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

Econometrics Commons™

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

2020

Discipline
Institution
Keyword
Publication
Publication Type
File Type

Articles 1 - 30 of 183

Full-Text Articles in Econometrics

The Conservatism Principle And Asymmetric Preferences Over Reporting Errors, Jivas Chakravarthy, Timothy W. Shields Dec 2020

The Conservatism Principle And Asymmetric Preferences Over Reporting Errors, Jivas Chakravarthy, Timothy W. Shields

ESI Working Papers

At present, accounting conservatism is generally viewed from a measurement or reporting perspective. In contrast, we consider whether it relates to a moral rule of conduct. Conservatism has been described as deriving from a preference for reporting errors to be in the direction of understatement rather than overstatement. We experimentally pair Reporters who provide information with Users who rely on the information. We posit that under misaligned incentives that motivate aggressive reporting, Users view an aggressive report as reflecting Reporters’ exploitative intent and expect that a social norm prohibiting aggressive reporting applies. We predict that Users use noisy reporting errors …

Go to article

Social Determinants Of Health: The Impact On Health Outcomes And Hospital Profitability, Danielle Mcpherson Dec 2020

Social Determinants Of Health: The Impact On Health Outcomes And Hospital Profitability, Danielle Mcpherson

Doctor of Business Administration Dissertations

Hospitals are experiencing decreasing profitability due to increasing healthcare cost. In this paper, I demonstrate that there is financial value to hospitals by addressing social determinants of health (SDOH) as this strategy improves health outcomes and yields cost savings. I estimate the impact of SDOH on the health outcomes using an IV probit regression analysis and estimated the impact of health outcomes on cost using a basic linear regression. I estimate that improving SDOH by one standard deviation will result in hospital cost savings as follows: addressing Violent Crime will decrease hospital cost between 0.16% and 0.21%, addressing Supplemental Nutrition …

Go to article

A Capital Asset Pricing Model With Idiosyncratic Risk And The Sources Of The Beta Anomaly, Mark Schneider, Manuel A. Nunez Dec 2020

A Capital Asset Pricing Model With Idiosyncratic Risk And The Sources Of The Beta Anomaly, Mark Schneider, Manuel A. Nunez

ESI Working Papers

We introduce a generalization of the classical capital asset pricing model in which market uncertainty, market sentiment, and forms of idiosyncratic volatility and idiosyncratic skewness are priced in equilibrium. We derive two versions of the model, one based on a representative agent who cares about three criteria (risk, robustness, and expected returns), and the other with a microfoundation based on three types of investors (speculators, hedgers, and arbitrageurs). We apply the resulting capital asset pricing model with idiosyncratic risk (IR-CAPM) to provide a new theoretical account of the beta anomaly, one of the most fundamental and widely studied empirical limitations …

Go to article

Financial Reporting And Moral Sentiments, Radhika Lunawat, Timothy W. Shields, Gregory B. Waymire Dec 2020

Financial Reporting And Moral Sentiments, Radhika Lunawat, Timothy W. Shields, Gregory B. Waymire

ESI Working Papers

Dating back at least to Adam Smith (1790), philosophers and researchers expect that people will behave differently when they know their actions are observable to others. We hypothesize that financial reporting reveals managers’ actions and leads them to take different actions that are better aligned with investor interests. We posit that the reason why is the activation of our internal mental self-evaluation that Smith refers to as an “Impartial Spectator.” We test this hypothesis with an experiment in which we manipulate the availability of a financial report that makes managerial actions transparent. Our evidence shows that financial reporting leads a …

Go to article

The Chow Test With Time Series-Cross Section Data, James K. Binkley, Jeffrey Young Dec 2020

The Chow Test With Time Series-Cross Section Data, James K. Binkley, Jeffrey Young

Faculty & Staff Research and Creative Activity

The Chow test is a standard method to test for differences in regression response across groups. In some cases, the groups being tested are composed of a time series of cross sections. If the individual units within the groups have systematic differences, the Chow test is compromised: individual and group effects become confounded. This can cause rejections in the absence of the group effect of interest. We illustrate the problem with Monte Carlo analyses, and propose an alternative bootstrap-like testing procedure that helps eliminate excessive Type I errors.

