Econometrics Commons^™

A Conditional Linear Combination Test With Many Weak Instruments, Dennis Lim, Wenjie Wang, Yichong Zhang

Research Collection School Of Economics

We consider a linear combination of jackknife Anderson-Rubin (AR) and orthogonalized Lagrangian multiplier (LM) tests for inference in IV regressions with many weak instruments and heteroskedasticity. We choose the weight in the linear combination based on a decision-theoretic rule that is adaptive to the identification strength. Under both weak and strong identifications, the proposed linear combination test controls asymptotic size and is admissible. Under strong identification, we further show that our linear combination test is the uniformly most powerful test against local alternatives among all tests that are constructed based on the jackknife AR and LM tests only and invariant …

Equal Predictive Ability Tests Based On Panel Data With Applications To Oecd And Imf Forecasts, Oguzhan Akgun, Alain Pirotte, Giovanni Urga, Zhenlin Yang

Research Collection School Of Economics

We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, S-statistics, focuses on the overall EPA hypothesis, which states that the EPA holds, on average, over all panel units and over time. The second type, C-statistics, focuses on the clustered EPA hypothesis where the EPA holds jointly for a fixed number of clusters of panel units. The asymptotic properties of the proposed tests are evaluated under weak and strong cross-sectional dependence. An extensive Monte Carlo simulation shows that the proposed tests have very good finite sample properties, …

National Integration And Institution Building, Haiwen Zhou

Economics Faculty Publications

The mutual dependence between national integration and institution building is established in a formal model. It is shown that a decrease in transportation costs, but not necessarily an increase in population size, reduces the equilibrium number of states and the adoption of rule-based institutions. With endogenous transportation costs or endogenous population size, the unification process can feed on itself. The model is illustrated by the state of Qin's unification of China in 221 BC. During this process of national integration, transformations from relation-based governance to rule-based governance happened.

Divided By Design? Urban Renewal’S Differential Impacts On Economic Outcomes By Race, Derik Suria

CMC Senior Theses

I study city-level effects of the federally and state-sponsored urban renewal program that aimed to improve living conditions for residents in blighted areas and slums. I use an interdisciplinary approach to estimate urban renewal effects on measures of income, property value, poverty, and employment. I first replicate the methodology and estimates of urban renewal effects on city outcomes in 1980 from Slum Clearance and Urban Renewal in the United States (Collins and Shester 2013). I extend this research by looking at a longer time horizon (1990, 2000, 2010) and incorporating race-based outcomes. From 1980 to 2010, estimated effects on property …

Electric Vehicles: Exploring The Granularity In California Zip Codes, Hans Melvern Kasim

CMC Senior Theses

This paper studies a number of factors that affect electric vehicle (EV) sales in California. In comparison to previous papers, this paper examines EV sales at a higher granularity by using zip code level data. My model utilizes a panel fixed effect to examine factors like income, energy prices, commute time, number of chargers and tax rebates. The results show that the number of chargers (specifically DC fast), commute time, and tax rebates have the greatest statistically significant effects on EV sales in California. Furthermore, I utilize an empirical specification - a conditional logit model accounting for zip code fixed …

The Populist Wave: Unpacking The Global Drivers Of 21st Century Right-Wing Populist Support, Ellie Fallon

Honors Theses

This thesis investigates the underlying causes of the global rise in right-wing populism support in the twenty-first century. I will examine both the origins of these shifts in public opinion and their consequences for political systems and global interactions. My analyses will take two forms: (1) a cross-national analysis of the rise in right-wing populism in 34 of the 38 member states of the Organization for Economic Cooperation and Development (OECD) to explore the demographic factors that exhibit a relationship with populist attitudes and (2) case studies of right-wing populism in the contemporary United States (with particular attention to former …

Driven By Change: The Impact Of Macroeconomic Shifts And Covid-19 On New Vehicle Sales, Jackson Aldrich

CMC Senior Theses

This paper examines the impact of macroeconomic factors and the COVID-19 pandemic on new vehicle sales. In order to address these two topics, a two-pronged approach was used with separate regression models. The macroeconomic variables include monthly supply of new homes, CPI for urban public transportation, unemployment rate, disposable personal income, inflation expectation, consumer sentiment, average gas prices, and total vehicle miles traveled which were regressed on total vehicle sales from 1978-2022. The regression results confirmed and supported current literature and highlighted the importance of the housing market and unemployment rate on new vehicle sales. The COVID-19 pandemic model variables …

Determinants And Effects Of Offset Usage Within The California Cap-And-Trade System – A Firm-Level Analysis, Adarsh Srinivasan

CMC Senior Theses

This thesis examines the determinants of the usage of carbon offsets within the California cap-and-trade program for greenhouse gas emissions. It also investigates the relationship between a firm’s investment in offsets and its financials for publicly traded companies. Entity-level data from 2013 to 2020 was used, which was sourced from the California Air Resources Board. Multiple regression analysis was used to investigate factors that correlated with offset usage and whether offset usage correlated with EBITDA. Dummy variables indicating geographic location and economic sector of each entity were used as controls. The analysis found that total covered emissions and privately owned …

Optimal Nonparametric Range-Based Volatility Estimation, Tim Bollerslev, Jia Li, Qiyuan Li

Research Collection School Of Economics

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures.

Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yui Lim Lui, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite …

High-Dimensional Iv Cointegration Estimation And Inference, Peter C. B. Phillips, Igor L. Kheifets

Research Collection School Of Economics

A semiparametric triangular systems approach shows how multicointegrating linkages occur naturally in an I(1) cointegrated regression model when the long run error variance matrix in the system is singular. Under such singularity, cointegrated I(1) systems embody a multicointegrated structure that makes them useful in many empirical settings. Earlier work shows that such systems may be analyzed and estimated without appealing to the associated I(2) system but with suboptimal convergence rates and potential asymptotic bias. The present paper develops a robust approach to estimation and inference of such systems using high dimensional IV methods that have appealing asymptotic properties like those …

Effects Of The Homegrown Player Rule In The English Premier League: A Comprehensive Analysis Of Squad Composition, Market Values, And Wages, Jiho "Brian" Jun

Pitzer Senior Theses

This paper uses theoretical frameworks from economics and sports management to investigate the transformative effects of the Homegrown Player Rule on English Premier League squad dynamics, market valuations, and wage structures. The study examines the evolution of homegrown player distribution across clubs from the rule’s implementation in 2010 to the most recent season in 2023. My analysis of market values and wages finds no evidence that the rule leads to possible market value and wage rate disparities between homegrown and non-homegrown players. Subsequent research shows evidence of a decrease in the real wage rate of homegrown players over time, contrasting …

On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Jun Yu, Chen Zhang

Research Collection School Of Economics

This paper investigates the performance of different forecasting formulas with fractional Brownian motion based on discrete and finite samples. Existing literature presents two formulas for generating optimal forecasts when continuous records are available. One formula relies on a history over an infinite past, while the other is designed for a record limited to a finite past. In reality, only observations at discrete time points over a finite past are available. In this case, the forecasting formula, which has been widely used in the literature, is the one obtained by Gatheral et al. (2018) that truncates and discretizes the formula based …

Impact Of Forest Plantations On Energy Poverty: An Assessment Of Reforestation Efforts In Uganda, Matilda Kabutey-Ongor

Graduate Student Theses, Dissertations, & Professional Papers

This study investigates the socio-economic impacts of reforestation initiatives on energy poverty in three Ugandan districts—Hoima, Dokolo, and Nakasongola. Implemented by the Ugandan National Forest Authority, these efforts aim to mitigate the adverse effects of deforestation, exacerbated by a growing population and increased demand for forest products. We hypothesize that through sustainable afforestation, access to biomass and other renewable energy sources can be improved, thereby alleviating energy poverty. The study establishes a causal relationship between reforestation and reductions in energy poverty and general poverty using advanced econometric methods, such as Ordinary Least Squares regression, Weighting, and matching techniques including Propensity …

Unraveling The Effects Of Transfer Pricing Documentation Regulation: Indonesia’ Evidence, Anggari Dwi Saputra

Jurnal Akuntansi dan Keuangan Indonesia

To counter tax avoidance using transfer mispricing practices, Indonesia introduced a transfer pricing documentation policy. This policy requires taxpayers to be transparent with their transfer pricing decisions. Treating the implementation of this policy as a shock to the taxpayers, this paper examines how the transfer pricing documentation policy affects a firm's tax avoidance behaviour by employing regression discontinuity design and difference-in-difference. Immediately after introducing the policy, a regression discontinuity analysis results indicate a 0.9 percentage point increase in tax/sales among taxpayers obligated to prepare transfer pricing documentation. A 0.3 to 0.7 percentage point increase in the tax/sales of the treatment …

Reducing Food Scarcity: The Benefits Of Urban Farming, S.A. Claudell, Emilio Mejia

Journal of Nonprofit Innovation

Urban farming can enhance the lives of communities and help reduce food scarcity. This paper presents a conceptual prototype of an efficient urban farming community that can be scaled for a single apartment building or an entire community across all global geoeconomics regions, including densely populated cities and rural, developing towns and communities. When deployed in coordination with smart crop choices, local farm support, and efficient transportation then the result isn’t just sustainability, but also increasing fresh produce accessibility, optimizing nutritional value, eliminating the use of ‘forever chemicals’, reducing transportation costs, and fostering global environmental benefits.

