Collection School Of Economics
A new approach to robust testing in cointegrated systems is proposed using non-parametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference.
Determinants Of Job Turnover Intentions: Evidence From Singapore, Xiaolin Xing, Zhenlin Yang
Determinants Of Job Turnover Intentions: Evidence From Singapore, Xiaolin Xing, Zhenlin Yang
Research Collection School Of Economics
This paper explores both observable and unobservable variables that would affect employed workers’ decisions on job change. We find that age, job satisfaction, satisfaction with working environment or job security, and firm size are among the major factors determining workers’ intentions of job-to-job mobility. Younger workers and workers in smaller firms are more likely to look for other jobs. We also find that men are more likely to consider a change in job than women, but when “actually looking for another job” is concerned, men and women do not differ. Furthermore, monthly income and working sector contribute significantly to looking …
Q-Convergence With Interquartile Ranges, Sung Jin Kang, Myoung-Jae Lee
Q-Convergence With Interquartile Ranges, Sung Jin Kang, Myoung-Jae Lee
Research Collection School Of Economics
We introduce a new convergence concept ‘Q-convergence’ which defines convergence in national incomes as a shrinking interquartile range (IQR) of the national income distribution. Compared with the other convergence definitions in the literature, Q-convergence has the following advantages. First, IQR, which represents dispersion and inequality of the income distribution, is also closely linked to the two-group clustering with the lower and upper quartiles being the ‘centers’ of the two groups. Second, IQR is equivariant to increasing transformations and thus reconciles better conflicting empirical findings using level or log data. Third, IQR is insensitive to outliers, leading to robust statistical inferences. …
Comment On "Realized Variance And Market Microstructure Noise" By Peter R. Hansen And Asger Lunde, Peter C. B. Phillips, Jun Yu
Comment On "Realized Variance And Market Microstructure Noise" By Peter R. Hansen And Asger Lunde, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical dimensions. From an empirical perspective, the near continuous recording of financial asset prices has opened up the intriguing possibility of fitting the quadratic variation process empirically, leading to what is possibly the most direct nonparametric measure of asset price volatility. The resulting quantity has become known in the financial econometrics literature as realized variance (RV) and …
On Leverage In A Stochastic Volatility Model, Jun Yu
On Leverage In A Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper is concerned with the specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well-known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier et al. (J. Econometrics 122 (2004) 185). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain and interpret the leverage …
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Duration Analysis, Anthony Tay
Intraday Stock Prices, Volume, And Duration: A Nonparametric Conditional Duration Analysis, Anthony Tay
Research Collection School Of Economics
We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.
Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu
Jackknifing Bond Option Prices, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Prices of interest rate derivative securities depend crucially on the mean reversion parameters of the underlying diffusions. These parameters are subject to estimation bias when standard methods are used. The estimation bias can be substantial even in very large samples and much more serious than the discretization bias, and it translates into a bias in pricing bond options and other derivative securities that is important in practical work. This article proposes a very general and computationally inexpensive method of bias reduction that is based on Quenouille's (1956; Biometrika, 43, 353-360) jackknife. We show how the method can be applied directly …
Drift And Diffusion Function Specification For Short-Term Interest Rates, Myoung-Jae Lee, Wen Juan Li
Drift And Diffusion Function Specification For Short-Term Interest Rates, Myoung-Jae Lee, Wen Juan Li
Research Collection School Of Economics
Various stochastic differential equation models for short rates (rt) have been proposed, where the change (Δrt = rt−rt−1) is modeled as a sum of drift and diffusion terms depending on rt−1. These models, however, have some shortcomings. First, the same model may not apply to all countries. Second, the drift and diffusion may depend not only on rt−1 but also on further lags. Third, not just the own lagged rates, but also other countries' rates may matter. These questions are empirically analyzed for six major countries with the following findings. …
Analysis Of Job-Training Effects On Korean Women, Myoung-Jae Lee, S. J. Lee
Analysis Of Job-Training Effects On Korean Women, Myoung-Jae Lee, S. J. Lee
Research Collection School Of Economics
We analyse job-training effects on Korean women for the period January 1999 to March 2000, using a large data set of size about 52,000. We employ a number of estimation techniques: Weibull MLE and accelerated failure time approach, which are both parametric; Cox partial likelihood estimator, which is semiparametric; and two pair-matching estimators, which are in essence nonparametric. All of these methods gave the common conclusion that job training for Korean women increased their unemployment duration. The trainings were not cost-effective in the sense that they took too much time 'locking in' the trainees during the training span, compared with …
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph K. W. Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse
Research Collection School Of Economics
This investigation of the switch from open-outcry trading to electronic trading on the Hang Seng Index (HSI) futures contract reveals that the bid–ask spread narrows and the futures price plays more of a role in information transmission. Factors, such as anonymity in trading and fast order execution in electronic trading, attract informed traders to the futures market, enhancing the information flow. Our results provide support for the worldwide trend of transforming open-outcry markets into electronic trading platforms