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Full-Text Articles in Econometrics

Rhode Island Current Conditions Index — July 2009, Leonard Lardaro Jul 2009

Rhode Island Current Conditions Index — July 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Are Credit Unions In Ecuador Achieving Economies Of Scale?, Nick A. Marchio Jul 2009

Are Credit Unions In Ecuador Achieving Economies Of Scale?, Nick A. Marchio

Economics Honors Projects

This study tests the assertion that membership growth in credit unions is constrained by their unique structural features, such as their non-profit mission and member-based ownership. Although these features enhance inclusiveness, existing theory suggest that they work against efficiency when membership grows too diffuse. To address this issue, this study uses a model that takes into account existing theory on constrained-optimization in credit unions and theory on the adverse effects of diffuse ownership. Using data on 36 public credit unions in Ecuador, the empirical analysis finds evidence that credit unions can achieve economies of scale despite their problematic structural features. …

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Efficient Parameter Estimation In Longitudinal Data Analysis Using A Hybrid Gee Method, Denis H. Y. Leung, You Gan Wang, Min Zhu Jul 2009

Efficient Parameter Estimation In Longitudinal Data Analysis Using A Hybrid Gee Method, Denis H. Y. Leung, You Gan Wang, Min Zhu

Research Collection School Of Economics

The method of generalized estimating equations (GEEs) provides consistent estimates of the regression parameters in a marginal regression model for longitudinal data, even when the working correlation model is misspecified (Liang and Zeger, 1986). However, the efficiency of a GEE estimate can be seriously affected by the choice of the working correlation model. This study addresses this problem by proposing a hybrid method that combines multiple GEEs based on different working correlation models, using the empirical likelihood method (Qin and Lawless, 1994). Analyses show that this hybrid method is more efficient than a GEE using a misspecified working correlation model. …

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Opportunities For Comparative Research In Public Health Pbrns : A Baseline Analysis Of Local Practice Settings, Glen P. Mays, Sharla A. Smith, Elaine B. Wootten, Sylvia J. Porchia Jun 2009

Opportunities For Comparative Research In Public Health Pbrns : A Baseline Analysis Of Local Practice Settings, Glen P. Mays, Sharla A. Smith, Elaine B. Wootten, Sylvia J. Porchia

Health Management and Policy Presentations

This analysis describes the organizational and operational characteristics of local public health agencies participating in an initial cohort of five (5) public health PBRNs in the U.S. We examine variation in practice settings within and between PBRNs; compare practice settings to state and national norms; and identify opportunities for comparative research that can be conducted through PBRNs.

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Does Sorting Make A Difference In The Sat’S Prediction Of Course Grades And Cumulative Gpa At Macalester College?, Yuen Ting Liu Jun 2009

Does Sorting Make A Difference In The Sat’S Prediction Of Course Grades And Cumulative Gpa At Macalester College?, Yuen Ting Liu

Economics Honors Projects

This paper estimates the predictive power of the SAT for college success. Most studies use GPA as a proxy for college success, but GPA is subject to differing grading standards across instructors and departments. Using individual course grades of Macalester College students from 1996 to 2005, this paper uses fixed effects to control for students sorting themselves into particular departments and courses. After controlling for sorting by major, a general trend emerges: the Math SAT is more predictive for science and math-related social science majors while the Verbal SAT is more predictive for language majors. After controlling for sorting by …

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Rhode Island Current Conditions Index — June 2009, Leonard Lardaro Jun 2009

Rhode Island Current Conditions Index — June 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Commentary, Dean D. Croushore Jun 2009

Commentary, Dean D. Croushore

Economics Faculty Publications

It is a pleasure to discuss Richard Anderson and Charles Gascon’s (2009) article on their attempt to develop a state-space model to measure potential output growth in the face of data revisions. They use the methodology of Cunningham et al. (2007) applied to real output, to see if they can develop a better measure of potential output than other researchers. Such an approach seems promising, and they develop a unique method to study the data.

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Econometric Theory And Practice, Peter C. B. Phillips Jun 2009

Econometric Theory And Practice, Peter C. B. Phillips

Research Collection School Of Economics

Econometrics has been evolving as a discipline over the last decade in a way that has successfully brought theory and practice much closer together. Many of the developments are associated with laptop computing, the increasing availability of electronic databases, and the convenience of modern econometric software and matrix programming languages. The changes that have occurred affect us at every level as teachers, researchers, practitioners, readers, reviewers, and authors. No journal can stand still in the face of such changes. This editorial speaks to these changes and the way they impact our subject, our authors, and our readership.

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Econometric Theory And Practice, Peter C. B. Phillips Jun 2009

Econometric Theory And Practice, Peter C. B. Phillips

Research Collection School Of Economics

Econometrics has been evolving as a discipline over the last decade in a way that has successfully brought theory and practice much closer together. Many of the developments are associated with laptop computing, the increasing availability of electronic databases, and the convenience of modern econometric software and matrix programming languages. The changes that have occurred affect us at every level as teachers, researchers, practitioners, readers, reviewers, and authors. No journal can stand still in the face of such changes. This editorial speaks to these changes and the way they impact our subject, our authors, and our readership.