Imagine Doris, who is …

Financial Contagion And Financial Lockdowns, Gabriele Camera, Alessandro Gioffré

ESI Working Papers

Extreme financial shocks often elicit extraordinary policy interventions that preclude financial activity on a large scale, for example as the 1933 U.S. “bank holiday.” We study these interventions using a random matching framework where the financial contagion process is explicit and the diffusion of the initial shock can be analytically characterized. The study suggests that there is scope for forced closures of individual firms or even economy-wide financial lockdowns only when firms are financially vulnerable and policy institutions are not well-functioning. Here, ordinary policy alone cannot prevent or sufficiently mitigate contagion, while complementing it with a lockdown or individual closures …

Evolution Of Primate Vocal Repertoires: Vocalization Systems As Embodied Capital For Mediating Within-Group Conflict, Eric Schniter, Mateo Peñaherrera-Aguirre

ESI Working Papers

Phylogenetic studies of communication help us understand evolutionary changes that led to human language – a form of primate communication, extraordinarily complex in terms of its varied vocalizations. Here we describe the macro-evolutionary role of life history traits on primate vocalization systems, informing our understanding of the relationships between social complexity and primate vocal repertoire size. We reviewed the primatological literature and collected information on the vocal repertoire size, social conflict, group size, endocranial volume, and maximum longevity of 42 non-human primate species. We conducted a set of analyses to examine the role of these factors on the macroevolution of …

Heat & Social Cooperation: The Effects Of Thermal Stress On Altruism, Alexander J. Courtman

Master's Theses

Recent literature has highlighted the effects of temperature on economic outcomes and violence in humans, on both the interpersonal and intergroup levels: as temperatures rise, humans are more likely to exhibit increased aggression and agitation. However, little research has been done on how pro-social behaviors like cooperation and altruism among humans might respond to increased temperatures. As extreme heat events increase in frequency, will humans and communities work together in the face of adverse shocks and crises? Leveraging experimental data collected randomized controlled trails held in 4 locations across the world, this paper seeks to establish a relationship between thermal …

Human-Robot Interactions: Insights From Experimental And Evolutionary Social Sciences, Eric Schniter

ESI Working Papers

"Experimental research in the realm of human-robot interactions has focused on the behavioral and psychological influences affecting human interaction and cooperation with robots. A robot is loosely defined as a device designed to perform agentic tasks autonomously or under remote control, often replicating or assisting human actions. Robots can vary widely in form, ranging from simple assembly line machines performing repetitive actions to advanced systems with no moving parts but with artificial intelligence (AI) capable of learning, problem-solving, communicating, and adapting to diverse environments and human interactions. Applications of experimental human-robot interaction research include the design, development, and implementation of …

Enlightenment Ideals And Belief In Progress In The Run-Up To The Industrial Revolution: A Textual Analysis, Ali Almelhem, Murat Iyigun, Austin Kennedy, Jared Rubin

ESI Working Papers

We trace the evolution of the language of science, religion, and political economy in the centuries leading to the British Industrial Revolution. Using textual analysis of 173,031 works printed in England between 1500 and 1900, we test whether British culture manifested a belief in progress associated with science and industry. Our analysis yields three main findings. First, there was a separation in the language of science and religion beginning in the late-17th century. Second, volumes using language at the nexus of science and political economy became more progress-oriented during the Enlightenment. Third, volumes using industrial language—especially those at the science-political …

Insights Into The Challenges Posed By Climate Change And Land Competition To Brazil’S Midwest Pulpwood Market, Roberto Hajime Sant Anna Kimura

Theses and Dissertations

I investigated the effect of climate change in one of the few expanding markets in the world in Brazil. In the last decades the demand for pulpwood increased from zero to 11 million tons, leading to an expansion of 700 thousand hectares of Eucalyptus plantation. In 2024, a new mill will start operating increasing the consumption of wood fiber by 8.2 million tons (+49%). I used mathematical programming to investigate how different scenarios of productivity and land will affect the market. My results showed that around 946,000 hectares (+124%) of additional timberland will be necessary in the upcoming decades. The …

Per Capita Gdp’S Potential Effect On The Percentage Of Children In Foster Care, Jenna Mcclain

Honors College Theses

Few studies have been conducted on the presence of a direct connection between per capita gross domestic product (GDP) and the percentage of children in foster care in a given region. GDP is a known indicator of economic growth (Powers, 1995; Roshaniza & Selvaratnam, 2015), as is a child’s potential for foster care placement associated with a parent or family’s financial status (Bald et. al, 2022; Barth et. al, 2010). Poverty is the bridge in many of these scenarios – low GDP can be indicative of higher poverty rates, and financial hardship under poverty classification can lead to child maltreatment …

