Econometrics Commons^™

Tug-Of-War In The Laboratory, Cary Deck, Roman M. Sheremeta

ESI Working Papers

Tug-of-war is a multi-battle contest often used to describe extended interactions in economics, management, political science, and other disciplines. While there has been some theoretical work, there is scant empirical evidence regarding behavior in a tug-of-war game. To the best of our knowledge, this paper provides the first experimental study of the tug-of-war. The results show notable deviations of behavior from theory. In the first battle of the tug-of-war, subjects exert fewer resources, while in the follow-up battles, they exert more resources than predicted. Also, contrary to the theoretical prediction, resource expenditures tend to increase in the duration of the …

Rhode Island Current Conditions Index -- September 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Testing For Spatial Lag And Spatial Error Dependence In A Fixed Effects Panel Data Model Using Double Length Artificial Regressions, Badi H. Baltagi, Long Liu

Center for Policy Research

This paper revisits the joint and conditional Lagrange Multiplier tests derived by Debarsy and Ertur (2010) for a fixed effects spatial lag regression model with spatial auto-regressive error, and derives these tests using artificial Double Length Regressions (DLR). These DLR tests and their corresponding LM tests are compared using an empirical example and a Monte Carlo simulation.

Semiparametric Estimation Of Partially Linear Dynamic Panel Data Models With Fixed Effects, Liangjun Su, Yonghui Zhang

Research Collection School Of Economics

In this paper, we study a partially linear dynamic panel data model with fixed effects, where either exogenous or endogenous variables or both enter the linear part, and the lagged dependent variable together with some other exogenous variables enter the nonparametric part. Two types of estimation methods are proposed for the first-differenced model. One is composed of a semiparametric GMM estimator for the finite dimensional parameter and a local polynomial estimator for the infinite dimensional parameter m based on the empirical solutions to Fredholm integral equations of the second kind, and the other is a sieve IV estimate of the …

Jackknife Model Averaging For Quantile Regressions, Xun Lu, Liangjun Su

Research Collection School Of Economics

In this paper we consider model averaging for quantile regressions (QR) when all models under investigation are potentially misspecified and the number of parameters is diverging with the sample size. To allow for the dependence between the error terms and regressors in the QR models, we propose a jackknife model averaging (JMA) estimator which selects the weights by minimizing a leave-one-out cross-validation criterion function and demonstrate its asymptotic optimality in terms of minimizing the out-of-sample final prediction error. We conduct simulations to demonstrate the finite-sample performance of our estimator and compare it with other model selection and averaging methods. We …

Bias In The Estimation Of Mean Reversion In Continuous-Time Levy Processes, Yong Bao, Aman Ullah, Yun Wang, Jun Yu

Research Collection School Of Economics

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.

How Does The Stock Market Value The Renewable Energy Sector: A Public Announcement Analysis And Test Of The Efficient Market Hypothesis, Jack Crampton

Journal of Environmental and Resource Economics at Colby

This study analyzes the market reaction to public announcements in the stock market. The efficient market hypothesis is put to test and similar studies are reexamined in the context of the renewable energy sector. Through fixed effects models, we can assess the validity to the efficient market hypothesis and assess how the market values the clean energy sector.

The Zen Of Charity Giving In China: An Understanding Of The Chinese Philanthropic Sector And Recommendations On Moving Towards Sustainability, Li Zheng

Capstone Collection

China has shifted from a centrally planned to a market based economy in 1978. Since then, the country has experienced rapid economic growth and social development. With a more liberal economic environment, the voice of civil society becomes stronger, which incentives the emergence of philanthropy and charitable giving. As a result, the government has begun to encourage private donation and development of foundations, while watching carefully and constraining its activities. By analyzing both qualitative and quantitative data, this paper explores and evaluates the effectiveness of this emerging sector. The paper further advocates for improving current charity law and developing a …

Rhode Island Current Conditions Index -- August 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

An Analysis Of Airline Quality Rating Components Using Bayesian Methods, John H. Mott, Branden K. Avery

International Journal of Aviation, Aeronautics, and Aerospace

The Airline Quality Rating, a unique metric that is of interval scale and is comparable across carriers and time periods, is a quantitative evaluation of the quality of U.S. domestic air carriers based on data that is collected and published by the U.S. Bureau of Transportation Statistics. One may gain insight into the relationship of the AQR metric to the carriers to which it is applied by grouping those carriers and examining the effects of the resulting groupings on the four individual factors that comprise the AQR. This study used Bayesian hierarchical modeling techniques to examine the differences between three …

Rhode Island Current Conditions Index -- July 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Art Arbitrage - Violations Of The Law Of One Price Created By Fine Art Auctions, Amy Liu

