Econometrics Commons^™

Essays On Machine Learning Methods In Economics, Mani Bayani

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters on machine learning modeling in economics. Chapter 1 - Robust PCA Synthetic Control: In this chapter, I propose an algorithm for comparative studies called robust PCA synthetic control. My algorithm builds on the synthetic control model of Abadie et al., 2015 and the robust synthetic control model of Amjad et al., 2018. I apply all three methods (robust PCA synthetic control, synthetic control, and robust synthetic control) to answer the hypothetical question, what would have been the per capita GDP of West Germany if it had not reunified with East Germany in 1990? I …

Essays On Impacts Of Women Empowerment On The Health Outcomes Of Children, Sagnik Das

Dissertations, Theses, and Capstone Projects

Chapter 1: Taking cognizance of the lack of representation of women in politics, the Indian government in 1993, enacted the 73rd constitutional amendment which led to a sudden increase in the representation of women in the local governments. Exploiting the exogenous variation in the timing of implementation of the 73rd amendment across the states, I study the spillover effects of this mandated empowerment of women on the health outcomes of children by using nationally representative survey data and employing a difference-in-difference estimation strategy. In this study, I find evidence of a positive impact of mandated women empowerment on the survival …

Essays On Futures Market And Machine Learning, Jonathan J. Lopez Camara

Dissertations, Theses, and Capstone Projects

Chapter 1 - Big Data And Machine Learning To Predict Overnight Interest Rates. This paper is a brief introduction to the two main pieces I have elaborated as part of the dissertation. Here, I explain the reasons why I have done my research about predicting the overnight interest rates for Mexico and the United States using big data and machine learning models. I explain the connection between the two research papers, I define some basic concepts such as future contracts and the overnight funding rate for Mexico. There is a summary about the data I use, and the machine learning …

United We Stand: On The Benefits Of Coordinated Punishment, Vicente Calabuig, Natalia Jiménez, Gonzalo Olcina, Ismael Rodriguez-Lara

ESI Working Papers

Coordinated punishment occurs when punishment decisions are complements; i.e., this punishment device requires a specific number of punishers to be effective; otherwise, no damage will be inflicted on the target. While societies often rely on this punishment device, its benefits are unclear compared with uncoordinated punishment, where punishment decisions are substitutes. We argue that coordinated punishment can prevent the free-riding of punishers and show, both theoretically and experimentally, that this may be beneficial for cooperation in a team investment game, compared with uncoordinated punishment.

Historical Political Economy: What Is It?, Jeffrey Jenkins, Jared Rubin

ESI Working Papers

In this chapter, we define what historical political economy (HPE) is and is not, classify the major themes in the literature, assess the relative strengths and weaknesses of the literature, and point to future directions. We view HPE as social scientific inquiry which highlights political causes or consequences of historical issues. HPE is different from conventional political economy in the emphasis placed on historical processes and context. While we view HPE in the most inclusive manner reasonable, we define it to exclude works that are either solely of contemporary importance or use historical data without any historical context (e.g., long-run …

“High Spending, Poor Productivity Gains!” Assessing Public Health System (In)Efficiency And Hospital Performance In The State Of Kuwait: Would More Private Delivery Improve Healthcare?, Aljawhara Alsabah

NYMC Student Theses and Dissertations

The healthcare sector in the State of Kuwait has been nurtured for many decades by the government, where the majority of health services in the country are controlled by the Ministry of Health (MoH). Although healthcare services in public sector hospitals are at highly subsidized rates, causing private sector involvement in healthcare to be considerably low, the growing demands for private delivery of care burgeoned participation of private hospitals in Kuwait, and improving hospital efficiency and productivity is more critical and timelier than ever. This dissertation aims to analyze public health system efficiency and hospital performance in the State of …

Nobel And Novice: Author Prominence Affects Peer Review, Jürgen Huber, Sabiou M. Inoua, Rudolf Kerschbamer, Christian König-Kersting, Stefan Palan, Vernon L. Smith

ESI Working Papers

Peer-review is a well-established cornerstone of the scientific process, yet it is not immune to status bias. Merton identified the problem as one in which prominent researchers get disproportionately great credit for their contribution while relatively unknown researchers get disproportionately little credit.¹ We measure the extent of this effect in the peer-review process through a pre-registered field experiment. We invite more than 3,300 researchers to review a paper jointly written by a prominent author – a Nobel laureate – and by a relatively unknown author – an early-career research associate –, varying whether reviewers see the prominent author’s name, …

Introducing New Forms Of Digital Money: Evidence From The Laboratory, Gabriele Camera

ESI Working Papers

Central banks may soon issue currencies that are entirely digital (CBDCs) and possibly interest-bearing. A strategic analytical framework is used to investigate this innovation in the laboratory, contrasting a traditional “plain” tokens baseline to treatments with “sophisticated” interest-bearing tokens. In the experiment, this theoretically beneficial innovation precluded the emergence of a stable monetary system, reducing trade and welfare. Similar problems emerged when sophisticated tokens complemented or replaced plain tokens. This evidence underscores the advantages of combining theoretical with experimental investigation to provide insights for payments systems innovation and policy design.

