Econometrics Commons^™

Rhode Island Current Conditions Index -- December 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Rhode Island Current Conditions Index -- November 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Rhode Island Current Conditions Index -- October 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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

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

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

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. …

Rhode Island Current Conditions Index -- September 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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 …

Rhode Island Current Conditions Index -- August 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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 …

Rhode Island Current Conditions Index -- July 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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.

Rhode Island Current Conditions Index -- June 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Banking Sector Reforms And Bank Consolidation: Conceptual Framework., Moses Ajayi

Bullion

Reforms are predicated upon the need for reorientation and repositioning of an existing status quo in order to attain an effective and efficient state The objective of this paper is, therefore, to present the conceptual framework for banking sector reforms. particularly, consolidation. The paper is divided into five sections. following the introduction, section ll conceptualizes the facets of reforms and conceptual issues on consolidation in the banking sector, while section ll discusses the critical success issues in banking sector consolidation. section IV presents concepts associated with country elements of banking elements of banking reforms, while section five concludes the paper. …

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 …

Rhode Island Current Conditions Index -- May 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Rhode Island Current Conditions Index -- April 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Rhode Island Current Conditions Index -- March 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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 (r_t) have been proposed, where the change (Δr_t = r_t−r_t−1) is modeled as a sum of drift and diffusion terms depending on r_t−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 r_t−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. …

Rhode Island Current Conditions Index -- February 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Rhode Island Current Conditions Index -- January 2005, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Technical Change, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (1989, July). Two basic comments on Duménil’s evaluation of the new technique and the profit rate [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (1982, November 2). Duménil paper on TROP [Handwritten notes discussing balanced growth, technical change, competition, and business cycles]. Unpublished manuscript.

• Shaikh, A. (n.d.). Two states A & B [Handwritten notes discussing capital-output ratio and real wage]. Unpublished manuscript.

• (2005, September 20). Classical biased technical change approach and its relevance to reality [Referee’s report for International Review of Applied Economics on Hiroaki Sasaki’s paper]. Unpublished manuscript.

• Sawyer, M. (2005, June 8). Letter to Anwar …

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Cox-Mcfadden Partial And Marginal Likelihoods For The Proportional Hazard Model With Random Effects, Jan Ondrich

Center for Policy Research

In survival analysis, Cox's name is associated with the partial likelihood technique that allows consistent estimation of proportional hazard scale parameters without specifying a duration dependence baseline. In discrete choice analysis, McFadden's name is associated with the generalized extreme-value (GEV) class of logistic choice models that relax the independence of irrelevant alternatives assumption. This paper shows that the mixed class of proportional hazard specifications allowing consistent estimation of scale and mixing parameters using partial likelihood is isomorphic to the GEV class. Independent censoring is allowed and I discuss approximations to the partial likelihood in the presence of ties. Finally, the …

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

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

Capacity Utiliz + Hick Adj, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2005, April 14). Capacity utiliz and Hick adj [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (2002, September). Aanotes (File: cointusgdpkstock1jamee.wf1) [Typed notes]. Unpublished manuscript.

Simulation-Based Two-Step Estimation With Endogenous Regressors, Kamhon Kan, Chihwa Kao

Center for Policy Research

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating the residuals of the reduced-form equation for endogenous regressors. The second step is a regression model (linear, latent or discrete) with the simulated residual as an additional regressor. In this paper we develop the asymptotic theory for the STS estimator and its rate of convergence.

On The Estimation And Inference Of A Panel Cointegration Model With Cross-Sectional Dependence, Jushan Bai, Chihwa Kao

Center for Policy Research

Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a factor structure. We derive the limiting distribution of a fully modified estimator for the panel cointegrating coefficients. We also propose a continuous-updated fully modified (CUP-FM) estimator). Monte Carlo results show that the CUP-FM estimator has better small sample properties than the two-step FM (2S-FM) and OLS estimators.

Simultaneous Equations In Ordered Discrete Responses With Regressor-Dependent Thresholds, Myoung-Jae Lee, A. Kimhi

Research Collection School Of Economics

The parameters of ordered discrete response (ODR) models are identified only up to a positive scale. In this paper, we examine the identification issue for simultaneous equations with ODR, where the well-known identification problem in simultaneous equations of recovering structural-form parameters from reduced-form parameters is compounded with the ODR identification problem. We allow the thresholds in ODR to be regressor dependent as well as constant; the former is particularly challenging because threshold parameters get mixed with regression parameters, adding one more dimension to the identification problem. We also explore a cross-equation restriction on threshold differences, under which the structural form …