Open Access. Powered by Scholars. Published by Universities.®

Econometrics Commons™

Open Access. Powered by Scholars. Published by Universities.®

2010

Discipline
Institution
Keyword
Publication
Publication Type

Articles 31 - 60 of 96

Full-Text Articles in Econometrics

Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler Jul 2010

Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler

Research Collection School Of Economics

Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or distributional relationships among the variables of interest. Motivated by the literature on testing conditional independence, we propose a new nonparametric test for asymmetric information which is applicable in a variety of situations. We demonstrate the test works reasonably well through Monte …

Go to article

Profile Quasi-Maximum Likelihood Estimation Of Partially Linear Spatial Autoregressive Models, Liangjun Su, Sainan Jin Jul 2010

Profile Quasi-Maximum Likelihood Estimation Of Partially Linear Spatial Autoregressive Models, Liangjun Su, Sainan Jin

Research Collection School Of Economics

We propose profile quasi-maximum likelihood estimation of spatial autoregressive models that are partially linear. The rate of convergence of the spatial parameter estimator depends on some general features of the spatial weight matrix of the model. The estimators of other finite-dimensional parameters in the model have the regular √n-rate of convergence and the estimator of the nonparametric component is consistent but with different restrictions on the choice of bandwidth parameter associated with different natures of the spatial weights. Monte Carlo simulations verify our theory and indicate that our estimators perform reasonably well in finite samples.

Go to article

Rhode Island Current Conditions Index — June 2010, Leonard Lardaro Jun 2010

Rhode Island Current Conditions Index — June 2010, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Improving The Teaching Of Econometrics At Pace University Using Stata, Gregory Colman Jun 2010

Improving The Teaching Of Econometrics At Pace University Using Stata, Gregory Colman

Cornerstone 3 Reports : Interdisciplinary Informatics

The goal of this grant was to improve the teaching of econometrics at Pace using the computer program, Stata, the most widely-used econometrics software among applied economists.

Go to article

Macroeconomics Stress Testing On Malaysia Commercial Banks' Credit Portfolios., Foo Chii Shia Jun 2010

Macroeconomics Stress Testing On Malaysia Commercial Banks' Credit Portfolios., Foo Chii Shia

Student Works (2010-2019)

In the research paper, quarterly data on Non-performing Loan (NPL) for commercial banks in Malaysia over the time period of quarter 1, 1998 to quarter 4, 2009 together with 5 macroeconomic indicators i.e. Gross Domestic Product (GDP), Consumer Price Index (CPI), FTSE Bursa Malaysia KLCI (KLCI), Unemployment rate and House Property Index are collected to form a credit risk model. The estimated model is employed to analyse banking credit risks conditional on current macroeconomic conditions. Stepwise multiple regression method has been used which to select the useful subsets of variables and to evaluate the order of importance of variables. Furthermore, …

Go to article

Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C. B. Phillips Jun 2010

Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C. B. Phillips

Research Collection School Of Economics

Least absolute deviations (LAD) estimation of linear time series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.

Go to article

Are Major League Baseball Starting Pitchers Compensated For Stadium Risk?, Joseph Glatman Zaretsky May 2010

Are Major League Baseball Starting Pitchers Compensated For Stadium Risk?, Joseph Glatman Zaretsky

Economics Honors Projects

This paper examines the significance of stadium effects on the determination of starting pitcher salaries. It models stadium effect first under the assumption of perfect certainty, and then includes risk through uncertainty. Using starting pitchers’ statistics between 1990 and 2008, this paper determines that the stadium effect is not significant in the model with perfect certainty, but becomes significant when uncertainty (risk) is introduced. An unexpected result of the test shows, however, that there is a fundamental difference between the American League, where the stadium effect is significant, and the National League, where it is insignificant in both models.

