Econometrics Commons^™

Modeling And Forecasting Realized Volatility With The Fractional Ornstein-Uhlenbeck Process, Xiaohu Wang, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper proposes to model and forecast realized volatility (RV) using the fractional Ornstein-Uhlenbeck (fO-U) process with a general Hurst parameter, H. A two-stage method is introduced for estimating parameters in the fO-U process based on discrete-sampled observations. In the first stage, H is estimated based on the ratio of two second-order differences of observations from different frequencies. In the second stage, with the estimated , the other parameters of the model are estimated by the method of moments. All estimators have closed-form expressions and are easy to implement. A large sample theory of the proposed estimators is derived. Extensive …

Covariate Adjustment In Experiments With Matched Pairs, Yuehao Bai, Liang Jiang, Joseph P. Romano, Azeem M. Shaikh, Yichong Zhang

Research Collection School Of Economics

This paper studies inference on the average treatment effect in experiments in which treatment status is determined according to “matched pairs” and it is additionally desired to adjust for observed, baseline covariates to gain further precision. By a “matched pairs” design, we mean that units are sampled i.i.d. from the population of interest, paired according to observed, baseline covariates and finally, within each pair, one unit is selected at random for treatment. Importantly, we presume that not all observed, baseline covariates are used in determining treatment assignment. We study a broad class of estimators based on a “doubly robust” moment …

Diagnosing Housing Fever With An Econometric Thermometer, Shuping Shi, Peter C. B. Phillips

Research Collection School Of Economics

Housing fever is a popular term to describe an overheated housing market or housing price bubble. Like other financial asset bubbles, housing fever can inflict harm on the real economy, as indeed the U.S. housing bubble did in the period following 2006 leading up to the general financial crisis and great recession. One contribution that econometricians can make to minimize the harm created by a housing bubble is to provide a quantitative “thermometer” for diagnosing ongoing housing fever. Early diagnosis can enable prompt and effective policy action that reduces long-term damage to the real economy. This paper provides a selective …

When Bias Contributes To Variance: True Limit Theory In Functional Coefficient Cointegrating Regression, Peter C. B. Phillips, Ying Wang

Research Collection School Of Economics

Limit distribution theory in the econometric literature for functional coefficient cointegrating regression is incorrect in important ways, influencing rates of convergence, distributional properties, and practical work. The correct limit theory reveals that components from both bias and variance terms contribute to variability in the asymptotics. The errors in the literature arise because random variability in the bias term has been neglected in earlier research. In stationary regression this random variability is of smaller order and can be ignored in asymptotic analysis but not without consequences for finite sample performance. Implications of the findings for rate efficient estimation are discussed. Simulations …

Competing Social Influence In Contested Diffusion: Luther, Erasmus And The Spread Of The Protestant Reformation, Sascha O. Becker, Steven Pfaff, Yuan Hsiao, Jared Rubin

ESI Working Papers

The spread of radical institutional change does not often result from one-sided pro-innovation influence; countervailing influence networks in support of the status quo can suppress adoption. We develop a model of multiple and competing network diffusion. To apply the contested-diffusion model to real data, we look at the contest between Martin Luther and Desiderius Erasmus, the two most influential intellectuals of early 16th-century Central Europe. Whereas Luther championed a radical reform of the Western Church that broke with Rome, Erasmus opposed him, stressing the unity of the Church. In the early phase of the Reformation, these two figures utilized influence …

An Experimental Test Of Algorithmic Dismissals, Brice Corgnet

ESI Working Papers

We design a laboratory experiment in which a human or an algorithm decides which of two workers to dismiss. The algorithm automatically dismisses the least productive worker whereas human bosses have full discretion over their decisions. Using performance metrics and questionnaires, we find that fired workers react more negatively to human than to algorithmic decisions in a broad range of tasks. We show that spitefulness exacerbated this negative reaction. Our findings suggest algorithms could help tame negative reactions to dismissals.

The Methodology Of Multiple Regressions For Gdp Per Capita For Nations In The World Between 0 Ce And 1940, Robert Rogers

The Journal of Economics and Politics

A reduced-form model of GDP per capita is estimated using the classical econometric method and two Bayesian techniques, Extreme Bounds Analysis (EBA) and Bayesian Analysis of Classical Estimation (BACE) for the two millenniums. For several variables, such as the impact of colonialism, the Goldstone hypothesis of efflorescence increasing economic growth, and the impact of technology, this paper lends support, especially when the Bayesian methods are applied. Other results are mixed. Generally, the results support use of Bayesian methods by eliminating hypotheses that are not consistently supported over all models.

Association Between Low Health Literacy And Adverse Health Behaviors In North Carolina, 2016, Manan Roy, Adam Hege, Erin D. Bouldin

Journal of Appalachian Health

Introduction: Health literacy (HL) is an urgent public health challenge facing the U.S. HL is a critical factor in health inequities and exacerbates underlying social determinants of health.