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Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin Jun 2009

Discrete Choice Modeling With Nonstationary Panels Applied To Exchange Rate Regime Choice, Sainan Jin

Research Collection School Of Economics

This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and time series (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge [Wooldridge, J.M., 1994. Estimation and Inference for Dependent Processes. In: Engle, R.F., McFadden, D.L. (Eds.). Handbook of Econometrics, vol. 4, North-Holland, Amsterdam] on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models. It is shown that the maximum likelihood (ML) estimator is consistent without an incidental parameters problem …

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A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu Jun 2009

A Two-Stage Realized Volatility Approach To Estimation Of Diffusion Processes With Discrete Data, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in [Jacod, J., 1994. Limit of random measures associated with the increments of a Brownian semiartingal. Working paper, Laboratoire de Probabilities, Universite Pierre et Marie Curie, Paris] and [Barndorff-Nielsen, O., Shephard, N., 2002. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society. Series B, 64, 253-280], to provide a regression model for estimating the parameters …

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Does Unemployment Decrease Cancer Mortality?, Benjamin Torres Galick May 2009

Does Unemployment Decrease Cancer Mortality?, Benjamin Torres Galick

Economics Honors Projects

Recent research indicates that healthier lifestyles during recessions decrease the most common U.S. mortalities, but not cancer. However, they combine specific cancer mortalities with different progressions into one, possibly obscuring cancer’s link to unemployment. This paper estimates a fixed-effects regression model on unemployment and the nine most prevalent cancers between 1988 and 2002 using state-level panel data. Five cancers and total cancer are procyclical, and suggest that unemployment affects both incidence and gestation for some cancers. Consistent with the medical literature, this paper contradicts previous economic research and suggests that behavioral factors significantly impact cancer mortality.

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Rhode Island Current Conditions Index — May 2009, Leonard Lardaro May 2009

Rhode Island Current Conditions Index — May 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su May 2009

Nonparametric Structural Estimation Via Continuous Location Shifts In An Endogenous Regressor, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) cointegrating regression equation is consistent with a limiting (mixed) normal distribution irrespective of the endogeneity in the regressor, near integration as well as integration in the regressor, and serial dependence in the regression equation. The present paper shows that some closely related results apply in the case of structural nonparametric regression with independent data when there are continuous …

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A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C. B. Phillips, Liangjun Su May 2009

A Paradox Of Inconsistent Parametric And Consistent Nonparametric Regression, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears to be a paradox, as knowing the true functional form should not in general be detrimental in regression. In the present case, local regression methods turn out to have a distinct advantage because of endogeneity in the regressor. The paradox arises because additional correct information is not necessarily advantageous when information is incomplete. In the …

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Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka May 2009

Using High-Frequency Transaction Data To Estimate The Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection School Of Economics

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Unlike the Easley, Hvidkjaer, and O'Hara (2002) approach, which uses the aggregate numbers of daily buy and sell orders to estimate PIN, our methodology allows for interactions between consecutive buy-sell orders and accounts for the duration between trades and the volume of trade. We extend the Easley–Hvidkjaer–O'Hara framework by allowing the probabilities of good news and bad news …

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New York Camp Econometrics Iv Program, Center For Policy Research Apr 2009

New York Camp Econometrics Iv Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

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Rhode Island Current Conditions Index — April 2009, Leonard Lardaro Apr 2009

Rhode Island Current Conditions Index — April 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Japanese Players In Major League Baseball: An Econometric Analysis Of Labor Discrimination, Kyle Audet Apr 2009

Japanese Players In Major League Baseball: An Econometric Analysis Of Labor Discrimination, Kyle Audet

Honors Projects in Economics

In recent years, Major League Baseball (MLB) teams have increasingly drawn talent from the international market. This study employs econometric techniques to test the various labor discrimination issues facing Japanese players playing in America’s MLB. There have been remarkably few studies focusing on Japanese players in MLB. Data from the 1995 to 2007 season has been analyzed. High degrees of discriminatory pay scales are found for Japanese pitchers. The findings suggest that Japanese batters do not face such pay discrimination. Positional discrimination has also been the subject of investigation. Japanese players are found to be disproportionally pitchers. Suggestions for future …

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Limit Theory For Dating The Origination And Collapse Of Mildly Explosive Periods In Time Series Data, Jun Yu, Peter C. B. Phillips Apr 2009

Limit Theory For Dating The Origination And Collapse Of Mildly Explosive Periods In Time Series Data, Jun Yu, Peter C. B. Phillips

Research Collection School Of Economics

Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse dates of bubbles involving mildly explosive episodes set within longer periods where the data evolve as a stochastic trend. The dating estimators are shown to be consistent under mild regularity conditions on the process. Some simulation evidence on the performance of the estimators is reported. The proposed method works well in finite samples and …

