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Articles 31 - 57 of 57
Full-Text Articles in Econometrics
Variation And Efficiency Of High-Frequency Betas, Congshan Zhang, Jia Li, Viktor Todorov, George Tauchen
Variation And Efficiency Of High-Frequency Betas, Congshan Zhang, Jia Li, Viktor Todorov, George Tauchen
Research Collection School Of Economics
This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify …
The Effect Of Female Representation On Revenue: A Study Of Gender Within The Film Industry, Riley Pranian
The Effect Of Female Representation On Revenue: A Study Of Gender Within The Film Industry, Riley Pranian
Honors College Theses
The art of film has captivated the world for generations — a central component of the captivation is the actors showcased on-screen. But unfortunately, the film industry is male-dominated. Since 1970, the consumption of media by adults and adolescents has increased (Vogel, 2020). This study will determine the relationship between a cast's female-to-male ratio and a film's revenue. The initial hypothesis is that the more women present in the cast, the higher the revenue - this relationship is assumed through increased demand for movies and the need for role models among women. This study’s foundation is the presence of a …
Aggregate Online Brand Name Pharmacy Price Dynamics For The United States And Mexico, Thomas M. Fullerton Jr., Steven L. Fullerton
Aggregate Online Brand Name Pharmacy Price Dynamics For The United States And Mexico, Thomas M. Fullerton Jr., Steven L. Fullerton
Border Region Modeling Project
Virtual cross-border medical tourism allows many residents in the United States to purchase brand name medicines from companies in Mexico without travelling there. Monthly economic reports indicate that the online brand name pharmaceutical product prices in Mexico are noticeably lower than the corresponding internet prices in the United States. There have been very few econometric studies on how these prices are linked and the dynamic nature of those relationships. Results in this study indicate that online medicine prices in Mexico respond very rapidly to online prices changes in the high-price market.
New York Camp Econometrics Xvi Program, Center For Policy Research
New York Camp Econometrics Xvi Program, Center For Policy Research
Camp Econometrics-Programs
No abstract provided.
Short-Term Household Economic Stress Effects On Retail Sales In El Paso: 2002-2019, Thomas M. Fullerton Jr., Patricia Arellano-Olague
Short-Term Household Economic Stress Effects On Retail Sales In El Paso: 2002-2019, Thomas M. Fullerton Jr., Patricia Arellano-Olague
Border Region Modeling Project
Economic stress indices are beginning to be developed as gauges of business cycle conditions for regional economies. Although the popularity of these metrics is increasing, there have been only a small number of studies that analyze the effectiveness of these tools for monitoring regional economic developments. This effort employs data for one such index that is maintained by The University of Texas at El Paso Border Region Modeling Project. The sample period covers December 2002 through March 2019. Specific components of the index include inflation, unemployment, and housing prices. Estimation results indicate that the effects of any changes in economic …
The Grid Bootstrap For Continuous Time Models, Yiu Lim Lui, Weilin Xiao, Jun Yu
The Grid Bootstrap For Continuous Time Models, Yiu Lim Lui, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This article proposes the new grid bootstrap to construct confidence intervals (CI) for the persistence parameter in a class of continuous-time models. It is different from the standard grid bootstrap of Hansen in dealing with the initial condition. The asymptotic validity of the CI is discussed under the in-fill scheme. The modified grid bootstrap leads to uniform inferences on the persistence parameter. Its improvement over in-fill asymptotics is achieved by expanding the coefficient-based statistic around its in-fill asymptotic distribution that is non-pivotal and depends on the initial condition. Monte Carlo studies show that the modified grid bootstrap performs better than …
Essays On Socioeconomic Shocks And Policies In Agriculture, Wilman Iglesias
Essays On Socioeconomic Shocks And Policies In Agriculture, Wilman Iglesias
Department of Agricultural Economics: Dissertations, Theses, and Student Research
