Econometrics Commons^™

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

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.

Buying A Better Air Force, Jenny O. Herald

Theses and Dissertations

The purpose of this study was twofold: (1) to capture the United States Government's revealed preference for air superiority using the hedonic pricing approach (HPA), and (2) to compare the characteristics of U.S. Air Force (USAF) fighter aircraft with those of the former Soviet Union to evaluate the effectiveness of the USAF fleet. The resulting analysis showed that the U.S. Government is paying for physical and performance characteristics such as engine thrust, service ceiling, range, and large-scale integrated circuit technology. However, evidence suggests that the government is not paying to have a relative advantage over the enemy based on the …

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

The Rhode Island Current Conditions Index

No abstract provided.

Developing An Aggregate Marginal Cost Per Flying Hour Model For The U.S. Air Force's F-15 Fighter Aircraft, Patrick D. Armstrong

Theses and Dissertations

This thesis applies econometric techniques to build a "marginal" cost per flying hour model for the U.S. Air Force's F-15CD and E fleets. It used monthly economic, programmatic, operational, and climatology data from FY01-FY04 to construct Depot Level Reparable (DLR) and Consumable (CONS) models on the aggregate level. It incorporated the use of panel data analysis to explore the effect each of the independent variables had on the CPFH rate by time and by base. This allowed it to capture not only the temporal (time) interactions, but also the spatial (cross-sectional) interactions, providing a more robust analysis of the dynamics …

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

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

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.

New York Camp Econometrics I Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

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

The Rhode Island Current Conditions Index

No abstract provided.

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

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

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.

Reform In Lieu Of Change: Tastes Great, Less Filling, Jonathan G.S. Koppell

Publications from President Jonathan G.S. Koppell

In this response to Light, Koppell argues that the increasing frequency of reform may reflect Congress's inability to make significant changes to the substance of entrenched government programs. Moreover, he observes that the more profound evolution in government has been the movement toward the market-based provision of services, which has created a demand for new competencies in the public sector.

Efficiency Of The Mutual Fund Industry: An Examination Of U.S. Domestic Equity Funds: 1995-2004, Chase J. Stewart

Gettysburg Economic Review

Investors have the ability to choose between two different management styles in the mutual fund industry. These two management styles differ in both the investment strategy type the fund executes and management costs, which are charged to the funds’ investors. First, investors may invest their funds in index funds, which employ a passive investment strategy. Here, investors expect to earn a rate of return equivalent to the market index—minus a small management fee—which the fund seeks to track. Alternatively, investors may choose active fund management. The returns of these mutual funds rely on stock selection ability of portfolio managers. Active …

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

The Rhode Island Current Conditions Index

No abstract provided.

Capital Stock Reading, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Capital stock reading: chain index readings — Shaikh, A., PhD. October 2006. Unpublished manuscript.
• OECD data series in K stock — Shaikh, A., PhD. October 20, 2006. Unpublished manuscript.
• Whelan, K. June 2000. A guide to the use of chain aggregated NIPA data. Finance and Economics Discussion Series No. 2000-35. Board of Governors of the Federal Reserve System, Division of Research and Statistics, Washington, DC.
• Marginal annotations and derivations on "a guide to the use of chain aggregated NIPA data" — Shaikh, A., PhD. No date given. Unpublished manuscript.
• Liu, Y., Hamalainen, N., & Wong, B.-S. 2003. …

Capacity Utilization Paper, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2006, January). Capacity utilization paper [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (n.d.). Reference list for a paper on capacity utilization [Reference list]. Unpublished manuscript.

• Morin, N., & Stevens, J. (2004, August). Estimating capacity utilization from survey data (Finance and Economics Discussion Series) [Working paper]. Board of Governors of the Federal Reserve System.

• U.S. Census Bureau. (2005, November). Instructions for the survey of plant capacity utilization during the fourth quarter 2005 [Instructional document]. U.S. Department of Commerce.

• Shaikh, A. (n.d.). R and r and capacity utilization rates for various countries [Printed …

Cointegration Capacity Utilization Paper Transparencies, Anwar Shaikh Phd

Archives of Anwar Shaikh

Shaikh, A. M., & Moudud, J. K. (2004, October 7). Measuring capacity utilization in OECD countries: A cointegration method [Draft manuscript]. Unpublished manuscript.

