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2019

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Articles 91 - 120 of 174

Full-Text Articles in Econometrics

Common Threshold In Quantile Regressions With An Application To Pricing For Reputation, Liangjun Su, Pai Xu Apr 2019

Common Threshold In Quantile Regressions With An Application To Pricing For Reputation, Liangjun Su, Pai Xu

Research Collection School Of Economics

The paper develops a systematic estimation and inference procedure for quantile regression models where there may exist a common threshold effect across different quantile indices. We first propose a sup-Wald test for the existence of a threshold effect, and then study the asymptotic properties of the estimators in a threshold quantile regression model under the shrinking-threshold-effect framework. We consider several tests for the presence of a common threshold value across different quantile indices and obtain their limiting distributions. We apply our methodology to study the pricing strategy for reputation via the use of a dataset from Taobao.com. In our economic …

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M-Estimators Of U-Processes With A Change-Point Due To A Covariate Threshold, Lili Tan, Yichong Zhang Apr 2019

M-Estimators Of U-Processes With A Change-Point Due To A Covariate Threshold, Lili Tan, Yichong Zhang

Research Collection School Of Economics

Economic theory often predicts a “tipping point” effect due to multiple equilibria. Linear threshold regressions estimate the “tipping point” by assuming at the same time that the response variable is linear in an index of covariates. However, economic theory rarely imposes a specific functional form, but rather predicts a monotonic relationship between the response variable and the index. We propose new, rank-based, estimators for both the “tipping point” and other regression coefficients, exploiting only the monotonicity condition. We derive the asymptotic properties of these estimators by establishing a more general result for M-estimators of U-processes with a change-point due to …

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Asymptotic Theory For Rough Fractional Vasicek Models, Weilin Xiao, Jun Yu Apr 2019

Asymptotic Theory For Rough Fractional Vasicek Models, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper extends the asymptotic theory for the fractional Vasicek model developed in Xiao and Yu (2018) from the case where H ∈ (1/2, 1) to the case where H ∈ (0, 1/2). It is found that the asymptotic theory of the persistence parameter (k) critically depends on the sign of k. Moreover, if k > 0, the asymptotic distribution for the estimator of k is different when H ∈ (0, 1/2) from that when H ∈ (1/2, 1).

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Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin Apr 2019

Sieve Estimation Of Time-Varying Panel Data Models With Latent Structures, Liangjun Su, Xia Wang, Sainan Jin

Research Collection School Of Economics

We propose a heterogeneous time-varying panel data model with a latent group structure that allows the coefficients to vary over both individuals and time. We assume that the coefficients change smoothly over time and form different unobserved groups. When treated as smooth functions of time, the individual functional coefficients are heterogeneous across groups but homogeneous within a group. We propose a penalized-sieve-estimation-based classifier-Lasso (C-Lasso) procedure to identify the individuals’ membership and to estimate the group-specific functional coefficients in a single step. The classification exhibits the desirable property of uniform consistency. The C-Lasso estimators and their post-Lasso versions achieve the oracle …

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Weak Σ-Convergence: Theory And Applications, Jianning Kong, Peter C. B. Phillips, Donggyu Sul Apr 2019

Weak Σ-Convergence: Theory And Applications, Jianning Kong, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

The concept of relative convergence, which requires the ratio of two time series to converge to unity in the long run, explains convergent behavior when series share commonly divergent stochastic or deterministic trend components. Relative convergence of this type does not necessarily hold when series share common time decay patterns measured by evaporating rather than divergent trend behavior. To capture convergent behavior in panel data that do not involve stochastic or divergent deterministic trends, we introduce the notion of weak σ-convergence, whereby cross section variation in the panel decreases over time. The paper formalizes this concept and proposes a simple-to-implement …

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Random Coefficient Continuous Systems: Testing For Extreme Sample Path Behavior, Yubo Tao, Peter C. B. Phillips, Jun Yu Apr 2019