The three chapters of this doctoral dissertation estimate the responses of agricultural productivity, production value of agriculture, and crop supply to some external shocks and policies. Using unique panel datasets for Colombia and the United States, this research provides new insights regarding the responsiveness of agriculture to some socioeconomic effects and related market policies. Chapter 1 studies the impact of armed conflicts in rural areas on legal agricultural productivity in Colombia by using a production function that includes violence shocks such as the forced intra-national displacement of the rural population from 1995 to 2017. Chapter 2 investigates the effect of …
Who Withdraws First? Line Formation During Bank Runs, Hubert János Kiss, Ismael Rodriguez-Lara, Alfonso Rosa-Garcia
Who Withdraws First? Line Formation During Bank Runs, Hubert János Kiss, Ismael Rodriguez-Lara, Alfonso Rosa-Garcia
ESI Working Papers
We study how lines form in front of banks. In our model, depositors choose first the level of effort to arrive early at the bank and then whether or not to withdraw their deposit. We argue that the informational environment (i.e., the possibility of observing the action of others) affects the emergence of bank runs and should, therefore, influence the line formation. We test this prediction experimentally. While the informational environment has no effect on the line formation when we look at the average level of effort, our findings suggest that the reasons to arrive early at the bank varies …
Agency, Benevolence And Justice, Prithvijit Mukherjee, J. Dustin Tracy
Agency, Benevolence And Justice, Prithvijit Mukherjee, J. Dustin Tracy
ESI Working Papers
We test for social norms regarding how Agents should select between risky prospects for Principals, including norms consistent with observations by Adam Smith. We elicit norms from subjects serving as ``impartial spectator[s]" about the choice of risky prospects selected by the Agents. We find strong evidence for the existence of norms, consistent with Smith's observations. Furthermore, we find that Agents are more likely to select more normative options. In contrast, we find that Principals' allocation for bonuses depends on the realization of the risky prospect rather than whether the Agents' choice was consistent with the norm.
A Posterior-Based Wald-Type Statistic For Hypothesis Testing, Yong Li, Xiaobin Liu, Tao Zeng, Jun Yu
A Posterior-Based Wald-Type Statistic For Hypothesis Testing, Yong Li, Xiaobin Liu, Tao Zeng, Jun Yu
Research Collection School Of Economics
A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions under the correct model specification. The new statistic can be explained as a posterior version of the Wald statistic and has several nice properties. First, it is well-defined under improper prior distributions. Second, it avoids Jeffreys–Lindley–Bartlett’s paradox. Third, under the null hypothesis and repeated sampling, it follows a χ2" role="presentation" style="box-sizing: border-box; margin: 0px; padding: 0px; display: inline-block; line-height: normal; font-size: 16.2px; word-spacing: normal; overflow-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; position: relative;">χ2 …
Occupation Density Estimation For Noisy High-Frequency Data, Congshan Zhang, Jia Li, Tim Bollerslev
Occupation Density Estimation For Noisy High-Frequency Data, Congshan Zhang, Jia Li, Tim Bollerslev
Research Collection School Of Economics
This paper studies the nonparametric estimation of occupation densities for semimartingale processes observed with noise. As leading examples we consider the stochastic volatility of a latent efficient price process, the volatility of the latent noise that separates the efficient price from the actually observed price, and nonlinear transformations of these processes. Our estimation methods are decidedly nonparametric and consist of two steps: the estimation of the spot price and noise volatility processes based on pre-averaging techniques and in-fill asymptotic arguments, followed by a kernel-type estimation of the occupation densities. Our spot volatility estimates attain the optimal rate of convergence, and …
Conditional Superior Predictive Ability, Jia Li, Zhipeng Liao, Rogier Quaedvlieg
Conditional Superior Predictive Ability, Jia Li, Zhipeng Liao, Rogier Quaedvlieg
Research Collection School Of Economics
