Econometrics Commons^™

Some Economic Issues In Indian Textile Sector, Badri Narayanan G.

Badri Narayanan G.

No abstract provided.

Fitting Event-History Models To Uneventful Data, Douglas A. Wolf, Thomas M. Gill

Center for Policy Research

Data with which to study disability dynamics usually take the form of successive current-status measures of disability rather than a record of events or spell durations. One recent paper presented a semi-Markov model of disability dynamics in which spell durations were inferred from sequences of current-status measures taken at 12-month intervals. In that analysis, it was assumed that no unobserved disablement transitions occurred between annual interviews. We use data from a longitudinal survey in which participants' disability was measured at monthly intervals, and simulate the survival curves for remaining disabled that would be obtained with 1- and 12-month follow-up intervals. …

Rhode Island Current Conditions Index — December 2007, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Long Run Covariance Matrices For Fractionally Integrated Processes, Peter C. B. Phillips, Sik Kim Chang

Research Collection School Of Economics

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d ∈ [0,½). The theory is then applied to deliver formulas for the long-run covariance matrices of multivariate time series with long memory.Phillips acknowledges partial support from a Kelly Fellowship and from the NSF under grant SES 04-142254. This may be proved directly using a Fourier integral asymptotic expansion when the spectrum of the short-memory component is analytic.

A Consistent Characteristic Function-Based Test For Conditional Independence, Liangjun Su, Halbert White

Research Collection School Of Economics

Y is conditionally independent of Z given X if Pr{f(y|X,Z)=f(y|X)}=1 for all y on its support, where f(·|·) denotes the conditional density of Y given (X,Z) or X. This paper proposes a nonparametric test of conditional independence based on the notion that two conditional distributions are equal if and only if the corresponding conditional characteristic functions are equal. We extend the test of Su and White (2005. A Hellinger-metric nonparametric test for conditional independence. Discussion Paper, Department of Economics, UCSD) in two directions: (1) our test is less sensitive to the choice of bandwidth sequences; (2) our test has power …

Global Analysis Of An Expectations Augmented Evolutionary Dynamics, Angelo Antoci, Antonio Gay, Massimiliano Landi, Pier Luigi Sacco

Research Collection School Of Economics

We consider a deterministic evolutionary model where players form expectations about future play. Players are not fully rational and have expectations that change over time in response to current payoffs and feedback from the past. We provide a complete characterization of the qualitative dynamics so induced for a two strategies population game, and relate our findings to standard evolutionary dynamics and equilibrium selection when agents have rational forward looking expectations.

Nonstationary Discrete Choice: A Corrigendum And Addendum, Peter C. B. Phillips, Sainan Jin, Ling Hu

Research Collection School Of Economics

We correct the limit theory presented in an earlier paper by Hu and Phillips [2004a. Nonstationary discrete choice. Journal of Econometrics 120, 103-138] for nonstationary time series discrete choice models with multiple choices and thresholds. The new limit theory shows that, in contrast to the binary choice model with nonstationary regressors and a zero threshold where there are dual rates of convergence (n1/4 and n3/4), all parameters including the thresholds converge at the rate n3/4. The presence of nonzero thresholds therefore materially affects rates of convergence. Dual rates of convergence reappear when stationary variables are present in the system. Some …

Incidental Trends And The Power Of Panel Unit Root Tests, Hyungsik Roger Moon, Benoit Perrron, Peter C. B. Phillips

Research Collection School Of Economics

The asymptotic local power of various panel unit root tests is investigated. The (Gaussian) power envelope is obtained under homogeneous and heterogeneous alternatives. The envelope is compared with the asymptotic power functions for the pooled t-test, the Ploberger and Phillips [2002. Optimal testing for unit roots in panel data. Mimeo] test, and a point optimal test in neighborhoods of unity that are of order n-1/4T-1 and n-1/2T-1, depending on whether or not incidental trends are extracted from the panel data. In the latter case, when the alternative hypothesis is homogeneous across individuals, it is shown that the point optimal test …

Análisis De La Colusión De Empresas En Un Esquema De Teoría De Juegos: Comentarios Y Reflexiones, Vicente German-Soto, José Luis Escobedo

Vicente German-Soto

Rhode Island Current Conditions Index — November 2007, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Direction-Of-Change Forecasts Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, Yiu Kuen Tse

Research Collection School Of Economics

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.

