Econometrics Commons^™

Machine Learning For Stock Prediction Based On Fundamental Analysis, Yuxuan Huang, Luiz Fernando Capretz, Danny Ho

Electrical and Computer Engineering Publications

Application of machine learning for stock prediction is attracting a lot of attention in recent years. A large amount of research has been conducted in this area and multiple existing results have shown that machine learning methods could be successfully used toward stock predicting using stocks’ historical data. Most of these existing approaches have focused on short term prediction using stocks’ historical price and technical indicators. In this paper, we prepared 22 years’ worth of stock quarterly financial data and investigated three machine learning algorithms: Feed-forward Neural Network (FNN), Random Forest (RF) and Adaptive Neural Fuzzy Inference System (ANFIS) for …

Is There Room In The United States Diet For Goat Meat? Analysis Of The 2019 National Goat Meat Survey, Everett Marcus Martin

Graduate Theses/Dissertations

Demand for goat meat has steadily increased in the past decade, but few studies have been conducted addressing goat meat attributes and demographic factors on consumers’ willingness to buy goat meat products. Analyzing a national consumer survey on goat meat preference, a logit modeling is used addressing factors affecting willingness to buy three goat meat products: grass-fed, locally grown, and organically raised. Results indicate that quality and freshness attribute characteristics significantly affect consumer willingness to buy grass-fed, organic, and locally grown goat meat.

Distillers' Grains: Past, Present, And Future Economic Analyses, Daniel E. Gertner

Department of Agricultural Economics: Dissertations, Theses, and Student Research

This thesis is comprised of four chapters, each of which discusses or conducts economic research related to the distillers’ grains market. The first three chapters are meant to be standalone papers. Chapter four provides potential paths forward in distillers’ grains research based on the findings of the first three chapters and concludes the thesis.

The first chapter conducts a comprehensive literature review that categorizes and summarizes economic research on distillers’ grains products. This section shows how the physical market has moved beyond the current academic understanding of market products and structure. Existing research finds that traditional distillers’ grains products positively …

Pitfalls In Bootstrapping Spurious Regression, Peter C. B. Phillips

Research Collection School Of Economics

The bootstrap is shown to be inconsistent in spurious regression. The failure of the bootstrap is spectacular in that the bootstrap effectively turns a spurious regression into a cointegrating regression. In particular, the serial correlation coefficient of the residuals in the bootstrap regression does not converge to unity, so the bootstrap is not even first order consistent. The block bootstrap serial correlation coefficient does converge to unity and is therefore first order consistent, but has a slower rate of convergence and a different limit distribution from that of the sample data serial correlation coefficient. The analysis covers spurious regressions involving …

An Alternative Class Of Ratio-Regression-Type Estimator Under Two-Phase Sampling Scheme, Muhammad Isah, Zakari Yahaya, Audu Ahmed

CBN Journal of Applied Statistics (JAS)

In this study, a new exponential ratio-regression estimator is developed using an auxiliary variable for estimating the finite population mean under a two-phase sampling system. The Bias and Mean Square Error (MSE) of the proposed estimator are derived and compared with some of the estimators in extant literature. Thus, the conditions under which the proposed estimator is better than some existing estimators are provided. Empirically, using four real datasets and simulation study, the proposed estimator performs better than the classical ratio, classical regression, exponential ratio, and exponential regression cum ratio estimator when compared using the criteria of bias, mean square …

Insurgency, Political Risk, And Foreign Direct Investment Inflows In Nigeria: A Sectorial Analysis, Danjuma Iyaji

CBN Journal of Applied Statistics (JAS)

This study examines, among others, the effect of terrorism, political violence, corruption, and religious tension on FDI inflows to the banking, construction, manufacturing, oil and gas, and telecommunication sectors in Nigeria. Thus, empirical models were estimated using the fully modified ordinary least squares (FMOLS) technique. The study spans from 2008Q1 to 2017Q4. Findings show that terrorism adversely affects FDI inflow to telecommunication sector, while corruption positively impacts on the oil and gas sector. Thus, this study among other things, recommends the intensification of effort in the war against terrorism and strengthening of relevant anti-graft agencies to adequately fight corruption in …

Monetary Policy Transmission And Bank Interest Rates In Nigeria, Eleam Victor E., Ekwom Chinyelu G., Ariolu Chibueze C., Umebali Chukwubuzo J., Balogun Adewale T.

