Open Access. Powered by Scholars. Published by Universities.®
- Discipline
-
- Other Economics (33)
- Growth and Development (23)
- International Economics (23)
- Economic Theory (12)
- Finance (9)
-
- Business (8)
- Finance and Financial Management (6)
- Macroeconomics (5)
- Physical Sciences and Mathematics (3)
- Portfolio and Security Analysis (3)
- Statistics and Probability (3)
- Labor Economics (2)
- Law (2)
- Sociology (2)
- Agency (1)
- Architecture (1)
- Asian Studies (1)
- Banking and Finance Law (1)
- Bankruptcy Law (1)
- Behavioral Economics (1)
- Business Administration, Management, and Operations (1)
- Business Law, Public Responsibility, and Ethics (1)
- Business Organizations Law (1)
- Commercial Law (1)
- Corporate Finance (1)
- Criminal Law (1)
- Criminal Procedure (1)
- Institution
-
- Singapore Management University (31)
- Bryant University (21)
- University of Rhode Island (12)
- Chapman University (9)
- Bard College (4)
-
- Macalester College (3)
- University of Malaya (3)
- Claremont Colleges (2)
- Illinois Wesleyan University (2)
- Syracuse University (2)
- Central Bank of Nigeria (1)
- George Fox University (1)
- Institute of Business Administration (1)
- Pace University (1)
- University of Lynchburg (1)
- University of New Hampshire (1)
- University of Texas at El Paso (1)
- Keyword
-
- Economic policy (13)
- Economic indicators (12)
- Economic statistics (12)
- Rhode Island (12)
- Bootstrap (3)
-
- Credit risk (3)
- Exchange rate (3)
- Experiments (3)
- MCMC (3)
- Baseball (2)
- Colonel Blotto (2)
- Conflict resolution (2)
- Distributional misspecification (2)
- Econometrics (2)
- Economics (2)
- Generalized method of moments (2)
- Indirect Inference (2)
- Maximum likelihood (2)
- Median Unbiased (2)
- Option pricing (2)
- Robustness (2)
- Stock price (2)
- Weakest-link (2)
- Pitchers (Baseball) (1)
- Adolescent births; demographics (1)
- Argentina; inflation; M1; GDP; national budget; exchange rate; unemployment (1)
- Asymmetric information (1)
- Asymptotic leptokurtosis (1)
- Auctions (1)
- Automobile insurance (1)
- Publication
-
- Research Collection School Of Economics (28)
- Empirical Economic Bulletin, An Undergraduate Journal (20)
- The Rhode Island Current Conditions Index (12)
- ESI Working Papers (9)
- Archives of Anwar Shaikh (4)
-
- Student Works (2010-2019) (3)
- CMC Senior Theses (2)
- Dissertations and Theses Collection (Open Access) (2)
- Economics Honors Projects (2)
- Honors Projects (2)
- Award Winning Economics Papers (1)
- Border Region Modeling Project (1)
- Business Review (1)
- CBN Occasional Papers (1)
- Camp Econometrics-Programs (1)
- College of Law - Faculty Scholarship (1)
- Cornerstone 3 Reports : Interdisciplinary Informatics (1)
- Faculty Publications - College of Business (1)
- Honors Projects in Finance (1)
- Law Faculty Scholarship (1)
- Research Collection Lee Kong Chian School Of Business (1)
- Undergraduate Theses and Capstone Projects (1)
- Publication Type
Articles 1 - 30 of 96
Full-Text Articles in Econometrics
Rhode Island Current Conditions Index — December 2010, Leonard Lardaro
Rhode Island Current Conditions Index — December 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Estimating A Small-Scale Macroeconometric Model (Ssmm) For Nigeria: A Dynamic Stochastic General Equilibrium (Dsge) Approach, Charlse N.O Mordi, Michael A. Adebiyi
Estimating A Small-Scale Macroeconometric Model (Ssmm) For Nigeria: A Dynamic Stochastic General Equilibrium (Dsge) Approach, Charlse N.O Mordi, Michael A. Adebiyi
CBN Occasional Papers
This paper attempts to develop a small scale macroeconometric model for the Nigerian economy using dynamic stochastic general equilibrium (DSGE) methodology. Particular attention is paid to using impulse responses to explain the dynamic properties of the model. This model incorporates expectation as an anchor in the forward-looking monetary policy objective of the Central Bank of Nigeria (CBN). It captures most of the channels through which policymakers believe monetary policy can influence a small open economy with a managed floating exchange rate. The model was taken to the data by means of Bayesian estimation with the following major findings. First, although …
Testing Structural Change In Partially Linear Models, Liangjun Su, Halbert White
Testing Structural Change In Partially Linear Models, Liangjun Su, Halbert White
Research Collection School Of Economics
We consider two tests of structural change for partially linear time-series models. The first tests for structural change in the parametric component, based on the cumulative sums of gradients from a single semiparametric regression. The second tests for structural change in the parametric and nonparametric components simultaneously, based on the cumulative sums of weighted residuals from the same semiparametric regression. We derive the limiting distributions of both tests under the null hypothesis of no structural change and for sequences of local alternatives. We show that the tests are generally not asymptotically pivotal under the null but may be free of …
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Research Collection School Of Economics
This paper uses a DSGE-VAR model to examine the managed exchange-rate system at work in Singapore and asks if the country has any reason to fear floating the exchange rate with a Taylor rule inflation-targeting mechanism that uses the short term interest rate instead of the exchange rate as the benchmark monetary policy instrument. Our simulation results show that the use of a more flexible exchange rate system will reduce volatility in inflation and investment but consumption volatility will increase. Overall, there are neither signi cant welfare gains or losses in the regime shift. Given the highly open and trade …