Un-Balanced Economic Growth, Hing-Man Leung

Research Collection School Of Economics

Since the elasticity of substitution between capital and labor is not always one, and since technical progress is not always Harrod-neutral, it is desirable to have an endogenous growth model that admits all sizes of the elasticity and all known technology modes. We derive an equation to do just that, fully describing the per capita income growth rate at all times. It shows a typical economy needing hundreds if not thousands of years to reach its long term growth rate, leading to the conclusion that even the short run may be very long indeed.

More Efficient Estimation Of Nonparametric Panel Data Models With Random Effects, Liangjun Su, Aman Ullah

Research Collection School Of Economics

We propose a class of two-step estimators for nonparametric panel data models with random effects that are more efficient than the conventional least squares estimators. We establish asymptotic normality for the proposed estimators and derive the most efficient estimator in the class.

Avoiding Arbitrary Exclusion Restrictions Using Ratios Of Reduced-Form Estimates, Myoung-Jae Lee, Pao-Li Chang

Research Collection School Of Economics

We show how to obtain coherent structural-form (SF) exclusion restrictions using the reduced-form (RF) parameter ratios. It will be shown that an over-identified SF corresponds to a group of regressors sharing the same RF ratio value; those regressors should be excluded jointly from the SF. If there is no group structure, then the SF is just-identified; in this case, however, it is no longer clear which regressor should be excluded. Hence, just-identified SF’s are more arbitrary than over-identified SF’s in terms of exclusion restrictions. This is in stark contrast to the notion that the former is less arbitrary than the …

Improved Maximum-Likelihood Estimation For The Common Shape Parameter Of Several Weibull Populations, Zhenlin Yang, Dennis K. J. Lin

Research Collection School Of Economics

The biasness problem of the maximum-likelihood estimate (MLE) of the common shape parameter of several Weibull populations is examined in detail. A modified MLE (MMLE) approach is proposed. In the case of complete and Type II censored data, the bias of the MLE can be substantial. This is noticeable even when the sample size is large. Such a bias increases rapidly as the degree of censorship increases and as more populations are involved. The proposed MMLE, however, is nearly unbiased and much more efficient than the MLE, irrespective of the degree of censorship, the sample sizes, and the number of …

Some Empirics On Economic Growth Under Heterogeneous Technology, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

A new econometric approach to testing for economic growth convergence is overviewed. The method is applicable to panel data, involves a simple regression based one-sided t-test, and can be used to form a clustering algorithm to assess the existence of growth convergence clubs. The approach allows for heterogeneous technology, utilizes some new asymptotic theory for nonlinear dynamic factor models, and is easy to implement. Some background growth theory is given which shows the form of augmented Solow regression (ASR) equations in the presence of heterogeneous technology and explains sources of potential misspecification that can arise in conventional formulations of ASR …

A Descriptive Analysis Of The Spanish Automobile Market In The 1990'S, Xosé-Luís Varela-Irimia

Xosé-Luís Varela-Irimia

This paper provides an overview of the automobile market in Spain during the 1990's, from the point of view of quality improvement and new product commercialization trends.