CBN Journal of Applied Statistics (JAS)

The paper examines the adjustment of retail and money market interest rates to changes in discount corridor of the monetary policy in Nigeria. A vector error correction model was adopted for this study, using monthly data from 2007:06 to 2019:12. We further accounted for structural breaks in the dataset to improve its policy reliability. The adjustment parameters were found to be significant but with slow speed of adjustment. This finding provides evidence of the weakness of the discount corridor in monetary policy transmission in Nigeria. Furthermore, the results showed no asymmetric adjustment of retail rates to long run equilibria. Lastly, …

Inflations And Its Uncertainty In Some Ecowas Member States: Transfer Entropy Approach, Otoakhia Eric I.

CBN Journal of Applied Statistics (JAS)

This study examines the information flow between inflation and inflation uncertainty (IU) and intrastate inflationary trend among some ECOWAS member states. IU is measured using GARCH models and stochastic volatility model (SV). Transfer entropy was adopted to quantify the extent of information flow. The result showed information flow exists from inflation to the GARCH measure of IU. On the reverse flow from inflation uncertainty to inflation, there is no information flow except for Burkina Faso and Gambia which have asymmetric bidirectional flow between inflation and IU. Adopting SV measure for IU, there are no support for causality from inflation to …

Relationship Between Real Exchange Rate And Consumption In Nigeria: A Nonlinear Approach, Babangida Jamilu S., Sanusi Aliyu R., Yusuf Isah M.

CBN Journal of Applied Statistics (JAS)

This study analyses the relationship between real exchange rate and domestic consumption in Nigeria using the Smooth Transition Autoregressive (STAR) model from 1981Q1 to 2019Q4. Findings show that domestic consumption determines the regime shift in real exchange rate, suggesting a nonlinear linkage with clearly distinct regimes. The lagged exchange rate is shown to have a significant linear effect on the current exchange rate. On the other hand, current foreign consumption is positive but has no significant impact on the exchange rate in the linear part of the model. In the nonlinear part of the model, evidence of a significant negative …

A Practical Guide To Harnessing The Har Volatility Model, Adam Clements, Daniel P. A. Preve

Research Collection School Of Economics

The standard heterogeneous autoregressive (HAR) model is perhaps the most popular benchmark model for forecasting return volatility. It is often estimated using raw realized variance (RV) and ordinary least squares (OLS). However, given the stylized facts of RV and well-known properties of OLS, this combination should be far from ideal. The aim of this paper is to investigate how the predictive accuracy of the HAR model depends on the choice of estimator, transformation, or combination scheme made by the market practitioner. In an out-of-sample study, covering the S&P 500 index and 26 frequently traded NYSE stocks, it is found that …

Economic Forecasting In An Epidemic: A Break From The Past?, Hwee Kwan Chow, Keen Meng Choy

Research Collection School Of Economics

This paper aims to investigate whether the predictive ability and behaviour of professional forecasters are different during the Covid-19 epidemic as compared with the global financial crisis of 2008 and normal times. To this end, we utilise a survey of professional forecasters in Singapore collated by the central bank to analyse the forecasting record for GDP growth and CPI inflation. We first examine the point forecasts to document the extent of forecast failure in the pandemic crisis and test for behavioural explanations of the possible sources of forecast errors such as leader following and herding behaviour. Using percentile-based summary measures …

Tourism And Terrorism- A Study Of Jammu And Kashmir, Altaf Ahmd Kumar

Journal of Tourism Insights

Abstract

Purpose - This research article analyzes terrorism and its impacts on tourism in Jammu and Kashmir. This article aims to know what terrorism is and how it impacts the tourism sector in the three geographical regions of erstwhile Jammu and Kashmir bifurcated into two union territories by the Indian government after the abrogation of Article 370 of the Indian constitution.

