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Articles 31 - 60 of 73
Full-Text Articles in Econometrics
Econometric Theory And Practice, Peter C. B. Phillips
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.
Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin
Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin
Research Collection School Of Economics
This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and time series (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge [Wooldridge, J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models. It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem …
A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu
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. Limit of random measures associated with the increments of a Brownian semiartingal. Working paper, Laboratoire de Probabilities, Universite Pierre et Marie Curie, Paris] and [Barndorff-Nielsen, O., Shephard, N., 2002. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society. Series B, 64, 253-280], to provide a regression model for estimating the parameters …
Does Unemployment Decrease Cancer Mortality?, Benjamin Torres Galick
Does Unemployment Decrease Cancer Mortality?, Benjamin Torres Galick
Economics Honors Projects
Recent research indicates that healthier lifestyles during recessions decrease the most common U.S. mortalities, but not cancer. However, they combine specific cancer mortalities with different progressions into one, possibly obscuring cancer’s link to unemployment. This paper estimates a fixed-effects regression model on unemployment and the nine most prevalent cancers between 1988 and 2002 using state-level panel data. Five cancers and total cancer are procyclical, and suggest that unemployment affects both incidence and gestation for some cancers. Consistent with the medical literature, this paper contradicts previous economic research and suggests that behavioral factors significantly impact cancer mortality.
Rhode Island Current Conditions Index — May 2009, Leonard Lardaro
Rhode Island Current Conditions Index — May 2009, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su
Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) cointegrating regression equation is consistent with a limiting (mixed) normal distribution irrespective of the endogeneity in the regressor, near integration as well as integration in the regressor, and serial dependence in the regression equation. The present paper shows that some closely related results apply in the case of structural nonparametric regression with independent data when there are continuous …
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C. B. Phillips, Liangjun Su
A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears to be a paradox, as knowing the true functional form should not in general be detrimental in regression. In the present case, local regression methods turn out to have a distinct advantage because of endogeneity in the regressor. The paradox arises because additional correct information is not necessarily advantageous when information is incomplete. In the …
Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka
Research Collection School Of Economics
This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara (2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley–Hvidkjaer–O'Hara framework by allowing the probabilities of good news and bad news …
New York Camp Econometrics Iv Program, Center For Policy Research
New York Camp Econometrics Iv Program, Center For Policy Research
Camp Econometrics-Programs
No abstract provided.
Rhode Island Current Conditions Index — April 2009, Leonard Lardaro
Rhode Island Current Conditions Index — April 2009, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Japanese Players In Major League Baseball: An Econometric Analysis Of Labor Discrimination, Kyle Audet
Japanese Players In Major League Baseball: An Econometric Analysis Of Labor Discrimination, Kyle Audet
Honors Projects in Economics
In recent years, Major League Baseball (MLB) teams have increasingly drawn talent from the international market. This study employs econometric techniques to test the various labor discrimination issues facing Japanese players playing in America’s MLB. There have been remarkably few studies focusing on Japanese players in MLB. Data from the 1995 to 2007 season has been analyzed. High degrees of discriminatory pay scales are found for Japanese pitchers. The findings suggest that Japanese batters do not face such pay discrimination. Positional discrimination has also been the subject of investigation. Japanese players are found to be disproportionally pitchers. Suggestions for future …
Limit Theory For Dating The Origination And Collapse Of Mildly Explosive Periods In Time Series Data, Jun Yu, Peter C. B. Phillips
Limit Theory For Dating The Origination And Collapse Of Mildly Explosive Periods In Time Series Data, Jun Yu, Peter C. B. Phillips
Research Collection School Of Economics
Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse dates of bubbles involving mildly explosive episodes set within longer periods where the data evolve as a stochastic trend. The dating estimators are shown to be consistent under mild regularity conditions on the process. Some simulation evidence on the performance of the estimators is reported. The proposed method works well in finite samples and …
Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors, Tassos Magdalinos, Peter C. B. Phillips
Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors, Tassos Magdalinos, Peter C. B. Phillips
Research Collection School Of Economics
An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form rho(ni) = 1 + c(i)/n(alpha), involving moderate deviations from unity when alpha is an element of (0, 1) and c(i) is an element of R are constant parameters. When the data are moderately integrated in the stationary direction (with c(i) < 0), it is shown that least squares regression is consistent and asymptotically normal but suffers from significant bias, related to simultaneous equations bias. In the moderately explosive case (where c(i) > 0) the limit theory is mixed normal with Cauchy-type tail behavior, and the rate of convergence is explosive, as in the case of a moderately explosive scalar autoregression (Phillips and …
Rhode Island Current Conditions Index — March 2009, Leonard Lardaro
Rhode Island Current Conditions Index — March 2009, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Testing Conditional Uncorrelatedness, Liangjun Su, Aman Ullah
Testing Conditional Uncorrelatedness, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges to the standard normal distribution asymptotically. We also study the local power property of the test. Simulation shows that the test behaves quite well in finite samples.