• Shaikh, A. (2006, January 22). Appendix I: Procedure using OLS to derive the long-run relation between output and the capital stock [Appendix]. Unpublished manuscript.

• Shaikh, A. (n.d.). Dummy variables and stability tests by country [Printed list]. Unpublished manuscript.

• Shaikh, A. (2005, June 8). Our capacity utilization model [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (2005, May 2). Logic of ARDL method [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (2005, April). EViews estimations: Eqardl00, eqardl01, …

Identifying Technically Efficient Fishing Vessels: A Non-Empty, Minimal Subset Approach, Alfonso Flores-Lagunes, William Clinton Horrace, Kurt E. Schnier

Center for Policy Research

There is a growing resource economics literature, concerning the estimation of the technical efficiency of fishing vessels utilizing the stochastic frontier model. In these models, vessel output is regressed on a linear function of vessel inputs and a random composed error. Using parametric assumptions on the regression residual, estimates of vessel technical efficiency are calculated as the mean of a truncated normal distribution and are often reported in a rank statistic as a measure of a captain's skill and used to estimate excess capacity within fisheries. We demonstrate analytically that these measures are potentially flawed, and extend the results of …

Aggregate Capital Stock Measures, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). Aggregate capital stock measures [Folder cover with handwritten notes]. Unpublished manuscript.

• Wasshausen, D., & Shaikh, A. (2007, January 3). Response and numerical example [Email correspondence]. Unpublished manuscript.

• Shaikh, A. (2006, November 26). The measurement of capital [Draft manuscript with handwritten edits]. Unpublished manuscript.

• Shaikh, A. (2006, December 23–24). Kstock accum rules numerical example [Excel spreadsheet printouts]. Unpublished manuscript.

• Shaikh, A. (2006, December 23). Aggregate rules in my general numerical example [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (2006, October 18). Numerical example of PIM bias [Handwritten notes]. Unpublished manuscript. …

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

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.

Panel Unit Root Tests And Spatial Dependence, Badi H. Baltagi, Georges Bresson, Alain Pirotte

Center for Policy Research

This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985-1998.

Choice Of Technique + Capital Valuation, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (1978, June 30). Notes on fixed capital: Outline [Handwritten notes].

• Shaikh, A. (1979, October 25). Fixed capital and discounting [Handwritten notes].

• Shaikh, A. (n.d.). Notes on depreciation [Handwritten notes].

• Shaikh, A. (1984, February 28). Paul Swanson dissertation: “A study of fixed capital and value theory” [Handwritten notes].

• Shaikh, A. (n.d.). Collective, law of one price, and capital stock (Sraffa and Marx) [Handwritten notes].

• Shaikh, A. (2006, July 21). Choice of technique and capital valuation [Handwritten notes].

• Shaikh, A. (2006, July 21). Price and quality [Handwritten notes].

• Shaikh, …

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 …

Thirwall Project, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Abu-Ismail, K. (2006, April). Exports and imports growth rates (1960–1999). Unpublished document.

• Puty, C. (2002, January 31). Email to Anwar Shaikh: Fwd: R: Cointegration (Discussion of cointegration and dummy variables with Riccardo Fiorito). Unpublished email correspondence.

• Contri, A., & Puty, C. (2001, August 13). Explaining Thirlwall’s law. Unpublished document.

• Handwritten notes on Thirwall’s law. (n.d.). Unpublished handwritten notes [Manuscript]. (A. Shaikh, PhD, author).

• Handwritten notes titled “structural breaks and regressions.” (2000, November 11). Unpublished handwritten notes [Manuscript]. (A. Shaikh, PhD, author).

• File hypothetical.wf1: Generating artificial data for terms …

The Asymptotics For Panel Models With Common Shocks, Chihwa Kao, Lorenzo Trapani, Giovanni Urga

Center for Policy Research

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are considered: cross sectional and time series dimensions can either be fixed or large; factors can either be observable or unobservable; the factor model can describe either cointegration relationship or a spurious regression, and we also consider the stationary case. We derive the rate of convergence and the distribution limits for the ordinary least squares (OLS) estimates …

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

Research Collection School Of Economics

No abstract provided.