Econometrics Commons^™

The Hidden Logic Behind Migration And Success, Elsa Russom

Master's Projects and Capstones

This research paper explores the hidden drivers of financial success among Eritrean migrants navigating uncertainty, displacement, and limited institutional access. Drawing on original survey data collected from diaspora communities across East African host countries, I apply a mixed-methods framework combining ordinal and binary logistic regression, random forest classification, bootstrapping, and Bayesian causal mediation; to identify the structural and cultural variables most predictive of financial stability. The findings reveal that participation in Ekub, a traditional rotating savings association, and engagement in communal support systems are the strongest predictors of financial success, outperforming conventional factors such as age, education, or employment status. …

Behavioral Responses To The Medicare Part D Coverage Gap And Its Closure, Selene Urbatsch

Theses and Dissertations

The author examines how exposure to the Medicare Part D coverage gap affects future prescription drug use and whether the closure of the gap under the Affordable Care Act (ACA) altered beneficiary behavior. Using 2007–2019 MEPS data, the analysis compares Part D enrollees to similarly aged, privately insured individuals, producing first-differences and difference-in-differences estimates. Before the ACA, exposure to the gap was associated with 4.9 fewer prescription fills relative to comparable non-Part D individuals. After the ACA, the effect fell to a reduction of 2.2 generic fills, with no significant decline in branded use. Sudden out-of-pocket cost increases prompted sharp …

Elected To Die: The Effect Of Municipal Assassinations On Remittances In Mexico, Victor M. Mendez Robles

Latin American Studies Honors Projects

This paper looks at localized violence in Mexico through both a qualitative and quantitative approach. Looking at some motivating factors behind violence against political institutions at the municipal level in Mexico. In addition, this paper looks at the relationship between assassinations of municipal mayors in Mexico to see if their assassination leads to changes in remittances in those municipalities in the following periods. This paper uses various difference in difference models to come to its conclusion. There is suggestive evidence of a relationship between remittance growth in municipalities in the periods following an assassination of a mayor currently in office.

The Impact Of Green Credit Ratio On Return On Assets, Liao Wang

All Theses

How does the green credit ratio affect a bank return on assets? This study uses panel data from 2012 to 2019, covering 18 large banks in China, including 6 state-owned banks and major 12 important joint-stock and city commercial banks. I use regression models to measure the effect of the green credit ratio (GCR) on return on assets (ROA) and return on equity (ROE), and we focus on how bank ownership and fixed effects matters.

The results show that the effect of green credit ratio (GCR) on ROA depends on the model design. When bank fixed effects are included, green …

Estimation And Testing In A Fixed Effects Panel Data Model With Serially Correlated Error Component Disturbances, Badi H. Baltagi, Long Liu

Center for Policy Research

This paper revisits the fixed effects panel data model with AR(1) remainder disturbances and provides a bias corrected estimator for the serial correlation coefficient based on first differencing the panel regression to get rid of the fixed effects. This bias corrected estimator builds upon the estimator proposed by Han and Phillips (2010). Asymptotic properties as well as Monte Carlo results are provided that show the better performance of this new proposed bias corrected estimator. This is extended to the unbalanced panel data case and also illustrated using the empirical application in Donohue and Levitt (2001).

Essays On Financial Econometrics, Yuexuan Ren

Dissertations and Theses Collection (Open Access)

This dissertation consists of two papers that contribute to the theory of estimation, inference, and prediction using high-frequency financial data. In the first chapter, time-varying betas from return regressions, commonly used to measure systematic financial market risk, are studied using high-frequency data. A novel econometric framework is introduced for the nonparametric estimation of these betas. The optimal finite-sample inference, in a well-defined sense, is enabled by the local Gaussian property of a generic continuous-time benchmark model under the fixed-k framework. Furthermore, a uniform functional inference theory for spot regressions is developed. The proposed methodology is broadly applicable in empirical settings, …

The Effect Of Employment Shocks On Earnings: Evidence From The Covid-19 Pandemic, Giovanny A. Martinez Rodriguez

Economics Honors Projects

Economic research has documented significant short, medium, and long-term labor market consequences following recessions (Goodman & Mance, 2011; Yagan, 2017; Farber, 2011). The Covid-19 recession triggered an unprecedented economic downturn, disproportionately impacting employment in industries with high concentrations of low-income and female workers. In this paper, I leverage the substantial spatial variation in employment shocks to examine their effects on earnings and employment outcomes in both the short and medium terms. I find remarkably stable trends in earnings and employment when comparing counties experiencing high employment shocks with those that did not. Although these results differ from previous recessions, they …