Go to article

Rhode Island Current Conditions Index — May 2010, Leonard Lardaro May 2010

Rhode Island Current Conditions Index — May 2010, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Forex Market Behaviour : Application Of High Frequency Data., Tan Heng Kiat May 2010

Forex Market Behaviour : Application Of High Frequency Data., Tan Heng Kiat

Student Works (2010-2019)

The huge and high frequency trading in foreign exchange market creates the need for an analytical method that can provide a view on the volatility. Traditional methods such as GARCH are proven to have limitations when applied to high frequency data, such as those generated in foreign exchange market.In this thesis, wavelet method is applied to high frequency data of EURO/USD, GBP/USD and YEN/USD currency pairs and of one minute resolution. The period of this behavioral study is from one hour before 1pm GMT to one hour after 1pm GMT for every Mondays from June 2008 to Dec 2008. The …

Go to article

Examining Success At The Domestic Box-Office In The Motion Picture Industry, Patrick Topf Apr 2010

Examining Success At The Domestic Box-Office In The Motion Picture Industry, Patrick Topf

Honors Projects

The movie business is a multi-billion dollar industry involving production crews, marketing crews, actors, directors, distribution companies, movie theaters, and movie rental companies, but while each movie created follows the same routine, why do some perform so much better than others at the box-office? Why did Juno become a smash hit, while Poseidon is regarded as a major box-office bomb? This study investigates the impact of production cost, star power, professional reviews, release date, sequels, genre, age-rating, and distribution company on total domestic box-office revenue of the widely released films from January 2006 to December 2008.

Go to article

The Effects Of Marital Status & Gender On Health Care Insurance Coverage In The United States, Jessica S. T. Kong Apr 2010

The Effects Of Marital Status & Gender On Health Care Insurance Coverage In The United States, Jessica S. T. Kong

Honors Projects

Having health insurance is a crucial factor for many to sustain life in America. This study examines the demographic determinants of health care coverage within the United States with a focus on how gender and marital status influence the likelihood of having health insurance. Using the human capital theory and the theory of statistical discrimination, it is predicted that married females will have a higher probability of being insured than divorced and separated females. Also, divorced males are predicted to have a higher probability of coverage than divorced females. The data for this research is retrieved from the United States …

Go to article

Rhode Island Current Conditions Index — April 2010, Leonard Lardaro Apr 2010

Rhode Island Current Conditions Index — April 2010, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

A New Stock Index To Better Predict The United States' Real Gdp, William Nette Apr 2010

A New Stock Index To Better Predict The United States' Real Gdp, William Nette

Honors Projects in Finance

The relationship between the United States’ real GDP and the overall stock market has been acknowledged by researchers and investors alike. This research paper will document a newly created composite index that will try to more accurately predict the overall U.S. economy through the proxy of GDP than the current S&P 500 index. Success will be determined if the composite index representing the addition of a service sector component to the S&P 500 is more correlated to U.S. real GDP than the S&P 500 alone. The results suggest that the service sector is not quite adequately in the S&P 500. …

Go to article

Microeconomic Study Of A Labor Union: An Econometrics Analysis Of How The Nhl Salary Cap Has Affected The Competitive Balance Of The Nhl And Determinants Of Team Revenue, Lauren Grossman Mar 2010

Microeconomic Study Of A Labor Union: An Econometrics Analysis Of How The Nhl Salary Cap Has Affected The Competitive Balance Of The Nhl And Determinants Of Team Revenue, Lauren Grossman

Undergraduate Theses and Capstone Projects

This thesis is a microeconomic study of labor unions and a business analysis of a professional sports industry. It will examine the effects of the salary cap in the National Hockey League. The 2004-05 NHL season was cancelled due to a lockout because the National Hockey League Players' Association and the team owners could not come to an agreement on salaries. As a result, the Players' Association and the owners came to an agreement that included the implementation of a salary cap and revenue sharing. The purpose of this thesis is to determine whether or not the implementation of the …

Go to article

Rhode Island Current Conditions Index — March 2010, Leonard Lardaro Mar 2010

Rhode Island Current Conditions Index — March 2010, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu Mar 2010

Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu

Research Collection School Of Economics

This paper overviews some recent advances on simulation-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 …

Go to article

Rhode Island Current Conditions Index — February 2010, Leonard Lardaro Feb 2010

Rhode Island Current Conditions Index — February 2010, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Semiparametric Estimator Of Time Series Conditional Variance, Santosh Mishra, Liangjun Su, Aman Ullah Feb 2010

Semiparametric Estimator Of Time Series Conditional Variance, Santosh Mishra, Liangjun Su, Aman Ullah

Research Collection School Of Economics

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, variance, and normality of the combined estimator under general conditions. We show that under correct parametric specification, our estimator can do as well as the parametric estimator in terms of convergence rates; whereas under parametric misspecification our estimator can still be consistent. It also improves over the nonparametric estimator of Ziegelmann (2002) in terms of bias reduction. The superiority of our estimator is verfied by Monte Carlo simulations and empirical data analysis.