Random Coefficient Continuous Systems: Testing For Extreme Sample Path Behavior, Yubo Tao, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive behavior according to specific regions of the parameter space that open up the potential for testing these forms of extreme behavior. A two-stage approach that employs realized volatility is proposed for the continuous system estimation, asymptotic theory is developed, and test statistics to identify the different forms of extreme sample path behavior are proposed. Simulations show that the …

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Rank Tests At Jump Events, Jia Li, Viktor Todorov, George Tauchen, Huidi. Lin Apr 2019

Rank Tests At Jump Events, Jia Li, Viktor Todorov, George Tauchen, Huidi. Lin

Research Collection School Of Economics

We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh. In the first step, we form nonparametric estimates of the jump events via thresholding techniques. We then compute the eigenvalues of the outer product of the cross-section of increments at the identified jump events. The test for rank r is based on the asymptotic behavior of the …

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Reconsidering Rational Expectations And The Aggregation Of Diverse Information In Laboratory Security Markets, Brice Corgnet, Cary Deck, Mark Desantis, Kyle Hampton, Erik O. Kimbrough Apr 2019

Reconsidering Rational Expectations And The Aggregation Of Diverse Information In Laboratory Security Markets, Brice Corgnet, Cary Deck, Mark Desantis, Kyle Hampton, Erik O. Kimbrough

ESI Working Papers

The ability of markets to aggregate diverse information is a cornerstone of economics and finance, and empirical evidence for such aggregation has been demonstrated in previous laboratory experiments. Most notably Plott and Sunder (1988) find clear support for the rational expectations hypothesis in their Series B and C markets. However, recent studies have called into question the robustness of these findings. In this paper, we report the result of a direct replication of the key information aggregation results presented in Plott and Sunder. We do not find the same strong evidence in support of rational expectations that Plott and Sunder …

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The Political Economy Of Foreign Aid And Growth: Theory And Evidence, Sultan Mehmood, Avner Seror Mar 2019

The Political Economy Of Foreign Aid And Growth: Theory And Evidence, Sultan Mehmood, Avner Seror

ESI Working Papers

In this paper, we demonstrate that even when foreign aid is used to fund patronage, it may still have a positive - and significant - effect on economic growth in developing countries. First, we present a theory that formalizes the effect of aid on economic growth and patronage. Next, we provide evidence from Pakistan consistent with the predictions of the model that foreign aid increases economic growth, despite being used for patronage. The identification strategy we propose allows us to provide causal evidence for the predictions of the model.

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Designing Call Auction Institutions To Eliminate Price Bubbles: Is English Dutch The Best?, Cary Deck, Maroš Servátka, Steven Tucker Mar 2019

Designing Call Auction Institutions To Eliminate Price Bubbles: Is English Dutch The Best?, Cary Deck, Maroš Servátka, Steven Tucker

ESI Working Papers

The bubble and burst pattern in asset market experiments is among the most replicable results in experimental economics. Numerous studies have searched for means to reduce this mispricing. Using controlled laboratory experiments, we compare mispricing in standard double auction markets to prices in two clock auctions. The double Dutch auction, shown to be more efficient than the double auction in commodity market experiments, does not eliminate bubbles. However, the English Dutch auction does yield prices reflective of underlying fundamentals and succeeds in taming bubbles even with inexperienced traders in the common declining fundamental value environment.