Methodology - Secondary data sources have been used, collected from Director Tourism Kashmir, Director Tourism Jammu, Jammu, and Kashmir Coalition of Civil Societies, and Home Ministry of India. In this research paper, the Vector Error Correction Model (VECM) of …

Is Offense Worth More Than Defense In The National Basketball Association?, Justin Ehrlich, Joel Potter

Sport Management - All Scholarship

Motivated by the popular sports saying, “Offense sells tickets, defense wins championships,” we use Forbes revenue data to quantify whether offense really does sell more ‘tickets’ than defense in the National Basketball Association (NBA). Employing team offensive and defensive win shares as measures of offensive and defensive proficiency, we find offensively oriented teams generate the same amount of revenue as do defensively oriented teams, other things equal. Our results suggest that both profit-maximizing and win-maximizing teams should value offensively and defensively players equivalently (per unit). Thus, in an efficient free agent market, we would expect equilibrium player salaries for offensive …

Fixed-K Inference For Volatility, Tim Bollerslev, Jia Li, Zhipeng Liao

Research Collection School Of Economics

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy-to-calculate pointwise confidence intervals for the volatility at any given point in time. Extending the theory to a high-dimensional inference setting with a growing number of estimation blocks …

A Reassessment Of The Potential For Loss-Framed Incentive Contracts To Increase Productivity: A Meta-Analysis And A Real-Effort Experiment, Paul J. Ferraro, J. Dustin Tracy

ESI Working Papers

Substantial productivity increases have been reported when incentives are framed as losses rather than gains. Loss-framed contracts have also been reported to be preferred by workers. The results from our meta-analysis and real-effort experiment challenge these claims. The meta-analysis' summary effect size of loss framing is a 0.16 SD increase in productivity. Whereas the summary effect size in laboratory experiments is a 0.33 SD, the summary effect size from field experiments is 0.02 SD. We detect evidence of publication biases among laboratory experiments. In a new laboratory experiment that addresses prior design weaknesses, we estimate an effect size of 0.12 …

The Macroeconomic Impacts Of Entitlements, Ateeb Akhter Shah Syed, Kaneez Fatima, Riffat Naseer

The Hilltop Review

The worries expressed by Alan Greenspan that the long run economic growth of the United States will fade away due to increasing burden of entitlements motivated us to empirically investigate the impact of entitlements of key macroeconomic variables. To examine this contemporary issue, we estimate a vector error-correction model to analyze the impact of entitlements on the price level, real output, and the long-term interest rate. The results show that a shock to entitlements leads to decrease in output and lends support to the assertion made by Alan Greenspan. Several robustness checks verify that the results remain unchanged qualitatively.

Beware The Gini Index! A New Inequality Measure, Sabiou M. Inoua

ESI Working Papers

The Gini index underestimates inequality for heavy-tailed distributions: for example, a Pareto distribution with exponent 1.5 (which has infinite variance) has the same Gini index as any exponential distribution (a mere 0.5). This is because the Gini index is relatively robust to extreme observations; while a statistic’s robustness to extremes is desirable for data potentially distorted by outliers, it is misleading for heavy-tailed distributions, which inherently exhibit extremes. We propose an alternative inequality index: the variance normalized by the second moment. This ratio is more stable (hence more reliable) for large samples from an infinite-variance distribution than the Gini index …

Spatial Dynamic Models With Short Panels: Evaluating The Impact Of Home Purchase Restrictions On Housing Prices, Naqun Huang, Zhenlin Yang

Research Collection School Of Economics

Since the 2007 housing crisis in the United States, many countries have begun implementing various macroprudential policies to curb the ongoing rise in housing prices. As there is no clear consensus in the literature on the efficacy of these interventions, understanding their short-term impacts is crucial in informing future policy designs. Adapting a new econometric technique, we examine the short-term impact of home purchase restrictions in Singapore, accounting for the short panel nature of the data and the existence of dynamic, spatial, spatiotemporal, and unit-specific effects. Using quarterly housing data over 2012Q4-2014Q2, we find that public housing prices decrease by …