Go to article

Determinants Of Rental Rates In Major Cities In The United States, Roy Ruivo Jan 2010

Determinants Of Rental Rates In Major Cities In The United States, Roy Ruivo

Empirical Economic Bulletin, An Undergraduate Journal

The focus of this paper is to determine variables that contribute to rental rate pricing. Using U.S. Census data pertaining to all cities in the United States with populations over 100,000 in 2005, this paper furthers a study of inter-city rent determinants within New York City provided by Marco (2008) using additional variables provided by Gilderbloom and Pan (2002) in their inter-city study. This report studies the impact of variables, including vacancy rates, median family income, population growth rate, and average housing costs. The population variable will be manipulated so that it represents density, which provides an accurate representation of …

Go to article

Determinants Of Hyperinflation: An Analysis Of Argentina, Eric Fudge Jan 2010

Determinants Of Hyperinflation: An Analysis Of Argentina, Eric Fudge

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the history of inflation rates in Argentina compared to other economic factors, including: GDP, national budget, money supply, exchange rate, and unemployment levels. Using data from the World Bank and Centre of International Economics this paper will give insight into some of the causes of high inflation levels that were evident in Argentina throughout the 1980s, peaking with hyperinflation in 1989 and 1990. Results from analyzing statistics pertaining to Argentina’s economy from 1980 to present suggest that perpetual budget deficits led the government to print money more rapidly, causing a significant decrease in currency valuation and thus …

Go to article

Economic Growth And Emissions In China And India: A Comparison With The Other G5 Emerging Nations, David Niles Jan 2010

Economic Growth And Emissions In China And India: A Comparison With The Other G5 Emerging Nations, David Niles

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the possibility of different modes of production affecting the emission levels of developing nations. China and India have experienced substantial economic growth of the past few decades. Past economists have found emission levels positively correlated with GDP growth. Nonetheless, China has significantly higher emission levels than India, given their respective growth in GDP. Whether a country bases their growth on agriculture, industry, manufacturing or services has an effect on their subsequent emission levels. Comparing these results with the other G5 nations indicate the relative importance of GDP level in comparison with economic structure. This paper finds that …

Go to article

Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton Jan 2010

Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton

College of Law - Faculty Scholarship

This paper studies the effects of organizational form on managerial behavior and firm performance, from an empirical perspective. Managers of trusts are subject to stricter fiduciary responsibilities than managers of corporations. This paper examines the ramifications empirically, by exploiting data generated by a change in British regulations in the 1990s that allowed mutual funds to organize as either a trust or a corporation. I find evidence that trust law is effective in curtailing opportunistic behavior, as trust managers charge significantly lower fees than their observationally equivalent corporate counterparts. Trust managers also incur lower risk. However, evidence suggests that trust managers …

Go to article

Rhode Island Current Conditions Index — January 2010, Leonard Lardaro Jan 2010

Rhode Island Current Conditions Index — January 2010, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Do Bank Mergers Create Shareholder Value? An Event Study Analysis, Varini Sharma Jan 2010

Do Bank Mergers Create Shareholder Value? An Event Study Analysis, Varini Sharma

Award Winning Economics Papers

This paper investigates the economic role of bank mergers in creating shareholder value based on the idea that shareholder wealth will increase if the consolidation leads to the aforementioned gains. This paper is divided into seven sections. The second section of my paper provides an academic review of the literature, focusing on econometric theory that tests the gains in shareholder value and corporate synergies after a merger. The third section introduces a conceptual model I have designed using econometric tools to test how bank mergers create shareholder value. The fourth section embarks on a discussion about my ideal data followed …

Go to article

Modeling The Effects Of Peremptory Challenges On Jury Selection And Jury Verdicts, Roger Allen Ford Jan 2010