Limit Theory For Local Polynomial Estimation Of Functional Coefficient Models With Possibly Integrated Regressors, Ying Wang, Peter C. B. Phillips

Research Collection School Of Economics

Limit theory for functional coefficient cointegrating regression was recently found to be considerably more complex than earlier understood. The issues were explained and correct limit theory derived for the kernel weighted local level estimator in Phillips and Wang (2023b). The present paper provides complete limit theory for the general kernel weighted local th order polynomial estimators of the functional coefficient and the coefficient derivatives. Both stationary and nonstationary regressors are allowed. Implications for bandwidth selection are discussed. An adaptive procedure to select the fit order  is proposed and found to work well. A robust -ratio is constructed following the new …

Borders And Burdens: Three Essays On Inter-Jurisdictional Tax Policy In America, Benjamin Jaros

All Dissertations

Individuals, firms, and governments make decisions about the tradeoffs of different tax policies at jurisdictional borders, such as those between states, nations, or local governments; those choices shape the burden of taxation. This dissertation examines the effects of three distinct changes in tax policy: for state corporate income tax apportionment, colonial tobacco tariffs, and tax abatements for data centers. Chapter 1 examines how changes to the corporate income tax base formula affect state tax revenues. Chapter 2 analyzes how colonial era export and import tariffs on tobacco impacted trade volumes, raised revenue, and the distribution of the tax burden between …

Valuation Of Crypto Assets On Blockchain With Deep Learning Approach, Xi Zhou, Yin Pang, Esther Ying Yang, Jing Rong Goh, Shaun Shuxun Wang

Research Collection School Of Economics

With the rapid expansion of the blockchain ecosystem, crypto asset valuation has become an essential area of study for investors and institutions. Here, we introduce a deep learning framework that was designed to predict the value index of crypto assets by integrating intrinsic value variables and decomposing market prices into value and sentiment components. The Crypto Asset Value-indexing Model (CAVM) was applied to Ethereum’s cryptocurrency ETH to demonstrate its effectiveness. Four econometric tests were conducted to verify the informativeness, predictiveness, and reasonability of the generated value indices, as well as the efficiency of price decomposition. Our findings suggested that the …

Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins

Honors College Theses

The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …

The Secret Life Of Nim: How Regulation Affects Bank Balance Sheets And Consumer Consequences, Alexandra Nenish

Business and Economics Honors Papers

After the Great Recession of 2008, the Dodd-Frank Wall Street Reform and Consumer Protection Act was passed by the Obama Administration in 2010 with hopes to protect citizens against economic downturn spurred by poor banking behaviors. This act of federal financial oversight was unprecedented, and its magnitude and level of strictness caused banks to see an increase in costs, such as increases in personnel numbers and non-interest earning reserve requirements. This research analyzes how banks, specifically community banks, paid for these increased costs by focusing on the net interest margin (NIM). The NIM is a prominent profitability ratio for banking …

New York Camp Econometrics Xix Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

Two-Stage Least Squares Estimation In A Spatial Lag Model Under A Complete Bipartite Network, Badi H. Baltagi, Long Liu

Center for Policy Research

This paper considers a spatial lag model with a complete bipartite network weighting matrix which is important in network theory. We show that two-stage least squares is equivalent to ordinary least squares and both estimators are inconsistent for the cross-section data case. This result has also been derived for the spatial lag model with an equal weight matrix by Kelejian and Prucha (2002). We also show that the fixed effects two-stage least squares estimator is consistent in case we have panel data and the spatial lag model includes time fixed effects. This is different from the result for an equal …

Health Crisis And Currency Risk: Fresh Evidence From New Data Sets, Afees A. Salisu, Dinci J. Penzin, Yinka S. Hammed

Bulletin of Monetary Economics and Banking

With the aid of a method of predictability analysis that involves a feasible quasigeneralized least squares estimator, we examine the predictive power associated with the newly computed COVID-19 indices, which are disaggregated into six indices for currency market risks (realized volatility of exchange rate). Our sample size covers the period between December 31, 2019, and December 28, 2021. We note mixed outcomes for the major currency markets considered. On average, while the health crisis seems to have heightened the risks associated with Pounds Sterling, Australian Dollar and Canadian Dollar against USD, it exerts a moderating effect on the Euro, Yen …

Microfinance In Latin America: Sustainability, Growth, And Efficiency, Katelyn M. Hoidal