The Doors Of Perception: Theory And Evidence Of Frame-Dependent Rationalizability, Gary Charness, Alessandro Sontuoso

ESI Working Papers

We investigate how strategic behavior is affected by the set of notions (frames) used when thinking about the game. In our games, the action set consists of visual objects: each player must privately choose one, trying to match the counterpart’s choice. We propose a model where different player-types are aware of different attributes of the action set (hence, different frames). One of the novelties is an epistemic structure that allows players to think about new frames, after initial unawareness of some attributes. To test the model, our experimental design brings about multiple frames by varying subjects’ awareness of several attributes.

Universal Basic Income And The Alaska Permanent Fund: Impact On Labor Outcomes And Skill Composition, Michele Cafasso

Theses and Dissertations

To analyze the effects of universal basic income on labor supply and human capital, I estimate the effects of Alaska’s Permanent Fund on employment, hours worked, and skills using data from the Current Population Survey and O*NET. My method combines synthetic control and difference-in-differences regressions.

How Federal Pollution Discharge Permits Affect U.S. Water Quality: A Study On Concentrated Animal Feeding Operations, Cloe C. Mueller

Theses and Dissertations

This paper uses difference-in-difference regression models to examine how state-level pollution discharge permits on concentrated animal feeding operations affect U.S. water quality. I ultimately deem the permitting to be ineffective at improving water quality, calling attention to the need to re-evaluate the ``socially optimal level of pollution."

Medicaid Expansion: Changes In Individual Health Outcomes, Julie Norman

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The Affordable Care Act is one of the biggest changes in the American healthcare system in the 21st century. One element of the ACA is medicaid expansion, which opened up federal funding for states to cover any individual earning below 138% of the federal poverty line. 21 states expanded medicaid in 2014 while 12 haven’t expanded. This paper utilizes the disparity for a natural experiment to determine the efficacy of the program. Outcome variables of interest include measurements of individual health, health access and utilization, and premature death rates. The results indicate positive, but small improvements due to the policy, …

Can The Olympics Spur Local Socioeconomic Development? Evidence From Brazil, Alex Matandos

All Theses

Countries pledge ever increasing budgets and commitments to host the Olympics. The region whose bid emerges victorious puts in motion the reallocation of inputs, labor, and capital to build all the promised infrastructure to run the event, while the remaining areas in country remain largely unaffected by the intervention. This quasi-experiment scenario is proper for the usage of the Synthetic Control Method but few papers have exploited it. This paper fills the gap by being the first to offer an analysis at local level for a developing economy on the impact of the Olympics. Using Rio de Janeiro's winning bid …

Crime Reduction And Reformation In South Carolina: An Analysis Of Sb 1154, Matthew Torres

All Theses

This thesis evaluates the policy response to the criminal justice crisis of South Carolina, Senate Bill (SB) 1154, dubbed the Omnibus Crime Reduction and Sentencing Reform Act of 2010. SB 1154 adopted a series of “common sense” reforms, including new charges constituting as violent crimes, redefined sentences in the form of reduced penalties and harsher penalties for nonviolent and violent crimes respectively, mandated supervision of individuals on probation or parole, and credit programs for early release of inmates among other provisions intended to reduce inmate population, recidivism and violent crime rates.

I examine three key factors: inmate, imprisonment and violent …

The Mangrove Walks: An Econometric Analysis Of Climate Migration Drivers From Coastal Bangladesh And Their Geopolitical Impacts, Kendall Scott Byers

Graduate Theses and Dissertations

Coastal Bangladesh is subject to extreme climate change forces upon poor, rural populations. The aim of this thesis is to determine the strength of environmental drivers of migration and discern whether planned or catastrophic migration predominates in the polder areas of Bangladesh. I use regression analysis on a 1,025 household, 2016 IRRI/IWMI analysis of Polder 28/1, 28/2, and 30 within Satkhira district to determine factor correlations with migration. Progressive salinization is the strongest environmental driver, while flooding decreases migration through trapping household capital investment. Religion has the greatest correlation with migration. Hindus migrate less frequently, but do so with more …

