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Articles 1081 - 1110 of 2833

Full-Text Articles in Econometrics

Editorial Introduction To The Special Issue Entitled: Spatial Econometrics: New Methods And Applications, Zhenlin Yang May 2019

Editorial Introduction To The Special Issue Entitled: Spatial Econometrics: New Methods And Applications, Zhenlin Yang

Research Collection School Of Economics

Spatial econometrics is a fast growing research area, with the theories and methods developed over the past five decades or so being applied more and more widely, not only in the specialized fields such as regional science, real estate, economic geography, and urban economics, but also increasingly in the general fields such as economics, finance and social networks, in particular in the recent decade. One of the driving forces is perhaps the formation of the Spatial Econometrics Association (SEA) at Rome in 2006 and its subsequent annul conference started in 2007 at the Cambridge University, which have helped greatly the …

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The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang May 2019

The Revealed Preference Theory Of Stable Matchings With One-Sided Preferences, Gaoji Hu, Jiangtao Li, Rui Tang

Research Collection School Of Economics

This note studies the testable implications of the theory of stable matchings intwo-sided matching markets with one-sided preferences. Our main result connects therevealed preference analysis to the well-known lattice structure of the set of stablematchings, and tests the rationalizability of a data set by analyzing the joins andmeets of matchings.

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Jump Factor Models In Large Cross-Sections, Jia Li, Viktor Todorov, George. Tauchen May 2019

Jump Factor Models In Large Cross-Sections, Jia Li, Viktor Todorov, George. Tauchen

Research Collection School Of Economics

We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross-sectional dimension and sampling frequency, and essentially no restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high-frequency returns at the times when the risk factors are detected to have a jump. The test statistic is a cross-sectional average of a measure of discrepancy in …

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Empirical Analysis Of China’S Exchange Rate And Macroeconomic Policy, Jia Ji May 2019

Empirical Analysis Of China’S Exchange Rate And Macroeconomic Policy, Jia Ji

Dissertations, Theses, and Capstone Projects

This dissertation examines the effects of exchange rate and macroeconomic policy in China. It consists of three chapters. Chapter 1 explores the dynamics of monetary transmission mechanism. As China’s domestic financial markets deepen and develop further toward a market-based system, the country’s monetary policy transmission should continue to improve in the sense that the policy instrument’s influence on economic conditions increases in magnitude and stabilized across time. Using a short-term key interest rate as a standard monetary policy tool and time-varying parameter techniques, this study empirically demonstrates that China’s monetary policy framework is in the midst of transitioning to a …

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New York Camp Econometrics Xiv Program, Center For Policy Research Apr 2019

New York Camp Econometrics Xiv Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

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The Role Of Income Inequality As A Predictor Of Per Capita Gross Domestic Product, Daniel Friedberg Apr 2019

The Role Of Income Inequality As A Predictor Of Per Capita Gross Domestic Product, Daniel Friedberg

Student Scholar Showcase

The role of income inequality in relation to gross domestic product is of great importance in modern time. Income inequality is a pressing phenomenon in the fields of economics, politics, and sociology, while Gross Domestic Product is the benchmark statistic in measuring the health of any economy. But how well does income inequality serve as a predictor for the level of Purchasing Power Parity (PPP) GDP per capita within a nation? This cross-sectional study determines that the GINI Index has no significant statistical relationship with PPP GDP per capita level. While income inequality is a major economic variable that contributes …

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Do Economic Inequalities Affect Long-Run Cooperation & Prosperity?, Gabriele Camera, Cary Deck, David Porter Apr 2019

Do Economic Inequalities Affect Long-Run Cooperation & Prosperity?, Gabriele Camera, Cary Deck, David Porter

ESI Working Papers

We explore if fairness and inequality motivations affect cooperation in indefinitely repeated games. Each round, we randomly divided experimental participants into donor-recipient pairs. Donors could make a gift to recipients, and ex-ante earnings are highest when all donors give. Roles were randomly reassigned every period, which induced inequality in ex-post earnings. Theoretically, income-maximizing players do not have to condition on this inequality because it is payoff-irrelevant. Empirically, payoff-irrelevant inequality affected participants’ ability to coordinate on efficient play: donors conditioned gifts on their own past roles and, with inequalities made visible, discriminated against those who were better off.

