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2009

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Articles 1 - 30 of 73

Full-Text Articles in Econometrics

Rhode Island Current Conditions Index — December 2009, Leonard Lardaro Dec 2009

Rhode Island Current Conditions Index — December 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Empirical Likelihood In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung Dec 2009

Empirical Likelihood In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung

Research Collection School Of Economics

Missing data is a ubiquitous problem in medical and social sciences. It is well known that inferences based only on the complete data may not only lose efficiency, but may also lead to biased results if the data is not missing completely at random (MCAR). The inverse-probability weighting method proposed by Horvitz and Thompson (1952) is a popular alternative when the data is not MCAR. The Horvitz–Thompson method, however, is sensitive to the inverse weights and may suffer from loss of efficiency. In this paper, we propose a unified empirical likelihood approach to missing data problems and explore the use …

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Rhode Island Current Conditions Index — November 2009, Leonard Lardaro Nov 2009

Rhode Island Current Conditions Index — November 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Data Mining As Applied To The Social Sciences, Walter Morris, Dyson School Of Arts And Sciences Nov 2009

Data Mining As Applied To The Social Sciences, Walter Morris, Dyson School Of Arts And Sciences

Cornerstone 3 Reports : Interdisciplinary Informatics

No abstract provided.

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Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Daniel P. A. Preve, Anders Eriksson, Jun Yu Nov 2009

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Daniel P. A. Preve, Anders Eriksson, Jun Yu

Research Collection School Of Economics

This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen and Shephard (2001) and Nielsen and Shephard (2003) by way of a Box-Cox transformation. It is semiparametric in the sense that the dependency structure and the distributional form of its error component are left unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Its out-of-sample performance is evaluated against a number of standard methods, using data on S&P 500 monthly realized volatilities. The competing models include the exponential …

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Economic Transition And Growth, Peter C. B. Phillips, Donggyu Sul Nov 2009

Economic Transition And Growth, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

Some extensions of neoclassical growth models are discussed that allow for cross-section heterogeneity among economies and evolution in rates of technological progress over time. The models offer a spectrum of transitional behavior among economies that includes convergence to a common steady-state path as well as various forms of transitional divergence and convergence. Mechanisms for modeling such transitions, measuring them econometrically, assessing group behavior and selecting subgroups are developed in the paper. Some econometric issues with the commonly used augmented Solow regressions are pointed out, including problems of endogeneity and omitted variable bias which arise under conditions of transitional heterogeneity. Alternative …

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Automated Likelihood Based Inference For Stochastic Volatility Models, H. Skaug, Jun Yu Nov 2009

Automated Likelihood Based Inference For Stochastic Volatility Models, H. Skaug, Jun Yu

Research Collection School Of Economics

The Laplace approximation is used to perform maximum likelihood estimation of univariate and multivariate stochastic volatility (SV) models. It is shown that the implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic differentiation (AD). Several algorithms are proposed and compared with some existing maximum likelihood methods using both simulated data and actual data. It is found that the new methods match the statistical efficiency of the existing methods while significantly reducing the coding effort. Also proposed are simple methods for obtaining the filtered, smoothed and predictive values for the latent variable. …

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Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu Nov 2009

Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread …

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Econometric Analysis Of Continuous Time Models: A Survey Of Peter Philip’S Work And Some New Results, Jun Yu Nov 2009

Econometric Analysis Of Continuous Time Models: A Survey Of Peter Philip’S Work And Some New Results, Jun Yu

Research Collection School Of Economics

Econometric analysis of continuous time models has drawn the attention of Peter Phillips for nearly 40 years, resulting in many important publications by him. In these publications he has dealt with a wide range of continuous time models and econometric problems, from univariate equations to systems of equations, from asymptotic theory to nite sample issues, from parametric models to nonparametric models, from identication problems to estimation and inference problems, from stationary models to nonstationary and nearly nonstationary models. This paper provides an overview of Peter Phillips' contributions in the continuous time econometrics literature. We review the problems that have been …

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Stimulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug Nov 2009

Stimulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug

Research Collection School Of Economics

In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility from the joint density of return and volatility, a modified efficient importance sampling technique is used after the continuous time model is approximated using the Euler-Maruyama scheme. The Monte Carlo studies show that the method works well and the empirical applications illustrate usefulness of the method. Empirical results provide strong evidence against the Heston model.