Rhode Island Current Conditions Index — February 2009, Leonard Lardaro
Rhode Island Current Conditions Index — February 2009, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
The Effect Of Domestic Investment, Economic Growth And Human Development On Foreign Direct Investment Into China, Mike Paolino
The Effect Of Domestic Investment, Economic Growth And Human Development On Foreign Direct Investment Into China, Mike Paolino
Empirical Economic Bulletin, An Undergraduate Journal
This paper examines the relationship between foreign direct investment, domestic investment, human development, and economic growth, and uses the ordinary least squared technique, and a time series analysis using data for the period 1977-2007. The analysis seeks to answer the fundamental question of what impact Chinese domestic investment, economic growth, and human development has on foreign direct investment into the country. Research regarding foreign direct investment and its fundamental correlation with economic growth and domestic investment has produced varied results. This paper examines those variables, with the addition of human development variables, where research is partial. This paper seeks to …
The Effect Of Aid Dependency And Quality Of Institution In Alleviating Poverty In Ida Countries, Mahah Mirza
The Effect Of Aid Dependency And Quality Of Institution In Alleviating Poverty In Ida Countries, Mahah Mirza
Empirical Economic Bulletin, An Undergraduate Journal
Poverty alleviation has been a topic of much discussion ever since the Millennium Development Goals were set by World Bank in the 1990s. This paper examines to what extent aid dependency and quality of institution affect 31 IDA countries in achieving the first of eight MDG. The study provides evidence that although these IDA countries experience a decrease in poverty, it may not be enough to meet MDGs by 2015. Aid dependency increases the poverty level whereas some Quality of Institution indicators such as control of corruption, rule of law and regulatory quality have greater impact in reducing poverty than …
Rhode Island Current Conditions Index — January 2009, Leonard Lardaro
Rhode Island Current Conditions Index — January 2009, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
The Effect Of Aging Populations On Inflation, Andrew Stone
The Effect Of Aging Populations On Inflation, Andrew Stone
Empirical Economic Bulletin, An Undergraduate Journal
This research uses panel data of 66 high and middle income countries to examine the inflation effects of demographics. The primary objective of this research is to show that consumer prices change based on the amount of retired persons in a nation. The double log model used in this paper also includes interest rates and uses data from 1991-2007 in order to demonstrate the most recent demographic shifts. The results showing inflationary pressure coming from young retirees compliment the Modigliani life-cycle hypothesis that this age group consists of net consumers, while the deflationary pressures provided by the working aged population …
Effects Of Globalization On Income Inequality In High Income Countries, Craig Bradford
Effects Of Globalization On Income Inequality In High Income Countries, Craig Bradford
Empirical Economic Bulletin, An Undergraduate Journal
This paper examines the relationship between technology, trade liberalization, and financial globalization in incomes inequality, focusing on high income countries. We find that technological progress has a smaller effect on income inequality in high income countries than in middle and low income countries. It is also found that increases in the percentage of workers in the services industry decreases Income Inequality by a significant amount. The GINI index is used to measure the level of income inequality, and the Chinn-Ito index is used to measure the level of openness to capital investment.
The Relationship Between Housing Prices And Macroeconomic Factors In Spain, Garrett Fitzgerald
The Relationship Between Housing Prices And Macroeconomic Factors In Spain, Garrett Fitzgerald
Empirical Economic Bulletin, An Undergraduate Journal
This paper examines the effects of certain macroeconomic variables (i.e mortgages, inflation, and employment) on the price of houses in Spain. An error correction vector autoregressive (ECVAR) model is used to model the impact of the macroeconomic variables on real housing prices. Variance decompositions will be analyzed to determine the extent to which these variables have an effect on housing prices in Spain.
State Level Comparison Of Factors Contributing To Rising Inpatient Hospital Costs, Jeff Fontaine
State Level Comparison Of Factors Contributing To Rising Inpatient Hospital Costs, Jeff Fontaine
Empirical Economic Bulletin, An Undergraduate Journal
No abstract provided.
