Econometrics Commons^™

Labor Productivity, Inflation, And Unemployment's Relationship With Wage Formation In The United States, Peter Longhi

Empirical Economic Bulletin, An Undergraduate Journal

This paper discusses unemployment, labor productivity and inflation’s effect on wage formation in the United States. This paper looks at a very well researched topic of wage formations relation to unemployment and labor productivity to see if there is a long term homogenous relationship between the wage levels and the dependent variables. By using quarterly data from 1996 to 2009, I will attempt to observe if wages are following the classical theoretical relationship in the United States. The specified time period will allow us to observe a distinct boom and bust in the economy. I expect to find a long …

What Drives The United States Housing Starts, Myles Ojala

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the determinants of new housing starts within the United States. Using recent monthly data, this study will consider factors such as residential building permits, long and short-term mortgage rates, savings rates, and mortgage availability, to show how each of these variables influence the U.S housing market in the form of residential housing starts. Using a VAR model, this paper will show the impact that the vector variables have on each other, and especially, housing starts. By using a split set of data, this paper will also show the impact of the vector variables on housing starts during …

Factors Effecting Gdp Growth In Member States Of The European Union, Kris Mortimer

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the GDP growth in member states of the European Union from 1978 until 2007. As most people are well aware of, GDP is calculated by the sum of consumption, government expenditure, investment, and net exports. The research conducted for this paper intends to discover what other variables have affected GDP growth in the past 30 years. The variables used in this paper include the public expenditure on education, total population, inflation, percentage of population who are adolescents (0-14), adults (15-64), or elderly (65+). Today there are twenty-seven member states in the Union from which I have compiled …

An Analysis Of Gender Based Wage Differential Among Teachers In The United States, Kendal Glen Cehanowicz

Empirical Economic Bulletin, An Undergraduate Journal

Do teachers with similar experience and age but different genders earn the same income? This study investigates the income of teachers relative to their age, education, experience, race and gender. Studies have shown that inequality in the gender wage gap is a trend which closed for almost two decades, but has recently widened again. This study identifies a specific line of work where injustice can be seen and aims to bring this knowledge to light. The Current Population Survey (CPS) data set from 2005-2009 will be used for this study. This study finds empirical evidence that gender differences do in …

Determinants Of Savings In Latin American Countries, Jamie Walker

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the determinants of the Savings per capita in Latin American Countries during the years 2002 to 2005 and their significance. Using these years provides a look at how the Latin American Countries emerged from an inflation prone society in the 1990’s to a diverse economic body according to Hernan Buchi the former finance minister of Chile. The study takes several models and applies them towards the Latin American Countries of Argentina, Brazil, Chile, Colombia, Costa Rica, Ecuador, Dominican Republic, Guatemala, Honduras, Mexico, Panama, Peru, Uruguay, and Venezuela. The study will use macro-level data to determine which of …

The Correlation Of Monetary Policy, Inflation And Stock Returns During Periods Of Inflation And Deflation, Jason Megaro

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the debated issue of the existence of a relationship between a country’s monetary policy and the relative stock market and stock returns. Specifically, the paper examines the affect and correlation of overnight interest rate (known as federal funds rate in U.S.), inflationary rate and stock returns on and with each other, respectively, during periods of inflation and deflation. The deflationary period investigated is the period of deflation in Japan and the inflationary period examined is over the last decade in the United States. The analysis is performed using multivariate VAR/VEC co-integrating specifications to supplement the results from …

Determinants Of Teen Pregnancy: An Empirical Assessment Of Oecd Countries, Maxine Pamela Outerbridge

Empirical Economic Bulletin, An Undergraduate Journal

This research paper investigates the determinants of teen pregnancy to uncover potential correlations among several social and economic factors. The study incorporates empirical data into a multivariate linear regression model to examine the impact of various socioeconomic variables such as education, income, health expenditure, abortion rates, and derive a comparison of the status of teen pregnancies among OECD countries. This study expands earlier research that concentrated on several of the most developed nations by emphasizing the socioeconomic status of women throughout the OECD members and uncovering the significance of governmental initiatives to improve such status. This study also aims to …

The Determinants Of Foreign Direct Investment: Evidence From Latin America And The Caribbean, Nicholas Colongeli

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the impact of determinants on the inflows of FDI to the Latin American and Caribbean region. The study incorporates cross-country information to describe incentives influencing flows of FDI into the region from 1992 - 2008. Factors are modeled using a least-squared regression model and are determined as significant. The results from the research and tests performed emphasize the correlation between specific economic indicators and flows of FDI. Using macro – level data from various sources, the results generally suggest that factors such as degree of openness and market size have a positive correlation with FDI flows; whereas, …

Determinants Of Foreign Direct Investment In An Emerging Market Economy: Evidence From India, Carlos Resende Jr.