Are Bond Returns Predictable With Real-Time Macro Data?, Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We investigate the predictability of bond returns using real-time macro variables and consider the possibility of a nonlinear predictive relationship and the presence of weak factors. To address these issues, we propose a scaled sufficient forecasting (sSUFF) method and analyze its asymptotic properties. Using both the existing and the new method, we find empirically that real-time macro variables have significant forecasting power both in-sample and out-of-sample. Moreover, they generate sizable economic values, and their predictability is not spanned by the yield curve. We also observe that the forecasted bond returns are countercyclical, and the magnitude of predictability is stronger during …

Exchange Rate Responses And Volatility Spillover Effects During The Covid-19 Pandemic In Indonesia, Panky Tri Febiyansah

Economics and Finance in Indonesia

This paper aims to assess the impact of the confirmed COVID-19 cases, the timing of the outbreak, and physical measures on the returns and spillover effects of exchange rate in Indonesia. The model will be tested by the exponential generalized autoregressive conditional heteroskedastic (EGARCH) process and the spillover volatility index. The study discovers that the confirmed cases, outbreak news, and the implementation of large-scale social restrictions simultaneously contribute to a leverage effect on the volatility of a direct quote of Indonesian Rupiah to Australian Dollar, Euro, US Dollar, Singapore Dollar, and Great British Pound. To a certain extent, the heatwave …

An Analysis Of Poverty Convergence: Evidence From Pennsylvania Counties, Angel Alcantara, Stephanie M. Brewer, James J. Jozefowicz

The Journal of Economics and Politics

This paper extends applications of unconditional and conditional β-convergence and σ-convergence analysis to poverty rates in a panel data sample of Pennsylvania counties during the period 1990-2019. Spatial structural breaks between rural and urban counties in Pennsylvania plus the possibility that Philadelphia County is an outlier are acknowledged to avoid spurious inferences. The findings support the existence of unconditional β-convergence in the pooled, urban, and rural samples with non-metropolitan areas exhibiting the greatest convergence. However, the largest conditional β-convergence is observed for urban counties, and this outcome is robust to the exclusion of Philadelphia County. Graphical evidence evinces a greater …

Economic Policy Uncertainty And Stock Portfolio Optimization: Cross Country Wavelet-Based Approach, Sara Iqbal, Waqar Ahmed Sethar, Suad Sindhiyao

CBER Conference

The purpose of this research is to assess the impact of Economic Policy Uncertainty (EPU) on the Sectoral returns of China, Pakistan, the USA, the UK, and India. The panel data consisting of EPU, and sectoral returns of Stock Market data of sample countries is from 2012 to 2022. To achieve the research objectives, the wavelet coherence method is used. By applying wavelet coherence analysis to the time series data of economic policy uncertainty and sector returns, researchers can explore how the coherence or correlation between these variables changes over different periods and frequency components which helps in assessing short-, …

Appraising Economic Development: Estimating Subnational Gdp For Pakistan Through Nightlights, Wajid Ali

CBER Conference

Pakistan, where inequalities and unbalanced development are prevalent. This study focuses on Pakistan as a case example and employs three distinct datasets, including nightime lights data from the Suomi National Polar-orbiting Partnership Visible Infrared Imaging Radiometer Suite (NPP-VIIRS), district-level information on prices and production of selected agricultural commodities, and population data from the LandScan Global Population project.

Will The Philippine Development Plan 2023-2028 Targets Be Met?, Jesus Felipe

Angelo King Institute for Economic and Business Studies (AKI)

EARLY THIS YEAR, President Ferdinand Marcos, Jr. signed the Philippine Development Plan 2023-2028 (PDP). The document contains hundreds of targets. Some of the key targets to be attained by 2028 are as follows (in fact, the Plan provides yearly targets):

1.) an annual growth rate of 6.5-8% (since 2024); 2.) a gross national income per capita of $6,044-$6,571 (50% higher than that in 2023); 3.) inflation between 2%-4% (from 2.5%-4.5% in 2023); 4.) a government fiscal deficit of 3% (from 6.1% in 2023); 5.) a debt-to-GDP ratio of 48%-53% (from 60%-62% in 2023); 6.) an unemployment rate of 4%-5% (from …

Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho Lee, Sunha Myong

Research Collection School Of Economics

We document a drastic increase in female-owned manufacturing firms in South Korea after the 1997 financial crisis. During the crisis, a major banking sector reform was conducted, and many underperforming bank branches were forced to close down. Using a geographical variation of bank branch closures during the reform, we show that the banking sector reform resulted in a rise in female entrepreneurship. We present evidence that male-owned firms were preferred by the closeddown bank branches, despite female-owned firms exhibiting lower risks and higher returns. The banking sector reform, although not explicitly aimed at addressing gender disparities, substantially benefited female entrepreneurs …