Go to article

Rhode Island Current Conditions Index -- December 2020, Leonard Lardaro Dec 2020

Rhode Island Current Conditions Index -- December 2020, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Relationship Between Volatility In Domestic Oil Production, Oil Price And Exchange Rate In Nigeria: Co-Integration And Granger Causality Tests, Bashir Umar Faruk Dec 2020

Relationship Between Volatility In Domestic Oil Production, Oil Price And Exchange Rate In Nigeria: Co-Integration And Granger Causality Tests, Bashir Umar Faruk

Bullion

The paper examines the relationship between volatility in domestic oil production, oil prices, and exchange rate in Nigeria. The study employs monthly time series data, from January 2006 to August 2018. Data for the Nigerian Bonny light oil prices (COP), Domestic Oil Production (DOP) and Exchange Rate (EXC) are obtained from the Central Bank of Nigeria (CBN) website. While, dummy variable (DUM) represents stability and instability in the Niger-Delta oil-rich region was traced from historic oil disruptions in the region. Autoregres s i ve Di s tributed Lag (ARDL)/bound testing method and pairwise granger causality were employed. Unit root test …

Go to article

Impact Of Monetary Policy On Inflation Rate In Nigeria: Vector Autoregressive Analysis, Eggon Ahmed Henry, Ajidani Moses Sabo Dec 2020

Impact Of Monetary Policy On Inflation Rate In Nigeria: Vector Autoregressive Analysis, Eggon Ahmed Henry, Ajidani Moses Sabo

Bullion

The Nigerian monetary authorities have implemented several monetary management policies with the aim of achieving price stability and economic growth in the country, but without success. This study was conducted to examine the impact of monetary policy management on inflation in Nigeria during the 1985- 2019. Autoregressive distributed lag analysis was employed on time series data covering the period. It was found that while monetary policy rate and foreign exchange rate impacted negatively on inflation; broad money supply impact positively on it. Therefore, the study recommended that monetary authorities should fix the exchange rate at where the value of Naira …

Go to article

Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips Dec 2020

Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips

Research Collection School Of Economics

This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the data. These methods are a forward recursive algorithm, a rolling window algorithm, and a recursive evolving algorithm all of which utilize subsample tests of Granger causality within a lagaugmented vector autoregressive framework. The limit distributions for these subsample Wald tests are provided. Bootstrap methods are developed to control family-wise size in the implementation …

Go to article

Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang Dec 2020

Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang

Research Collection School Of Economics

We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period …

Go to article

Effect Of Monetary Policy On The Nigerian Stock Market: A Smooth Transition Autoregressive Approach, Babaginda Jamilu S., Khan Asad-Ul I. Dec 2020

Effect Of Monetary Policy On The Nigerian Stock Market: A Smooth Transition Autoregressive Approach, Babaginda Jamilu S., Khan Asad-Ul I.

CBN Journal of Applied Statistics (JAS)

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for the All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are …

Go to article

Purchasing Power Parity Approach To Exchange Rate Misalignment In Nigeria, Nakorji Musa, Agboegbulem Ngozi T. I., Gaiya Blessing A., Atoi Ngozi V. Dec 2020

Purchasing Power Parity Approach To Exchange Rate Misalignment In Nigeria, Nakorji Musa, Agboegbulem Ngozi T. I., Gaiya Blessing A., Atoi Ngozi V.

