Econometrics Commons^™

Rhode Island Current Conditions Index -- August 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

An Analysis Of Airline Quality Rating Components Using Bayesian Methods, John H. Mott, Branden K. Avery

International Journal of Aviation, Aeronautics, and Aerospace

The Airline Quality Rating, a unique metric that is of interval scale and is comparable across carriers and time periods, is a quantitative evaluation of the quality of U.S. domestic air carriers based on data that is collected and published by the U.S. Bureau of Transportation Statistics. One may gain insight into the relationship of the AQR metric to the carriers to which it is applied by grouping those carriers and examining the effects of the resulting groupings on the four individual factors that comprise the AQR. This study used Bayesian hierarchical modeling techniques to examine the differences between three …

Rhode Island Current Conditions Index -- July 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Art Arbitrage - Violations Of The Law Of One Price Created By Fine Art Auctions, Amy Liu

Undergraduate Economic Review

Although fine art is becoming increasingly popular as investment, its price determination is relatively opaque. This paper expands upon the work of Pesando (1993) and Pesando and Shum (2007) concerning the law of one price in the art auction industry. By examining the sale history of silkscreen prints from Andy Warhol’s 1970 series Flowers, this paper controls for the physical characteristics of particular artwork and seeks to determine the likelihood of sale and price differentials created by specific auction environments. This paper further examines the extent to which auction houses take into account these auction environments when setting presale …

A Royal Problem: Planning Induced Supply Constraints In London, Elizabeth P. Armstrong

Lawrence University Honors Projects

We explore the impact of regulatory supply constraints on house price levels following boom and bust periods in London. We hypothesize that when regulatory restrictiveness increases during a boom period, house prices will be higher in the following year compared to house prices in less restricted areas. We also hypothesize that when regulatory restrictiveness increases during a bust period, house prices will be lower in the following year compared to house prices in less restricted areas. We empirically test our hypothesis using a multilevel mixed-effects model with a panel data set of 32 boroughs of London, ranging from 2001 to …

Rhode Island Current Conditions Index -- June 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Memorial To Edmond Malinvaud, Peter C. B. Phillips

Research Collection School Of Economics

A great man, a wide-ranging thinker and writer, a pre-eminent researcher, andan inspiring educator passed away on 7 March 2015, leaving the world of economicsso much the poorer and narrower. Edmond Malinvaud was a giant amongmany giants in the subject and one who strode uniquely and comfortably acrossthe entire discipline like an academic colossus

Public Goods With Punishment & Payment For Relative Rank, Terence C. Burnham

ESI Working Papers

A laboratory experiment designed to investigate the role of relative performance-based payoffs on cooperation in the context of punishment. Subjects play a repeated public goods game with high-powered punishment (50:1) and additional payoffs based on relative performance. Contributions to the public good are nearly maximal. Punishment levels are substantial, higher than the same game without relative rank payoffs, and sufficiently high that total payoffs are negative. The group would make much more money in the same setting without punishment. This study contributes to investigation of the role of altruism in human cooperation.

Halbert White Jr. Memorial Jfec Lecture: Pitfalls And Possibilities In Predictive Regression, Peter C. B. Phillips

Research Collection School Of Economics

Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent contributions to this subject, focusing on the main pitfalls in conducting predictive regression and on some of the possibilities offered by modern econometric methods. The latter options include indirect inference and techniques of endogenous instrumentation that use convenient temporal transforms of persistent regressors. Some additional suggestions are made for bias elimination, quantile crossing amelioration, and control of predictive model misspecification.

Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips

Research Collection School Of Economics

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that …

Is All Foreign Aid The Same? : An Empirical Comparison Of The Effect Of Multilateral And Bilateral Aid On Growth, Scott B. Jeffrey

Undergraduate Economic Review

Despite decades of research on foreign aid, there is little to no consensus on foreign aid’s effect on growth. While most in the field study recipient country characteristics, such as institutional quality, this paper also breaks down foreign aid by donor characteristics, specifically by bilateral and multilateral donors. Since about 75% of foreign aid is bilateral, my bilateral findings are in line with previous literature that finds high institutional quality key (Burnside and Dollar 2000; 2004), but I find that multilateral aid works best in low-income countries with poor policy environments, due, perhaps, to lacking political goals of donor countries.

Shaky Foundations: The Tradeoff Between Structural Safety And Financial Security, Grace Daly

Undergraduate Honors Theses

This paper investigates the relationship between the financial positions of a subcontractor and their performance on the construction site. Financial default by a subcontractor can cost general contractors additional time and expense, as they try to find replacements and keep the projects on schedule. This highlights the importance of vetting subcontractors before awarding a bid. This study attempts to bridge the gap between the subjective nature of construction quality and the more technical financial analysis in determining the overall quality of subcontractors. Safety measures are also incorporated into performance ratings. Data is collected for the years 2009 through 2014 from …

Gender Bias In Microlending: Do Opposites Attract?, Kanyinsola Adepoju

Master's Theses

This study exploits a quasi-random assignment of clients to loan officers using a unique database and survey from a large microfinance bank in Nigeria to show that opposite-sex preferences affect credit demand and supply. We find that clients matched to loan officers of the opposite gender are more likely to receive credit and are more likely to return for an additional loan with the credit lender.

