Econometrics Commons^™

Teaching Size And Power Properties Of Hypothesis Tests Through Simulations, Suleyman Taspinar, Osman Dogan

Publications and Research

In this study, we review the graphical methods suggested in Davidson and MacKinnon (Davidson, Russell, and James G. MacKinnon. 1998. “Graphical Methods for Investigating the Size and Power of Hypothesis Tests.” The Manchester School 66 (1): 1–26.) that can be used to investigate size and power properties of hypothesis tests for undergraduate and graduate econometrics courses. These methods can be used to assess finite sample properties of various hypothesis tests through simulation studies. In addition, these methods can be effectively used in classrooms to reinforce students’ understanding of basic hypothesis testing concepts such as Type I error, Type II error, …

Are Donald Trump And Hillary Clinton Controlling The Stock Market? An Analysis Of The 2016 Presidential Election's Impact On Stock Market Volatility, Julia Tambone

Scripps Senior Theses

Hillary Clinton and Donald Trump ran highly controversial campaigns in the 2016 Presidential Election, which then leaves us with the question of what impact is this having on the current economy? Prior analysis of political influence on the stock market tells us that isolating political impact on the stock market is nearly impossible. However, there are clearly defined 4-year cycles in stock prices that seem to correspond with election years. In this paper, I create my own index of stocks in the four major U.S. industries and measure both day-to-day and intraday volatility in stock prices across three comparable time …

The Real Estate And Stock Market During The Great Depression: Construction Permit Growth As A Leading Economic Indicator For Stock Returns, Will Cresap

CMC Senior Theses

The 1929 stock market crash on Black Thursday, followed by the subsequent four-year period of extreme economic downturn, signifies an extremely profound piece of U.S. history. During this time, global economic productivity – measured by GDP – decreased while the U.S. unemployment rate increased staggeringly. Leveraging construction permits as a forward-looking measure of economic activity, I empirically evaluate the effect of construction permits – specifically, the lagged growth rate of monthly construction permits – and lagged monthly stock returns on monthly Standard & Poor's 500 (S&P 500) stock returns. Lagged construction permit returns and lagged stock returns provide early indications …

Quantifying The Trenches: Machine Learning Applied To Nfl Offensive Lineman Valuation, Sean Pyne

CMC Senior Theses

There are 32 teams in the National Football League all competing to be the best by creating the strongest roster possible. The problem of evaluating talent has created extreme competition between teams in the form of a rookie draft and a fiercely competitive veteran free agent market. The difficulty with player evaluation is due to the noise associated with measuring a particular player’s value. The intent of this paper is to create an algorithm for identifying the inefficiencies in pricing in these player markets. In particular, this paper focuses on the veteran free agent market for offensive linemen in the …

How Mobile Phones Can Spark An Entrepreneurial Revolution, Alison Choe

Scripps Senior Theses

In the last decade, there has been an exponential rise in mobile phones in both developed and developed countries. In light of that, this paper investigates whether the expansion of such mobile networks leads to increased entrepreneurial activity. By conducting panel regressions, I find the degree to which various stages of entrepreneurial activity is affected by increased mobile phone subscription rates. I use data from 80 countries from 2007 to 2015 and parse out the different effects between developing and developed countries, and between males and females. I find that larger mobile networks encourage entrepreneurship, particularly in the early stages, …

How Does The Million Baht Village Fund Impact Fertility In Thailand?, Kaci Felstet

Graduate Student Theses, Dissertations, & Professional Papers

This study evaluates the impact of Thailand’s Million Baht Village Fund program on household fertility decisions. Thailand’s fertility rates are alarmingly low and it is imperative to recognize the unintended consequences a microfinance program may have on fertility choices within Thailand. Using panel data from pre- and post-program years, this research identifies the change in number of babies in a household associated with getting a microloan from the Village Fund program. The quasi-experimental nature of the program and an instrumental variable model with fixed effects identifies a negative relationship between the number of babies within families and participation in the …

Robert Parker’S Wine Advocate And The Consequential Pricing Of Provençal Wines, Gweneth Marter

Scripps Senior Theses

Robert Parker is an esteemed, somewhat controversial wine-critic. Since 1978, Parker has assigned every wine he tastes a score between 50 and 100. He uses this method to communicate to both consumers and producers his opinion of the quality, taste, and aging potential of the wine. Between the years 2005 and 2015, Robert Parker graded 115 wines from the French region of Provence. The goal of this thesis is to determine whether and to what extent Robert Parker’s grades affect the price of wine. Through descriptive statistics and regression analysis of Robert Parker’s grade and year of production on the …

