Econometrics Commons^™

Rhode Island Current Conditions Index — August 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Bayesian Hypothesis Testing In Latent Variable Models, Yong Li, Jun Yu

Research Collection School Of Economics

Hypothesis testing using Bayes factors (BFs) is known not to be well defined under the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. 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 easy to interpret and appropriately defined under improper priors because the method employs a …

Simulated Maximum Likelihood Estimation For Latent Diffusion Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug

Research Collection School Of Economics

In this paper a method is developed and implemented to provide the simulated maximum likelihood estimation of latent diffusions based on discrete data. The method is applicable to diffusions that either have latent elements in the state vector or are only observed at discrete time with a noise. Latent diffusions are very important in practical applications in financial economics. The proposed approach synthesizes the closed form method of Ait-Sahalia (2008) and the efficient importance sampler of Richard and Zhang (2007). It does not require any infill observations to be introduced and hence is computationally tractable. The Monte Carlo study shows …

Testing For Multiple Bubbles, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu

Research Collection School Of Economics

Identifying explosive bubbles that are characterized by periodically collapsing behavior over time has been a major concern in the literature and is of great importance for practitioners. The complexity of the nonlinear structure in multiple bubble phenomena diminishes the discriminatory power of existing tests, as evidenced in early simulations conducted by Evans (1991). Multiple collapsing bubble episodes within the same sample period make bubble diagnosis particularly difficult and complicate attempts at econometric dating. The present paper systematically investigates these issues and develops new procedures for practical implementation and surveillance strategies by central banks. We show how the testing procedure and …

Specification Sensitivities In Right-Tailed Unit Root Testing, Shu-Ping Shi, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF test under different hypotheses and model specifications. The …

The Impact Of Honor Codes And Perceptions Of Cheating On Academic Cheating Behaviors, Especially For Mba Bound Undergraduates, Heather M. O'Neill, Christian A. Pfeiffer

Business and Economics Faculty Publications

Researchers studying academic dishonesty in college often focus on demographic characteristics of cheaters and discuss changes in cheating trends over time. To predict cheating behavior, some researchers examine the costs and benefits of academic cheating, while others view campus culture and the role which honor codes play in affecting behavior. This paper develops a model of academic cheating based on three sets of incentives - moral, social and economic—and how they affect cheating behaviors. An on-line survey comprising 61 questions was administered to students from three liberal arts colleges in the USA in spring 2008, yielding 700 responses, with half …

Rhode Island Current Conditions Index — July 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Quasi-Maximum Likelihood Estimation Of Discretely Observed Diffusions, Xiao Huang

Faculty Articles

This paper introduces a quasi-maximum likelihood estimator for discretely observed diffusions when a closed-form transition density is unavailable. Higher-order Wagner-Platen strong approximation is used to derive the first two conditional moments and a normal density function is used in estimation. Simulation study shows that the proposed estimator has high numerical precision and good numerical robustness. This method is applicable to a large class of diffusions.

Rhode Island Current Conditions Index — June 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Empirical Methods For Predicting Student Retention- A Summary From The Literature, Matt Bogard

Economics Faculty Publications

The vast majority of the literature related to the empirical estimation of retention models includes a discussion of the theoretical retention framework established by Bean, Braxton, Tinto, Pascarella, Terenzini and others (see Bean, 1980; Bean, 2000; Braxton, 2000; Braxton et al, 2004; Chapman and Pascarella, 1983; Pascarell and Ternzini, 1978; St. John and Cabrera, 2000; Tinto, 1975) This body of research provides a starting point for the consideration of which explanatory variables to include in any model specification, as well as identifying possible data sources. The literature separates itself into two major camps including research related to the hypothesis testing …

Empirical Methods-A Review: With An Introduction To Data Mining And Machine Learning, Matt Bogard

Economics Faculty Publications

This presentation was part of a staff workshop focused on empirical methods and applied research. This includes a basic overview of regression with matrix algebra, maximum likelihood, inference, and model assumptions. Distinctions are made between paradigms related to classical statistical methods and algorithmic approaches. The presentation concludes with a brief discussion of generalization error, data partitioning, decision trees, and neural networks.

Rhode Island Current Conditions Index — May 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Industrial Diversity And Economic Performance: A Spatial Analysis, Hoa Phu Duy Tran

College of Business: Dissertations, Theses, and Student Research

This study examines the linkage between industrial diversity and economic growth in the 48 contiguous states of the United States.  The period of analysis is 1992 through 2009.  Five diversity indices are considered and economic growth is measured as the growth rate of nonfarm earnings.  Other variables thought to influence economic growth are included in the analysis.  They are the growth rate of nonfarm employment, capital, and farm earnings.  Tests for the endogeneity of variables are conducted and the need for instrumental variable estimation methods is demonstrated.

