Econometrics Commons^™

Estimation Of Large Dimensional Factor Models With An Unknown Number Of Breaks, Shujie Ma, Liangjun Su

Research Collection School Of Economics

In this paper we study the estimation of a large dimensional factor model when the factor loadingsexhibit an unknown number of changes over time. We propose a novel three-step procedure to detect the breaks if any and then identify their locations. In the first step, we divide the whole time span into subintervals and fit a conventional factor model on each interval. In the second step, we apply the adaptive fused group Lasso to identify intervals containing a break. In the third step, we devise a grid search method to estimate the location of the break on each identified interval. …

News Co-Occurrence, Attention Spillover, And Return Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu

Research Collection School Of Economics

We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a long-short portfolio based on news co-occurrence generates a significant monthly alpha of 68 basis points. The results are robust to the inclusion of alternative attention proxies, sentiment measures, other news- and information-based predictors, across recession and expansion periods. We further validate the attention spillover effect by showing that news co-mentioning leads to greater increases in Google and …

Change Detection And The Causal Impact Of The Yield Curve, Shuping Shi, Peter C. B. Phillips, Stan Hurn

Research Collection School Of Economics

Causal relationships in econometrics are typically based on the concept of predictability and are established by testing Granger causality. Such relationships are susceptible to change, especially during times of financial turbulence, making the real-time detection of instability an important practical issue. This article develops a test for detecting changes in causal relationships based on a recursive evolving window, which is analogous to a procedure used in recent work on financial bubble detection. The limiting distribution of the test takes a simple form under the null hypothesis and is easy to implement in conditions of homoskedasticity and conditional heteroskedasticity of an …

Agglomeration And The Extent Of The Market: An Experimental Investigation Into Spatially Coordinated Exchange, Jordan Adamson

ESI Working Papers

How and why do agglomerations emerge? While economic historians emphasize trade and economic geographers emphasize variety, we still don’t understand the role of coordination. I fill this gap by extending the model of Fudenberg and Ellison (2003) to formalize Smith’s (1776) theory of agglomeration. I then test the model in a laboratory experiment and find individuals tend to coalesce purely to coordinate exchange, with more agglomeration when there is a larger variety of goods in the economy. I also find that tying individuals to the land reduces agglomeration, but magnifies the effect of variety.

The Effects Of Student-Teacher Ratio On Test Scores: Applying Ceteris Paribus To California And Massachusetts Schools, Laira Aggarwal

Undergraduate Economic Review

This paper seeks to analyze the impact of student-teacher ratio on test scores in California and Massachusetts. Since student-teacher ratio is just one of the variables affecting students’ learning outcomes, other attributes were taken into account for a comprehensive analysis. These attributes included percent of English learners, average district income, percent of students on free or reduced lunch, and expenditures per student. The data sets for both states were assessed both inherently and with ceteris paribus approach. The results indicated that while student-teacher ratio does affect test scores, other classroom variables have a significantly greater influence on students’ learning outcomes.

The Supply Side Determinants Of Territory And Conflict, Jordan Adamson, Erik O. Kimbrough

ESI Working Papers

What determines the geographic extent of territory? We microfound and extend Boulding’s “Loss of Strength Gradient” to predict the extensive and intensive margins of conflict across space. We show how economies of scale in the production of violence and varying costs of projecting violence at a distance combine to affect the geographic distribution of conflict and territory. We test and probe the boundaries of this model in an experiment varying the fixed costs of conflict entry. As predicted, higher fixed costs increase the probability of exclusive territories; median behavior closely tracks equilibrium predictions in all treatments.

Experimental Research On Contests, Roman M. Sheremeta

ESI Working Papers

Costly competitions between economic agents are modeled as contests. Researchers use laboratory experiments to study contests and test comparative static predictions of contest theory. Commonly, researchers find that participants’ efforts are significantly higher than predicted by the standard Nash equilibrium. Despite overbidding, most comparative static predictions, such as the incentive effect, the size effect, the discouragement effect and others are supported in the laboratory. In addition, experimental studies examine various contest structures, including dynamic contests (such as multi-stage races, wars of attrition, tug-of-wars), multi-dimensional contests (such as Colonel Blotto games), and contests between groups. This article provides a short review …

Rhode Island Current Conditions Index -- October 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Preferences (Partial Pre-Orders) On Complex Numbers -- In View Of Possible Use In Quantum Econometrics, Songsak Sriboonchitta, Vladik Kreinovich, Olga Kosheleva

Departmental Technical Reports (CS)

In economic application, it is desirable to find an optimal solution -- i.e., a solution which is preferable to any other possible solution. Traditionally, the state of an economic system has been described by real-valued quantities such as profit, unemployment level, etc. For such quantities, preferences correspond to natural order between real numbers: all things being equal, the more profit the better, and the smaller unemployment, the better. Lately, it turned out that to adequately describe economic phenomena, it is often convenient to use complex numbers. From this viewpoint, a natural question is: what are possible orders on complex numbers? …