The Economic Benefits Of Education As A Return To Gdp Per Capita, Jonathan Brown
The Economic Benefits Of Education As A Return To Gdp Per Capita, Jonathan Brown
Empirical Economic Bulletin, An Undergraduate Journal
This paper examines many different factors of education, including the levels of education received, the expenditures per student as well as for each level of education, and the measurement of unemployed with said levels of education as to how it affects the levels of GDP per capita. What is consistent across each regression is that in fact, the average years of education received by the population will most closely have a beneficial effect on the levels of GDP per capita. What these regressions also show are tendencies to look more towards the future rather than the past. When considering unemployment, …
Are Educated Women Less Likely To Get Married?, Qian Jiang
Are Educated Women Less Likely To Get Married?, Qian Jiang
Empirical Economic Bulletin, An Undergraduate Journal
In the past, there are some research indicate that highly educated women marry less. Because women tend to face the success penalty, however, a new analysis of U.S. census data indicates that--despite cultural messages to the contrary--the success gap, in which better educated women marry less, is actually shrinking. Using 2008 Current Population Survey, this paper utilized Probit regression to analyze how increase of women's educational attainment can influenced marriage and other aspects such as financial well-being. In addition, this study tries to estimate the best levels of education for women to be more likely to married.
The Effect Of Tax-Burdens On Foreign Direct Investment: A Cross-Sectional Look At Developing Economies, Kevin Hauver
The Effect Of Tax-Burdens On Foreign Direct Investment: A Cross-Sectional Look At Developing Economies, Kevin Hauver
Empirical Economic Bulletin, An Undergraduate Journal
This paper investigates the effect that certain aspects of the tax burden have on foreign direct investment in developing economies. Using data from 35 select countries, the paper uses an OLS regression model to determine the impact that various taxes, both on individuals and corporations, can have on FDI. The paper concludes that corporate tax rates are not a statistically significant factor for determining FDI inflows into a host country, but that indirect tax rates are. This is likely due to the use of ‘enterprise zones’, which offer favorable indirect tax rates to companies that choose to operate in a …
The Impacts Of Energy Efficiency And Consumption On Gdp In The Euro Area, Justin T. Getts
The Impacts Of Energy Efficiency And Consumption On Gdp In The Euro Area, Justin T. Getts
Empirical Economic Bulletin, An Undergraduate Journal
This paper analyzes the aggregate data of the Euro Area to determine how GDP per unit of energy is affected by the use of common energy sources. Time series data from 1980 to 2005 is used to show the change in how energy is used compared to the growth of GDP. It is revealed in this paper that the consumption of efficient forms of energy is highly correlated to GDP growth and the use of inefficient energy sources leads to less growth.
The Effect Of Crime Rates On Home Prices: A Hedonic Study, John Paul Goncalves
The Effect Of Crime Rates On Home Prices: A Hedonic Study, John Paul Goncalves
Empirical Economic Bulletin, An Undergraduate Journal
The hedonic regression model in this study is from a Florida based study that has been applied on a national level. The results of this research will indicate the most significant variables which support the overall effect on the price of a home. The emphasis of this study is to examine the overall impact of crime rates on average home prices in America’s state capitals.
An Empirical Analysis Of The Impact Of Home Foreclosure On The Crime Rate: Evidence In Atlanta, Ga, Luis G. Acevedo
An Empirical Analysis Of The Impact Of Home Foreclosure On The Crime Rate: Evidence In Atlanta, Ga, Luis G. Acevedo
Empirical Economic Bulletin, An Undergraduate Journal
Over the past 28 years the United States has seen its share of prosperity and hard times. At times there have been significant increases in the number of subprime mortgages issued in the United States. Studies have shown that the number of foreclosures is highly correlated to the number of subprime loans issued. Another main issue that seems to occur with the abundance of loans and the spike in foreclosures is that crime rates tend to also increase during these times. The two major crimes that will be taken into account are violent crime and property crimes. I use foreclosure, …
Tolls, Exchange Rates, And Borderplex Bridge Traffic, Marcycruz De Leon, Thomas M. Fullerton Jr., Brian W. Kelley
Tolls, Exchange Rates, And Borderplex Bridge Traffic, Marcycruz De Leon, Thomas M. Fullerton Jr., Brian W. Kelley
Departmental Papers (E & F)
Budget constraints are forcing many governments to consider implementing tolls as a means for financing bridge and road expenditures. Newly available time series data make it possible to analyze the impacts of toll variations and international business cycle fluctuations on cross-border bridge traffic between El Paso and Ciudad Juarez. Parameter estimation is carried out using a linear transfer function ARIMA methodology. Price elasticities of demand are similar to those reported for other regional economies, but out-of-sample forecasting results are mixed.