The Economic Returns To Bilingualism In The U.S Labor Market, Mara Macdonald

All Theses

This paper uses pooled cross-sectional data from the General Social Survey to analyze the economic returns of bilingualism to adults in the U.S labor market. Bilingualism in the US is defined as English proficient individuals who also report speaking a foreign language “very well” or “well”. Using OLS Least Squares regression estimation where the dependent variable is the logarithm of earnings, I modify the Mincer earnings function to include foreign language skill variables and controls for observed demographic characteristics. Holding all levels of human capital constant, bilinguals earn 7.7% less than English monolinguals in the U.S labor market; however, this …

Efficient Bilateral Trade Via Two-Stage Mechanisms: Comparison Between One-Sided And Two-Sided Asymmetric Information Environments, Takashi Kunimoto, Cuiling Zhang

Research Collection School Of Economics

This paper first considers a bilateral-trade model with one-sided asymmetric information in which one agent (seller) initially owns an indivisible object and is fully informed of its value, while the other agent (buyer) intends to obtain the object whose value is unknown to himself. As no mechanisms can generally result in efficient, voluntary bilateral trades (Jehiel and Pauzner, 2006), we aim to overturn this impossibility result by employing two-stage mechanisms (Mezzetti, 2004) in which first, the outcome (e.g., allocation of the goods) is determined, then the agents observe their own outcome-decision payoffs, and finally, transfers are made. We show that …

Externalities In The Housing Market And Agglomeration Economies, Yifan Wu

Dissertations and Theses Collection (Open Access)

This thesis studies the externalities in the housing market and agglomeration economies. While knowledge-based externalities, or knowledge spillovers are one of the most important micro-foundations of agglomeration economies, the first chapter studies how knowledge spillovers from universities affect local innovation activities. In the second chapter, we propose a high-order spatiotemporal autoregression approach to study the externalities in the housing market. The third chapter studies another important but under explored aspect of the agglomeration economies – the role that marriage market plays in providing incentives to promote urbanization, along with the unique feminization phenomenon during this process.

The first chapter studies …

Do Philippine Stocks Catch Coronavirus? Some Econometric Check-Up On Pandemic Data, 2021-2022, Mark Reniel M. Amarila, Luisito C. Abueg

Journal of Economics, Management and Agricultural Development

Using daily data from March 1, 2021 to March 31, 2022, the USD-PHP exchange rate and pandemic-related variables such as the number of cases, vaccinations, and stringency index in relation to the movements of Philippine Stock Exchange index (PSEi) were investigated. The paper views vaccination as an instrument for reducing economic uncertainty, subsequently providing a positive sentiment for investors and stock market. Ordinary least squares, autoregressive distributed lags, and vector autoregression was used to show some dynamics based on time series data. Particularly, there are indications of reported cases being negatively correlated and statistically significant for PSEi. Further, impulse response …

Spatial Panel Data Models: Unbalanced Panel, Threshold Effect And Network Structure, Xiaoyu Meng

Dissertations and Theses Collection (Open Access)

This thesis studies the estimation and inference problems for spatial panel data models when the panels are unbalanced, when the panels contain threshold effects, or when the panels contain time-varying network structures. These three scenarios divide the thesis naturally into three chapters.

The first chapter considers estimation and inferences for fixed effects spatial panel data models based on unbalanced panels that result from randomly missing spatial units. The unbalanced nature of the panel data renders the standard method of estimation inapplicable. In this chapter, we proposed an M-estimation method where the estimating functions are obtained by adjusting the concentrated quasi …

Bayesian And Machine Learning Methods With Applications In Asset Pricing, Yaohan Chen

Dissertations and Theses Collection (Open Access)

The dissertation consists of three essays on asset pricing by constructing new data set and developing new methodologies. In the first chapter, we conduct empirical studies on the volatility-managed portfolios in the Chinese stock market. Using data from the Chinese stock market, we have found that the main empirical findings in Moreira and Muir (2017) break down. Based on the empirical findings, we exploit a comprehensive set of $99$ equity strategies in the Chinese stock market to analyze the value of managed portfolios. Based on these $99$ equity trading strategies, we find that there exists no systematic gain from scaling …

Essays On Long Memory Time Series And Panel Models, Shuyao Ke

Dissertations and Theses Collection (Open Access)

This dissertation studies different long memory models. The first chapter considers a time series regression model where both the regressors and error term are locally stationary long memory processes with time-varying memory parameters, and the regression coefficients are also allowed to be time-varying. We consider a frequency-domain least squares estimator with kernelized discrete Fourier transform and derive its pointwise asymptotic normality and uniform consistency. A specification test on the constancy of coefficients is provided. The second chapter studies a linear regression panel data model with interactive fixed effects where the regressors, factors and idiosyncratic error terms are all stationary but …

Effectiveness Of Foreign Aid In Poverty Reduction In Africa: The Role Of Fiscal Policy, Iwegbu Onyebuchi, Risikat O. S. Dauda