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Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors, Tassos Magdalinos, Peter C. B. Phillips Apr 2009

Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors, Tassos Magdalinos, Peter C. B. Phillips

Research Collection School Of Economics

An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form rho(ni) = 1 + c(i)/n(alpha), involving moderate deviations from unity when alpha is an element of (0, 1) and c(i) is an element of R are constant parameters. When the data are moderately integrated in the stationary direction (with c(i) < 0), it is shown that least squares regression is consistent and asymptotically normal but suffers from significant bias, related to simultaneous equations bias. In the moderately explosive case (where c(i) > 0) the limit theory is mixed normal with Cauchy-type tail behavior, and the rate of convergence is explosive, as in the case of a moderately explosive scalar autoregression (Phillips and …

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Rhode Island Current Conditions Index — March 2009, Leonard Lardaro Mar 2009

Rhode Island Current Conditions Index — March 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Testing Conditional Uncorrelatedness, Liangjun Su, Aman Ullah Mar 2009

Testing Conditional Uncorrelatedness, Liangjun Su, Aman Ullah

Research Collection School Of Economics

We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges to the standard normal distribution asymptotically. We also study the local power property of the test. Simulation shows that the test behaves quite well in finite samples.

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Rhode Island Current Conditions Index — February 2009, Leonard Lardaro Feb 2009

Rhode Island Current Conditions Index — February 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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The Effect Of Domestic Investment, Economic Growth And Human Development On Foreign Direct Investment Into China, Mike Paolino Jan 2009

The Effect Of Domestic Investment, Economic Growth And Human Development On Foreign Direct Investment Into China, Mike Paolino

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the relationship between foreign direct investment, domestic investment, human development, and economic growth, and uses the ordinary least squared technique, and a time series analysis using data for the period 1977-2007. The analysis seeks to answer the fundamental question of what impact Chinese domestic investment, economic growth, and human development has on foreign direct investment into the country. Research regarding foreign direct investment and its fundamental correlation with economic growth and domestic investment has produced varied results. This paper examines those variables, with the addition of human development variables, where research is partial. This paper seeks to …

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The Effect Of Aid Dependency And Quality Of Institution In Alleviating Poverty In Ida Countries, Mahah Mirza Jan 2009

The Effect Of Aid Dependency And Quality Of Institution In Alleviating Poverty In Ida Countries, Mahah Mirza

Empirical Economic Bulletin, An Undergraduate Journal

Poverty alleviation has been a topic of much discussion ever since the Millennium Development Goals were set by World Bank in the 1990s. This paper examines to what extent aid dependency and quality of institution affect 31 IDA countries in achieving the first of eight MDG. The study provides evidence that although these IDA countries experience a decrease in poverty, it may not be enough to meet MDGs by 2015. Aid dependency increases the poverty level whereas some Quality of Institution indicators such as control of corruption, rule of law and regulatory quality have greater impact in reducing poverty than …

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Rhode Island Current Conditions Index — January 2009, Leonard Lardaro Jan 2009

Rhode Island Current Conditions Index — January 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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The Effect Of Aging Populations On Inflation, Andrew Stone Jan 2009

The Effect Of Aging Populations On Inflation, Andrew Stone

Empirical Economic Bulletin, An Undergraduate Journal

This research uses panel data of 66 high and middle income countries to examine the inflation effects of demographics. The primary objective of this research is to show that consumer prices change based on the amount of retired persons in a nation. The double log model used in this paper also includes interest rates and uses data from 1991-2007 in order to demonstrate the most recent demographic shifts. The results showing inflationary pressure coming from young retirees compliment the Modigliani life-cycle hypothesis that this age group consists of net consumers, while the deflationary pressures provided by the working aged population …

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Effects Of Globalization On Income Inequality In High Income Countries, Craig Bradford Jan 2009

Effects Of Globalization On Income Inequality In High Income Countries, Craig Bradford

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the relationship between technology, trade liberalization, and financial globalization in incomes inequality, focusing on high income countries. We find that technological progress has a smaller effect on income inequality in high income countries than in middle and low income countries. It is also found that increases in the percentage of workers in the services industry decreases Income Inequality by a significant amount. The GINI index is used to measure the level of income inequality, and the Chinn-Ito index is used to measure the level of openness to capital investment.

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The Relationship Between Housing Prices And Macroeconomic Factors In Spain, Garrett Fitzgerald Jan 2009

The Relationship Between Housing Prices And Macroeconomic Factors In Spain, Garrett Fitzgerald

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the effects of certain macroeconomic variables (i.e mortgages, inflation, and employment) on the price of houses in Spain. An error correction vector autoregressive (ECVAR) model is used to model the impact of the macroeconomic variables on real housing prices. Variance decompositions will be analyzed to determine the extent to which these variables have an effect on housing prices in Spain.

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