Purpose: This study assesses the association between low HL (LHL) and adverse health behaviors, which contribute to poor health.

Methods: Researchers used North Carolina’s 2016 Behavioral Risk Factor Surveillance System data, namely, the Health Literacy optional module which asks respondents to rate how difficult it is for them to get health-related advice or to understand medical information (verbal or written). Health behaviors analyzed were excessive alcohol consumption, lack of adequate exercise and …

A Forestry Trade Data Discrepancy Analysis, Morgan Alyce Daigle

LSU Master's Theses

Trade data across multiple databases experience unavailability across some countries/forestry products, inconsistency, and unreliability; and these qualities manifest as discrepancies in the data. Literature provides evidence of discrepancies and inconsistencies within international trade statistics, including documented cases in which they are present within agriculture sector trade.

While researchers have worked to pinpoint factors to explain discrepancies, studies on the forestry trade databases are not as prevalent. Therefore, more research needs to be conducted to identify discrepancies within forest sector products trade data to understand the nature of discrepancies found between different bilateral trading partners.

The goal of this thesis is …

Effects Of The Raising The Minimum Legal Purchasing Age For Tobacco On Cigarette, Cocaine And Inhalant Consumption, Ahmed Adil

Theses and Dissertations

Over the past few years, several states have passed laws that increase the minimum legal purchasing age (MLPA) for tobacco from 18 to 21 years. This study examines the impact of statewide MLPA laws on youth tobacco consumption. Using data from the 2009-2019 Youth Risky Behavior Surveys (YRBS) and a difference-in-differences approach, I find that the enactment of MLPA laws is associated with a decrease in tobacco usage among adolescents. I also find that MLPA laws have important spillover effects to other youth risky behaviors. MLPA law adoption is associated with a reduction in cocaine use and inhalant abuse.

Impact Of Charging Infrastructure On Electric Vehicle Sales: An Analysis From Counties In 13 Us States, Shubh N. Parekh

Gettysburg Economic Review

Adoption of battery electric vehicles (BEVs), and plug-in hybrid electric vehicles (PHEVs), has become a priority for the government because of the constant threat of climate change. Over the years, government monetary incentives like tax credits, tax rebates, and other monetary subsidies are the leading way to increase electric vehicle sales in the United States. While these incentives are necessary to combat the high costs of electric vehicles (EVs), there hasn’t been too much attention given to combat range anxiety. Since EVs are run on lithium-ion batteries, there is a limited range for different EVs, with the maximum being around …

Conspicuous Wellness: How Acquired Identities Affect Conspicuous Consumption, Katherine S. Eu

Scripps Senior Theses

This research provides evidence that individuals will conspicuously consume based on their acquired identities, which parallels similar conclusions drawn for conspicuous consumption based on ascribed identities. Using data from 653 respondents, I found positive marginal effects of the “that girl” wellness identity on product choices, accounting for an individual’s potential higher willingness-to-pay, demographics, and speed of making product choices. I conclude that the more an individual associates themselves with an identity, the higher the likelihood of choosing products which align and signal membership in an identity subculture.

Assessing The Impact Of Financial Obstacles On Manufacturing Firm's Capacity Utilization: Bayesian Approach, Arab Dahir Hassan, Razim Ozcan

The Indonesian Capital Market Review

This study aims to investigate the relationship between financial obstacles and the capacity utilization of manufacturing firms. This study departs from previous studies in the literature by employing Bayesian linear regression analysis. The results demonstrate that financial constraints have a considerable negative effect on the capacity utilization of manufacturing enterprises, but access to credit lines has a positive effect. The sample consists of 1,494 private manufacturing firms in 31 Europe & Central Asian countries. Financial obstacles were perceived as the major impediment to business operations by 65% of the enterprises in the survey. Furthermore, 52% of enterprises in the sample …

An Analysis On How Housing Status Influences The Gut-Brain-Axis For Populations In And Around The Skid Row Area Of Los Angeles, California, Mauricio Guzman

Pitzer Senior Theses

Over recent years, the “microbiota-gut-brain axis” (MGBA) has garnered significant attention in the scientific community. Specifically, perturbations of the MGBA via stress and dietary intake have been linked to a wide-range of diseases including gastrointestinal diseases, metabolic diseases, mood disorders, and cognitive diseases. However, most studies have been solely conducted on mice models and have yet to consider the more complex, intricate systems that impact the human body. In addition, researchers have yet to consider the populations who may be most susceptible to chronic stress and negative dietary outcomes. Drawing from the fields of medical sociology, non-invasive human biology, and …

The Impact Of Subjective Risk Analysis On Real Estate Prices In The Nisqually Region Following The 2001 Nisqually Earthquake, Ryan Espedal

