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2006

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Articles 1 - 30 of 75

Full-Text Articles in Econometrics

Rhode Island Current Conditions Index -- December 2006, Leonard Lardaro Dec 2006

Rhode Island Current Conditions Index -- December 2006, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu Dec 2006

Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new methodology is proposed to estimate theortical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is not necessarily the best method in finite samples. The present paper proposes instead a simulation-based method that improves the finite sample performance of the ML estimator while maintaining its good asymptotic properties. The methods are implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond pricing model, but have wider applicability. Monte Carlo …

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Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu Dec 2006

Maximum Likelihood And Gaussian Estimation Of Continuous Time Models In Finance, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approaches range from crude Euler-type approximations and higher order stochastic Taylor series expansions to more complex polynomial-based expansions and infill approximations to the likelihood based on a continuous time data record. The methods are discussed, their properties are outlined and their relative finite sample performance compared in a simulation experiment with the nonlinear CIR diffusion model, which …

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Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu Dec 2006

Indirect Inference For Dynamic Panel Models, Christian Gourieroux, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

It is well-known that maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series sample size (T) and large cross section sample size (N) asymptotics. The estimation bias is particularly relevant in practical applications when T is small and the autoregressive parameter is close to unity. The present paper proposes a general, computationally inexpensive method of bias reduction that is based on indirect inference (Gouriéroux et al., 1993), shows unbiasedness and analyzes efficiency. The method is implemented in a simple linear dynamic panel model, but has wider …

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Multivariate Stochastic Volatility, Manabu Asai, Michael Mcaleer, Jun Yu Dec 2006

Multivariate Stochastic Volatility, 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 few 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, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including quasi-maximum likelihood, simulated maximum likelihood, Monte Carlo likelihood, and Markov chain Monte Carlo methods, are discussed and compared. Various methods …

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Household Heterogeneity And Optimal Inter-Temporal Pricing For A Durable-Good Monopoly, Winston T. H. Koh Dec 2006

Household Heterogeneity And Optimal Inter-Temporal Pricing For A Durable-Good Monopoly, Winston T. H. Koh

Research Collection School Of Economics

In this paper, I extend the analysis in Koh (2006) to examine the optimality of inter-temporal price discrimination for a durable-good monopoly in a model where infinitely-lived households consume both durable goods and a stream of non-durable goods subject to different inter-temporal budget constraints. I also consider the multi-dimensional setting where households differ in both inter-temporal budget constraints and the utilities they derive from the consumption of the durable good.

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A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu Dec 2006

A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in [Jacod, J., 1994] and [Barndorff-Nielsen, O., Shephard, N., 2002], to provide a regression model for estimating the parameters in the diffusion function. In the second stage, the in-fill likelihood function is derived by means of the Girsanov theorem and then used to estimate the parameters in the drift function. Consistency and asymptotic distribution theory for these estimates are established in various contexts. The finite …

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Mixing Frequencies: Stock Returns As A Predictor Of Real Output Growth, Anthony S. Tay Dec 2006

Mixing Frequencies: Stock Returns As A Predictor Of Real Output Growth, Anthony S. Tay

Research Collection School Of Economics

We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with daily returns using a nonparametric Mixed Data Sampling (MIDAS) setting, and (ii) augmenting the quarterly AR(1) model with the most recent r -day returns as an additional predictor. We find that our mixed frequency models perform well in forecasting real output growth.

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Who Is Reading Nutritional Labels? (In Greek), Andreas Drichoutis, Panagiotis Lazaridis, Rodolfo M. Nayga, Jr. Nov 2006

Who Is Reading Nutritional Labels? (In Greek), Andreas Drichoutis, Panagiotis Lazaridis, Rodolfo M. Nayga, Jr.

Andreas Drichoutis

No abstract provided.

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Determinants Of Demand For Fruit In Greece (In Greek), Andreas Drichoutis, Stathis Klonaris, Panagiotis Lazaridis Nov 2006

Determinants Of Demand For Fruit In Greece (In Greek), Andreas Drichoutis, Stathis Klonaris, Panagiotis Lazaridis

Andreas Drichoutis

No abstract provided.