Nonlinearities In The Real Exchange Rates: New Evidence From Developed And Developing Countries, Yamin S. Ahmad, Ming Chien Lo, Olena M. Staveley-O'Carroll

Economics Department Working Papers

This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Teräsvirta-Anderson (1992) and the Teräsvirta (1994) test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we examine the modification proposed by Ahmad, Lo and Mykhaylova (2013; Journal of International Economics) to show that the modified nonlinearity test performs much better than the original in both Monte Carlo exercises and in the actual data on 1431 bilateral real exchange rate series. Finally, we investigate the dynamics of the real exchange …

Identifying Latent Grouped Patterns In Panel Data Models With Interactive Fixed Effects, Liangjun Su, Gaosheng Ju

Research Collection School Of Economics

We consider the estimation of latent grouped patterns in dynamic panel data models with interactive fixed effects. We assume that the individual slope coefficients are homogeneous within a group and heterogeneous across groups but each individual’s group membership is unknown to the researcher. We consider penalized principal component (PPC) estimation by extending the penalized-profile-likelihood-based C-Lasso of Su, Shi, and Phillips (2016) to panel data models with cross section dependence. Given the correct number of groups, we show that the C-Lasso can achieve simultaneous classification and estimation in a single step and exhibit the desirable property of uniform classification consistency. The …

A Frequentist Approach To Bayesian Asymptotics, Tingting Cheng, Jiti Gao, Peter C. B. Phillips

Research Collection School Of Economics

Ergodic theorem shows that ergodic averages of the posterior draws converge in probability to the posterior mean under the stationarity assumption. The literature also shows that the posterior distribution is asymptotically normal when the sample size of the original data considered goes to infinity. To the best of our knowledge, there is little discussion on the large sample behaviour of the posterior mean. In this paper, we aim to fill this gap. In particular, we extend the posterior mean idea to the conditional mean case, which is conditioning on a given vector of summary statistics of the original data. We …

Volume, Volatility, And Public News Announcements, Tim Bollerslev, Jia Li, Yuan Xue

Research Collection School Of Economics

We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for the S&P 500 equity portfolio and U.S. Treasury bonds, along with new econometric techniques, for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our estimates for the intraday volume-volatility elasticity around important news announcements are systematically below unity. Our elasticity estimates also decrease significantly with measures of disagreements in beliefs, economic uncertainty, …

The Distribution Of Information And The Price Efficiency Of Markets, Brice Corgnet, Mark Desantis, David Porter

ESI Working Papers

Apparently contradictory evidence has accumulated regarding the extent to which financial markets are informationally efficient. Shedding new light on this old debate, we show that differences in the distribution of private information may explain why informational efficiency can vary greatly across markets. We find that markets are informationally efficient when complete information is concentrated in the hands of competing insiders whereas they are less efficient when private information is dispersed across traders. A learning model helps to illustrate why inferring others’ private information from prices takes more time when information is more dispersed. We discuss the implications of our findings …

Causal Versus Consequential Motives In Mental Models Of Agent Social And Economic Action: Experiments, And The Neoclassical Diversion In Economics, Vernon L. Smith

ESI Working Papers

"In this paper I want to begin with the neoclassical supply and demand model of markets (SDM), whose static equilibrium consequences predicted outcomes far more accurately than were anticipated in laboratory experimental tests of the theory actuated by Jevons (1862, 1871; Smith, 1962). The observed predictive accuracy of SDM was not anticipated because complete information on supply and demand was widely believed, thought and taught to be a necessary condition for finding equilibrium. 1 Jevons’ model required him to have complete information in any particular market, as he only articulated a model of market optimal outcomes, and no model of …

Rhode Island Current Conditions Index -- September 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Editorial For The Special Issue Entitled: New Advances In Spatial Econometrics: Interactions Matter, Nicolas Debarsy, Zhenlin Yang

Research Collection School Of Economics

This Regional Science and Urban Economics special issue collects together a subset of contributions presented in the 15th edition of the International Workshop in Spatial Econometrics and Statistics, which was organized by the Department of Economics of the University of Orléans (Laboratoire d’Economie d’Orléans – UMR CNRS 7322) on May 26-27 2016

Synthetic Control And Dynamic Panel Estimation: A Case Study Of Iran, Orkideh Gharehgozli

Dissertations, Theses, and Capstone Projects

International sanctions imposed on Iran, targeting primarily Iran’s key energy sector and its ability to access the international financial system, have harmed Iran’s economic growth, specifically from 2011 to 2014. This thesis uses this case to study and compare the applicability of two different popular approaches used in comparative case studies exploring the effect of a policy intervention.