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Salience And Social Choice, Mark Schneider, Jonathan W. Leland Mar 2019

Salience And Social Choice, Mark Schneider, Jonathan W. Leland

ESI Working Papers

The axioms of expected utility and discounted utility theory have been tested extensively. In contrast, the axioms of social welfare functions have only been tested in a few questionnaire studies involving choices between hypothetical income distributions. In this note, we conduct a controlled experiment with 100 subjects in the role of social planners that tests five fundamental properties of social welfare functions to provide a basic test of cardinal social choice theory. We find that four properties of the standard social welfare functions tested are systematically violated, producing an Allais paradox, a common ratio effect, a framing effect, and a …

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Rhode Island Current Conditions Index -- March 2019, Leonard Lardaro Mar 2019

Rhode Island Current Conditions Index -- March 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Limit Theory For Moderate Deviations From Integrated Garch Processes, Yubo Tao Mar 2019

Limit Theory For Moderate Deviations From Integrated Garch Processes, Yubo Tao

Research Collection School Of Economics

This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013).

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Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou Mar 2019

Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou

Research Collection School Of Economics

The linkage among the realized volatilities across component stocks are important when modeling and forecasting the relevant index volatility. In this paper, the linkage is measured via an extended Common Correlated Effects (CCE) approach under a panel heterogeneous autoregression model where unobserved common factors in errors are assumed. Consistency of the CCE estimator is obtained. The common factors are extracted using the principal component analysis. Empirical studies show that realized volatility models exploiting the linkage effects lead to significantly better out-of-sample forecast performance, for example, an up to 32% increase in the pseudo R2. We also conduct various forecasting exercises …

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Actuarial Modeling And Analysis Of The Hong Kong Life Annuity Scheme, Koon Shing Kwong, Wai-Sum Chan, Johnny Siu-Hang Li Mar 2019

Actuarial Modeling And Analysis Of The Hong Kong Life Annuity Scheme, Koon Shing Kwong, Wai-Sum Chan, Johnny Siu-Hang Li

Research Collection School Of Economics

The Hong Kong Mortgage Corporation (HKMC) Limited, which was established in March 1997 and is wholly owned by the government of the Hong Kong Special Administrative Region, has a major mission to develop and provide different financial retirement instruments to Hong Kong residents to help address the income poverty of retirees. In June 2017, HKMC Annuity Limited, a wholly-owned subsidiary of the HKMC was incorporated to implement a new life annuity scheme which would be launched by mid-2018 to cater for the needs of cash-rich Hong Kong old age residents. The objective of the scheme is to provide an additional …

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A Time To Print, A Time To Reform, Lars Boerner, Jared Rubin, Battista Severgnini Mar 2019

A Time To Print, A Time To Reform, Lars Boerner, Jared Rubin, Battista Severgnini

ESI Working Papers

The public mechanical clock and movable type printing press were arguably the most important and complex technologies of the late medieval period. We posit that towns with clocks became upper-tail human capital hubs--clocks required extensive technical know-how and fine mechanical skill. This meant that clock towns were in position to adopt the printing press soon after its invention in 1450, as presses required a similar set of mechanical and technical skills to operate and repair. A two-stage analysis confirms this conjecture: we find that clock towns were 34-40 percentage points more likely to also have a press by 1500. The …

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Given Today's New Wave Of Protectionsim, Is Antitrust Law The Last Hope For Preserving A Free Global Economy Or Another Nail In Free Trade's Coffin?, Allison Murray Feb 2019

Given Today's New Wave Of Protectionsim, Is Antitrust Law The Last Hope For Preserving A Free Global Economy Or Another Nail In Free Trade's Coffin?, Allison Murray

Loyola of Los Angeles International and Comparative Law Review

No abstract provided.

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Rhode Island Current Conditions Index -- February 2019, Leonard Lardaro Feb 2019

Rhode Island Current Conditions Index -- February 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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The Effect Of Per Capita Relief Spending On County Level Joblessness In The United States In 1937 & 1940, Mohammad S. Ahmed Feb 2019

The Effect Of Per Capita Relief Spending On County Level Joblessness In The United States In 1937 & 1940, Mohammad S. Ahmed

Theses and Dissertations

This paper uses the 1937 and 1940 county level census data to estimate what effect did additional per capita relief spending have on joblessness in the United States in 1937 and 1940. To account for endogeneity in relief spending and its unequal/non-random distribution, an instrumental variables approach is used. The results show that additional per capita relief spending lowered joblessness in the United States in both years: 1937 and 1940.