Undergraduate Economic Review

Although fine art is becoming increasingly popular as investment, its price determination is relatively opaque. This paper expands upon the work of Pesando (1993) and Pesando and Shum (2007) concerning the law of one price in the art auction industry. By examining the sale history of silkscreen prints from Andy Warhol’s 1970 series Flowers, this paper controls for the physical characteristics of particular artwork and seeks to determine the likelihood of sale and price differentials created by specific auction environments. This paper further examines the extent to which auction houses take into account these auction environments when setting presale …

A Royal Problem: Planning Induced Supply Constraints In London, Elizabeth P. Armstrong

Lawrence University Honors Projects

We explore the impact of regulatory supply constraints on house price levels following boom and bust periods in London. We hypothesize that when regulatory restrictiveness increases during a boom period, house prices will be higher in the following year compared to house prices in less restricted areas. We also hypothesize that when regulatory restrictiveness increases during a bust period, house prices will be lower in the following year compared to house prices in less restricted areas. We empirically test our hypothesis using a multilevel mixed-effects model with a panel data set of 32 boroughs of London, ranging from 2001 to …

Rhode Island Current Conditions Index -- June 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Memorial To Edmond Malinvaud, Peter C. B. Phillips

Research Collection School Of Economics

A great man, a wide-ranging thinker and writer, a pre-eminent researcher, andan inspiring educator passed away on 7 March 2015, leaving the world of economicsso much the poorer and narrower. Edmond Malinvaud was a giant amongmany giants in the subject and one who strode uniquely and comfortably acrossthe entire discipline like an academic colossus

Halbert White Jr. Memorial Jfec Lecture: Pitfalls And Possibilities In Predictive Regression, Peter C. B. Phillips

Research Collection School Of Economics

Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent contributions to this subject, focusing on the main pitfalls in conducting predictive regression and on some of the possibilities offered by modern econometric methods. The latter options include indirect inference and techniques of endogenous instrumentation that use convenient temporal transforms of persistent regressors. Some additional suggestions are made for bias elimination, quantile crossing amelioration, and control of predictive model misspecification.

Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips

Research Collection School Of Economics

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that …

Public Goods With Punishment & Payment For Relative Rank, Terence C. Burnham

ESI Working Papers

A laboratory experiment designed to investigate the role of relative performance-based payoffs on cooperation in the context of punishment. Subjects play a repeated public goods game with high-powered punishment (50:1) and additional payoffs based on relative performance. Contributions to the public good are nearly maximal. Punishment levels are substantial, higher than the same game without relative rank payoffs, and sufficiently high that total payoffs are negative. The group would make much more money in the same setting without punishment. This study contributes to investigation of the role of altruism in human cooperation.

Is All Foreign Aid The Same? : An Empirical Comparison Of The Effect Of Multilateral And Bilateral Aid On Growth, Scott B. Jeffrey

Undergraduate Economic Review

Despite decades of research on foreign aid, there is little to no consensus on foreign aid’s effect on growth. While most in the field study recipient country characteristics, such as institutional quality, this paper also breaks down foreign aid by donor characteristics, specifically by bilateral and multilateral donors. Since about 75% of foreign aid is bilateral, my bilateral findings are in line with previous literature that finds high institutional quality key (Burnside and Dollar 2000; 2004), but I find that multilateral aid works best in low-income countries with poor policy environments, due, perhaps, to lacking political goals of donor countries.

Shaky Foundations: The Tradeoff Between Structural Safety And Financial Security, Grace Daly

Undergraduate Honors Theses

This paper investigates the relationship between the financial positions of a subcontractor and their performance on the construction site. Financial default by a subcontractor can cost general contractors additional time and expense, as they try to find replacements and keep the projects on schedule. This highlights the importance of vetting subcontractors before awarding a bid. This study attempts to bridge the gap between the subjective nature of construction quality and the more technical financial analysis in determining the overall quality of subcontractors. Safety measures are also incorporated into performance ratings. Data is collected for the years 2009 through 2014 from …

Gender Bias In Microlending: Do Opposites Attract?, Kanyinsola Adepoju

Master's Theses

This study exploits a quasi-random assignment of clients to loan officers using a unique database and survey from a large microfinance bank in Nigeria to show that opposite-sex preferences affect credit demand and supply. We find that clients matched to loan officers of the opposite gender are more likely to receive credit and are more likely to return for an additional loan with the credit lender.