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Rhode Island Current Conditions Index -- April 2019, Leonard Lardaro Apr 2019

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

The Rhode Island Current Conditions Index

No abstract provided.

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An Economic Growth Analysis Of Native American Reservations In California, Mahsa Ashabi Apr 2019

An Economic Growth Analysis Of Native American Reservations In California, Mahsa Ashabi

Economics Faculty Publications

A history of institutional oppression and genocide has shaped Native American communities across the United States today, reflected in large disparities of socioeconomic outcomes and productivity. Due to a lack of comprehensive data and macroeconomic research, alternative forms of spatial data and theories regarding human settlement develop a lens of understanding of this stagnation.In our efforts to better understand growth on Native American reservations, we utilize nighttime lights data to proxy for economic output in these geographic areas, measuring the settlement characteristics of reservations themselves and against surrounding U.S. regions. Through a series of log-log regressions that focus on Zipf’s …

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The Effect Of Birth Order On Behavior On Behavior And Academic Performance, Maria Long Apr 2019

The Effect Of Birth Order On Behavior On Behavior And Academic Performance, Maria Long

Mahurin Honors College Capstone Experience/Thesis Projects

This paper studies the effect of birth order on a child’s math and reading comprehension aptitudes and likelihood of behavior problems. Numerous studies have been performed on this topic and the conclusions have varied. In this paper, I control for gender, race, number of siblings, mother’s age at birth, mother’s marital status at birth of child, and how often children argue with their parents about homework. I find evidence to suggest that first-born children will have significantly higher academic performance outcomes, last-born children will have significantly lower behavior issues, and the environment in which a child is raised will have …

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Investigating The Change In The Out-Of-Pocket Cost Of Insulin Over Time, Jared Long Apr 2019

Investigating The Change In The Out-Of-Pocket Cost Of Insulin Over Time, Jared Long

Mahurin Honors College Capstone Experience/Thesis Projects

Insulin is often cited as a classic near perfectly inelastic good; for those living with Type-1 diabetes, antihyperglycemic medicines are the only thing standing between them and possible death, and they must be willing to pay for the medication regardless of the price. When researchers at the University of Toronto released the patent for insulin in 1922, they asked for only $1 so that the medication would be available to as many people as possible; however, as insulin analogs and new biosimilar substitutes have been invented, the price of medications has increased substantially. While the rising cost of insulin has …

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Inference In Partially Identified Panel Data Models With Interactive Fixed Effects, Shengjie Hong, Liangjun Su, Yaqi Wang Apr 2019

Inference In Partially Identified Panel Data Models With Interactive Fixed Effects, Shengjie Hong, Liangjun Su, Yaqi Wang

Research Collection School Of Economics

This paper develops methods for statistical inferences in a partially identified nonparametric panel data model with endogeneity and interactive fixed effects. We consider the case where the number of cross-sectional units (N) is large and the number of time series periods (T).as well as the number of unobserved common factors (R) are fixed. Under some normalization rules, wecan concentrateout thelarge dimen-sional parameter vector of factor loadings and specify a set of conditional moment restriction that are involved with only the finite dimensional factor parameters along with the infinite dimensional nonpara-metric component. For a conjectured restriction on the parameter, we consider …

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

ESI Working Papers

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

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

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

ESI Working Papers

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

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

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

ESI Working Papers

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

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

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

ESI Working Papers

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

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

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

The Rhode Island Current Conditions Index

No abstract provided.

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

Research Collection School Of Economics

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

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

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

ESI Working Papers

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

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

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

Loyola of Los Angeles International and Comparative Law Review

No abstract provided.

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

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

The Rhode Island Current Conditions Index

No abstract provided.

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