Open Access. Powered by Scholars. Published by Universities.®

Econometrics Commons™

Open Access. Powered by Scholars. Published by Universities.®

Discipline
Institution
Keyword
Publication Year
Publication
Publication Type
File Type

Articles 2431 - 2460 of 2834

Full-Text Articles in Econometrics

A Nonparametric Hellinger Metric Test For Conditional Independence, Liangjun Su, Halbert White Aug 2008

A Nonparametric Hellinger Metric Test For Conditional Independence, Liangjun Su, Halbert White

Research Collection School Of Economics

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f(y|x,z) and f(y|x), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and establish asymptotic normality under β-mixing conditions. We show that the test is consistent and has power against alternatives at distance n−1/2h−d/4. The cases for which not all random variables of interest are continuously valued or observable are also discussed. Monte Carlo simulation results indicate that the test behaves reasonably well in …

Go to article

On The Evaluation Of The Joint Distribution Of Order Statistics, Koon Shing Kwong, Yiu Man Chan Aug 2008

On The Evaluation Of The Joint Distribution Of Order Statistics, Koon Shing Kwong, Yiu Man Chan

Research Collection School Of Economics

Dunnett and Tamhane [Dunnett, C.W., Tamhane, A.C., 1992. A step-up multiple test procedure. J. Amer. Statist. Assoc. 87, 162-170.] proposed a step-up procedure for comparing k treatments with a control and showed that the step-up procedure is more powerful than its counterpart single step and step-down procedures. Since then, several modified step-up procedures have been suggested to deal with different testing environments. In order to establish those step-up procedures, it is necessary to derive approaches for evaluating the joint distribution of the order statistics. In some cases, experimenters may have difficulty in applying those step-up procedures in multiple hypothesis testing …

Go to article

Limit Theory For Explosively Cointegrated Systems, Peter C. B. Phillips, Tassos Magdalinos Aug 2008

Limit Theory For Explosively Cointegrated Systems, Peter C. B. Phillips, Tassos Magdalinos

Research Collection School Of Economics

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the autoregressive matrix Θ are distinct, the centered least squares estimator has an exponential Θn rate of convergence and a mixed normal limit distribution. No central limit theory is applicable here, and Gaussian innovations are assumed. On the other hand, when some regressors exhibit common explosive behavior, a different mixed normal limiting distribution is derived with rate of convergence …

Go to article

Regression Asymptotics Using Martingale Convergence Methods, Rustam Ibragimov, Peter C. B. Phillips Aug 2008

Regression Asymptotics Using Martingale Convergence Methods, Rustam Ibragimov, Peter C. B. Phillips

Research Collection School Of Economics

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and conceptually simple method for obtaining such forms of convergence. The method relies on the fact that the econometric quantities of interest involve discrete time martingales or semimartingales and shows how in the limit these quantities become continuous martingales and semimartingales. The limit theory itself uses very general convergence results for semimartingales …

Go to article

Rhode Island Current Conditions Index — July 2008, Leonard Lardaro Jul 2008

Rhode Island Current Conditions Index — July 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Nonparametric Prewhitening Estimators For Conditional Quantiles, Liangjun Su, Aman Ullah Jul 2008

Nonparametric Prewhitening Estimators For Conditional Quantiles, Liangjun Su, Aman Ullah

Research Collection School Of Economics

We define a nonparametric prewhitening method for estimating conditional quantiles based on local linear quantile regression. We characterize the bias, variance and asymptotic normality of the proposed estimator. Under weak conditions our estimator can achieve bias reduction and have the same variance as the local linear quantile estimators. A small set of Monte Carlo simulations is carried out to illustrate the performance of our estimators. An application to US gross domestic product data demonstrates the usefulness of our methodology.