Rhode Island Current Conditions Index — August 2007, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Regression With Slowly Varying Regressors And Nonlinear Trends, Peter C. B. Phillips

Research Collection School Of Economics

Slowly varying (SV) regressors arise commonly in empirical econometric work, particularly in the form of semilogarithmic regression and log periodogram regression. These regressors are asymptotically collinear. Usual regression formulas for asymptotic standard errors are shown to remain valid, but rates of convergence are affected and the limit distribution of the regression coefficients is shown to be one dimensional. Some asymptotic representations of partial sums of SV functions and central limit theorems with SV weights are given that assist in the development of a regression theory. Multivariate regression and polynomial regression with SV functions are considered and shown to be equivalent, …

A Dynamic-Trend Exponential Smoothing Model, Don Miller, Dan Williams

Publications and Research

Forecasters often encounter situations in which the local pattern of a time series is not expected to persist over the forecasting horizon. Since exponential smoothing models emphasize recent behavior, their forecasts may not be appropriate over longer horizons. In this paper, we develop a new model in which the local trend line projected by exponential smoothing converges asymptotically to an assumed future long-run trend line, which might be an extension of a historical long-run trend line. The rapidity of convergence is governed by a parameter. A familiar example is an economic series exhibiting persistent long-run trend with cyclic variation. This …

Integracion Profunda En El Mercosur. Un Analisis En La Perspectiva De Paraguay, Francisco Carlos Ruiz Diaz

Francisco Carlos Ruiz Diaz

No abstract provided.

Rhode Island Current Conditions Index — July 2007, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Instrumental Variable Quantile Estimation Of Spatial Autoregressive Models, Zhenlin Yang

Research Collection School Of Economics

We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is also robust against outliers and requires weaker moment conditions. More importantly, it allows us to characterize the heterogeneous impact of variables on different points (quantiles) of a response distribution. We derive the limiting distribution of the new estimator. Simulation results show that the new estimator performs well in finite samples at various quantile points. In the special …

Financial Variables As Predictors 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 discover that adding low frequency stock returns (up to annual returns, depending on forecast horizon) to a quarterly AR(1) model improves forecasts of output …

Estimation Of Impulse Response Functions Using Long Autoregression, Pao Li Chang, Shinichi Sakata

Research Collection School Of Economics

This article proposes an alternative methodology to estimate impulse response functions without imposing parametric restrictions. The impulse responses are estimated by regressing the series of interest on estimated innovations, which are the residuals obtained from a prior-stage ‘long autoregression.’ We establish the consistency and asymptotic normality of the proposed estimator. The proposed estimator is closely related to the estimator of Jordà (2005, American Economic Review 95, 161–182). Our large sample analysis, as a byproduct, establishes the asymptotic equivalence between Jordà's estimator and our estimator, and provides justifications for the statistical inference method used in Jordà (2005).

Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse

Research Collection School Of Economics

Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.

A Corrected Plug-In Method For Quantile Interval Construction Through A Transformed Regression, Zhenlin Yang, Yiu Kuen Tse

Research Collection School Of Economics

We propose a corrected plug-in method for constructing confidence intervals of the conditional quantiles of an original response variable through a transformed regression with heteroscedastic errors. The interval is easy to compute. Factors affecting the magnitude of the correction are examined analytically through the special case of Box-Cox regression. Monte Carlo simulations show that the new method works well in general and is superior over the commonly used delta method and the quantile regression method. An empirical application is presented. [PUBLICATION ABSTRACT]

Indirect Inference For Dynamic Panel Models, 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 …

Introduction To Research Methodologies, Professor Issam A.W. Mohamed

Professor Issam A.W. Mohamed

In this book, I introduce basics of research methodologies in Arabic language which I believe is an unprecedented step. The conceptions, research frameworks, sampling and some detailed methods are given in this text book. Moreover, some analytical statistical methods are introduced to give insights to researchers. Methods of writing the scientific reports and papers in addition to documentation of references and classifying the required logical process of a thesis are detailed in this text. I introduce this book that was published by the Africa International University in Khartoum, Sudan for the purpose of helping sub and post graduate university students …

Rhode Island Current Conditions Index — June 2007, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.