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Rhode Island Current Conditions Index -- November 2006, Leonard Lardaro Nov 2006

Rhode Island Current Conditions Index -- November 2006, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Rhode Island Current Conditions Index -- October 2006, Leonard Lardaro Oct 2006

Rhode Island Current Conditions Index -- October 2006, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Lottery Rather Than Waiting-Line Auction, Winston T. H. Koh, Zhenlin Yang, Lijing Zhu Oct 2006

Lottery Rather Than Waiting-Line Auction, Winston T. H. Koh, Zhenlin Yang, Lijing Zhu

Research Collection School Of Economics

This paper investigates the allocative efficiency of two non-price allocation mechanisms – the lottery (random allocation) and the waiting-line auction (queue system) – for the cases where consumers possess identical time costs (the homogeneous case), and where time costs are correlated with time valuations (the heterogeneous case). We show that the relative efficiency of the two mechanisms depends critically on a scarcity factor (measured by the ratio of the number of objects available for allocation over the number of participants) and on the shape of the distribution of valuations. We show that the lottery dominates the waiting-line auction for a …

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On Joint Modelling And Testing For Local And Global Spatial Externalities, Zhenlin Yang Oct 2006

On Joint Modelling And Testing For Local And Global Spatial Externalities, Zhenlin Yang

Research Collection School Of Economics

This paper concerns the joint modeling, estimation and testing for local and global spatial externalities. Spatial externalities have become in recent years a standard notion of economic research activities in relation to social interactions, spatial spillovers and dependence, etc., and have received an increasing attention by econometricians and applied researchers. While conceptually the principle underlying the spatial dependence is straightforward, the precise way in which this dependence should be included in a regression model is complex. Following the taxonomy of Anselin (2003, International Regional Science Review 26, 153-166), a general model is proposed, which takes into account jointly local and …

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A Mathematical Regression Of The U.S. Gross Private Domestic Investment 1959-2001, Byron E. Bell Sep 2006

A Mathematical Regression Of The U.S. Gross Private Domestic Investment 1959-2001, Byron E. Bell

Byron E. Bell

No abstract provided.

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A Mathematical Regression Of The U.S. Gross Private Domestic Investment 1959-2001, Byron E. Bell Sep 2006

A Mathematical Regression Of The U.S. Gross Private Domestic Investment 1959-2001, Byron E. Bell

Byron E. Bell

SUMMARY OF PROJECT What did I do? A study of the role the U.S. stock markets and money markets have possibly played in the Gross Private Domestic Investment (GPDI) of the United States from the year 1959 to the year 2001 and I created a Multiple Linear Regression Model (MLRM).

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Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer Sep 2006

Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer

Research Collection School Of Economics

In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications that are natural extensions to certain existing models, one of which allows for time-varying correlation coefficients. Ideas are illustrated by fitting, to a bivariate time series data of weekly exchange rates, nine multivariate SV models, including the specifications with Granger causality in volatility, time-varying correlations, heavy-tailed error distributions, additive factor structure, and multiplicative factor structure. Empirical results suggest that the best specifications …

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Rhode Island Current Conditions Index -- September 2006, Leonard Lardaro Sep 2006

Rhode Island Current Conditions Index -- September 2006, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Set Inference For Semiparametric Discrete Games, Kyoo-Il Kim Sep 2006

Set Inference For Semiparametric Discrete Games, Kyoo-Il Kim

Research Collection School Of Economics

We consider estimation and inference of parameters in discrete games allowing for multiple equilibria, without using an equilibrium selection rule. We do a set inference while a game model can contain infinite dimensional parameters. Examples can include signaling games with discrete types where the type distribution is nonparametrically specified and entry-exit games with partially linear payoffs functions. A consistent set estimator and a confidence interval of a function of parameters are provided in this paper. We note that achieving a consistent point estimation often requires an information reduction. Due to this less use of information, we may end up a …

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Higher Order Bias Correcting Moment Equation For M-Estimation And Its Higher Order Efficiency, Kyoo-Il Kim Sep 2006

Higher Order Bias Correcting Moment Equation For M-Estimation And Its Higher Order Efficiency, Kyoo-Il Kim

Research Collection School Of Economics

This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equation in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically bias-corrected estimator and the alternative estimator and finds that the third-order stochastic expansions of these two estimators are identical. This implies that at least in terms of the third order stochastic expansion, we cannot improve on the simple one-step bias correction by using the bias correction of moment equations. Though the result in this paper is for a fixed number of parameters, our intuition may …

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Semiparametric Estimation Of Signaling Games, Kyoo-Il Kim Sep 2006

Semiparametric Estimation Of Signaling Games, Kyoo-Il Kim

Research Collection School Of Economics

This paper studies an econometric modeling of a signaling game with two players where one player has one of two types. In particular, we develop an estimation strategy that identifies the payoffs structure and the distribution of types from data of observed actions. We can achieve uniqueness of equilibrium using a refinement, which enables us to identify the parameters of interest. In the game, we consider non-strategic public signals about the types. Because the mixing distribution of these signals is nonparametrically specified, we propose to estimate the model using a sieve conditional MLE. We achieve the consistency and the asymptotic …

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Uniform Convergence Rate Of The Snp Density Estimator And Testing For Similarity Of Two Unknown Densities, Kyoo-Il Kim Sep 2006

Uniform Convergence Rate Of The Snp Density Estimator And Testing For Similarity Of Two Unknown Densities, Kyoo-Il Kim

Research Collection School Of Economics

This paper studies the uniform convergence rate of the turncated SNP (semi-nonparametric) density estimator. Using the uniform convergence rate result we obtain, we propose a test statistic testing the equivalence of two unknown densities where two densities are estimated using the SNP estimator and supports of densities are possibly unbounded.