Energy And Economic Growth: A State-Level Analysis, Nathanael D. Peach
Energy And Economic Growth: A State-Level Analysis, Nathanael D. Peach
Faculty Publications - College of Business
No abstract provided.
Rhode Island Current Conditions Index — November 2010, Leonard Lardaro
Rhode Island Current Conditions Index — November 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection Lee Kong Chian School Of Business
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 finite 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 devian information criterion …
Rhode Island Current Conditions Index — October 2010, Leonard Lardaro
Rhode Island Current Conditions Index — October 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
New York Camp Econometrics V Program, Center For Policy Research
New York Camp Econometrics V Program, Center For Policy Research
Camp Econometrics-Programs
No abstract provided.
Corporate Transparency, Private Information And Stock Price Synchronicity., Mohammed Sharaf Mohsen Shaiban
Corporate Transparency, Private Information And Stock Price Synchronicity., Mohammed Sharaf Mohsen Shaiban
Student Works (2010-2019)
The issue of stock price synchronicity as a measure of stock price informativeness has recently attracted much research attention. Using cross-country data from 40 countries, this study investigates the relationship between corporate transparency (measured by reporting timeliness, financial analyst following and credibility of disclosures) and stock price synchronicity. In addition, this study investigates the moderating effects of reporting timeliness on the relationship between financial analyst and credibility of disclosures and stock price synchronicity. Specifically, it examines whether the relationship between financial analysts and disclosure credibility and stock price synchronicity is stronger or weaker given the range of timeliness of financial …
Smoothing Local-To-Moderate Unit Root Theory, Peter C. B. Phillips, Tassos Magdalinos, Liudas Giraitis
Smoothing Local-To-Moderate Unit Root Theory, Peter C. B. Phillips, Tassos Magdalinos, Liudas Giraitis
Research Collection School Of Economics
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form rho = 1 + c/n, where n is the sample size and c < 0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case. (C) 2010 Elsevier B.V. All rights reserved.
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Ait-Sahalia (2008) to approximate the transition probability density of return and volatility, and the Efficient Importance Sampler (EIS) of Richard and Zhang (2007) to integrate out the volatility. The first and second order terms in the polynomial expansion are used to generate a base-line importance density for an EIS algorithm. The higher order terms are included when evaluating the importance weights. Monte Carlo …
Bayesian Hypothesis Testing In Latent Variable Models, Yong Li, Jun Yu
Bayesian Hypothesis Testing In Latent Variable Models, Yong Li, Jun Yu
Research Collection School Of Economics
Hypothesis testing using Bayes factors (BFs) is known to suffer from several problems in the context of latent variable models. The first problem is computational. Another problem is that BFs are not well defined under the improper prior. In this paper, a new Bayesian method, based on decision theory and the EM algorithm, is introduced to test a point hypothesis in latent variable models. The new statistic is a by-product of the Bayesian MCMC output and, hence, easy to compute. It is shown that the new statistic is appropriately defined under improper priors because the method employs a continuous loss …
A Conversation With Eric Ghysels, Peter C. B. Phillips, Jun Yu
A Conversation With Eric Ghysels, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Eric Ghysels is the Bernstein Distinguished Professor of Economics and Professor of Finance at University of North Carolina at Chapel Hill. In 2008, Eric Ghysels and Robert Engle (2003 Nobel co-Laureate in Economic Science with Clive Granger) founded the Society for Financial Econometrics (SoFiE), establishing a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. In June 2010, Eric visited the Centre for Financial Econometrics (CoFiE) and the Sim Kee Boon Institute (SKBI) of Financial Economics at Singapore Management University. During his visit we conversed with him about SoFiE and the growing toolroom of financial …
Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu
Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu
Research Collection School Of Economics
This paper overviews some recent advances on simulatio n-based methods of estimating time series models and asset pricing models that are widely used in finance. The simulation based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms and hence the maximum likelihood method (MLE) and the generalized method of moments (GMM) are difficult to use. They can also be useful for improving the finite sample performance of the traditional methods when financial time series are highly persistent and when the quantity of interest is a highly nonlinear function of system parameters.The …
Border Metropolitan Water Forecast Accuracy, Thomas M. Fullerton Jr., Angel L. Molina Jr.