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Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu Nov 2009

Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu

Research Collection School Of Economics

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in nite discrete samples and in large in-…ll samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process with a known long run mean when discretely sampled data are available. The first expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression does not work satisfactorily when the …

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Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu Nov 2009

Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu

Research Collection School Of Economics

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …

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Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu Nov 2009

Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu

Research Collection School Of Economics

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. Some asymptotic properties of the Evans …

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Rhode Island Current Conditions Index — October 2009, Leonard Lardaro Oct 2009

Rhode Island Current Conditions Index — October 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah Oct 2009

A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity, Liangjun Su, Aman Ullah

Research Collection School Of Economics

In this paper we propose a nonparametric test for conditional heteroskedasticity based on a new measure of nonparametric goodness-of-fit (R2). In analogy with the ANOVA tools for classical linear regression models, the nonparametric R2 is obtained for the local polynomial regression of the residuals from a parametric regression on some covariates. It is close to 0 under the null hypothesis of conditional homoskedasticity and stays away from 0 otherwise. Unlike most popular parametric tests in the literature, the new test does not require the correct specification of parametric conditional heteroskedasticity form and thus is able to detect all kinds of …

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A Semi-Parametric Two-Stage Projection Type Estimator Of Multivalued Treatment Effects, Aurobindo Ghosh Oct 2009

A Semi-Parametric Two-Stage Projection Type Estimator Of Multivalued Treatment Effects, Aurobindo Ghosh

Research Collection School Of Economics

One of the most well documented regularities in evaluation literature like returns to schooling(or funding for programs) is that several factors come together to confound the measurement of its effect. First, in observational studies the true return is often individual specific, and so it is almost impossible to use a traditional treatment effect models with randomly assigned treatment and control groups. This endogeneity in the model further exacerbates our inability to conduct such trials. Second, the problem is not a classical treatment effect measurement problem where we have discrete or more often binary treatments. Hence, techniques like measuring the Local …

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Rhode Island Current Conditions Index — September 2009, Leonard Lardaro Sep 2009

Rhode Island Current Conditions Index — September 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Econometric Forecasting And High-Frequency Data Analysis, Yiu Kuen Tse, Yiu Kuen Tse Sep 2009

Econometric Forecasting And High-Frequency Data Analysis, Yiu Kuen Tse, Yiu Kuen Tse

Research Collection School of Economics

This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.

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Testing Structural Change In Conditional Distributions Via Quantile Regressions, Liangjun Su, Zhijie Xiao Sep 2009

Testing Structural Change In Conditional Distributions Via Quantile Regressions, Liangjun Su, Zhijie Xiao

Research Collection School Of Economics

We propose tests for structural change in conditional distributions via quantile regressions. To avoid misspecification on the conditioning relationship, we construct the tests based on the residuals from local polynomial quantile regressions. In particular, the tests are based upon the cumulative sums of generalized residuals from quantile regressions and have power against local alternatives at rate n−1/2. We derive the limiting distributions for our tests under the null hypothesis of no structural change and a sequence of local alternatives. The proposed tests apply to a wide range of dynamic models, including time series regressions with m.d.s. errors, as well as …

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Simulation-Based Estimation Of Contingent-Claims Prices, Peter C. B. Phillips, Jun Yu Sep 2009

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 theoretical 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. This paper proposes a simulation-based method. When it is used in connection with ML, it can improve the finite-sample performance of the ML estimator while maintaining its good asymptotic properties. The method is implemented and evaluated here in the Black-Scholes option pricing model and in the Vasicek bond and …

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Rhode Island Current Conditions Index — August 2009, Leonard Lardaro Aug 2009

Rhode Island Current Conditions Index — August 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C. B. Phillips, Sainan Jin Aug 2009

Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C. B. Phillips, Sainan Jin

Research Collection School Of Economics

Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the finite sample distributions than the conventional large-rho limit distribution. We prove that the second-order corrected critical value based on an asymptotic expansion of the nonstandard limit distribution is also second-order correct under the large-rho asymptotics. As a further contribution, we propose a new practical procedure for selecting the test-optimal power parameter that addresses the central …

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Rhode Island Current Conditions Index — July 2009, Leonard Lardaro Jul 2009

Rhode Island Current Conditions Index — July 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Are Credit Unions In Ecuador Achieving Economies Of Scale?, Nick A. Marchio Jul 2009