Global Tides

The subsequent research addresses the question: Within populous Latin American countries (Ecuador, Mexico, Panama, Argentina, Chile, and Peru), are microfinance institutions associated with differences in GDP and household consumption equally between 2010 and 2018? Which do they have a stronger correlation with? The essence of this question seeks to answer whether the correlation between MFIs and wealth indicators carries over to a national level or merely persists at an individual level. This research has been informed and influenced by literature and studies conducted across South Asia, Africa, and Latin America focusing on the research of Abdelkader, Naveeda, Annim, Campbell, Armendáriz, …

What About The Buyers? Deriving Factors Of Demand In The U.S. Black Market, Eric S. Schneider

Undergraduate Theses

The vast majority of econometric research regarding black markets focuses on the supply. Relatively little information is definitively shown in academic literature regarding the drivers of demand for black markets. This project seeks to identify factors of demand for black market goods and services. First, this paper gives a brief definition of the broad definition of black markets, before specifically defining the scope of individual markets which will be included in this project. Next, there is a brief review of recent literature on the U.S. black market in order to determine prime candidates for factors of demand. Then, a robust …

Beyond The Stats: Empirical Analysis Of The Impact Of Performance Metrics And Nationality On Major League Soccer Player Salaries: A Panel Data Analysis, Daniel Pereira

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the possibility of how player in-game individual performance and nationality shape the salary system in Major League Soccer (MLS). The objective is to evaluate the direct relationship between key performance indicators (KPIs) such as field position, goals, assists, appearances, and defensive contributions, and how these factors are different between domestic and international players.

Ai Adoption And Wage Growth In U.S. Industries: A Sectoral Analysis, Demitrius Andrellos

Empirical Economic Bulletin, An Undergraduate Journal

Artificial Intelligence (AI) is transforming nearly every sector and has significant implications for workers and their wages. This paper examines the impact of the utilization of AI on wage growth across various industries in the United States. Through analysis of trends, examination of current research, and regression analysis using real industry data, the research demonstrates the disparate impacts of AI. Research suggests that AI raises wages in tech- and finance-centric sectors where it complements humans but keeps wages down in labor-intensive sectors where it replaces them. Understanding this disparity is important to build equitable workforce policies for the AI age.

Empirical Analysis Of The Impact Of Macroeconomic Determinants On Equity Reit Performance, Chris Morello

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates how equity Real Estate Investment Trusts (REITs) respond to key macroeconomic factors: stock market performance, interest rate changes, and inflation. Using annual data from 1972 to 2024, multiple linear regressions are conducted to assess which variables significantly explain REIT returns. The results reveal a strong and consistent relationship between equity REIT performance and S&P 500 returns, while interest rates and lagged inflation measures show no statistically significant impact. These findings suggest that REITs behave more like equities than fixed-income assets, particularly in the long term. While the models have limited explanatory power, the analysis supports the idea …

Determinants Of Wealth Inequality In Central America: A Panel Data Analysis Of Socioeconomic And Institutional Factors, Jose Manuel Fernandez Pou

Empirical Economic Bulletin, An Undergraduate Journal

This study applies a non-linear panel threshold regression model to examines the factors of economic development in Central America, with an emphasis on institutional and socioeconomic factors. Using data acquired between 2000 and 2023 the research evaluates how different variables like trade openness, FDI, financial development, education spending, inflation and population growth impacts the growth of GDP at different levels of institutional quality. The results demonstrate that institutional quality levels create a distinct threshold effect when trade openness and FDI fail to promote growth in weak institutional settings while inflation volatility strongly hinders growth. FDI and financial development show positive …

Beyond The Road Trip: Investigating The Impact Of Travel Fatigue On Nba Team Performance, Anthony Pugliese

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the impact of travel fatigue on NBA player performance. In this paper we will look at key variables such as back-to-back games and long-distance travel. By using specific team by team data on factors like game results, travel distance, and rest days. This study examined how specific factors like time zone shifts and travel length influences winning percentage and player efficiency. This paper will also show a regression analysis and visual data to back up results using real life data. The results showed that team performance decreased significantly when teams were at a higher rate of travel …

The Contemporaneous Impact Of Unemployment And Income Inequality On Violent Vs Property Crime Rates In New England: A Panel Data And Machine Learning Approach, Cora Sousa

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the possible impact of unemployment and income inequality on property and or violent crimes in the New England region in the United States from 2003 to 2022. Using a panel data analysis looking at unemployment rates and factors of income inequality in New England states, Connecticut, Maine, Massachusetts, Rhode Island, New Hampshire, and Vermont, along with demographic factors like race and gender aim to find a relationship between unemployment and income inequality with crime rates. Economic distress, usually caused by unemployment, can cause an individual to commit crimes due to hard times. Using machine learning decision trees …