This article proposes a test for the conditional superior predictive ability (CSPA) of a family of forecasting methods with respect to a benchmark. The test is functional in nature: under the null hypothesis, the benchmark’s conditional expected loss is no more than those of the competitors, uniformly across all conditioning states. By inverting the CSPA tests for a set of benchmarks, we obtain confidence sets for the uniformly most superior method. The econometric inference pertains to testing conditional moment inequalities for time series data with general serial dependence, and we justify its asymptotic validity using a uniform non-parametric inference method …
Locational Error In The Estimation Of Regional Discrete Choice Models Using Distance As A Regressor, Giuseppe Arbia, Paolo Berta, Carrie B. Dolan
Locational Error In The Estimation Of Regional Discrete Choice Models Using Distance As A Regressor, Giuseppe Arbia, Paolo Berta, Carrie B. Dolan
Arts & Sciences Articles
In many microeconometric studies distance from a relevant point of interest (such as a hospital) is often used as a predictor in a regression framework. Confidentiality rules, often, require to geo-mask spatial micro-data, reducing the quality of such relevant information and distorting inference on models’ parameters. This paper extends previous literature, extending the classical results on the measurement error in a linear regression model to the case of hospital choice, showing that in a discrete choice model the higher is the distortion produced by the geo-masking, the higher will be the downward bias in absolute value toward zero of the …
A Panel Clustering Approach To Analyzing Bubble Behavior, Yanbo Liu, Peter C. B. Phillips, Jun Yu
A Panel Clustering Approach To Analyzing Bubble Behavior, Yanbo Liu, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This study provides new mechanisms for identifying and estimating explosive bubbles in mixed-root panel autoregressions with a latent group structure. A post-clustering approach is employed that combines a recursive k-means clustering al-gorithm with panel-data test statistics for testing the presence of explosive roots in time series trajectories. Uniform consistency of the k-means clustering algorithm is established, showing that the post-clustering estimate is asymptotically equivalent to the oracle counterpart that uses the true group identities. Based on the estimated group membership, right-tailed self-normalized t-tests and coefficient-based J-tests, each with pivotal limit distributions, are introduced to detect the explosive roots. The usual …
Nonignorable Missing Data, Single Index Propensity Score And Profile Synthetic Distribution Function, Xuerong Chen, Denis H. Y. Leung, Jing Qin
Nonignorable Missing Data, Single Index Propensity Score And Profile Synthetic Distribution Function, Xuerong Chen, Denis H. Y. Leung, Jing Qin
Research Collection School Of Economics
In missing data problems, missing not at random is difficult to handle since the response probability or propensity score is confounded with the outcome data model in the likelihood. Existing works often assume the propensity score is known up to a finite dimensional parameter. We relax this assumption and consider an unspecified single index model for the propensity score. A pseudo-likelihood based on the complete data is constructed by profiling out a synthetic distribution function that involves the unknown propensity score. The pseudo-likelihood gives asymptotically normal estimates. Simulations show the method compares favorably with existing methods.
The No-Arbitrage Hypothesis And Inertia In Forward Markets, José Luis Ferreira, Praveen Kujal, Stephen Rassenti
The No-Arbitrage Hypothesis And Inertia In Forward Markets, José Luis Ferreira, Praveen Kujal, Stephen Rassenti
ESI Working Papers
Allaz (1992) showed that the no-arbitrage condition in forward markets is obtained as a feature of the equilibrium if the model allows for strategic behavior on the part of the buyers. He showed that having active buyers is equivalent to passive buyers plus the no-arbitrage hypothesis. We test this experimentally in a forward market by allowing for active buyer’s under exogenously or endogenously determined market closure. We further test an inertia hypothesis that looks at whether past participation in a spot-market results in quantities being limited in the forward market stage. Importantly, the no-arbitrage condition can only be tested with …
Effect Of Health Aid On Life Expectancy In Sub-Saharan Africa, Sakiru Oladele Akinbode Dr., Isiaq O. Oseni
Effect Of Health Aid On Life Expectancy In Sub-Saharan Africa, Sakiru Oladele Akinbode Dr., Isiaq O. Oseni
Journal for the Advancement of Developing Economies
No abstract provided.