Violence And Development: The Cost Countries Pay For High Rates Of Homicide, Brittany Lowe

The Cardinal Edge

Violence is one of the largest and most persistent humanitarian crises across the globe. Understanding violence’s role in economic costs and losses is crucial to informing and guiding decision makers. This study uses international panel data to conduct a log-linear regression with time and country fixed effects. It focuses on studying the causal effects of violent crime on GDP at an aggregate, international level. The results find that the homicide rate has a statistically significant, negative effect on GDP per capita. Acts of violence come not just at a humanitarian cost, but also at the cost of economic progress and …

Asymmetric Trade Flows, Monetary And Business Cycle Asynchronization Among Ecowas Member Countries: Feasibility Of Ecowas Monetary Union Formation Beyond 2020, Joseph Okwori, Walter O. Ugwuoke

Bullion

The formation of the West African Monetary Union which was initially slated for 2003 was postponed severally in 2005, 2009, 2015 and 2020. This raises the curiosity of investigating the possibility of its formation beyond 2020. It is against this backdrop that this paper investigated asymmetric trade flows, monetary policy and business cycle asynchronization among ECOWAS member countries: Feasibility of ECOWAS Monetary union formation beyond 2020. The objective was addressed using Pearson correlation analysis on computed zscores and the seemingly unrelated regression estimation (SURE). The finding shows that the flow of trade within ECOWAS member countries were highly asymmetric indicating …

External Sector Liberalization And Output Growth In Nigeria, Emmanuel A. Onwioduokit, Obong E. Effiong

Bullion

The paper investigates the impact of external sector liberalization (foreign direct investment, external debt stock, trade openness and exchange rate) on the output growth in Nigeria from the period 1981 to 2019, utilizing correlation analysis, Granger causality test and vector autoregression (VAR). The results indicate that foreign direct investment, external debt stock, trade openness and exchange rate all correlate positively with gross domestic product. Also, the granger causality test indicates that foreign direct investment, trade openness and exchange rate granger cause the output growth in Nigeria. From the VAR result foreign direct investment exerted positive and significant impact on the …

Pass-Through Effects Of Standing Facilities On Bank Interest Rates In Nigeria, Victor Ezeora Eleam, Chinyelu Gloria Ekwom, Chibueze Charles Ariolu, Chukwubuzo Jackson Umebali, Adewale Timothy Balogun

Economic and Financial Review

The paper investigates the pattern of pass-through effects of standing facilities rates on commercial bank retail interest rates in Nigeria. Monthly data spanning 2007:06 to 2019:12 and the Gregory-Hansen cointegration method that accounts for structural breaks are used in the empirical analysis. The adjustment parameters for the standing deposit and lending facilities are found to be significant, but with a low speed of adjustment. This provides some evidence on the nature of the interest rate channel of monetary policy transmission in the country. Furthermore, the study could not confirm asymmetry in the adjustment of retail rates to their long-run equilibria. …

Rationalizable Implementation In Finite Mechanisms, Y-C Chen, Takashi Kunimoto, Y Sun, S. Xiong

Research Collection School Of Economics

We prove that the Maskin monotonicity condition (proposed by Bergemann et al. (2011)) fully characterizes exact rationalizable implementation in an environment with lotteries and transfers. Different from previous papers, our approach possesses many appealing features simultaneously, e.g., finite mechanisms with no integer game or modulo game are used; no transfers are made in any rationalizable profile; the message space is small; the implementation is robust to information perturbations in the sense of Oury and Tercieux (2012).