Compensating Against Turnover: Managers' Talent Retention Decisions In Major League Baseball Under A Budget Constraint, Emma Knoesen

Scripps Senior Theses

From 1997 to 1999 and 2003 to the present, Major League Baseball has had a luxury tax on high payroll teams. This paper analyzes the impact of the tax as a budget constraint on teams’ ability to reward and retain high performing players. In contrast to other papers, we use wins above replacement (WAR), a popular sabermetrics statistic, to measure performance. Using this metric, we quantify the number of top performers, how this performance is rewarded with salary, and how salary impacts players’ mobility decisions. We conclude that when using WAR, the distribution of performance is not heavy tailed and …

On Estimating Market Microstructure Noise Variance, Yingjie Dong, Yiu Kuen Tse

Research Collection School Of Economics

We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. Our results show that our proposed estimates have lower (absolute) mean error and root mean-squared error, and their performance is quite stable at different time scales.

A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing, Offer Lieberman, Peter C. B. Phillips

Research Collection School Of Economics

This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (STUR) models to a multivariate case including asymptotic theory for estimation of the model's parameters. The extensions are useful for applications of STUR modeling and because they lead to a generalization of the Black-Scholes formula for derivative pricing. In place of the standard assumption that the price process follows a geometric Brownian motion, we derive a new form of the Black-Scholes equation that allows for a multivariate time varying coefficient element in the price equation. The corresponding formula for the value of a European-type call option …

Changes In Depressive Symptoms Among Older Adults With Multiple Chronic Conditions: Role Of Positive And Negative Social Supports, Sangnam Ahn, Seonghoon Kim, Hongmei Zhang

Research Collection School Of Economics

Depression severely affects older adults in the United States. As part of the social environment, significant social support was suggested to ameliorate depression among older adults. We investigate how varying forms of social support moderate depressive symptomatology among older adults with multiple chronic conditions (MCC). Data were analyzed using a sample of 11,400 adults, aged 65 years or older, from the 2006–2012 Health and Retirement Study. The current study investigated the moderating effects of positive or negative social support from spouse, children, other family, and friends on the association between MCC and depression. A linear mixed model with repeated measures …

Reducing Extreme Poverty Through Skill Training For Industry Job Placement, Abu S. Shonchoy, Selim Raihan, Tomoki Fujii

Research Collection School Of Economics

Vocational training programs aimed at rapidly growing sectors have the potential to reduce skills gaps, improve income and employment potentials. Such programs often been unsuccessful, because they are not driven by industry-demand and market-linkages, and they are not well targeted. Our rigorous RCT-based impact study shows that a targeted training-program offered to poor rural households in northwest Bangladesh has significant effects on employment in garment factories. Data from a follow-up — six and twelve months’ after the intervention — shows a statistically significant and large employment effect of the training program when it is combined with the stipend or internship.This …

Racial And Ethnic Differences In Receipt Of Immediate Breast Reconstruction Surgery: Do Hospital Characteristics Matter?, Jaya Shankar Khushalani

Theses and Dissertations

Immediate Breast Reconstruction Surgery (IBRS) is associated with better quality of life among women who undergo a mastectomy. Despite insurance coverage for IBRS, utilization of IBRS remains low. Data from publicly available sources for 2010-2012 are used to examine the association between hospital characteristics receipt of IBRS by patients. Minority-serving status, low bed size, for-profit ownership, non-teaching status, high competition, low density of plastic surgeons in the market and non-metropolitan location are associated with lower likelihood of receipt of IBRS.

Racial and ethnic minorities are less likely to receive IBRS. A mixed effects logistic regression model with interactions between Black/Hispanic …

Empathy Conservation: Experiments Suggest A Need For More Attention In Policymaking, Natalia V. Czap, Hans J. Czap, Gary Lynne, Mark E. Burbach

CAFIO: Policy Research Group Policy Pagers

One of the major challenges of environmental policy with regard to conservation is that it must often rely on voluntary and non-selfish actions of individuals. Traditionally policy makers rely on direct regulation and financial incentives, but both approaches face problems. Regulations may lead to resentment and the costs of perfect enforcement are prohibitively high. Financial incentives can be perverse and may lead to unintended consequences, including crowding out of intrinsic motivation. In addition, behavioral economics and economic psychology studies demonstrate that the assumptions of the neoclassical economic models (such as self-interest only, rationality, and willpower) on which the policy design …

Renewable Portfolio Standards May Reduce Green Energy Used In Electricity Production, Karina Schoengold, Suparna Bhattacharya, Konstantinos Giannakas

CAFIO: Policy Research Group Policy Pagers

Rising energy prices, dependence on foreign oil supplies, and consequences of climate change have prompted governments worldwide to initiate policies to shift from fossil fuels to renewables for electricity generation. One of the most commonly used policy instruments is the Renewable Portfolio Standard (RPS), which requires electricity providers to procure green energy (e.g., wind, solar, biomass) for a portion of their electricity supplies. To date, RPS has been a state-mandated program in the United States. As of February 2017, 29 states, Washington DC, and 3 territories have adopted RPS policies.