Long-Run Effects Of Austerity, Guilherme Klein Martins
Long-Run Effects Of Austerity, Guilherme Klein Martins
Economics Department Working Paper Series
This paper provides evidence that austerity shocks have long-run negative effects on GDP. Besides addressing the important gap in the growing fiscal research regarding the short time horizon of the estimations, this paper analyzes two other important assumptions made in the literature regarding the (i) symmetry of episodes of fiscal expansion and con- traction and (ii) uniformity of fiscal multipliers for different sizes of shocks. We use narrative fiscal shocks and propensity score reweighting in a local projections setup to account for the potential endogeneity of austerity policies and the non-linearity of its effects over time. The estimation is also …
Dimensional Analysis And Logarithmic Transformations In Applied Econometrics, Deepankar Basu
Dimensional Analysis And Logarithmic Transformations In Applied Econometrics, Deepankar Basu
Economics Department Working Paper Series
In economics, it is common to use dimensioned variables, e.g. earn- ings (measured in dollars per year), as arguments in the logarithmic function. This is conceptually problematic because a logarithmic func- tion can only take dimensionless quantities as its argument. One way to avoid this conceptual error is to rewrite commonly used logarithmic regressions using an arbitrarily chosen reference unit so that ratios of dimensioned quantities are used in logarithmic functions. With the addition of a zero conditional mean assumption about the reference unit to the standard list of assumptions about asymptotic properties of ordinary least squares estimators, such a …
Permutation-Based Tests For Discontinuities In Event Studies, Federico Bugni, Jia Li
Permutation-Based Tests For Discontinuities In Event Studies, Federico Bugni, Jia Li
Research Collection School Of Economics
We propose using a permutation test to detect discontinuities in an underlying economic model at a cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing …
Reading The Candlesticks: An Ok Estimator For Volatility, Jia Li, Dishen Wang, Qiushi. Zhang
Reading The Candlesticks: An Ok Estimator For Volatility, Jia Li, Dishen Wang, Qiushi. Zhang
Research Collection School Of Economics
Academic research on nonparametric “spot” volatility inference often relies on high-quality transaction data that are not available to an average investor. Most investors, however, have free access to intraday candlestick charts through their online trading applications. Based on such data, we propose an Optimal candlesticK (OK) estimator for the spot volatility at a given time point. Under a standard infill asymptotic setting for Itˆo semimartingale price process, we show that the OK estimator is asymptotically unbiased and has minimal asymptotic variance within a class of linear estimators. In addition, its estimation error can be coupled by a Brownian functional, whose …
Uniform Nonparametric Inference For Spatially Dependent Panel Data: The Xtnpsreg Command, Jia Li, Zhipeng Liao, Wenyu Zhou
Uniform Nonparametric Inference For Spatially Dependent Panel Data: The Xtnpsreg Command, Jia Li, Zhipeng Liao, Wenyu Zhou
Research Collection School Of Economics
In this article, we introduce a command, xtnpsreg, that implements a uniform nonparametric inference procedure for possibly unbalanced panel datasets with general forms of spatio-temporal dependence. We demonstrate how to apply this command in several use cases, including (i) the nonparametric estimation of conditional mean function and its marginal response; (ii) the construction of uniform confidence bands for these nonparametric functional parameters; (iii) specification tests for parametric model restrictions; and (iv) the estimation and uniform inference for functional coefficients in semi-nonparametric models.