Border Metropolitan Water Forecast Accuracy, Thomas M. Fullerton Jr., Angel L. Molina Jr.
Border Region Modeling Project
Municipal water consumption planning is an active area of research due to infrastructure construction and maintenance costs, supply constraints, and water quality assurance. In spite of that, relatively few water forecast accuracy assessments have been completed to date, although some internal documentation may exist as part of the proprietary “grey literature.” This study utilizes a data set of previously published municipal consumption forecasts to partially fill that gap in the empirical water economics literature. Previously published municipal water econometric forecasts for three public utilities are examined for predictive accuracy against two random walk benchmarks commonly used in regional analyses. Descriptive …
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Research Collection School Of Economics
The robustness of the LM tests for spatial error dependence of Burridge (1980) for the linear regression model and Anselin (1988) for the panel regression model are examined. While both tests are asymptotic ally robust against distributional misspecification, their finite sample behavior can be sensitive to the spatial layout. To overcome this shortcoming, standardized LM tests are suggested. Monte Carlo results show that the new tests possess good finite sample properties. An important observation made throughout this study is that the LM tests for spatial dependence need to be both mean- and variance-adjusted for good finite sample performance to be …
A Study Of Price Evolution In Online Toy Market, Zhenlin Yang, Lydia L Gan, Fang-Fang Tang
A Study Of Price Evolution In Online Toy Market, Zhenlin Yang, Lydia L Gan, Fang-Fang Tang
Research Collection School Of Economics
We study and contrast pricing and price evolution of online only (Dotcom) and online branch of multi-channel retailers (OBMCRs) based on two panel data sets collected from online toy markets. Panel data regression analyses reveal several interesting empirical results: over time, OBMCRs and Dotcoms charge similar prices on average but Dotcoms significantly increase their shipping costs that eventually drive the overall average price of Dotcoms higher than that of OBMCRs. Price dispersions of both types of retailers are persistent. The price dispersion of OBMCRs is higher than that of Dotcoms at the beginning and does not change much over time, …
Bias In Estimating Multivariate And Univariate Diffusions, Xiaohu Wang, Peter C. B. Phillips, Jun Yu
Bias In Estimating Multivariate And Univariate Diffusions, Xiaohu Wang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and trapezoidal approximations as special cases and leads to a general class of estimators for the mean reversion matrix. Asymptotic distributions and bias formulae are obtained for estimates of the mean reversion parameter. Explicit expressions are given for the discretization bias and its relationship to estimation bias in both multivariate and …
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Research Collection School Of Economics
Turbulence in the world of banking and finance over the last two years has riveted media attention on the financial industry, exposing practices, products and risks in the industry to widespread public scrutiny. Questions continue to be asked about the management and regulation of an industry whose performance is now seen to affect the world’s financial health and its prospects as much as it does national savings and individual retirement funds.