Are Credit Unions In Ecuador Achieving Economies Of Scale?, Nick A. Marchio

Economics Honors Projects

This study tests the assertion that membership growth in credit unions is constrained by their unique structural features, such as their non-profit mission and member-based ownership. Although these features enhance inclusiveness, existing theory suggest that they work against efficiency when membership grows too diffuse. To address this issue, this study uses a model that takes into account existing theory on constrained-optimization in credit unions and theory on the adverse effects of diffuse ownership. Using data on 36 public credit unions in Ecuador, the empirical analysis finds evidence that credit unions can achieve economies of scale despite their problematic structural features. …

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Efficient Parameter Estimation In Longitudinal Data Analysis Using A Hybrid Gee Method, Denis H. Y. Leung, You Gan Wang, Min Zhu Jul 2009

Efficient Parameter Estimation In Longitudinal Data Analysis Using A Hybrid Gee Method, Denis H. Y. Leung, You Gan Wang, Min Zhu

Research Collection School Of Economics

The method of generalized estimating equations (GEEs) provides consistent estimates of the regression parameters in a marginal regression model for longitudinal data, even when the working correlation model is misspecified (Liang and Zeger, 1986). However, the efficiency of a GEE estimate can be seriously affected by the choice of the working correlation model. This study addresses this problem by proposing a hybrid method that combines multiple GEEs based on different working correlation models, using the empirical likelihood method (Qin and Lawless, 1994). Analyses show that this hybrid method is more efficient than a GEE using a misspecified working correlation model. …

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Opportunities For Comparative Research In Public Health Pbrns : A Baseline Analysis Of Local Practice Settings, Glen P. Mays, Sharla A. Smith, Elaine B. Wootten, Sylvia J. Porchia Jun 2009

Opportunities For Comparative Research In Public Health Pbrns : A Baseline Analysis Of Local Practice Settings, Glen P. Mays, Sharla A. Smith, Elaine B. Wootten, Sylvia J. Porchia

Health Management and Policy Presentations

This analysis describes the organizational and operational characteristics of local public health agencies participating in an initial cohort of five (5) public health PBRNs in the U.S. We examine variation in practice settings within and between PBRNs; compare practice settings to state and national norms; and identify opportunities for comparative research that can be conducted through PBRNs.

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Does Sorting Make A Difference In The Sat’S Prediction Of Course Grades And Cumulative Gpa At Macalester College?, Yuen Ting Liu Jun 2009

Does Sorting Make A Difference In The Sat’S Prediction Of Course Grades And Cumulative Gpa At Macalester College?, Yuen Ting Liu

Economics Honors Projects

This paper estimates the predictive power of the SAT for college success. Most studies use GPA as a proxy for college success, but GPA is subject to differing grading standards across instructors and departments. Using individual course grades of Macalester College students from 1996 to 2005, this paper uses fixed effects to control for students sorting themselves into particular departments and courses. After controlling for sorting by major, a general trend emerges: the Math SAT is more predictive for science and math-related social science majors while the Verbal SAT is more predictive for language majors. After controlling for sorting by …

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Rhode Island Current Conditions Index — June 2009, Leonard Lardaro Jun 2009

Rhode Island Current Conditions Index — June 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Commentary, Dean D. Croushore Jun 2009

Commentary, Dean D. Croushore

Economics Faculty Publications

It is a pleasure to discuss Richard Anderson and Charles Gascon’s (2009) article on their attempt to develop a state-space model to measure potential output growth in the face of data revisions. They use the methodology of Cunningham et al. (2007) applied to real output, to see if they can develop a better measure of potential output than other researchers. Such an approach seems promising, and they develop a unique method to study the data.

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Econometric Theory And Practice, Peter C. B. Phillips Jun 2009

Econometric Theory And Practice, Peter C. B. Phillips

Research Collection School Of Economics

Econometrics has been evolving as a discipline over the last decade in a way that has successfully brought theory and practice much closer together. Many of the developments are associated with laptop computing, the increasing availability of electronic databases, and the convenience of modern econometric software and matrix programming languages. The changes that have occurred affect us at every level as teachers, researchers, practitioners, readers, reviewers, and authors. No journal can stand still in the face of such changes. This editorial speaks to these changes and the way they impact our subject, our authors, and our readership.

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