Modeling The Effects Of Peremptory Challenges On Jury Selection And Jury Verdicts, Roger Allen Ford

Law Faculty Scholarship

Although proponents argue that peremptory challenges make juries more impartial by eliminating “extreme” jurors, studies testing this theory are rare and inconclusive. For this article, two formal models of jury selection are constructed, and various selection procedures are tested, assuming that attorneys act rationally rather than discriminate based on animus. The models demonstrate that even when used rationally, peremptory challenges can distort jury decision making and undermine verdict reliability. Peremptory challenges systematically shift jurors toward the majority view of the population by favoring median jurors over extreme jurors. If the population of potential jurors is skewed in favor of conviction …

Go to article

The Crime Rate In America: How Influential Is The Economy In Affecting The Level Of Crime?, Joseph Kuhar Jan 2010

The Crime Rate In America: How Influential Is The Economy In Affecting The Level Of Crime?, Joseph Kuhar

Empirical Economic Bulletin, An Undergraduate Journal

This paper explores the determinants of the crime rate, and whether or not the economy and its many indicators play a substantial role in affecting this rate. Many factors affect the crime rate in a given country/state/area including the number of police, the rate at which crime is reported, as well as the population. This paper will explore the following variables: the crime rate (dependent), number of police, conditions that affect the crime rate, the reported crime rate, and the reporting rate. It will also analyze the following economic conditions and whether or not they have a substantial effect on …

Go to article

The Effect Of Education On Property Crime Across State, Wes Andrews Jan 2010

The Effect Of Education On Property Crime Across State, Wes Andrews

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the effects/importance of these independent variables (High School Graduation Rate, GDP growth Rate, GDP per capita, expenditures per capita in terms of police force, expenditures per capita in terms of the court system, employment rate, percentage of people with college degrees, and the average wage rate) on property crimes across the 50 states. The study will use OLS in order to examine the influence of these variables. Based on reviews of other similar studies it is expected that there is a negative correlation between the amount of schooling and property crime.

Go to article

The Long-Run Relationship Between Inflation And Unemployment In Malaysia, Matthew Tremblay Jan 2010

The Long-Run Relationship Between Inflation And Unemployment In Malaysia, Matthew Tremblay

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the long-run relationship between inflation and unemployment in the economy of Malaysia between 1972 and 2004. Basing my model off of an investigation by Fair (1997), this study will attempt to quantify the relationship between inflation rates, unemployment, wage rates, changes in production, and a measure of demand pressure. Using macro-level data from various sources, it is expected that the results will suggest periods of high inflation are directly related to high unemployment, decreased wage rates, lower production levels, and substantially weak demand pressures.

Go to article

The Impact Of Socioeconomic And Environmental Factors On Infant Mortality In The U.S., Tai Abukasis Jan 2010

The Impact Of Socioeconomic And Environmental Factors On Infant Mortality In The U.S., Tai Abukasis

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines socioeconomic and environmental agents that may affect infant mortality rates among Whites, Blacks, and Hispanics in the United States. Data was collected at the state level from both federal and private databases. Three separate ordinary least squares regressions were taken for each of the aforementioned demographics. The correlations between the independent variables and infant mortality were examined from a racially-based perspective to further evaluate potential underlying causes regarding geographic, financial, and environmental constituents. Analysis of the regressions revealed that particular variables affect the rate of infant deaths among races differently and that racial disparity continues to exist …

Go to article

The Impact Of An Economic Recession On Etf Sectors: Which Etf Sectors Are Most Recession-Proof?, Salvatore Galbo Jan 2010

The Impact Of An Economic Recession On Etf Sectors: Which Etf Sectors Are Most Recession-Proof?, Salvatore Galbo

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates which ETF sectors are most recession-proof by focusing on sector performance and finding the possibility of a positive or negative correlation between specific sectors and the overall market performance during such recessionary times. The study compares the percentage gain or loss by each ETF sector with regression analysis to determine which sectors perform better than the overall market performance during an economic downturn. The study incorporates the most recent recession and the recession during 2001, when the technology bubble burst occurred, to find any relevance and/or consistency in my study. The results show that out of all …

Go to article

First Prev Next Last