Go to article

A Semiparametric Stochastic Volatility Model, Jun Yu Jul 2008

A Semiparametric Stochastic Volatility Model, Jun Yu

Research Collection School Of Economics

This paper examines how volatility responds to return news in the context of stochastic volatility (SV) using a nonparametric method. The correlation structure in the classical leverage SV model is generalized based on a linear spline. In the new model the correlation between the return innovation and volatility innovation is dependent on the type of news arrived to the market. Theoretical properties of the proposed model are examined. A simulation-based maximum likelihood method is developed to estimate the new model. Simulations show that the estimation method provides reliable parameter estimates. The new model is fitted to daily and weekly data …

Go to article

Rhode Island Current Conditions Index — June 2008, Leonard Lardaro Jun 2008

Rhode Island Current Conditions Index — June 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

The Impact Of Honor Codes On Academic Cheating Within Liberal Arts Colleges, Heather M. O'Neill, Christian A. Pfeiffer Jun 2008

The Impact Of Honor Codes On Academic Cheating Within Liberal Arts Colleges, Heather M. O'Neill, Christian A. Pfeiffer

Business and Economics Faculty Publications

Many researchers study the subject of collegiate cheating by focusing on demographic characteristics of cheaters at schools of varying sizes. Other researchers examine whether collegiate honor codes can abate rampant cheating. A third group studies whether perceptions of what students believe to be cheating behaviors affects actual cheating. This paper incorporates previous research and develops a model of academic cheating based on three sets of incentives - moral, social and economic – and how they affect self-reported cheating behaviors at liberal arts colleges. An on-line survey was administered to students from three liberal arts colleges in spring 2008. The nearly …

Go to article

Time-Varying Incentives In The Mutual Fund Industry, Jacques Olivier, Anthony S. Tay Jun 2008

Time-Varying Incentives In The Mutual Fund Industry, Jacques Olivier, Anthony S. Tay

Research Collection School Of Economics

This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is not driven by abnormal years. We test two possible channels through which this pattern may arise. We investigate implications of the timevarying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence that poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.

Go to article

Inference For General Parametric Functions In Box-Cox-Type Transformation Models, Zhenlin Yang, Eden Ka-Ho Wu, Anthony F. Desmond Jun 2008

Inference For General Parametric Functions In Box-Cox-Type Transformation Models, Zhenlin Yang, Eden Ka-Ho Wu, Anthony F. Desmond

Research Collection School Of Economics

The authors propose a simple but general method of inference for a parametric function of the Box-Cox-type transformation model. Their approach is built upon the classical normal theory but takes parameter estimation into account. It quickly leads to test statistics and confidence intervals for a linear combination of scaled or unscaled regression coefficients, as well as for the survivor function and marginal effects on the median or other quantile functions of an original response. The authors show through simulations that the finite-sample performance of their method is often superior to the delta method, and that their approach is robust to …

Go to article

Gaussian Inference In Ar(1) Time Series With Or Without A Unit Root, Peter C. B. Phillips, Chirok Han Jun 2008

Gaussian Inference In Ar(1) Time Series With Or Without A Unit Root, Peter C. B. Phillips, Chirok Han

Research Collection School Of Economics

This paper introduces a simple first-difference-based approach to estimation and inference for the AR(1) model. The estimates have virtually no finite-sample bias and are not sensitive to initial conditions, and the approach has the unusual advantage that a Gaussian central limit theory applies and is continuous as the autoregressive coefficient passes through unity with a uniform rate of convergence. En route, a useful central limit theorem (CLT) for sample covariances of linear processes is given, following Phillips and Solo (1992, Annals of Statistics, 20, 971–1001). The approach also has useful extensions to dynamic panels.

Go to article

The Impact Of Being Born With Cleft And Cleft Reparative Surgery On Overall Health And Speech Outcomes, Khatansuudal Evsanaa May 2008

The Impact Of Being Born With Cleft And Cleft Reparative Surgery On Overall Health And Speech Outcomes, Khatansuudal Evsanaa

Master's Theses

Orofacial cleft is one of the most common and treatable birth defects in the world. If left untreated, orofacial cleft can impair normal speech development, growth, and could lead to a number of health consequences later in life. The main motivation of the study is to measure the impact of being born with cleft and the cleft reparative surgery on overall speech and health cleft for teenagers in India using difference-in-differences approach along with household fixed effects method. An overall health outcome was measured using height, weight, grip strength and BMI, and the speech acceptability was measured using a “Universal …

Go to article

Rhode Island Current Conditions Index — May 2008, Leonard Lardaro May 2008

Rhode Island Current Conditions Index — May 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Local Polynomial Estimation Of Nonparametric Simultaneous Equations Models, Liangjun Su, Aman Ullah May 2008

Local Polynomial Estimation Of Nonparametric Simultaneous Equations Models, Liangjun Su, Aman Ullah