The Impact Of Foreign Direct Investment On Labor Market Measures: Evidence From Sub-Saharan Africa, David A. Mayom

Master's Theses

There is scant literature examining the relationship between foreign direct investment (FDI) and labor market measures in Sub-Saharan African (SSA) countries. This paper explores the effect of FDI on the labor market measures using panel data of 48 Sub-Saharan African Countries from 1991 to 2009. The result indicates that FDI has a positive and significant effect on employment implying that an increase in the inflow of FDI is associated with higher employment. Thus, Sub-Saharan African governments should strongly consider poverty alleviation and employment policies that encourage and direct FDI to the industries where it can significantly reduce unemployment.

The Impact Of Offcial Development Assistance On Foreign Direct Investment: Evidence From Vietnam, Hang Pham

Master's Theses

The relationship between Foreign Direct Investment (FDI) and Official Development Assistance (ODA) has not been fully established, nor has its directionality, as evidenced the disagreement among economists. Using existing literature as starting point, I extend its base by examining key causal variables for ODA and FDI within 64 Vietnamese provinces, covering the span from 1998 to 2012. With the most extensive and newest dataset available, I find that ODA attracts more FDI inflows in intermediate term (5year average) and long term (all year average), but not in the short-term. An important policy implication of these results for developing countries, and …

The Curious Case Of Greece: The Impact Of Fiscal Policy Shocks On Key Macroeconomic Variables. A Var Based Approach., Manny Kaliontzakis

Master's Theses

For years, the Vector Autoregressive approach has been the main tool for monetary economics and macroeconomic researchers around the world. Leading central banking figures, academics, and modern economic think tanks have used the approach to determine the effects of interest rate shocks on basic macroeconomic variables such as GDP, industrial production and unemployment rate. Shocking policy variables, such as interest rates or long term bond rates have given economists the ability to run reliable forecasts. The last 20 years have seen a turn in the use of the VAR approach on fiscal policy as well. Even though, in general, previous …

Privatization & Fdi: Examining Growth In Vietnam's Provinces, William T. Clark

Master's Theses

Over the past three decades many developing countries have looked toward privatizing investment markets and relying more on Foreign Direct Investment (FDI) to supply needed capital investment for their emerging private sectors. In their pursuit of foreign capital, developing countries have enacted several changes in economic policy and regulation in hopes of transforming formerly rural and undeveloped countries into highly urbanized centers of global production. This is particularly true for a transitioning economy such as Vietnam, which has seen increasing privatization of industry and investment since the reforms of 1986 known as “Doi Moi.” In this study I …

The Impact Of Migration And Remittances On Children's Education In El Salvador, Philip H. Jakob

Master's Theses

The effect that migrant remittances have on school enrollment is a challenging relationship to empirically define, requiring both an analysis of the circumstances that lead a household member to emigrate from their home and equally, but not always independently, how the family makes investment decisions in the education of one or more of their children. This study presents a new strategy to determine the nature of this relationship for households in El Salvador, using a 2SLS estimation with a wealth-stratified panel constructed from household survey data over a nine-year period. Employing this methodology to estimate the combined effects of both …

Consumption Smoothing And Labor Supply Allocation Decisions: Evidence From Tanzania, Dustin Davis

Master's Theses

This paper tests the hypothesis that agricultural households engage in intermittent wage labor as a way to smooth consumption in the face of idiosyncratic shocks to agricultural income. Using data on agricultural households from the Tanzanian LSMS-ISA National Panel Survey and global commodity price data as a source of plausibly exogenous variation, the sensitivity of wage labor to farm income shocks is estimated. The idiosyncratic shock to post-harvest income is estimated by incorporating pre-harvest information, including local farm-gate prices as instrumented by global commodity prices. The results show that households are more likely to select into wage labor and work …

A Test Of The Household Separation Hypothesis In Rwanda, James E. Anderson

Master's Theses

How does a farm household in rural Africa react when the government decides crop selection? In developing countries, agricultural households strive to optimize a risk mitigating utility function rather than a traditional agricultural production function. These households are termed “non-separated” as their farming efforts are directed towards family food security rather than maximizing agricultural profits. The lack of integration with labor and commodity markets makes these non-separated households difficult to influence with policy initiatives. Various tests for household separation have been developed.

We use a unique dataset from Rwanda to evaluate these separation tests. The data include households forced into …

Rhode Island Current Conditions Index -- May 2015, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Do Footprint-Based Cafe Standards Make Car Models Bigger?, Brianna Marie Jean

Economics

Corporate Average Fuel Economy (CAFE) standards have historically been set equal across all manufacturer fleets of the same type. Concerns about varying costs across firms and safety implications of standards that are set homogeneously across firms and models resulted in a policy shift towards footprint-based standards. Under this type of standard, individual car models face targets based on the size of the area between the wheelbase and wheel track, so that larger models face less stringent standards, and manufacturers who make, on average, larger cars will face a lighter fleet standard. Theoretical models have shown that this type of policy …