Singapore As A Sustainable City: Past, Present And The Future, Tomoki Fujii, Rohan Ray

Research Collection School Of Economics

Singapore has achieved impressive economic growth over the last half-century. This chapter provides an overview of the major sustainability challenges Singapore has experienced and the policies that have been adopted to address them, particularly in the areas of land use, transportation, waste management, water, and energy. It argues that Singapore has been successful in addressing these challenges owing to sound long-term vision and planning as well as flexibility in the implementation of the policies to tackle them. The chapter provides some discussion on policy options, challenges, and opportunities for making Singapore more sustainable and liveable. Leaders of Singapore have recognised …

Three Essays On Exchange Rate Models And Their Applications, Azza A. Mansour

Dissertations, Theses, and Capstone Projects

Chapter 1: This chapter attempts to identify the determinant of exchange rate pass-through into producer and destination prices using highly disaggregated firm-level data of importers and exporters of the Egyptian economy from 2009 to 2013. The main findings assert the hypothesis of complete exchange rate pass-through into destination prices at the lowest level of significance for the average exporting firm that is also importing. Furthermore, the firm with the highest import intensity has a lower percentage of pass-through into destination prices, indicating that the marginal cost channel plays a more significant role in determining the speed of the exchange rate …

Entrepreneurship In Singapore, Jungho Lee

Research Collection School Of Economics

Singapore has completed its catch-up growth phase and needs to find a new growth engine. Entrepreneurship can contribute to a nation’s productivity growth. The purpose of this chapter is twofold. First, a theoretical framework is presented, along with empirical evidence, to understand government interventions aimed at boosting entrepreneurship. Second, using the framework, the chapter discusses whether Singapore’s current policies are suitable for helping entrepreneurship. The theory demonstrates four reasons why government intervention is needed: (1) resource misallocation, (2) positive externality, (3) entrepreneurial human capital, and (4) tax and default policies. Singapore’s government has implemented various policies that potentially fix market …

Conflict In The Pool: A Field Experiment, Loukas Balafoutas, Marco Faravelli, Roman Sheremeta

ESI Working Papers

We conduct a field experiment on conflict in swimming pools. When all lanes are occupied, an actor joins the least crowded lane and asks one of the swimmers to move to another lane. The lane represents a contested scarce resource. We vary the actor’s valuation (high and low) for the good through the message they deliver. Also, we take advantage of the natural variation in the number of swimmers to proxy for their valuation. Consistent with theoretical predictions, a swimmer’s propensity to engage in conflict increases in scarcity (incentive effect) and decreases in the actor’s valuation (discouragement effect). We complement …

Dynamic Resource Allocation With Cost Externality, Hao Zhao, David Porter

ESI Working Papers

The inter-temporal resource allocation efficiency of a property rights-based common-pool resource system is challenged by a cost externality when one user’s extraction raises the extraction cost for others. This paper builds a dynamic resource allocation model to illustrate the efficiency loss from a standard property rights market. We then create a novel inter-temporal allocation mechanism that preserves dynamic efficiency. Our dynamic resource allocation mechanism includes an optimal planning stage where the agents collectively determine a binding extraction target for each period and a market stage where agents can exchange their extraction rights assigned within each period. The theoretical model demonstrates …

Uncertainty And Reputation Effects In Credence Goods Markets, Eric Schniter, J. Dustin Tracy, Vojtěch Zíka

ESI Working Papers

Credence-goods experiments have focused on stylized settings in which experts can perfectly identify the buyer’s best option and that option works without fail. However, in nature, credence goods involve uncertainties that complicate assessing the quality of service and advice. We introduce two sources of uncertainty. The first is diagnostic uncertainty; experts receive a noisy signal of buyer type so might make an ‘honest’ mistake when advising what is in buyers’ best interests. The second is service uncertainty; the services available to the buyers do not always work. Both sources of uncertainty make detection of expert dishonesty more difficult, so are …

Measuring Palatability As A Linear Combination Of Nutrient Levels In Food Items, Jeffrey S. Young

Faculty & Staff Research and Creative Activity

It well known that palatability and nutritional quality of foods and/or diets are viewed as being in tension with one another. While there exist multiple measures of healthiness, there are no such measures for tastiness. This gap limits the degree to which researchers can investigate this tension and its implications for dietary behavior and hence public health and nutrition policy. The scope of future work concerning the dietary behavior of Americans would expand greatly if researchers better understood consumers’ willingness to eat certain foods, which matters as much as recommending those foods for them to eat in the first place. …