The Economic Impacts Of Forest Timber Methods In Washington State: A Hedonic Approach, Kaleb Javier

All Master's Theses

Washington State is one of the nation’s leaders in timber production. This paper establishes literature gap regarding the economic impacts of forest timber management methods. In this research, I employ a data set of 170,141 home sales across eleven counties of western Washington to estimate the impact that even-age and uneven-age forest cutting methods have on the local real-estate market. I estimate two sets of hedonic fixed effect regression models to control for omitted variable bias and spatial autocorrelation. The results show statistically significant impacts on property values for both cutting methods, adding important information for forest managers.

Are Oil Prices Important To U.S. Manufacturers?, Austin Perez Schoff

CMC Senior Theses

Very little has been written about the effect that oil prices have on manufacturing output in the United States. This paper aims to shed light about the effect of oil prices, oil imports, and GDP on U.S. manufacturing output through a four-variable vector autoregression and explain the timing of these shocks through impulse response functions. Empirical results find that oil prices are significant in determining manufacturing output, but manufacturing output is also significant in determining oil prices.

Is Silence The Answer?, Gator Adams

CMC Senior Theses

This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.

The Fear Factor: Determinants Of Entrepreneurial Fear Of Failure, Pema Donyo

CMC Senior Theses

This thesis aims to investigate determinants of fear of failure in entrepreneurial activity that could inhibit starting a business. The study uses cross-sectional, pooled OLS, and panel regressions. The dependent variable is fear of failure regarding entrepreneurship, measured with the Global Entrepreneurship Monitor (GEM) survey question of whether fear of failure would prevent the responder from starting a firm. The unit of analysis is at country level. I categorize determinants into demographic, property rights, and procedural variables. A population of higher working age ratio (measured as the population aged 15-64 divided by the population aged 65 and over) correlates with …

An Investigation Into The Relative Importance Of Civil Institutions On Subjective Well-Being, Samuel Fleming

Graduate Student Theses, Dissertations, & Professional Papers

Poverty is not a material problem; in fact, it is a much greater problem, the problem of social, natural, and economic disconnect from the institutions of stability, wealth, justice, and well-being. When considering human flourishing, we must look beyond the material at “lives that are not necessarily morally good, but good for us” (Tiberius, 2006, p. 493). In the vein of Sen’s Capabilities Theory, this paper uses subjective well-being as a comprehensive measure of an individual’s life and circumstances examines how civil institutions impact an individual’s non-monetary welfare function. This paper conducts a series of regression models in an attempt …

The Economic Impacts Of Cougars In Western Washington, Todd Stoothoff

All Master's Theses

The combination of increasing cougar populations and the rising human population in Wildland-Urban Interface (WUI) areas suggests that the number of human-cougar encounters will rise as well. The increase in human-cougar encounters creates potential issues in regard to public safety, public policy, and management of predators. For the purposes of this research, I employ a housing dataset for eleven counties in western Washington in order to quantify the impacts of a confirmed cougar sighting on the sale value of a home. Specifically, I employ the hedonic real estate price model. Results show statistically significant impacts on housing values in the …

Efficient Augmented Inverse Probability Weighted Estimation In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung

Research Collection School Of Economics

When analyzing data with missing data, a commonly used method is the inverse probability weighting (IPW) method, which reweights estimating equations with propensity scores. The popularity of the IPW method is due to its simplicity. However, it is often being criticized for being inefficient because most of the information from the incomplete observations is not used. Alternatively, the regression method is known to be efficient but is nonrobust to the misspecification of the regression function. In this article, we propose a novel way of optimally combining the propensity score function and the regression model. The resulting estimating equation enjoys the …

Estimating Smooth Structural Change In Cointegration Models, Peter C. B. Phillips, Degui Li, Jiti Gao