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Efficient Estimation Of Integrated Volatility Functionals Via Multi-Scale Jackknife, Jia Li, Yunxiao Liu, Dacheng. Xiu Feb 2019

Efficient Estimation Of Integrated Volatility Functionals Via Multi-Scale Jackknife, Jia Li, Yunxiao Liu, Dacheng. Xiu

Research Collection School Of Economics

We propose semiparametrically efficient estimators for general integrated volatility functionals of multivariate semimartingale processes. A plug-in method that uses nonparametric estimates of spot volatilities is known to induce high-order biases that need to be corrected to obey a central limit theorem. Such bias terms arise from boundary effects, the diffusive and jump movements of stochastic volatility and the sampling error from the nonparametric spot volatility estimation. We propose a novel jackknife method for bias correction. The jackknife estimator is simply formed as a linear combination of a few uncorrected estimators associated with different local window sizes used in the estimation …

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Shapes And Transitions Of The Interest Rate Term Structure, Biwei Chen Feb 2019

Shapes And Transitions Of The Interest Rate Term Structure, Biwei Chen

Dissertations, Theses, and Capstone Projects

I analyze different shapes of Treasury yield curves in order to better reflect and predict the U.S. economy. Since the late 1980s, macroeconomists have found that the slope of the yield curve predicts economic activity such as inflation, output growth, and recessions, but they have not fully examined the links between various shapes of yield curve and the macroeconomy. To fill the gap, I classify yield curve shapes with the U.S. Treasury yield data, detect the shape patterns over the business cycles, and map these shapes onto corresponding inflation and production states. Although the downward-sloping yield curve reliably predicts U.S. …

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Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung Feb 2019

Refusal Bias In Hiv Data From The Demographic And Health Surveys: Evaluation, Critique And Recommendations, Oyelola A. Adegboye, Tomoki Fujii, Denis H. Y. Leung

Research Collection School Of Economics

Non-response is a commonly encountered problem in many population-based surveys. Broadly speaking, non-response can be due to refusal or failure to contact the sample units. Although both types of non-response may lead to bias, there is much evidence to indicate that it is much easier to reduce the proportion of non-contacts than to do the same with refusals. In this article, we use data collected from a nationally-representative survey under the Demographic and Health Surveys program to study non-response due to refusals to HIV testing in Malawi. We review existing estimation methods and propose novel approaches to the estimation of …

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Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu Feb 2019

Asymptotic Theory For Estimating Drift Parameters In The Fractional Vasicek Model, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method …

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Empty Discarded Pack Data And The Prevalence Of Illicit Trade In Cigarettes In California, James Prieger Jan 2019

Empty Discarded Pack Data And The Prevalence Of Illicit Trade In Cigarettes In California, James Prieger

School of Public Policy Working Papers

Illicit trade in tobacco products (ITTP) creates many harms including reduced tax revenues; damages to the economic interests of legitimate actors; funding for organized-crime and terrorist groups; negative effects of participation in illicit markets, such as violence and incarceration; and reduced effectiveness of smoking-reduction policies, leading to increased damage to health. To study the prevalence of tax avoidance and ITTP, we analyze a large, novel set of data from empty discarded pack (EDP) studies. In EDP studies, teams of researchers collect all cigarette packs discarded in publicly accessible spaces of selected neighborhoods. Packs are examined for the absence of local …

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Endogenous Market Formation And Monetary Trade: An Experiment, Gabriele Camera, Dror Goldberg, Avi Weiss Jan 2019

Endogenous Market Formation And Monetary Trade: An Experiment, Gabriele Camera, Dror Goldberg, Avi Weiss