First, I consider multivariate model that relates nonfarm earnings growth to the diversity …

Instrumental Variable Quantile Estimation Of Spatial Autoregressive Models, Liangjun Su, Zhenlin Yang

Research Collection School Of Economics

We propose a spatial quantile autoregression (SQAR) model, which allows cross-sectional dependence among the responses, unknown heteroscedasticity in the disturbances, and heterogeneous impacts of covariates on different points (quantiles) of a response distribution. The instrumental variable quantile regression (IVQR) method of Chernozhukov and Hansen (2006) is generalized to allow the data to be non-identically distributed and dependent, an IVQR estimator for the SQAR model is then defined, and its asymptotic properties are derived. Simulation results show that this estimator performs well in finite samples at various quantile points. In the special case of spatial median regression, it outperforms the conventional …

New York Camp Econometrics Vi Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

Rhode Island Current Conditions Index — April 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Economic Freedom And Fiscal Performance: A Regression Analysis Of Indices Of Economic Freedom On Per Capita Gdp, Jason R. Ockey

Undergraduate Economic Review

This paper explores whether different forms of economic freedom drive fiscal performance. We also seek to determine which specific measurements of economic freedom have the most statistically significant impacts. Though the results of our analysis show that economic freedom does impact levels of per capita GDP, the interpretation of these results is more complicated. Because some indices of economic freedom have negative effects on per capita GDP or are statistically insignificant, it is important to note that simply generally increasing a country’s overall level of economic freedom will not necessarily spur economic growth or increase fiscal performance. This paper does …

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 …

Asymptotic Theory For Zero Energy Functionals With Nonparametric Regression Applications, Qiying Wang, Peter C. B. Phillips

Research Collection School Of Economics

A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are functions of both sample size and bandwidth. An interesting outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In consequence and in contrast to the stationary case, the Nadaraya-Watson estimator has the same limit distribution (to the second order including bias) as the local linear …

Target Industry Study: An Empirical Analysis Of Intertemporal Trends In Regional Industrial Base Composition, David M. Smith

Undergraduate Theses and Capstone Projects

This paper follows existing literature on local industrial conditions and agglomeration economies in an adapted shift-share framework. The purpose of this study is to develop a cost-efficient empirical model that meets the needs of local government in analyzing changes in industrial composition. The data for this model is obtained from the Bureau of Labor Statistics' Quarterly Census of Employment and Wages (QCEW) with nondisclosed data provided by the Virginia Employment Commission which is sorted by North American Industrial Classification System (NAICS) 2-digit industrial sectors. The model developed in this paper identifies certain industrial sectors which exert significant influence on the …

Infinite Density At The Median And The Typical Shape Of Stock Return Distributions, Chirok Han, Jin Seo Cho, Peter C. B. Phillips

Research Collection School Of Economics

Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L(1) estimation asymptotics in conjunction with nonparametric kernel density estimation methods. The size and power of the tests are assessed, and conditions under which the tests have good performance are explored in simulations. The new methods are applied to stock returns of leading companies across major U.S. industry groups. The results confirm the presence of infinite density at the median as a new significant empirical evidence …

Impact Of The Economic Downturn On Local Governments In South Carolina, William Tomes

Georgia Journal of Public Policy

Across the country local government revenues have decreased while operating costs such as fuel, materials, equipment, and health insurance costs have significantly increased. In addition to reduced revenues, interest earnings for city and county government investments are low. These factors combined have created a difficult financial arena in which local governments must operate. While economists are reporting signs of economic recovery, many city and county budgets are just now feeling the full brunt of the economic downturn that began in 2008. On a daily basis, news media nationwide report local governments addressing budget deficits by cutting services, eliminating positions, or …

Rhode Island Current Conditions Index — March 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

A Note On The Interpretation Of Scale Values In Multidimensional Scaling Growth Analysis, Cody Ding

Education Sciences and Professional Programs Faculty Works

No abstract provided.

Building Dynamic Stochastic General Equilibrium Models For Monetary Policy Analysis, Charles N. O. Mordi, Michael A. Adebiyi

Economic and Financial Review

Dynamic Stochastic General Equilibrium (DSGE) models are powerful tools that provide a coherent framework for policy discussion and analysis. In principle, they can help to identify sources of fluctuations, answer questions about structural changes, help to forecast and predict the effect of policy changes, and perform counterfactual experiments. Against this background, this paper aims at providing an insightful discussion on DSGE models by developing a simplified version of the models to explain the behavior of key macroeconomic variables in Nigeria namely: the growth rate of gross domestic product (GDP), headline inflation, exchange rate and the monetary policy rate. The estimated …

Rhode Island Current Conditions Index — February 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Corrigendum To "A Gaussian Approach For Continuous Time Models Of The Short Term Interest Rate", Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

An error is corrected in Yu and Phillips (2001) (Econometrics Journal, 4, 210-224) where a time transformation was used to induce Gaussian disturbances in the discrete time equivalent model. It is shown that the error process in this model is not a martingale and the Dambis, Dubins-Schwarz (DDS) theorem is not directly applicable. However, a detrended error process is a martingale, the DDS theorem is applicable, and the corresponding stopping time correctly induces Gaussianity. We show that the two stopping time sequences differ by O(a2), where a is the pre-specified normalized timing constant.

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

Research Collection School Of Economics

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

Monetary And Fiscal Policies: Ordinary Recessions And Financial Crises, Svetoslav I. Semov

Gettysburg Economic Review

This paper uses two different samples to study the effects of monetary and fiscal policies on the profiles of recessions and recoveries. Several results emerge from the econometric analysis presented. First, monetary policy during ordinary recessions and banking crises is a powerful tool with lasting effects that extend to recovery growth rates. However, the effect of monetary policy during financial crises is strongly diminished in the case of forbearance – banks left to function despite being technically insolvent. Second, the effectiveness of fiscal policy is reversed – it is a powerful tool during banking crises, but it does not seem …

Rhode Island Current Conditions Index — January 2011, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.