Asymptotic Distributions Of The Least Squares Estimator For Diffusion Processes, Qiankun Zhou, Jun Yu
Asymptotic Distributions Of The Least Squares Estimator For Diffusion Processes, Qiankun Zhou, Jun Yu
Research Collection School Of Economics
The asymptotic distributions of the least squares estimator of the mean reversion parameter (κ) are developed in a general class of diffusion models under three sampling schemes, namely, ongspan, in-fill and the combination of long-span and in-fill. The models have an affine structure in the drift function, but allow for nonlinearity in the diffusion function. The limiting distributions are quite different under the alternative sampling schemes. In particular, the in-fill limiting distribution is non-standard and depends on the initial condition and the time span whereas the other two are Gaussian. Moreover, while the other two distributions are discontinuous at κ …
A New Bayesian Unit Root Test In Stochastic Volatility Models, Yong Li, Jun Yu
A New Bayesian Unit Root Test In Stochastic Volatility Models, Yong Li, Jun Yu
Research Collection School Of Economics
A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. This analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics) in two important ways. First, a numerically more stable algorithm is introduced to compute the Bayes factor, taking into account the special structure of the competing models. Owing to its numerical stability, the algorithm overcomes the problem of diverged “size” in the marginal likelihood approach. Second, to improve the “power” of the unit root test, a mixed prior specification …
Bias-Corrected Estimation For Spatial Autocorrelation, Zhenlin Yang
Bias-Corrected Estimation For Spatial Autocorrelation, Zhenlin Yang
Research Collection School Of Economics
The biasedness issue arising from the maximum likelihood estimation of the spatial autoregressive model (SAR) is further investigated under a broader set-up than that in Bao and Ullah (2007a). A major difficulty in analytically evaluating the expectations of ratios of quadratic forms is overcome by a simple bootstrap procedure. With that, the corrections on bias and variance of the spatial estimator can easily be made up to third-order, and once this is done, the estimators of other model parameters become nearly unbiased. Compared with the analytical approach, the new approach is much simpler, and can easily be extended to other …
Rhode Island Current Conditions Index — September 2010, Leonard Lardaro
Rhode Island Current Conditions Index — September 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
Research Collection School Of Economics
This paper presents previous termanext term modified previous termLM test of spatial error components,next term which is shown to be previous termrobustnext term against distributional misspecifications and previous termspatialnext term layouts. The proposed previous termtestnext term differs from the previous termLM testnext term of Anselin (2001) by previous termanext term term in the denominators of the previous termtestnext term statistics. This term disappears when either the previous termerrorsnext term are normal, or the variance of the diagonal elements of the product of previous termspatialnext term weights matrix and its transpose is zero or approaches to zero as sample size goes …
How Does Income Inequality Affect The Growth Of U.S. Counties?, Jeremy Roth
How Does Income Inequality Affect The Growth Of U.S. Counties?, Jeremy Roth
Economics Honors Projects
This paper aims to conduct a precise test of the political economy hypothesis linking income inequality and economic growth. By choosing covariates from a detailed county-level dataset and assuming that U.S. counties experience perfect capital mobility, I shut off the four possible channels linking inequality and growth other than political economy. This is a first in an empirical literature that has reported conflicting findings with observations of states and countries. I also present thematic maps to illustrate the cross-county variation in key growth determinants that is masked by state-level studies. My econometric tests find a negative association between the initial …
Rhode Island Current Conditions Index — August 2010, Leonard Lardaro
Rhode Island Current Conditions Index — August 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Rhode Island Current Conditions Index — July 2010, Leonard Lardaro
Rhode Island Current Conditions Index — July 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Bimodal T-Ratios: The Impact Of Thick Tails On Inference, Carlo V. Fioro, Vassilis A. Hajivassiliou, Peter C. B. Phillips
Bimodal T-Ratios: The Impact Of Thick Tails On Inference, Carlo V. Fioro, Vassilis A. Hajivassiliou, Peter C. B. Phillips
Research Collection School Of Economics
This paper studies the distribution of the classical t-ratio with data generated from distributions with no finite moments and shows how classical testing is affected by bimodality. A key condition in generating bimodality is independence of the observations in the underlying data-generating process (DGP). The paper highlights the strikingly different implications of lack of correlation versus statistical independence in DGPs with infinite moments and shows how standard inference can be invalidated in such cases, thereby pointing to the need for adapting estimation and inference procedures to the special problems induced by thick-tailed (TT) distributions. The paper presents theoretical results for …
Determinants Of Foreign Direct Investment In Services Sector Of Pakistan: An Econometrics Approach, Muhammad Zahid Awan, Khair Uz Zaman, Bakhtiar Khan
Determinants Of Foreign Direct Investment In Services Sector Of Pakistan: An Econometrics Approach, Muhammad Zahid Awan, Khair Uz Zaman, Bakhtiar Khan
Business Review
This study examines the key determinants of FDI inflows in Services sector of Pakistan, using time series data (quarterly) for the period of 1996Q1-2008Q4. To check the stationarity of the data, ADF test has been applied. Co-integration and Error Correction Model (ECM) is used for estimation of the data. This study found that Gross Domestic Fixed Capital formation (GDFCF), Inflation Rate(INF), Current Account Balance(CAB), Exchange Rate (ER), and Per Capita Income (PC) are main factors of FDI inflows in services sector of Pakistan. This study reveals that GDFCF, INF and PC are found statistically significant with positive signs. CAB and …