All Master's Theses

Earthquakes are an environmental hazard that pose great risks to communities almost every day. With earthquakes, the main cause of concern is physical destruction of property, however, there are also psychological effects that are researched and discussed much less. In 2001, the Nisqually area of western Washington experienced a substantial earthquake that produced minimal physical damage but caused a significant decrease in real estate prices. Studying single-family homes from 1986-2012, this research utilizes hedonic property models to measure the change in consumer’s subjective risk calculations with reference to real estate purchases after the Nisqually earthquake, measure the relationship between earthquake …

Three Essays On Health And Environmental Economics: Applications Of Spatial Econometrics And Spatial Analysis, Mohammed Syedul Islam

Graduate Theses, Dissertations, and Problem Reports (ETD)

Spatial interaction and the locational structure between observations play key roles in the field of econometrics for both cross-sectional and panel data analysis. Compared to a non-spatial econometric model, a spatial model relaxes the assumption of independency in observations. This research applies spatial and non-spatial econometrics in three different fields of applied economics: (1) drinking water and air quality violations impacts on lung and bronchus cancer incidence in the contiguous United States (U.S.); (2) spillover effects of non-pharmaceutical interventions (NPIs) on COVID-19 cases across the contiguous U.S. counties; and (3) urbanization impacts on carbon dioxide (CO₂) emissions in …

Impact Of Goods And Money Market Indicators On Stock Market Index In Nigeria, Adamu Hassan, Mika'‘Ilu Abubakar

Bullion

This study examines the influence of goods and money

market indicators on the performance of the Nigerian

stock market index from 1985 to 2021 using

Autoregressive Distributed Lag model. The findings

demonstrate that goods market indicators such as

domestic savings and government spending have a

strong positive effect on the performance of the stock

market index, but domestic investment has a negative

influence on the performance of the stock market index.

This is because majority of the investors in goods market

are financially excluded and have no access to formal

financial system. The results of the money market reveal

that …

Earnings Gap Between Urban And Rural Migrant Workers In Vietnam, Kristen Le

Honors Theses

This thesis studies whether there is an earnings disparity between urban and rural migrant workers in Vietnam’s urban areas and whether that earnings gap is due to individual characteristics and human capital levels or other unobserved factors. In this paper, urban workers, or urban residents, are workers who have household registration status in the urban cities where they work. On the other hand, rural migrant workers, or rural-to-urban migrants, are defined as workers who live and work in urban cities but have their registered household statuses in other rural areas. Using the Vietnam Household Living Standard Survey (VHLSS) in 2008, …

Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Faculty Publications

This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, …

An Empirical Analysis Of The Impact Of Covid-19 On Trade: Evidence From A Small Island African Economy, Z Khan Jaffur, V Tandrayen-Ragoobur, B Seetanah

Journal of African Trade

This study investigates the potential impacts of the COVID-19 pandemic and related containment measures on the trade system of Mauritius for the period January 2010 to June 2021. As the pandemic spread across the globe due to high interconnectedness across countries, authorities has also established stringent health containment measures in the form of restrictions on people and businesses to slow the propagation of the virus. Being a small island economy highly dependent on international trade, Mauritius also faced the brunt of the pandemic which disrupted its economic activities and trade flows with its main trading partners. COVID-19 incidence and lockdown …

Gambling On Growth: An Analysis Of The Early Impact Of Historical Horse Racing On Kentucky’S Thoroughbred Industry, Barrett W. Kerr

Theses and Dissertations--Agricultural Economics

With a continuous decline in on-track wagering on Thoroughbred racing, racetrack operators are exploring alternative revenue sources to fund purses and create better quality racing. Historical Horse Racing (HHR), which represents one of the most recent advancements in parimutuel wagering, has become a popular system used by many states to offset the live wagering decline. Proponents of HHR suggest that this alternative wagering option will benefit the live racing industry. Using data from Kentucky racetracks from 2002 – 2021, this study examines the relationship between HHR wagering and key industry metrics, such as purses, on-track wagering, sales prices, and foal …

Economic Freedom And One-Way Truck Rental Prices: An Empirical Note, Alexander Cardazzi, Robert A. Lawson

Economics Faculty Publications

This study examines the one-way truck rental prices for 378 cities. There are large price differentials in one-way rental prices between city pairs. The pull of people toward higher economic freedom locales and push away from lower economic freedom locales is found to be an important determinant of the city-pair price differentials.