The Impact Of Foreign Direct Investment On Labor Market Measures: Evidence From Sub-Saharan Africa, David A. Mayom

Master's Theses

There is scant literature examining the relationship between foreign direct investment (FDI) and labor market measures in Sub-Saharan African (SSA) countries. This paper explores the effect of FDI on the labor market measures using panel data of 48 Sub-Saharan African Countries from 1991 to 2009. The result indicates that FDI has a positive and significant effect on employment implying that an increase in the inflow of FDI is associated with higher employment. Thus, Sub-Saharan African governments should strongly consider poverty alleviation and employment policies that encourage and direct FDI to the industries where it can significantly reduce unemployment.

The Impact Of Offcial Development Assistance On Foreign Direct Investment: Evidence From Vietnam, Hang Pham

Master's Theses

The relationship between Foreign Direct Investment (FDI) and Official Development Assistance (ODA) has not been fully established, nor has its directionality, as evidenced the disagreement among economists. Using existing literature as starting point, I extend its base by examining key causal variables for ODA and FDI within 64 Vietnamese provinces, covering the span from 1998 to 2012. With the most extensive and newest dataset available, I find that ODA attracts more FDI inflows in intermediate term (5year average) and long term (all year average), but not in the short-term. An important policy implication of these results for developing countries, and …

Consumption Smoothing And Labor Supply Allocation Decisions: Evidence From Tanzania, Dustin Davis

Master's Theses

This paper tests the hypothesis that agricultural households engage in intermittent wage labor as a way to smooth consumption in the face of idiosyncratic shocks to agricultural income. Using data on agricultural households from the Tanzanian LSMS-ISA National Panel Survey and global commodity price data as a source of plausibly exogenous variation, the sensitivity of wage labor to farm income shocks is estimated. The idiosyncratic shock to post-harvest income is estimated by incorporating pre-harvest information, including local farm-gate prices as instrumented by global commodity prices. The results show that households are more likely to select into wage labor and work …

The Curious Case Of Greece: The Impact Of Fiscal Policy Shocks On Key Macroeconomic Variables. A Var Based Approach., Manny Kaliontzakis

Master's Theses

For years, the Vector Autoregressive approach has been the main tool for monetary economics and macroeconomic researchers around the world. Leading central banking figures, academics, and modern economic think tanks have used the approach to determine the effects of interest rate shocks on basic macroeconomic variables such as GDP, industrial production and unemployment rate. Shocking policy variables, such as interest rates or long term bond rates have given economists the ability to run reliable forecasts. The last 20 years have seen a turn in the use of the VAR approach on fiscal policy as well. Even though, in general, previous …

The Impact Of Migration And Remittances On Children's Education In El Salvador, Philip H. Jakob

Master's Theses

The effect that migrant remittances have on school enrollment is a challenging relationship to empirically define, requiring both an analysis of the circumstances that lead a household member to emigrate from their home and equally, but not always independently, how the family makes investment decisions in the education of one or more of their children. This study presents a new strategy to determine the nature of this relationship for households in El Salvador, using a 2SLS estimation with a wealth-stratified panel constructed from household survey data over a nine-year period. Employing this methodology to estimate the combined effects of both …

Privatization & Fdi: Examining Growth In Vietnam's Provinces, William T. Clark

Master's Theses

Over the past three decades many developing countries have looked toward privatizing investment markets and relying more on Foreign Direct Investment (FDI) to supply needed capital investment for their emerging private sectors. In their pursuit of foreign capital, developing countries have enacted several changes in economic policy and regulation in hopes of transforming formerly rural and undeveloped countries into highly urbanized centers of global production. This is particularly true for a transitioning economy such as Vietnam, which has seen increasing privatization of industry and investment since the reforms of 1986 known as “Doi Moi.” In this study I …

A Test Of The Household Separation Hypothesis In Rwanda, James E. Anderson

Master's Theses

How does a farm household in rural Africa react when the government decides crop selection? In developing countries, agricultural households strive to optimize a risk mitigating utility function rather than a traditional agricultural production function. These households are termed “non-separated” as their farming efforts are directed towards family food security rather than maximizing agricultural profits. The lack of integration with labor and commodity markets makes these non-separated households difficult to influence with policy initiatives. Various tests for household separation have been developed.