Improving Estimation Efficiency Via Regression-Adjustment In Covariate-Adaptive Randomizations With Imperfect Compliance, Liang Jiang, Oliver B. Linton, Haihan Tang, Yichong Zhang
Improving Estimation Efficiency Via Regression-Adjustment In Covariate-Adaptive Randomizations With Imperfect Compliance, Liang Jiang, Oliver B. Linton, Haihan Tang, Yichong Zhang
Research Collection School Of Economics
We study how to improve efficiency via regression adjustments with additional covariates under covariate-adaptive randomizations (CARs) when subject compliance is imperfect. We first establish the semiparametric efficiency bound for the local average treatment effect (LATE) under CARs. Second, we develop a general regression-adjusted LATE estimator which allows for parametric, nonparametric, and regularized adjustments. Even when the adjustments are misspecified, our proposed estimator is still consistent and asymptotically normal, and their inference method still achieves the exact asymptotic size under the null. When the adjustments are correctly specified, our estimator achieves the semiparametric efficiency bound. Third, we derive the optimal linear …
Capital Nationality And Economic Development, Guilherme Klein Martins
Capital Nationality And Economic Development, Guilherme Klein Martins
Economics Department Working Paper Series
This paper reviews different literature strands and performs an empirical test to evaluate how capital ownership, particularly its nationality, might affect long-run economic develop- ment. Our results indicate that low and middle-income countries with larger foreign capital stock in 1980 had lower economic growth over the next 39 years. The estimations also indi- cate that these economies developed a less specialized export basket, which became relatively more concentrated in low-tech goods. The results are inverted to high-income economies, for which the effects are positive on GDP growth and export specialization and complexi- fication. The results are in line with the …
Perishable Goods Versus Re-Tradable Assets: A Theoretical Reappraisal Of A Fundamental Dichotomy, Sabiou M. Inoua, Vernon L. Smith
Perishable Goods Versus Re-Tradable Assets: A Theoretical Reappraisal Of A Fundamental Dichotomy, Sabiou M. Inoua, Vernon L. Smith
ESI Working Papers
Although various typologies of goods are commonly adopted in economics, one stood out in market experiment results contrasting market stability and efficiency with market instability: non-durable, or perishable, goods (Smith, 1962) versus durable re-tradable assets (Smith et al., 1988; Dickhaut et al., 2012; S. D. Gjerstad et al., 2015). This dichotomy of goods also proved central for understanding macroeconomic instability more broadly: about 75% of consumer spending is bought for final consumption, and is a rock of stability; instability arises from the other 25% re-tradable goods, most prominently, houses (S. D. Gjerstad & Smith, 2014). In this chapter, we revisit …
Learning Before Testing: A Selective Nonparametric Test For Conditional Moment Restrictions, Jia Li, Zhipeng Liao, Wenyu Zhou
Learning Before Testing: A Selective Nonparametric Test For Conditional Moment Restrictions, Jia Li, Zhipeng Liao, Wenyu Zhou
Research Collection School Of Economics
This paper develops a new test for conditional moment restrictions via nonparametric series regression, with approximating series terms selected by Lasso. Machine-learning the main features of the unknown conditional expectation function beforehand enables the test to seek power in a targeted fashion. The data-driven selection, however, also tends to distort the test’s size nontrivially, because it restricts the (growing-dimensional) score vector in the series regression on a random polytope, and hence, effectively alters the score’s asymptotic normality. A novel critical value is proposed to account for this truncation effect. We establish the size and local power properties of the proposed …
Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou
Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou
Research Collection School Of Economics
The linkage among the realized volatilities of component stocks is important when modeling and forecasting the relevant index volatility. In this article, the linkage is measured via an extended Common Correlated Effects (CCEs) approach under a panel heterogeneous autoregression model where unobserved common factors in errors are assumed. Consistency of the CCE estimator is obtained. The common factors are extracted using the principal component analysis. Empirical studies show that realized volatility models exploiting the linkage effects lead to significantly better out-of-sample forecast performance, for example, an up to 32% increase in the pseudo R2. We also conduct various forecasting exercises …