CBN Journal of Applied Statistics (JAS)

This study examines the purchasing power parity (PPP) approach to the determination of exchange rate misalignment in Nigeria by using two variants of the PPP: the absolute PPP (aPPP) and the relative PPP (rPPP). Data on the Nigerian Naira to US Dollar (N/$), British Pound (N/£) and Chinese Yuan (N/¥) interbank exchange rates, Nigeria consumer price index and Inflation as well as the US, UK and China consumer price indices and inflation rates spanning 2008:M1 to 2018:M12 were utilized. A recently modified fractional cointegration framework was employed, taking care of smooth structural breaks and nonlinearity, while the unit root tests …

Go to article

Analysing User Experience Of Mobile Banking Applications In Nigeria: A Text Mining Approach, Omotosho Babatunde S. Dec 2020

Analysing User Experience Of Mobile Banking Applications In Nigeria: A Text Mining Approach, Omotosho Babatunde S.

CBN Journal of Applied Statistics (JAS)

This paper analyses textual data mined from 37,460 reviews written by mobile banking application users in Nigeria over the period November 2012 – July 2020. On a scale of 1 to 5 (5 being the best), the average user rating for the twenty-two apps included in our sample is 3.5; with the apps deployed by non-interest banks having the highest average rating of 4.0 and those by commercial banks with national authorisation having the least rating of 3.4. Results from the sentiment analysis reveal that the share of positive sentiment words (17.8%) in the corpus more than double that of …

Go to article

Money And Foreign Exchange Markets Dynamics In Nigeria: A Multivariate Garch Approach, Atoi Ngozi V., Nwambeke Chinedu G. Dec 2020

Money And Foreign Exchange Markets Dynamics In Nigeria: A Multivariate Garch Approach, Atoi Ngozi V., Nwambeke Chinedu G.

CBN Journal of Applied Statistics (JAS)

This study examines the money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between the Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study employs a dynamic conditional correlation form of the GARCH model (DCC-GARCH) to assess the nature of correlation, while an unrestricted bivariate BEKK-GARCH (1, 1) form of the multivariate GARCH model is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that interest rate and exchange rate are …

Go to article

Impact Of Government Expenditure On Economic Growth In Nigeria, 1970-2019, Aluthge Chandana, Jibir Adamu, Abdu Musa Dec 2020

Impact Of Government Expenditure On Economic Growth In Nigeria, 1970-2019, Aluthge Chandana, Jibir Adamu, Abdu Musa

CBN Journal of Applied Statistics (JAS)

This study investigates the impact of Nigerian government expenditure (disaggregated into capital and recurrent) on economic growth using time series data for the period 1970-2019. The paper employs Autoregressive Distributed Lag (ARDL) model. To ensure robustness of results, the study accounts for structural breaks in the unit root test and the co-integration analysis. The key findings of the study are that capital expenditure has positive and significant impact on economic growth both in the short run and long run while recurrent expenditure does not have significant impact on economic growth both in the short run and long run. The study …

Go to article

Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang Dec 2020

Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang

Research Collection School Of Economics

We propose a quasi-Bayesian method to conduct inference for the production frontier. This approach combines multiple first-stage extreme quantile estimates by the quasi-Bayesian method to produce the point estimate and confidence interval for the production frontier. We show the asymptotic properties of the proposed estimator and the validity of the inference procedure. The finite sample performance of our method is illustrated through simulations and an empirical application.

Go to article

Point Optimal Testing With Roots That Are Functionally Local To Unity, Anna Bykhovskaya, Peter C. B. Phillips Dec 2020

Point Optimal Testing With Roots That Are Functionally Local To Unity, Anna Bykhovskaya, Peter C. B. Phillips

Research Collection School Of Economics

Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for autoregressive coefficients, and enabling the development of methods robust to departures from unit roots. The present paper shows how to generalize LUR asymptotics to cases where the localized departure from unity is a time varying function rather than a constant. Such a functional local unit root (FLUR) model has much greater generality and encompasses many cases of additional interest that appear in practical work, …

Go to article

Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu Dec 2020

Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper derives asymptotic properties of the least squares estimator of the autoregressive parameter in local to unity processes with errors being fractional Gaussian noises with the Hurst parameter H. It is shown that the estimator is consistent when H ∈ (0, 1). Moreover, the rate of convergence is n when H ∈ [0.5, 1). The rate of convergence is n2H when H ∈ (0, 0.5). Furthermore, the limit distribution of the centered least squares estimator depends on H. When H = 0.5, the limit distribution is the same as that obtained in Phillips (1987a) for the local to …