We use a unique dataset from Rwanda to evaluate these separation tests. The data include households forced into …

Rhode Island Current Conditions Index -- May 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Do Footprint-Based Cafe Standards Make Car Models Bigger?, Brianna Marie Jean

Economics

Corporate Average Fuel Economy (CAFE) standards have historically been set equal across all manufacturer fleets of the same type. Concerns about varying costs across firms and safety implications of standards that are set homogeneously across firms and models resulted in a policy shift towards footprint-based standards. Under this type of standard, individual car models face targets based on the size of the area between the wheelbase and wheel track, so that larger models face less stringent standards, and manufacturers who make, on average, larger cars will face a lighter fleet standard. Theoretical models have shown that this type of policy …

Economic Growth And Development In Sub-Saharan Africa, Asia, And Latin America: The Impact Of Human Capital, Angui D. Macham

Applied Economics Theses

My thesis is that human capital has been important to growth, but has had differential impact in three areas: Sub-Sahara Africa; Asia; and Latin America. I estimated three regional models to determine the impact of human capital on the growth of gross domestic product (GDP) per capita. Each model was estimated using the pooled OLS approach with a sample of 10 countries within each region. I make use of data from the Penn World Table- international comparisons of production data bank. I found that only the African region had statistically significant coefficients for both physical and human capital. For the …

Averaged Instrumental Variables Estimators, Yoonseok Lee, Yu Zhou

Center for Policy Research

We develop averaged instrumental variables estimators as a way to deal with many weak instruments. We propose a weighted average of the preliminary k-class estimators, where each estimator is obtained using different subsets of the available instrumental variables. The averaged estimators are shown to be consistent and to satisfy asymptotic normality. Furthermore, its approximate mean squared error reveals that using a small number of instruments for each preliminary k-class estimator reduces the finite sample bias, while averaging prevents the variance from inflating. Monte Carlo simulations find that the averaged estimators compare favorably with alternative instrumental-variable-selection approaches when the strength levels …

Downtown Parking Meter Demand In El Paso, Thomas M. Fullerton Jr., E. Pallarez, Adam G. Walke

Border Region Modeling Project

Prior research establishes that the price of parking in the city centre often impacts the decision to travel downtown and the mode of transportation utilized. Other factors that influence the decision to drive and park downtown have received less attention. This study uses time series data to analyse the demand for metered parking spaces in El Paso, Texas, USA. In addition to meter rates, the determinants of demand include personal income, gasoline prices, and the price of a substitute good, parking garage spaces. Because international bridges connect downtown El Paso to neighbouring Ciudad Juárez, Chihuahua, Mexico, the impacts of trans-boundary …

Asymptotic Distribution And Finite-Sample Bias Correction Of Qml Estimators For Spatial Dependence Model, Shew Fan Liu, Zhenlin Yang

Research Collection School Of Economics

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model. In particular, the effect of spatial dependence on the convergence rate of the QML estimators has not been formally studied, and methods for correcting finite sample bias of the QML estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the applications of this model, as …

Limit Theory For Vars With Mixed Roots Near Unity, Peter C. B. Phillips, Ji Hyung Lee

Research Collection School Of Economics

Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are useful in empirical testing for multiple manifestations of nonstationarity - in particular for distinguishing mildly explosive roots from roots that are local to unity and for testing commonality in persistence.

Modified Qml Estimation Of Spatial Autoregressive Models With Unknown Heteroskedasticity And Nonnormality, Shew Fan Liu, Zhenlin Yang

Research Collection School Of Economics

In the presence of heteroskedasticity, Lin and Lee (2010) show that the quasi-maximum likelihood (QML) estimator of the spatial autoregressive (SAR) model can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In this paper, we first show that this condition may hold in certain situations and when it does the regular QML estimator can still be consistent. In cases where this condition is violated, we propose a simple modified QML estimation method robust against unknown heteroskedasticity. In both cases, asymptotic distributions of the estimators are derived, and methods …

Testing Additive Separability Of Error Term In Nonparametric Structural Models, Liangjun Su, Yundong Tu, Aman Ullah

Research Collection School Of Economics

This paper considers testing additive error structure in nonparametric structural models, against the alternative hypothesis that the random error term enters the nonparametric model non-additively. We propose a test statistic under a set of identification conditions considered by Hoderlein, Su and White (2012), which require the existence of a control variable such that the regressor is independent of the error term given the control variable. The test statistic is motivated from the observation that, under the additive error structure, the partial derivative of the nonparametric structural function with respect to the error term is one under identification. The asymptotic distribution …

Specification Test For Panel Data Models With Interactive Fixed Effects, Liangjun Su, Sainan Jin, Yonghui Zhang

Research Collection School Of Economics

In this paper, we propose a consistent nonparametric test for linearity in panel data models with interactive fixed effects. To construct the test statistic, we need to estimate the model under the null hypothesis of linearity and then obtain the restricted residuals. We show that after being appropriately centered and standardized, the test statistic is asymptotically normally distributed both under the null hypothesis and a sequence of Pitman local alternatives. To improve the finite sample performance, we propose a bootstrap procedure to obtain the bootstrap p-values. A small set of Monte Carlo simulations illustrates that our test performs well in …