The Price Of Victory: A Machine Learning Analysis Of How Salary Dispersion Influences Team Success In Major League Baseball, Joseph Belsanti

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the effect of salary dispersion on team success in Major League Baseball (MLB). Using data from 29 MLB teams over eight seasons (2012-2019), this study uses multiple models, such as Ordinary Least Squares (OLS), panel data regressions, and Random Forest machine learning, to investigate the degree – if any – that inequalities in a team's payroll impacts success, measured by winning percentage. The study's results show that, contrary to prevailing theories, salary dispersion – measured by a Gini coefficient – is not a significant predictor of a team's winning percentage (team success). Instead, team performance metrics, such …

The Impact Of Tariffs And Institutional Quality On Economic Growth In Latin America: A Panel Data Analysis, Blaisedel Frampton

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the relationship between tariffs and economic growth in Latin American countries and how institutional quality may impact this relationship. The study will use data from the World Development Indicators Data Bank. The data used comes from 18 high- or middle-income countries within South America and the Caribbean from the years 2003 to 2023. Results from this study were found using a fixed-effects regression model. The results from this study show that overall, there is a negative correlation between tariffs and economic growth in South America. There is also a positive correlation between institutional quality and economic growth …

Passive Vs. Active Etfs: A Comparative Data Analysis Of Market Performance And Investor Behavior, Herrick Louis

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the long-term performance of passive vs active ETFs. Using a comparative analysis of historical returns from 2015 to 2024, Regression modeling, and time Series Analysis, I assessed whether passive investing offers a strategic advantage overactive management. Drawing on data from VOO Passive, SWANX active, Bitcoin, and MAG 7 technology ETFs, and the Financial Sector.

Socioeconomic Factors Affecting Gendered Happiness: A Cross-Sectional Study Of Oecd Countries, Anusha Khan

Empirical Economic Bulletin, An Undergraduate Journal

This paper explores how socioeconomic factors influence life satisfaction across OECD countries and how these effects vary by gender. Using a cross-sectional dataset, the study runs three separate regressions, total, men’s, and women’s happiness to test whether factors like health, education, safety, and support networks impact life satisfaction differently for men and women. A Random Forest model is also used to validate the robustness of selected predictors. Findings show that health and support matter universally, but men’s well-being is more closely tied to educational attainment, while women’s happiness is more sensitive to feelings of safety.

Decarbonization Under Carbon Policy And Pricing Shifts: A Machine Learning-Driven Synthetic Control And Panel Data Analysis, Chanboremey Teng

Empirical Economic Bulletin, An Undergraduate Journal

This study evaluates the effectiveness of carbon pricing instruments – Carbon taxes and Emissions Trading Systems (ETS) – in reducing CO2 emissions per capita across 152 countries from 1990 to 2023 using dynamic panel regressions with fixed effects. The analysis estimates both short-run and long-run effects while controlling economic structure, energy mix, and environmental policy stringency (EPS). The results show that ETS policies yield the strongest long-term reduction in emissions at approximately 7.35%, followed by carbon taxes at 5.6%, and EPS regulatory measures at 6.35%. However, when all three instruments are modeled together, the marginal effects of pricing mechanisms weaken, …

Effects Of Bureaucratic Corruption On Firms' Financial Constraints, Obinna Franklin Ezeibekwe

The Journal of Entrepreneurial Finance

This study provides the first empirical assessment of the causal impact of bureaucratic corruption on firms' financial constraints in Nigeria by calculating treatment effects using linear and non-linear estimators to account for potential heterogeneous treatment effects across firm groups. Formally, the theoretical framework models how corruption may facilitate or restrain firms' financial access by shaping their cost functions, which consequently influences their success or failure and ability to raise the collateral for borrowing. My analysis, using the bivariate probit method and two binary instruments, reveals that corruption significantly increases the probability of a representative MSME and firm being financially constrained …

Beyond The Suburban Ideal: Addressing Southern California’S Strained Affordable Housing Market Through Density Bonus Programs, Alissa Larue

School of Public Policy Capstones

This study examines how expanding Accessory Dwelling Units (ADUs) could serve as an effective policy solution to address the housing affordability crisis. In San Diego, a Bonus Program has been implemented to incentivize the construction of affordable ADUs by relaxing burdensome regulations. A Differences-in-Differences approach using two-way fixed effects is employed to evaluate the program's effectiveness in promoting ADU development, using city-level data from San Diego and Los Angeles counties. ADU permit applications serve as a key indicator of policy impact. The findings strongly suggest that the Bonus Program influenced increasing ADU permit applications in San Diego. Because the model …