Research Collection School Of Economics

We define a new procedure for consistent estimation of nonparametric simultaneous equations models under the conditional mean independence restriction of Newey et al. [1999. Nonparametric estimation of triangular simultaneous equation models. Econometrica 67, 565-603]. It is based upon local polynomial regression and marginal integration techniques. We establish the asymptotic distribution of our estimator under weak data dependence conditions. Simulation evidence suggests that our estimator may significantly outperform the estimators of Pinkse [2000. Nonparametric two-step regression estimation when regressors and errors are dependent. Canadian Journal of Statistics 28, 289-300] and Newey and Powell [2003. Instrumental variable estimation of nonparametric models. Econometrica …

Go to article

New York Camp Econometrics Iii Program, Center For Policy Research Apr 2008

New York Camp Econometrics Iii Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

Go to article

Rhode Island Current Conditions Index — April 2008, Leonard Lardaro Apr 2008

Rhode Island Current Conditions Index — April 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Rhode Island Current Conditions Index — March 2008, Leonard Lardaro Mar 2008

Rhode Island Current Conditions Index — March 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Why Brazil Has Not Grown: A Comparative Analysis Of Brazilian, Indian, And Chinese Economic Management, Fernando Ferrari-Filho, Anthony Petros Spanakos Mar 2008

Why Brazil Has Not Grown: A Comparative Analysis Of Brazilian, Indian, And Chinese Economic Management, Fernando Ferrari-Filho, Anthony Petros Spanakos

Department of Political Science and Law Faculty Scholarship and Creative Works

This paper does not aim to dispute that Brazil would benefit from reforms in any or all of these areas. Rather, the paper offers a skeptical perspective on reform menus and proposes an alternative explanation for the faster growth of Brazil’s peers India and China2. The paper begins by introducing (section 1) the idea of the BRICs countries, to establish the basis for comparisons of most similar cases. It then surveys the results of a generation of Washington Consensus era growth (section 2). Although there is a considerable amount of divergence over what causes growth, it seems that something approaching …

Go to article

Testing Intergroup Concordance In Ranking Experiments With Two Groups Of Judges, Dawn J. Dekle, Leung, Denis H. Y., Min Zhu Mar 2008

Testing Intergroup Concordance In Ranking Experiments With Two Groups Of Judges, Dawn J. Dekle, Leung, Denis H. Y., Min Zhu

Research Collection School Of Economics

Across many areas of psychology, concordance is commonly used to measure the (intragroup) agreement in ranking a number of items by a group of judges. Sometimes, however, the judges come from multiple groups, and in those situations, the interest is to measure the concordance between groups, under the assumption that there is some within-group concordance. In this investigation, existing methods are compared under a variety of scenarios. Permutation theory is used to calculate the error rates and the power of the methods. Missing data situations are also studied. The results indicate that the performance of the methods depend on (a) …

Go to article

Asymptotic Variance And Extensions Of A Denisty-Weighted-Response Semiparametric Estimator, Myoung-Jae Lee, Fali Huang, Young-Sook Kim Mar 2008

Asymptotic Variance And Extensions Of A Denisty-Weighted-Response Semiparametric Estimator, Myoung-Jae Lee, Fali Huang, Young-Sook Kim

Research Collection School Of Economics

Building on some early works, Lewbel (2000) proposed estimators for binary and ordered discrete response models with endogenous regressors. These estimators have been extended for panel data and for truncated and censored models by later papers. The estimators are particularly innovative in that the latent linear regression functions are pulled out of the nonlinear limited dependent variable models, which are then treated as if they were the usual linear models. But understanding the estimators and their applications have been “hampered” by less-than-ideal expositions and assumptions. For this problem, this short note reviews the estimators and makes the following three points. …

Go to article

Testing Structural Change In Time-Series Nonparametric Regression Models, Liangjun Su, Zhijie Xiao Mar 2008

Testing Structural Change In Time-Series Nonparametric Regression Models, Liangjun Su, Zhijie Xiao

Research Collection School Of Economics

We propose a CUSUM type of test for structural change in dynamic nonparametric regression models. It is based upon the cumulative sums of weighted residuals from a single nonparametric regression and complements the conventional parameter instability tests in parametric models. We derive the limiting distributions of the test under both the null hypothesis and sequences of local alternatives. A boot-strap procedure is also proposed and its validity is justified. Finally, simulation experiments are conducted to investigate the finite sample properties of our test.