Go to article

Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang Dec 2020

Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang

Research Collection School Of Economics

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS-OPMD method leads to finite sample improved tests over the usual methods. More importantly in non-standard problems where a genuine (quasi) score is not available and the usual methods fail, the proposed AQS-OPMD method provides feasible solutions. The AQS tests are formally derived and …

Go to article

Does Bitcoin Use Affect Crime Rates?, Kevin Keane Nov 2020

Does Bitcoin Use Affect Crime Rates?, Kevin Keane

The Corinthian

Bitcoin is the most widely used cryptocurrency in the world because of its decentralized network that completes user-to-user transactions, eliminating the need for intermediaries. During 2017, the volume of Bitcoin transactions totaled $94.3 trillion. Bitcoin transactions are recorded in a public database called the blockchain. Although the blockchain can keep track of how many transactions there are, it can’t identify the people involved in transactions. The lack of identity increases the anonymity of Bitcoin transactions, making it less detectable when used for crime. Using the Uniform Crime Reporting’s state-level crime rate data and blockchain’s Bitcoin transaction information, I estimate the …

Go to article

Market Trends In Food Consumption Expenditures Away From Home Prior To The Covid-19 Pandemic, Rebecca Weir Nov 2020

Market Trends In Food Consumption Expenditures Away From Home Prior To The Covid-19 Pandemic, Rebecca Weir

Undergraduate Economic Review

U.S. food consumption expenditures away from home increased from 19 percent of total food expenditures in 1955 to 48 percent in 2015. Simultaneously, female participation in the labor force grew by 52.7 million women from 35 to 57 percent, signifying increased opportunity cost for women to prepare meals at home. This research uses an ordinary least squares regression to examine socioeconomic factors influencing the rise in U.S. food consumption expenditures away from home in 2018. Results inform food production and service industries’ marketing strategies, and set the stage for whether a new pattern emerges in response to the COVID-19 pandemic.

Go to article

Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures, Yan Peng, Jason Shachat, Lijia Wei, S. Sarah Zhang Nov 2020

Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures, Yan Peng, Jason Shachat, Lijia Wei, S. Sarah Zhang

ESI Working Papers

Using laboratory experiments, we illustrate that trading algorithms that prioritize low latency pose certain pitfalls in a variety of market structures and configurations. In hybrid double auctions markets with human traders and trading agents, we find superior performance of trading agents to human traders in balanced markets with the same number of human and Zero Intelligence Plus (ZIP) buyers and sellers only, thus providing a partial replication of Das et al. (2001). However, in unbalanced markets and extreme market structures, such as monopolies and duopolies, fast ZIP agents fall into a speed trap and both human participants and slow ZIP …

Go to article

A Theory Of Cultural Revivals, Murat Iyigun, Jared Rubin, Avner Seror Nov 2020

A Theory Of Cultural Revivals, Murat Iyigun, Jared Rubin, Avner Seror

ESI Working Papers

Why do some societies have political institutions that support productively inefficient outcomes? And why does the political power of elites vested in these outcomes often grow over time, even when they are unable to block more efficient modes of production? We propose an explanation centered on the interplay between political and cultural change. We build a model in which cultural values are transmitted inter-generationally. The cultural composition of society, in turn, determines public good provision as well as the future political power of elites from different cultural groups. We characterize the equilibrium of the model and provide sufficient conditions for …

Go to article

Data Driven Value-At-Risk Forecasting Using A Svr-Garch-Kde Hybrid, Marius Lux, Wolfgang Karl Hardle, Stefan Lessmann Nov 2020

Data Driven Value-At-Risk Forecasting Using A Svr-Garch-Kde Hybrid, Marius Lux, Wolfgang Karl Hardle, Stefan Lessmann

