Econometrics Commons^™

International Knowledge Flows And Technological Advance: The Role Of International Migration, Kacey N. Douglas

College of Business: Dissertations, Theses, and Student Research

Immigration is a major aspect of globalization. As the world becomes increasingly integrated, it becomes important to learn more about the effects of immigration on global economic growth. According to Robert Solow’s long run growth model, technological advance is the only form of economic growth sustainable in the long run. Those who contribute to technological advance – highly skilled labor – however, increasingly emigrate from lesser developed to more developed countries in a process known as brain drain. This process has been shown to lead to a permanent increase in income and growth in the host country relative to the …

Optimal Estimation Under Nonstandard Conditions, Werner Ploberger, Peter C. B. Phillips

Research Collection School Of Economics

We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The classical Hajek-Le Cam optimality theory is adapted to cover this situation. We show that the expectation of certain monotone "bowl-shaped" functions of the squared estimation error are minimized by the ML estimator in locally asymptotically quadratic situations, which often occur in nonstationary time series analysis when the LAN property fails. Moreover, we demonstrate a direct connection between …

Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin

Research Collection School Of Economics

This study uses a newly developed bubble detection method (Phillips, Shi and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, the method finds a …

Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Liudas Giraitis, Peter C. B. Phillips

Research Collection School Of Economics

We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases which vary with the sample size. The rate of consistency and the validity of the normal asymptotic approximation for the corresponding estimators is determined both by the sample size n and a parameter measuring the proximity of the model to the unit root boundary. (C) 2012 Elsevier B.V. All rights reserved.

Robust Deviance Information Criterion For Latent Variable Models, Yong Li, Tao Zeng, Jun Yu

Research Collection School Of Economics

It is shown in this paper that the data augmentation technique undermines the theoretical underpinnings of the deviance information criterion (DIC), a widely used information criterion for Bayesian model comparison, although it facilitates parameter estimation for latent variable models via Markov chain Monte Carlo (MCMC) simulation. Data augmentation makes the likelihood function non-regular and hence invalidates the standard asymptotic arguments. A new information criterion, robust DIC (RDIC), is proposed for Bayesian comparison of latent variable models. RDIC is shown to be a good approximation to DIC without data augmentation. While the later quantity is difficult to compute, the expectation { …

Recent Advances In Nonstationary Time Series: A Festschrift In Honor Of Peter C. B. Phillips, Robert S. Mariano, Zhijie Xiao, Jun Yu

Research Collection School Of Economics

On July 14–15, 2008, the School of Economics and the Sim Kee Boon Institute for Financial Economics at Singapore Management University (SMU) co-hosted a conference honoring the contribution of Peter Phillips to econometrics and statistics, in celebration of his 60th birthday. In total, 51 papers were presented by his colleagues and former students, who deeply appreciate and respect Peter as a true scholar and a good friend. These papers mainly cover two areas of Peter’s current research interests—nonstationary time series analysis, and panel, nonlinear and nonparametric models. On the basis of this conference, we have taken the opportunity to edit …

Making The Case For Public Health: Estimating Roi And Value, Glen P. Mays

Health Management and Policy Presentations

This presentation describes recent progress and new directions for estimating the value of public health strategies and infrastructure.

Rhode Island Current Conditions Index — July 2012, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Statistical Tests For Multiple Forecast Comparison, Roberto Mariano, Daniel P. A. Preve

Research Collection School Of Economics

We consider a multivariate version of the Diebold–Mariano test for equal predictive ability of three or more forecasting models. The Wald-type test, S, which has a null distribution that is asymptotically chi-squared, is shown to be generally invariant with respect to the ordering of the models being compared. Finite-sample corrections for the test are also developed. Monte Carlo simulations indicate that S has reasonable size properties in large samples but tends to be oversized in moderate samples. The finite-sample correction succeeds in correcting for size, but only partially. For the size-adjusted tests, power increases with sample size, as expected. It …

Sieve Estimation Of Panel Data Models With Cross Section Dependence, Liangjun Su, Sainan Jin

Research Collection School Of Economics

In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence, where the individual-specific regressors enter the model nonparametrically whereas the common factors enter the model linearly. We consider both heterogeneous and homogeneous regression relationships when both the time and cross-section dimensions are large. We propose sieve estimators for the nonparametric regression functions by extending Pesaran’s (2006) common correlated effect (CCE) estimator to our semiparametric framework. Asymptotic normal distributions for the proposed estimators are derived and asymptotic variance estimators are provided. Monte Carlo simulations indicate that our estimators perform well in finite samples.

Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu

Research Collection School Of Economics

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process with a known long run mean when discretely sampled data are available. The first expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression does not work satisfactorily when the …

Quantifying The Value Of Public Health Investments, Glen P. Mays

Health Management and Policy Presentations

This session reviews recent findings from a series of studies that estimate the health and economic effects attributable to investments in public health services and delivery systems.

Developing Service Delivery Measures For Studies Of Practice Variation: The Mprove Study, Glen P. Mays

Health Management and Policy Presentations

OBJECTIVES: A growing body of evidence indicates that the delivery of public health activities varies widely across states and communities, creating missed opportunities for prevention as well as inequities in health protection. Consequently, HHS recently used a consensus-based process to develop a framework for improving quality in public health and to identify a set of nine priority areas for improvement. As next steps in operationalizing this framework, measures of quality in public health are needed to guide public health improvement initiatives and to support research on the comparative effectiveness of alternative public health strategies. This presentation profiles the methodology developed …

Scale And Scope Effects In Public Health Delivery: Estimating Gains From Regionalization, Glen P. Mays

Health Management and Policy Presentations

OBJECTIVES: Current approaches to health system reform under the Affordable Care Act include efforts to enhance the delivery of public health services that promote health and prevent disease and injury on a population-wide basis. The nation’s public health delivery system comprises nearly 3000 local public health agencies that vary widely in size, resources, and capabilities. Economic pressures, workforce shortages, and new national accreditation standards are leading these agencies to explore mechanisms for pooling resources and expertise across local jurisdictions to enhance delivery and improve population health. This analysis uses longitudinal observations on a national sample of local public health agencies …

Funding Public Health: A New Iom Report On Investing In A Healthier Future, George Isham, Robert Kaplan, Glen P. Mays

Health Management and Policy Presentations

A new Institute of Medicine report recommends establishing a national target for life expectancy and implementing new mechanisms for financing public health strategies to acheive this target.

Expanding The Evidence Base For Accreditation And Qi: Progress In Practice-Based Research Networks, Glen P. Mays

Health Management and Policy Presentations

Studies that examine the implementation and impact of quality improvement strategies in public health are underway through the Public Health Practice-Based Research Networks.

Estimating Medical Cost Offsets Attributable To Public Health Spending, Glen P. Mays

Health Management and Policy Presentations

BACKGROUND: Policy strategies for reforming the U.S. health care system to control costs and improve health outcomes include the possibility of expanded support for public health activities that are designed to prevent disease and promote health on a population-wide basis. These activities include efforts to monitor and report on community health status, investigate and control disease outbreaks, educate the public about health risks and prevention strategies, develop and enforce laws and regulations to protect health, and inspect and assure the safety and quality of water, food, air and other resources necessary for health. The Patient Protection and Affordable Care Act …

Rhode Island Current Conditions Index — June 2012, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Nonlinear Cointegrating Regression Under Weak Identification, Xiaoxia Shi, Peter C. B. Phillips

Research Collection School Of Economics

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In that case, standard nonlinear cointegrating limit theory does not provide good approximations to the finite-sample distributions of nonlinear least squares estimators, resulting in potentially misleading inference. A new local limit theory is developed that approximates the finite-sample distributions of the estimators uniformly well irrespective of the strength of the identification. An important technical component of …

Dynamic Misspecification In Nonparametric Cointegrating Regression, Ioannis Kasparis, Peter C. B. Phillips

Research Collection School Of Economics

Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya-Watson (NW) estimator for cointegrating regression under misspecified lag structure are derived, showing the NW estimator to be inconsistent, in general, with a "pseudo-true function" limit that is a local average of the true regression function. In this respect nonlinear cointegrating regression differs importantly from conventional linear cointegration which is invariant to time translation. When centred on the pseudo-true function and appropriately scaled, the NW estimator still has a mixed …

The Science Of Public Health Practice: Using Pbrns For Delivery System Research In Public Health Settings, Glen P. Mays

Health Management and Policy Presentations

PBRN research tests strategies for improving the delivery of services that promote health and prevent disease and injury on a population-wide basis.