ESI Working Papers

The theory of money assumes decentralized bilateral exchange and excludes centralized multilateral exchange. However, endogenizing the exchange process is critical for understanding the conditions that support the use of money. We develop a “travelling game” to study the emergence of decentralized and centralized exchange, theoretically and experimentally. Players located on separate islands can either trade locally, or pay a cost to trade elsewhere, so decentralized and centralized markets can both emerge in equilibrium. The former minimize trade costs through monetary exchange; the latter maximizes overall surplus through non-monetary exchange. Monetary trade emerges when coordination is problematic, while centralized trade emerges …

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The Attack And Defense Games, Roman Sheremeta Jan 2019

The Attack And Defense Games, Roman Sheremeta

ESI Working Papers

The attack and defense game is a game in which an attacker (a group of attackers) has an incentive to revise the status quo and a defender (a group of defenders) wants to protect it. The asymmetry in objectives creates incompatible interests and results in a mixed-strategy Nash equilibrium. However, this equilibrium could be heavily impacted by behavioral considerations.

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Improvements To Consumption Prediction: Machine Learning Methods And Novel Features, Ian Kinskey, Glenn Oswald, Charles Mccann, Travis Finch, Anthony Tanaydin Jan 2019

Improvements To Consumption Prediction: Machine Learning Methods And Novel Features, Ian Kinskey, Glenn Oswald, Charles Mccann, Travis Finch, Anthony Tanaydin

SMU Data Science Review

Current models for predicting personal consumption expenditures (PCE) employ statistical techniques and rely upon traditional economic features. We compare vector autoregression and random forest regression models using traditional economic features as inputs to predict PCE. Additionally, we develop novel features derived from the earnings call transcripts of publicly traded U.S. companies using natural language processing (NLP) techniques. These new features reduce the mean square error (MSE) of the vector autoregression model by 7% and the random forest model by 23%. We find the random forest models outperformed the vector autoregression models, with a MSE reduction of 68%. We conclude the …

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A Bias Aggregation Theorem, Mark Schneider Jan 2019

A Bias Aggregation Theorem, Mark Schneider

ESI Working Papers

In a market where some traders are rational (maximize expected utility) and others are systematically biased (deviate from expected utility due to some bias parameter, q), do equilibrium prices necessarily depend on q? In this note, focusing on the case where there is an aggregate and systematic bias in the population, we show that market prices can still be unbiased. Hence, we establish that systematically biased agents do not necessarily imply biased market prices. We show that the parametric model we use also predicts observed deviations from expected utility in laboratory and market environments.

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Cooperation Among Strangers With And Without A Monetary System, Maria Bigoni, Gabriele Camera, Marco Casari Jan 2019

Cooperation Among Strangers With And Without A Monetary System, Maria Bigoni, Gabriele Camera, Marco Casari

ESI Working Papers

Human societies prosper when their members move beyond local exchange and cooperate with outsiders in the creation of wealth. Collaboration of this type presents formidable challenges because interaction is impersonal, reciprocity is unfeasible and trust cannot be easily established. Here we study this cooperation problem by modeling strategic interaction among strangers through an Intertemporal Exchange Game. The setup can be easily implemented in the laboratory to study a variety of cooperation-enhancing institutions. In particular, we study the role of a fiat monetary system by introducing intrinsically worthless tokens that can be offered in exchange for cooperation. The experiments show that …

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Are The Food Insecure More Likely To Be Obese?, Lisa Russo Jan 2019

Are The Food Insecure More Likely To Be Obese?, Lisa Russo

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the connections between food insecurity and obesity levels throughout the United States over three years (2011-2013). The causes of obesity are often not entirely a result of poor diet and exercise, but of the presence of food deserts in impoverished areas. Changes in income trends in recent years also the poor remain poor rather than experiencing upward mobility. This study builds on previous studies conducted both within the U.S. and internationally that found that food insecurity is a determinant of obesity rates. This study uses poverty as a proxy measurement for food insecurity at the state level, …

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