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Externality Effects Of Residential Property Values: The Example Of Noise Disamenities, David Clark Aug 2006

Externality Effects Of Residential Property Values: The Example Of Noise Disamenities, David Clark

David E. Clark

Studies conducted by the Federal Railroad Administration in the 1990s reveal that train whistle bans lead to higher accident rates at train crossings. However, advocates of these bans argue that they eliminate noise externalities that have a detrimental effect on residential home values. To assess this latter claim, an event study is conducted and hedonic models are estimated for three different areas in which Conrail unilaterally began ignoring local whistle bans. While the findings consistently show that proximity to rail lines has a negative and statistically important influence on home values, there is little evidence that the Conrail decision had …

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Assessment Of Capital Returns And Economics Of Investment In Khartoum Stock Exchange Market, Professor Issam A.W. Mohamed Aug 2006

Assessment Of Capital Returns And Economics Of Investment In Khartoum Stock Exchange Market, Professor Issam A.W. Mohamed

Professor Issam A.W. Mohamed

Financial markets in a country are parts of modern economic systems and have definite impacts of its economic performance. However, in an underdeveloped economic structure there can be other targets o hidden activities for them. Such assumptions are provoked under totalitarian economic systems that impose cartel monopolies in a autocratic compradorism that own most of the companies and their stocks. The institutional structure of the prevailing economic system avails negative cost/benefits dealings to continue unaffected as the main profits have to come from other resources, e.g., money laundry. The private sector has to be monopolized in order to sustain the …

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Rhode Island Current Conditions Index -- August 2006, Leonard Lardaro Aug 2006

Rhode Island Current Conditions Index -- August 2006, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Spectral Density Estimation And Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation, Peter C.B Philips, Yixiao Sun, Sainan Jin Aug 2006

Spectral Density Estimation And Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation, Peter C.B Philips, Yixiao Sun, Sainan Jin

Research Collection School Of Economics

A new class of kernels for long-run variance and spectral density estimation is developed by exponentiating traditional quadratic kernels. Depending on whether the exponent parameter is allowed to grow with the sample size, we establish different asymptotic approximations to the sampling distribution of the proposed estimators. When the exponent is passed to infinity with the sample size, the new estimator is consistent and shown to be asymptotically normal. When the exponent is fixed, the new estimator is inconsistent and has a nonstandard limiting distribution. It is shown via Monte Carlo experiments that, when the chosen exponent is small in practical …

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Nutritional Food Label Use: A Theoretical And Empirical Perspective, Andreas Drichoutis, Panagiotis Lazaridis, Rodolfo M. Nayga, Jr. Jul 2006

Nutritional Food Label Use: A Theoretical And Empirical Perspective, Andreas Drichoutis, Panagiotis Lazaridis, Rodolfo M. Nayga, Jr.

Andreas Drichoutis

No abstract provided.

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Food Involvement And Food Purchasing Behaviour, Andreas Drichoutis, Panagiotis Lazaridis, Rodolfo M. Nayga, Jr. Jul 2006

Food Involvement And Food Purchasing Behaviour, Andreas Drichoutis, Panagiotis Lazaridis, Rodolfo M. Nayga, Jr.

Andreas Drichoutis

No abstract provided.

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Consumer Confidence Surveys: Can They Help Us Forecast Consumer Spending In Real Time?, Dean D. Croushore Jul 2006

Consumer Confidence Surveys: Can They Help Us Forecast Consumer Spending In Real Time?, Dean D. Croushore

Economics Faculty Publications

In 1993, the Philadelphia Fed undertook a project to develop a real-time data set for macroeconomists, who can use these data in many ways — for example, when analyzing indexes of consumer confidence. existing research indicates that consumer-confidence measures, though highly correlated with future spending, do not improve forecasts of future spending. but these studies used revised data that were not available to forecasters at the time they made their forecasts. In this article, Dean Croushore uses the real-time data set to investigate an important question: Does using data available to forecasters at the time — that is, real-time data …

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Rhode Island Current Conditions Index -- July 2006, Leonard Lardaro Jul 2006

Rhode Island Current Conditions Index -- July 2006, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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