In the Chapter 1 we study the synthetic control method. Using this method, we estimate the effect of the intensification of sanctions on Iran’s GDP during the period 2011 to 2014. The year of 2011 was Iran’s first full year under these …

Homogeneity Pursuit In Panel Data Models: Theory And Application, Wuyi Wang, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we design an algorithm called Panel-CARDS. We show that it can identify the true group structure asymptotically and estimate the model parameters consistently at the same time. Simulations evaluate the performance and corroborate the asymptotic theory in several practical design settings. The empirical application reveals the heterogeneous grouping effect of income on democracy.

Aging Suppresses Skin-Derived Circulating Sdf1 To Promote Full-Thickness Tissue Regeneration, Mailyn A. Nishiguchi, Casey A. Spencer, Denis H. Y. Leung, Thomas H. Leung

Research Collection School Of Economics

Physicians have observed that surgical wounds in the elderly heal with thinner scars than wounds in young patients. Understanding this phenomenon may reveal strategies for promoting scarless wound repair. We show that full-thickness skin wounds in aged but not young mice fully regenerate. Exposure of aged animals to blood from young mice by parabiosis counteracts this regenerative capacity. The secreted factor, stromal-derived factor 1 (SDF1), is expressed at higher levels in wounded skin of young mice. Genetic deletion of SDF1 in young skin enhanced tissue regeneration. In aged mice, enhancer of zeste homolog 2 (EZH2) and histone H3 lysine 27 …

Comment On: Limit Of Random Measures Associated With The Increments Of A Brownian Semimartingale, Jia Li, Dacheng Xiu

Research Collection School Of Economics

We thank the Editors’ invitation for the opportunity of contributing to this special issue as a celebration of Professor Jean Jacod’s seminal work originally written in 1994 (Jacod, 1994). This paper established general limit theorems for integrated volatility functionals, and provided theoretical tools that eventually changed the landscape of theoretical research concerning high-frequency data. This impact is also largely due to Professor Jacod’s continuous contribution to a broad variety of challenging issues in the area of high-frequency financial econometrics, including volatility estimation, jumps, and microstructure noise, as well as a large body of mathematical results collected in Jacod and Shiryaev …

Younger Federal District Court Judges Favor Presidential Power, Tom Campbell, Nathaniel T. Wilcox

ESI Working Papers

From 1960 to 2015, Federal District Court opinions involving challenges to Executive Branch authority show that U.S. Federal District Court judges (trial judges) support such authority less as they age, with a sharp decline beginning near age 57. We argue that District judges know that elevation to the Federal Circuit Court of Appeals becomes increasingly improbable, and hence have less reason to ‘cooperate’ with the Executive, with advancing age. Political variables (and other variables) introduced as extra regressors do not reverse our main results. When there are contemporaneous vacancies on their Circuit courts, District judges in the eleven State Circuits …

The Impact Of Wti And The Ordering Of Crude Tankers On Tanker Spot Freight Rate, Jiajia Xu

World Maritime University Dissertations

No abstract provided.

Study On The Fluctuation And Forecasting Of Capsize Bulk Carrier’S Freight, Kelun Wei

World Maritime University Dissertations

No abstract provided.

Study On Bulk Market Of Panamax Carrier In The Past 20 Years(1998-2018), Wei Chen

World Maritime University Dissertations

No abstract provided.

International Container Logistics Transshipment Service : Comparison Between Shanghai Port And Singapore Port, Tingyu Han

World Maritime University Dissertations

No abstract provided.

Partners Or Strangers? Cooperation, Monetary Trade, And The Choice Of Scale Of Interaction, Maria Bigoni, Gabriele Camera, Marco Casari

ESI Working Papers

We show that monetary exchange facilitates the transition from small to large-scale economic interactions. In an experiment, subjects chose to play an “intertemporal cooperation game” either in partnerships or in groups of strangers where payoffs could be higher. Theoretically, a norm of mutual support is sufficient to maximize efficiency through large-scale cooperation. Empirically, absent a monetary system, participants were reluctant to interact on a large scale; and when they did, efficiency plummeted compared to partnerships because cooperation collapsed. This failure was reversed only when a stable monetary system endogenously emerged: the institution of money mitigated strategic uncertainty problems.

The Connection Between Race And Performance Of Nba Draft Picks, Jeremiah Mitchell

Theses and Dissertations

This paper examines the relationship between race and performance in terms of one of the highest forms of efficiency in basketball, field goal percentage, based on college statistics, with regard to draft position, career earnings and NBA win shares.

The Catalyst Effect Of Historic Preservation: A Spatial Analysis Of The Impact Of Historic District Designation On Housing Renovations In New York City, Ali R. Mostafa

Theses and Dissertations

The constraints on property use along with the economic merits of historic districts are critical points in the debate over preservation policies. Improving the existing housing stock is a substantial economic activity and a significant part of the nation’s overall construction industry. The purpose of this study is to present an empirical analysis of the relationship between historic district designation and renovation decisions. The results of the analysis found that historic preservation does not inhibit the renovation activity of single-family homeowners. However, contrary to the claims made by proponents, it does not give a powerful incentive for owners in undesignated …

Rhode Island Current Conditions Index -- August 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.