Empirical Economic Bulletin, An Undergraduate Journal

Over the past few years, India has recorded a substantial increase in the level of annual foreign direct investment (FDI) inflows. This paper examines the relationship between foreign direct investment and domestic investment, while using the ordinary least squared technique, and a time series analysis from the period 1979-2008. Building on the prior literature, this paper provides an empirical analysis of domestic determinants of FDI such as size of market, openness to trade, infrastructure, attractiveness to domestic market, and exchange rate instability. In addition, this paper will include technology growth and specific variables to examine local determinates of FDI in …

Energy Consumption, Fdi, Government Effectiveness Economic Growth., Aaron Borges

Empirical Economic Bulletin, An Undergraduate Journal

The availability of energy is essential in initiating and sustaining economic growth. FDI has also been positively linked to economic growth although some argue that economic growth promotes FDI. Studies examining the government effectiveness of nations have suggested FDI is more effective and energy resources are used more effectively when a country has solid governance. While studies have examined these aforementioned macroeconomic issues, there is no empirical study that examines all these variants within the same model. This paper investigates these factors and their effect on economic growth throughout 50 nations for the year of 2005. Economic growth is calculated …

Determinants Of Female Labor Force Participation In United States, Dongni Wan

Empirical Economic Bulletin, An Undergraduate Journal

This paper is trying to discover the determinants of female labor force participation in United States from the year 2000 to 2009. The study contains over 1 million observations through-out the 4 business cycles and the household data from Current Population Survey (CPS) suggested that female labor force participation in the United States was influenced by several factors, namely, educational attainment, family income, marital status, age, race, number of children in the household. Women with higher education level and from wealthier households have a greater tendency of joining the labor force while those with only high school or lower degree …

Why You Pay What You Pay At The Pump, Jason Orne

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates several factors that strongly influence the day to day consumer price of Gasoline in America. This study incorporates existing information on the most likely variables that should influence gasoline prices from the beginning of 2006 to the very end of 2009. The study looks at contributing factors that include the average price of gasoline from the week before (pennies per gallon), the current weeks average oil price (Dollars per barrel), the previous weeks average oil price (Dollars per barrel), and the US production, and consumption of gasoline (1000 barrels per day). Using macro-level data from the US …

I-O Tables Guide, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Ch. 10: Price/value revisions. NA-24-13.

• Add survey from Jefferis (attached).

• Add survey from Jeffries (attached).

• Email from Lefteris to Anwar Shaikh regarding chapter revisions and additional empirical studies. In this message, Lefteris notes that the attachment contains a summary of empirical studies from a 2010 paper with Paitaridis and that more recent papers with Theodore are already included in the references.

• Extract from Tsoulfidis and Paitaridis, “On the labor theory of value: Statistical artefacts or regularities?” This excerpt reviews empirical studies of price-value deviations and related debates.

• References for the chapter excerpt. …

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Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun Yu

Research Collection School Of Economics

This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is semiparametric in the sense that the distributional form of its error component is left unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Asymptotic properties are established for the new estimation method. Simulation studies validate the new estimation method. The out-of-sample performance of the proposed model is evaluated against a number …

Rxr Rulc Typed Notes And Model Results, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2002). Full exchange rate and balance of payments model. Unpublished manuscript.
• Shaikh, A. (2009). Real exchange rate vs. adjusted relative real unit labor costs and covered interest rate differentials. Unpublished manuscript.
• Shaikh, A. (2009). Least squares estimations of deviations of the terms of trade from rescaled relative unit labor costs. Unpublished manuscript.
• Shaikh, A. (2009). Tests of uncovered interest parity versus the classical relative price hypothesis: Exchange rate changes and real interest differentials. Unpublished manuscript.
• Shaikh, A. (2010). United States and Japan macroeconomic cointegration analysis, unit root tests, and error correction …

Rulc Rxr Econometrics, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. Rule exchange rate and real exchange rate econometrics and stationarity analysis.
• Elliott, G., Rothenberg, T. J., & Stock, J. H. Efficient tests for an autoregressive unit root.
• Ng, S., & Perron, P. Lag length selection and the construction of unit root tests with good size and power.
• Pesaran, M. H., Shin, Y., & Smith, R. J. Bounds testing approaches to the analysis of level relationships.
• Shaikh, A. Gretl statistical regression software outputs for terms of trade and unit labor cost models.
• Shaikh, A. Simulated terms of trade, relative unit labor …

The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng

Dissertations and Theses Collection (Open Access)

In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …

Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti

Dissertations and Theses Collection (Open Access)

This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …

Some Professionals Play Minimax: A Reexamination Of The Minimax Theory In Major League Baseball, Jeffrey Park

CMC Senior Theses

This paper explores the behavior of Major League Baseball pitchers. We analyze the pitching data from 2007-2010 in order to determine whether their actions follow minimax play. We also examine what the OPS statistic tells us about a pitcher's value.

An Economic Impact Study Of The "Boom" Period Of Baseball Stadium Redevelopment, Emily Mcnab

CMC Senior Theses

The intention of this study is to analyze the economic impact of redeveloped Major League Baseball stadiums opened between 1991 and 2004. Using two empirical models, including an event study, this impact analysis captures the economic conditions of the cities during the opening year of the stadium, as well as the prior conditions leading up to the opening of the stadium, along with any lingering effects or gradual changes in conditions. The impact was measured in relation to the Metropolitan Statistical Areas corresponding to the 18 ballparks included, specifically looking at the impact on employment rates and per capita personal …

Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su

Research Collection School Of Economics

In this paper we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values and justify its validity. A small set of Monte Carlo simulations indicate the test performs …

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

Research Collection School Of Economics

In this chapter 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 does 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.

Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity, Seong Hyun Hong, Peter C. B. Phillips

Research Collection School Of Economics

This article shows that when applied to nonstationary time series, the conventional Regression Error Specification Test (RESET) leads to severe size distortion and its asymptotic distribution involves a mixture of noncentral chi(2) distributions. Nonstationarity introduces bias terms in the limit distribution, and appropriate corrections for the bias are presented leading to a modified RESET test that has a central chi(2) limit distribution. In simulations, this modified test is shown to have power not only against nonlinear cointegration but also against the absence of cointegration. In an empirical illustration, the linear purchasing power parity (PPP) specification is tested using five Organization …

Functional Coefficient Estimation With Both Categorical And Continuous Data, Liangjun Su, Ye Chen, Aman Ullah

Research Collection School Of Economics

We propose a local linear functional coefficient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the finite sample performance of our estimator. As an application, we estimate a wage determination function that explicitly allows the return to education to depend on other variables. We find evidence of the complex interacting patterns among the regressors in the wage equation, such as increasing returns to education when experience is very low, high return to education for …

Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang

Research Collection School Of Economics

We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) models. We compare the daily volatilities estimated using the ACD models against several versions of the realized volatility (RV) method, including the bipower variation realized volatility with subsampling, the realized kernel estimate and the duration-based realized volatility. The ACD volatility estimates correlate highly with and perform very well against the RV estimates. Our Monte Carlo results show that our method has lower root mean-squared error than the RV methods in most …

Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki Fujii, Larry Karp

Research Collection School Of Economics

When current decisions affect welfare in the far-distant future, as with climate change, the use of a declining pure rate of time preference (PRTP) provides potentially important modeling flexibility. The difficulty of analyzing models with non-constant PRTP limits their application. We describe and provide software (available online) to implement an algorithm to numerically obtain a Markov perfect equilibrium for an optimal control problem with non-constant PRTP. We apply this software to a simplified version of the numerical climate change model used in the Stern Review. For our calibration, the policy recommendations are less sensitive to the PRTP than widely believed.

Discussion & Notes On Quality Adjustments Bias Of K Stock, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Fixed reproducible tangible wealth in the United States, 1925–89, written by the Bureau of Economic Analysis, published by the U.S. Government Printing Office, in the year 1993.
• Discussion & note on quality adj bias of k stock, an unpublished set of handwritten research notes and analytical commentary prepared by Anwar Shaikh, PhD, on September 17, 2010.
• Kstock bias in quality adj. prices, a manuscript file folder label inscribed with the identification code NA-23-65, prepared by Anwar Shaikh, PhD, on June 5, 2026.
• Alternate measures of current-cost output/capital indexes: 1947 = 100, an unpublished …

Visibility Of Contributions And Cost Of Information: An Experiment On Public Goods, Anya Savikhin, Roman M. Sheremeta

ESI Working Papers

We experimentally investigate the impact of visibility of information about contributors on contributions in the public goods game. We systematically consider several treatments that are similar to a wide range of situations in practice. First, we vary the cost of viewing identifiable information about contributors. Second, we vary recognizing all, top or bottom contributors. We find that recognizing all contributors significantly increases contributions relative to the baseline. Recognizing only the top contributors is not significantly different from not recognizing contributors, but recognizing only the bottom contributors is as effective as recognizing all contributors. When viewing information about contributors is costly, …

Fight Or Flight? Defending Against Sequential Attacks In The Game Of Siege, Cary Deck, Roman M. Sheremeta

ESI Working Papers

This paper examines theory and behavior in a two-player game of siege, sequential attack and defense. The attacker’s objective is to successfully win at least one battle while the defender’s objective is to win every battle. Theoretically, the defender either folds immediately or, if his valuation is sufficiently high and the number of battles is sufficiently small, then he has a constant incentive to fight in each battle. Attackers respond to defense with diminishing assaults over time. Consistent with theoretical predictions, our experimental results indicate that the probability of successful defense increases in the defenders valuation and it decreases in …

Affecting Policy By Manipulating Prediction Markets: Experimental Evidence, Cary Deck, Shengle Lin, David Porter

ESI Working Papers

Documented results indicate prediction markets effectively aggregate information and form accurate predictions. This has led to a proliferation of markets predicting everything from the results of elections to a company’s sales to movie box office receipts. Recent research suggests prediction markets are robust to manipulation attacks and resulting market outcomes improve forecast accuracy. However, we present evidence from the lab indicating that single‐minded, well‐funded manipulators can in fact destroy a prediction market’s ability to aggregate informative prices and mislead those who are making forecasts based upon market predictions. However, we find that manipulators primarily influence market trades meaning outstanding bids …