CBN Journal of Applied Statistics (JAS)

This study examines foreign aid effectiveness in poverty reduction in Africa with focus on the role of regional fiscal policy on education and health. The study employs panel dynamic ordinary least squares (DOLS) estimation technique and covers the period 1980-2017. The results reveal that foreign aid augmented with effective fiscal policy on education significantly improves the income level in all the regions except Central Africa, and consumption in the Western and Central regions. When augmented with effective fiscal policy on health foreign aid enhances households’ income in West and Central Africa and consumption in West and Southern regions. Furthermore, foreign …

Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje

CBN Journal of Applied Statistics (JAS)

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term interest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive distributed lag (NARDL) and threshold regression models are adopted. The study uses monthly data from 2002:M1 to 2019:M12. The results of the threshold regression model indicate that the degree of the effect of MPR on SINT and LINT above the estimated threshold of 11 and 13 percent respectively is greater and significant than if MPR were to …

Social Dimension Of Inclusive Growth In Ecowas: Implication For Poverty Reduction, Toriola K. Anu, Goerge O. Emmanuel, Ajayi O. Felix

CBN Journal of Applied Statistics (JAS)

This study investigates the implication of the social dimension of inclusive growth on poverty reduction in Economic Community of West African States (ECOWAS) countries. It specifically examines how social indices of inclusive growth comprising of income inequality, education, and health outcomes affect poverty reduction. The study uses a panel dataset of the six (6) lower-middle income countries in ECOWAS which was analysed via panel Difference Generalised Method of Moment (D-GMM). The results show that GDP per capita exerts significant negative effect on poverty while inequality, education and health outcomes do not show significant effect on poverty. Although, the estimates of …

Effect Of Fdi Inflows On Employment Generation In Selected Ecowas Countries: Heterogeneous Panel Analysis, Timothy A. Aderemi, Olawunmi Omitogun, Bukonla G. Osisanwo

CBN Journal of Applied Statistics (JAS)

The aim of this study is to examine the effect of FDI on employment in ECOWAS sub region between 1990 and 2019. The study utilizes a panel autoregressive distributed lag model to analyse the short run and long run relationship between FDI and employment across ECOWAS sub region. In the short run, the impact of FDI on employment is negative and statistically not significant. Meanwhile, in the long run FDI has a positive and statistically significant impact on employment rate. This implies that FDI has the capacity to generate employment in countries in ECOWAS sub region. Therefore, this study recommends …

Impact Of Covid-19 Pandemic On The Nigeria Stock Market: A Sectoral Stock Prices Analysis, Peter A. Adekunle, Yakubu A. Bello, Udochukwu G. Nwachukwu

CBN Journal of Applied Statistics (JAS)

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on the stock market indices in the short run. Furthermore, the study documents negative response of sectoral stock prices to the pandemic while the stock prices of the banking sub-sector are the worst hit. Compared to the consumer goods, and industrial subsector indices, the speed of adjustment to long run equilibrium is faster for …

A Consistent Specification Test For Dynamic Quantile Models, Peter Horvath, Jia Li, Zhipeng Liao, Andrew J. Patton

Research Collection School Of Economics

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is theoretically justified via a strong Gaussian approximation for statistics of growing dimensions in a general time series setting. We propose a novel bootstrap method in this nonstandard context and show that it significantly outperforms the benchmark asymptotic approximation in finite samples, especially for tail quantiles such as Value-at-Risk (VaR). We use the proposed new test to study the VaR …

Weak Identification Of Long Memory With Implications For Inference, Jia Li, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This paper explores weak identification issues arising in commonly used models of economic and financial time series. Two highly popular configurations are shown to be asymptotically observationally equivalent: one with long memory and weak autoregressive dynamics, the other with antipersistent shocks and a near-unit autoregressive root. We develop a data-driven semiparametric and identification-robust approach to inference that reveals such ambiguities and documents the prevalence of weak identification in many realized volatility and trading volume series. The identification-robust empirical evidence generally favors long memory dynamics in volatility and volume, a conclusion that is corroborated using social-media news flow data.

Win: How Public Entrepreneurship Can Transform The Developing World, Tomoki Fujii

Research Collection School Of Economics

This book provides a story about the Infrastructure Development Company Limited (IDCOL) written from the perspective of its first full-time Chief Executive Officer. For those who have never heard of IDCOL, it was created in 1997 by the Government of Bangladesh as a nonbank financial institution to fill the financial gap for developing medium- to large-scale infrastructure. IDCOL had a very modest start with a nominal paid-up capital of less than US$2,000, but its capital, equity, and reserves increased to US$110 million by 2020. During this massive expansion, IDCOL met various challenges. This book gives an account of these challenges …