Esg Scores As A Measure Of Risk: The Relationship Between Environmental, Social, And Corporate Governance Ratings And The Financial Performance Of U.S. Oil And Gas Companies, Lauren Kim

Scripps Senior Theses

This study investigates the association between ESG (environmental, social, corporate governance) scores on the financial performance of U.S. oil and gas companies, an industry facing significant ESG-related pressures. ESG scores evaluate a firm’s environmental impacts, social responsibility, and corporate governance practices and can be used as a form of evaluating a firm’s risk mitigation efforts. However, there is not sufficient evidence to conclude that there exists a relationship, positive or negative, between ESG scores and firm performance in this industry. Overall, the findings of this study highlight the growing interest in ESG investing and is useful for investors and firms …

An Investigation On Wage Penalties: The Effect Of Foreign-Born Status On Employee Wages, Salaries, And Incomes In The United States And Canada, Lucy C. Dustman

Scripps Senior Theses

This paper investigates whether there is a wage penalty that negatively affects foreign-born employees in the United States and Canada, addressing the following two questions: (1) Does being a foreign-born employee result in a wage penalty in the United States and Canada? And if so, (2) How does this penalty differ across the two countries over time? With data collected from the Integrated Public Use Microdata Series (IPUMs), four separate multiple linear regression models are estimated to compare the presence of wage penalties across various industries and occupations. These analyses cover the following comparisons: the United States in 1990 and …

Permutation-Based Tests For Discontinuities In Event Studies, Federico Bugni, Jia Li, Qiyuan Li

Research Collection School Of Economics

We propose using a permutation test to detect discontinuities in an underlying economic model at a cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data. The test statistic measures the distance between the empirical distribution functions of observed data in two local subsamples on the two sides of the cutoff. Critical values are computed via a standard permutation algorithm. Under a high-level condition that the observed data can be coupled by a collection of conditionally independent variables, we establish the asymptotic validity of the permutation test, allowing …

Can Digital Finance Promote Low-Carbon Transition? Evidence From China, Xing Ge, Tomoki Fujii

Research Collection School Of Economics

Using panel data of Chinese cities from 2011 to 2019, this paper analyzes the impact of digital finance on low-carbon transition derived from a super-efficiency slacks-based measure data envelopment analysis. We find that digital finance promotes low-carbon transition, and this finding is robust with respect to the choice of sample, potential presence of measurement issue, choice of study period, presence of other policies, and potential endogeneity, among others. This impact is at least in part goes through increased green innovations. We also find evidence for impact heterogeneity across locations and by the level of low-carbon transition.

Conditional Evaluation Of Predictive Models: The Cspa Command, Jia Li, Zhipeng Liao, Rogier Quaedvlieg, Wenyu Zhou

Research Collection School Of Economics

In this article, we introduce a new command, cspa, that implements the conditional superior predictive ability test developed in Li, Liao, and Quaedvlieg (2022, Review of Economic Studies 89: 843–875). With the conditional performance of predictive methods measured nonparametrically by the conditional expectation functions of their predictive losses, we test the null hypothesis that a benchmark model weakly outperforms a collection of competitors uniformly across the conditioning space. The proposed command can implement this test for both independent cross-sectional data and serially dependent time-series data. Confidence sets for the most superior model can be obtained by inverting the test, for …

A Mixture Autoregressive Model Based On Student’S T–Distribution, Mika Meitz, Daniel Preve, Pentti Saikkonen

Research Collection School Of Economics

A new mixture autoregressive model based on Student’s t–distribution is proposed. A key feature of our model is that the conditional t–distributions of the component models are based on autoregressions that have multivariate t–distributions as their (low-dimensional) stationary distributions. That autoregressions with such stationary distributions exist is not immediate. Our formulation implies that the conditional mean of each component model is a linear function of past observations and the conditional variance is also time-varying. Compared to previous mixture autoregressive models our model may therefore be useful in applications where the data exhibits rather strong conditional heteroskedasticity. Our formulation also has …

Bubble Testing Under Polynomial Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the least squares estimator of the autoregressive (AR) coefficient in an AR(1) regression with intercept when data is generated from a polynomial trend model in different forms. It is shown that the commonly used right-tailed unit root tests tend to favor the explosive alternative. A new procedure, which implements the right-tailed unit root tests in an AR(2) regression, is proposed. It is shown that when the data generating process has a polynomial trend, the test statistics based on the new procedure cannot find evidence of explosiveness. Whereas, when the data generating process is …

Evaluating The Effect Of Nil Laws On College Athletic Department Revenue, Dylan C. Cherullo

Undergraduate Theses, Professional Papers, and Capstone Artifacts

This paper examines the impact of Name, Image, and Likeness (NIL) laws on revenue for public Division I universities' athletic departments, challenging the long-standing debate within the National Collegiate Athletics Association (NCAA). Utilizing panel data from the Knight Commission on College Athletics, which encompasses over 350 public Division I universities from 2002 to 2021, this study employs a difference-in-differences model. The model investigates state-level changes in university athletic department revenue from sponsorships (sponsrev), with special focus on the post-NIL law era. The analysis is bolstered by controls for various factors including ESPN’s FPI data, coach and equipment expenditures, and COVID-19 …