Go to article

Rhode Island Current Conditions Index — February 2008, Leonard Lardaro Feb 2008

Rhode Island Current Conditions Index — February 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Mapping The Discipline Of The Olympic Games An Author-Cocitation Analysis, Peter Warning, Rosie Ching, Kristine Toohey Feb 2008

Mapping The Discipline Of The Olympic Games An Author-Cocitation Analysis, Peter Warning, Rosie Ching, Kristine Toohey

Research Collection School Of Economics

The authors conducted an author cocitation analysis on prominent authors writing about the Olympics during the 1990s. Author cocitation is an established bibliometric technique that can be used to measure the relative similarities of topics written about by the cited authors. This enables a visual representation of the “intellectual space” of the discipline, in this case the Olympics, to be created for the period under review. So core and peripheral research areas are identified, along with their major contributors. The representation appears as a two-dimensional cluster-enhanced map. Subject expertise was then applied to the results to place labels on the …

Go to article

Optimal Collusion With Internal Contracting, Gea Myoung Lee Feb 2008

Optimal Collusion With Internal Contracting, Gea Myoung Lee

Research Collection School Of Economics

In this paper, we develop a model of collusion in which two firms play an infinitelyrepeated Bertrand game when each firm has a privately-informed agent. The colluding firms, fixing prices, allocate market shares based on the agent’s information as to cost types. We emphasize that the presence of privately-informed agents may provide firms with a strategic opportunity to exploit an interaction between internal contracting and market-sharing arrangement: the contracts with agents may be used to induce firms’ truthful communication in their collusion, and collusive market-share allocation may act to reduce the agents’ information rents.

Go to article

Determinants Of Gasoline Price: Can Consumer Spending Make A Difference?, Jonathan Stachelek Jan 2008

Determinants Of Gasoline Price: Can Consumer Spending Make A Difference?, Jonathan Stachelek

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the determinants to gasoline prices in the United States. The regression contains five different independent variables: the price of imported oil per barrel, the number of barrels of oil imported to the United States, the number of barrels of oil produced domestically in United States, the commodity price of oil, the number of automobiles purchased monthly in the United States, and the dependent variable, Gasoline Price. By using these variables in a linear regression model, the results show that the price of gasoline is primarily driven by the price of imported crude oil, followed shortly thereafter by …

Go to article

Differing Immigrant Wages: Causes For Differences In Immigrants Standards Of Living, Sahana Zutshi Jan 2008

Differing Immigrant Wages: Causes For Differences In Immigrants Standards Of Living, Sahana Zutshi

Empirical Economic Bulletin, An Undergraduate Journal

This paper looks at the relationship between immigration workers and their differing standards of living based on various variables. The variables chosen were gender, place of origin/ethnicity, number of years living in the United States, education level and finally, the age of the immigrants. The model incorporates all these variables and then finds the connection between them and the earning status of the immigrants. The results show that gender and ethnicity often impact the earnings negatively whereas age, number of years living in the US and education level impact immigrant earnings positively.

Go to article

Rhode Island Current Conditions Index — January 2008, Leonard Lardaro Jan 2008

Rhode Island Current Conditions Index — January 2008, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Go to article

Factors Affecting Health Care Spending, Jennifer Resende Jan 2008

Factors Affecting Health Care Spending, Jennifer Resende

Empirical Economic Bulletin, An Undergraduate Journal

With an aging population and an increase in health care spending across many nations, there is a need to determine what is affecting this increase and whether this trend can be expected to continue into the future. This paper aims to investigate the possible differences in health care expenditures in different countries. The study incorporates the use and analysis of several independent variables that are believed to affect health care spending in an array of countries including life expectancies, the increase in aging populations, health care spending on private sectors, and the quality of health care as represented by the …

Go to article

The Social And Behavioral Factors That Affect Obesity In Oecd Countries, Sanjana Desai Jan 2008

The Social And Behavioral Factors That Affect Obesity In Oecd Countries, Sanjana Desai

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the factors that affect obesity in the population of the member countries of the Organization of Economic Co-operation and Development (OECD). This study incorporates existing information of the most likely variables that would influence obesity in these member countries for a decade (1990-2000). The study looks at contributing factors that are both innate and acquired, such as Alcohol Consumption, Low-birth weight, sugar consumption, smoking (consumption of tobacco), and protein intake and public and private expenditure on education. Using macro-level data from various sources, the results generally suggest that factors like alcohol consumption, low-birth weight and sugar consumption …

Go to article

First Prev Next Last