Sim Kee Boon Institute for Financial Economics

Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is value-at-risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation of risk due to time varying volatility, skewness and leptokurtosis of financial return series. The paper proposes a nonlinear and nonparametric framework to forecast VaR that is motivated by overcoming the disadvantages of parametric models with a purely data driven approach. Mean and volatility are modeled via support vector regression (SVR) where the volatility model is motivated …

Go to article

Rhode Island Current Conditions Index -- November 2020, Leonard Lardaro Nov 2020

Rhode Island Current Conditions Index -- November 2020, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Data For "An Experimental Investigation Of Health Insurance Policy And Behavior", J. Dustin Tracy, Hillard Kaplan, Kevin James, Stephen Rassenti Nov 2020

Data For "An Experimental Investigation Of Health Insurance Policy And Behavior", J. Dustin Tracy, Hillard Kaplan, Kevin James, Stephen Rassenti

ESI Data Sets

We introduce a new experimental approach to measuring the effects of health insurance policy alternatives on behavior and health outcomes over the life course. Cash-motivated subjects are placed in a virtual environment where they earn income and allocate it across multi-period lives. We compare behavior across age, income and insurance plans---one priced according to an individual's expected cost and the other uniformly priced through employer-implemented cost sharing. We find that 1) subjects in the employer-implemented plan purchased insurance at higher rates; 2) the employer-based plan reduced differences due to income and age; 3) subjects in the actuarial plan engaged in …

Go to article

Persistent And Rough Volatility, Xiaobin Liu, Shuping Shi, Jun Yu Nov 2020

Persistent And Rough Volatility, Xiaobin Liu, Shuping Shi, Jun Yu

Research Collection School Of Economics

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and introduce a memory signature plot for a model-free initial assessment. A simulated maximum likelihood (SML) method, which maximizes the time-domain log-likelihoods obtained by the importance sampling technique, is employed to estimate the model parameters. Simulation studies suggest that the SML method can accurately estimate both models. …

Go to article

Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao Nov 2020

Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao

Research Collection School Of Economics

This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asymptotic validity of a uniform confidence band for series estimators and show that it can also be used to conduct nonparametric specification test for conditional moment restrictions. New results on the validity of heteroskedasticity and autocorrelation consistent (HAC) estimators with increasing dimension are established for making feasible inference. An empirical application on the unemployment volatility …

Go to article

Commodities Are Not Industries! A Value Chain Example, Randall W. Jackson, Patricio Aroca Oct 2020

Commodities Are Not Industries! A Value Chain Example, Randall W. Jackson, Patricio Aroca

Regional Research Institute Working Papers

Leontief and Stone both received Nobel Prizes in Economics for development and extension of input-output (IO) analysis, a framework that has gained little traction in mainstream U.S. economics. Although IO modeling has gained renewed focus in several problem domains, many contemporary economists eschew Stone's enhancements, resulting in inconsistent analytics, even in top economics journals. In this paper, we use an increasingly common approach to value chain analysis as one example that demonstrates such conceptual misunderstandings and by presenting properly formulated alternatives, we demonstrate the extent of the consequences of neglecting the Stone enhancements and important role of reproducing results.

Go to article

Response To Exposure Draft On Bearer Plant: An Insight From Capture Theory, Yew Kuok Weng Oct 2020

Response To Exposure Draft On Bearer Plant: An Insight From Capture Theory, Yew Kuok Weng

Student Works (2020-2029)

Despite of steady progress in global convergence of accounting standards, certain International Accounting Standards (IAS) or International Financial Reporting Standard (IFRS) remain controversial and in need of major overhaul. IAS 41, Agriculture is one of the accounting standards for specialised industry where universal acceptance has not been gained among the stakeholders across the world. Particularly, the stakeholders connected to agricultural sector often express strong criticism towards the IAS 41, but little attention has been given to them by the international accounting standard setter. The long-waited revision of IAS 41 only took place after 14 years since the issuance of IAS …

Go to article

Next Last