Rhode Island Current Conditions Index — May 2012, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Does School Quality Affect Real Estate Prices? The Effect Of Top-Tier Elementary Schools On Property Prices In Shanghai, Wanyi Li

Economics Honors Projects

This study adapted the hedonic pricing model and inspected how varying elementary school quality affects property prices in Shanghai. Because the variation of school quality appeared before the capitalization of the housing market, the obtained results suggest a causal relationship. The data set comprises top-tier elementary school information from eWOM, the yearly school attendance zones published by the government, and the Shanghai Existing Property Index, which has a sample of similarly structured apartments. Main results show that prices on average increase 41.9% more in the top-tier school districts under the standardized housing system, and range from 15.5% to 69.7% among …

The Country-Specific Nature Of Apparel Elasticities And Impacts Of The Multi-Fibre Arrangement, Lauren A. Martinez

Economics Honors Projects

Beginning with Krugman and Helpman’s theory of demand for differentiated products, this paper estimates 104 direct price elasticities of demand for apparel in the United States. While the literature has established that apparel elasticities vary by category and across countries, I examine how price elasticities of demand for apparel vary by country, regions, product characteristics, and after the end of the Multi-Fibre Arrangement. Results suggest that the country has the greatest single explanatory power in predicting price elasticities, and additionally, the “race to the bottom” hypothesis in the apparel industry is supported through increasing elasticity of 3.4% from the mean …

Measuring Spillover Effects Of Residential Amenity Improvements Using Spatial Hedonic Approach, Shruti Bishan Tandon

UNLV Theses, Dissertations, Professional Papers, and Capstones

The purpose of this dissertation is to develop a methodology for the estimation of the appropriate welfare benefits in the presence of spillover externalities. The ability to capture influences of the not so easily observed variables allow spatial lag models to measure the direct and indirect spillover effects. The direct effect measures the value of the property in question and the indirect captures the influences of neighboring properties, through a spatial multiplier effect.

Kim et al. (2003) through a path breaking approach estimated welfare benefits of air quality improvement. Their methodology captured spillover effects of amenity changes that lump both …

Investing In A Healthier Future: Iom Dissemination Workshop, Glen P. Mays

Health Management and Policy Presentations

This session discusses strategies for implementing new financing strategies and funding mechanisms for public health services.

The Impacts Of The Fukushima Daiichi Nuclear Disaster On Electricity Consumption: An Examination Of Tepco's Daily Load Curve, Kristina B. Stanford

Scripps Senior Theses

This paper analyzes the effects of the Fukushima Daiichi nuclear disaster on Tokyo Electric Power Company’s (TEPCO) electricity load using alternative event study methodology. The data set includes TEPCO’s published hourly loads from January 1, 2008 to December 31, 2011. Four time series regressions are used to analyze the disaster’s effect on TEPCO’s load curve at an hourly and aggregate level. By examining the hourly impacts of the disaster, this paper provides commentary on the effects of the disaster on the daily load curve, finding transition periods to be the time of day that is most targeted for decreases in …

School Choice And Voucher Systems: A Comparison Of The Drivers Of Educational Achievement And Of Private School Choice, Courtney Sibert

Scripps Senior Theses

Despite promotion by well-known economists and supporting economic theory, econometric analyses of voucher systems often find that they have been unsuccessful in improving traditional measures of educational success. This paper examines a possible explanation of this phenomenon by comparing the drivers of educational achievement and of school popularity by examining private school choice. The findings of this paper indicate that there is a disconnect between school success and school popularity, which adversely effects both the demand and supply-side benefits of voucher systems. Additionally, this paper reviews matching mechanisms that seek to efficiently match students with schools based on both student …

Patterns Of Interaction In Public Health Research Networks: Insight From Network Analysis, Glen P. Mays

Health Management and Policy Presentations

OBJECTIVES: Studies from the past three decades have found evidence of wide variation in public health practices and policies across states and communities despite an expanding evidence base of efficacious public health strategies, suggesting gaps in implementation and translation processes. Practice-based research networks (PBRNs) are expected to accelerate research participation and translation. This study uses social network analysis methods with twelve Public Health PBRNs to study processes influencing the implementation and translation of research within diverse public health settings.

DATA and METHODS: A cross-sectional network analysis survey was validated and fielded with participants in two cohorts of public health PBRNs …

Using State And Local Health Survey Data To Advance Phssr, Glen P. Mays

Health Management and Policy Presentations

State and local health survey data can be used to evaluate the implementation and impact of public health delivery innovations in real-world practice settings.