Research Collection School Of Economics

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time, and considers time-varying coefficient functions estimated by nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down in this setting when the functional coefficients are multivariate. The reason for this breakdown is a kernel induced degeneracy in the weighted signal matrix associated with the nonstationary regressors, a new phenomenon in the kernel regression literature. Some new techniques are developed to address the degeneracy and resolve the asymptotics, using a path-dependent local coordinate transformation to reorient coordinates and …

Determining Individual Or Time Effects In Panel Data Models, Xun Lu, Liangjun Su

Research Collection School Of Economics

In this paper we propose a jackknife method to determine individual and time e⁄ects in linear panel data models. We rst show that when both the serial and cross-sectional correlation among the idiosyncratic error terms are weak, our jackknife method can pick up the correct model with probability approaching one (w.p.a.1). In the presence of moderate or strong degree of serial correlation, we modify our jackknife criterion function and show that the modied jackknife method can also select the correct model w.p.a.1. We conduct Monte Carlo simulations to show that our new methods perform remarkably well in nite samples. We …

Jump Regressions, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a linear jump relation over regions of the jump size domain. The test has power against general forms of nonlinearity in the jump dependence as well as temporal instabilities. We further propose an efficient estimator for the linear jump regression model that is formed by optimally weighting the detected jumps with weights based on the …

Bubbles In Experimental Asset Markets, Praveen Kujal, Owen Powell

ESI Working Papers

"One can define a bubble as a persistent increase in the price of an asset over and above its fundamental value with an abrupt fall in prices when no buyers are available to make purchases. The occurrence of market bubbles has a long history, starting with the Dutch Tulip Mania (1624-1637) to the South Sea and Mississippi Bubble (1716-1720), the British Railway Mania (1840´s) to the crash of 1929. Recent events have been the crash of 1987, the dot-com bubble (1990s) to the most recent housing crisis in early 2000. Even though bubbles, and a subsequent crash, may reallocate resources …

Humans’ (Incorrect) Distrust Of Reflective Decisions, Antonio Cabrales, Antonio M. Espín, Praveen Kujal, Stephen Rassenti

ESI Working Papers

Recent experiments suggest that social behavior may be shaped by the time available for decision making. It is known that fast decision making relies more on intuition whereas slow decision making is affected by reflective processes. Little is known, however, about whether people correctly anticipate the effect of intuition vs. reflection on others’ decision making. This is important in everyday situations where anticipating others’ behavior is often essential. A good example of this is the extensively studied Trust Game where the trustor, by sending an amount of money to the trustee, runs the risk of being exploited by the trustee’s …

Deconstructing “Deviance” And “Disorder” As Systems Of Domination: Chicago Public Schools As A Case Study Of The Effects Of Zero Tolerance Discipline Policies On Educational Outcomes In Us Schools, Maya Kaul

Pomona Senior Theses

The rise of “zero tolerance” discipline practices in US primary and secondary schools has become increasingly well documented by the media and empirical studies. Despite the extensive scholarship that has emerged from these conversations, many of these analyses are limited in their scope and do not connect the phenomena of zero tolerance in schools to the diverse, shifting forces at play within American politics and policy today. As such, the goal of this work is to synthesize ideas about zero tolerance across disciplines by integrating historical thought, philosophical frameworks of punishment, shifting policy goals within the US education system, the …

Luis Daniel Gonzalez, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Luis Daniel Gonzalez. NA-24-12. 2017.

• Michael Lahr → I-O coefficients have a beta distribution in each column. 2017. Manuscript note credited to Anwar Shaikh, PhD.

• Michael Lahr — Luis Daniel defense. October 31, 2017. Manuscript note credited to Anwar Shaikh, PhD.

• Comments on Chapter 1: constraints, equilibrium, and empirical regularities. October 31, 2017. Manuscript note credited to Anwar Shaikh, PhD.

• Chapter 1: w-r can be linear if ρi’s are linear, in which case the composition of output. Manuscript note credited to Anwar Shaikh, PhD.

• Chapter 1: empirical regularities imply “constraints”. Manuscript …

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Risk Preference, Time Preference, And Salience Perception, Jonathan Leland, Mark Schneider

ESI Working Papers

A model of decision making is introduced that provides a unified approach for predicting choices under risk and over time. The model predicts systematic departures from expected utility and discounted utility using the same mathematical structure and the same psychological intuition and shows that a dozen diverse choice anomalies can be given a common underlying explanation. The model weights attribute differences both by their importance (consistent with expected utility and discounted utility) and by their salience or similarity (consistent with procedural models based on heuristics), and so provides a bridge between rational and heuristic representations of decision making.