Econometrics Commons^™

Forecast Pooling Or Information Pooling During Crises? Midas Forecasting Of Gdp In A Small Open Economy, Hwee Kwan Chow-Tan, Daniel Han

SMU Economics and Statistics Working Paper Series

This study compares two distinct approaches, pooling forecasts from single indicator MIDAS models versus pooling information from indicators into factor MIDAS models, for short-term Singapore GDP growth forecasting with a large ragged-edge mixed frequency dataset. We investigate their relative predictive performance in a pseudo-out-of-sample forecasting exercise from 2007Q4 to 2020Q3. In the stable growth non-crisis period, no substantial difference in predictive performance is found across forecast models. We find factor MIDAS models dominate both the quarterly benchmark model and the forecast pooling strategy by wide margins in the Global Financial Crisis and the Covid-19 crisis. Reflecting the small open nature …

Understanding And Contextualizing Foraging Among Recreational Opportunities In The North Central United States, Iris I. Mcfarlin

School of Natural Resources: Dissertations, Theses, and Student Research

Over the past few decades, there has been a resurgence in popularity and recognition of foraging for wild products and foods. Despite the cultural importance and ubiquity of foraging, there have been relatively few scientific investigations (as compared to other consumptive outdoor activities such as hunting and fishing) of the social factors influencing foraging behavior, landscape preferences, and the types of materials foraged in the United States. As such, there is a fundamental need to understand more about the practice and about those who participate. We conducted two surveys to gather information on foragers’ motivations and demographic characteristics and to …

Essays On Spatial Econometrics Application In Study Of Conflict And Economic Activity, Ahmed Sadek Yousuf

Graduate Theses and Dissertations

Spatial interaction and the locational structure between observations as well as availability of satellite derived data has meant a richer and more exhaustive exploration of topics relevant in development topics, particularly in areas of subnational economic activity and conflict. This research leverages thus spatial econometric techniques to dynamically decompose impacts from socio-economic determinants on conflict incidence (with setting in Sub-Saharan Africa). Later I also present a statistical framework (based on extension of Henderson’s approach (2012)) to augment official income figures at district / county level with multiple satellite derived signals, with specific context given to developing countries.

In the first …

Making It Public: The Effect Of (Private And Public) Wage Proposals On Efficiency And Income Distribution, Lara Ezquerra, Joaquín Gómez-Miñambres, Natalia Jiminez, Praveen Kujal

ESI Working Papers

The implications of (public or private) pre-play communication and information revelation in a labour relationship is not well understood. We address these implications theoretically and experimentally. In our baseline experiments, the employer offers a wage to the worker who may then accept or reject it. In the public and private treatment, workers, moving first, make a non-binding private or public wage proposal. Our theoretical model assumes that wage proposals convey information about a worker’s minimum acceptable wage and are misreported with a certain probability. It predicts that, on average, wage proposals lead to higher wage offers and acceptance rates, with …

An Experimental Study Of Within- And Cross-Cultural Cooperation: Chinese And American Play In The Prisoner’S Dilemma Game, Michael Kuroda, Jieran Li, Jason Shachat, Lijia Wei, Bochen Zhu

ESI Working Papers

We study whether cross- and within-culture groups have different cooperation rates in the Prisoner’s Dilemma Game. In an experiment, university students in China and America engage in a single iteration of the game, complete belief elicitation tasks regarding their opponents’ play and take a survey including attitudinal measurements regarding their in- and out-group attitudes. Cooperation rates are higher across the two countries are higher in both cross-culture and in within-culture interactions, although not significantly. We also find that Chinese participants cooperate less than American ones. Further, female Chinese participants are more cooperative than Chinese male ones. In the cross-culture treatment, …

Generalized Local-To-Unity Models, Liyu Dou, Ulrich K. Müller

Research Collection School Of Economics

We introduce a generalization of the popular local‐to‐unity model of time series persistence by allowing for p autoregressive (AR) roots and p − 1 moving average (MA) roots close to unity. This generalized local‐to‐unity model, GLTU(p), induces convergence of the suitably scaled time series to a continuous time Gaussian ARMA(p,p − 1) process on the unit interval. Our main theoretical result establishes the richness of this model class, in the sense that it can well approximate a large class of processes with stationary Gaussian limits that are not entirely distinct from the unit root benchmark. We show that Campbell and …

Economics Of Majoritarian Identity Politics, Rohit Ticku, Raghul S. Venkatesh

ESI Working Papers

Majoritarian identity politics has become salient in representative democracies. Why do parties engage in identity politics and what are its consequences? We present a model of electoral competition in which parties capture voter groups based on their identity, and compete over an economic policy platform for the support of non-partisan voters. In addition, the party that caters to majoritarian interests makes a costly investment in polarizing identity. The investment provides subsequent payoffs to voters who have a preference for identity. When voter preferences over policy platforms are idiosyncratic in nature, greater investment in polarizing identity (i) increases both parties’ rents …

Is Egypt On A Sustainable Path Of Debt Repayment: Evidence From Imf Framework And Fiscal Reaction Function, Maha Rashied

Theses and Dissertations

Fiscal policy is the starting point for an economy to achieve solid economic and social objectives through macroeconomic stability. Risks associated with excessive borrowing and the required fiscal adjustments are threatening especially to developing countries whose debt to GDP ratios are on the rise. Those countries’ fiscal policies’ sustainability is questioned; hence this research aims at testing for Egypt public debt sustainability and assessing the method capitalized on by the Egyptian authorities; the IMF Approach. By comparing the IMF Debt Sustainability Analysis Approach to the fiscal reaction function with ARDL and VAR as estimation methods, the results of both methods …

The Contribution Of Mining Sector To Sustainable Development In Saudi Arabia, Mourad Zmami, Ousama Ben-Salha, Sultan O. Almarshad, Houyem Chekki

Journal of Sustainable Mining

The mining sector development is among the priorities of the Saudi Vision 2030. There is currently a lot of interest in the role of the mining sector in Saudi Arabia. This research contributes to this debate by empirically assessing the effects of mining on sustainable development in Saudi Arabia during the period 1980-2018. Unlike many previous studies, the three sustainable development dimensions, namely economic, social, and environmental, are jointly considered. The cointegration analysis, based on the ARDL, Gregory-Hansen, and combined cointegration tests, confirms the existence of long-run relationships between mining and all sustainable development dimensions. Furthermore, the findings lend substantial …

Group-Identity And Long-Run Cooperation: An Experiment, Gabriele Camera, Lukas Hohl

ESI Working Papers

We stress-test the limits of the power of group identity in the context of cooperation by constructing laboratory economies where participants confront an indefinitely repeated social dilemma as strangers. Group identity is artificially induced by random assignment to color-coded groups, and reinforced by an initial cooperation task played in-group and in fixed pairs. Subsequently subjects interact in-group and out-group in large economies, as strangers. Indefinite repetition guarantees full cooperation is an equilibrium. Decision-makers can discriminate based on group affiliation, but cannot observe past behaviors. We find no evidence of group biases. This suggests that group effects are less likely to …

The Extent To Which The Provision Of Water And Sanitation Services Affect The Individual’S Decision To Migrate: The Case Of Egypt, Sara Mohamed Soliman

Theses and Dissertations

Determinants of migration, although researched copiously shed little light on the importance of access to sustainable, basic water and sanitation utilities on an individual’s decision to migrate. This research reveals that individuals originating from rural Upper Egypt, rural and urban Lower Egypt, and rural and urban Alexandria and Suez Canal regions are more likely to migrate relative to those from the urban Greater Cairo region. Access to water has been deemed as insignificant while access to sanitation is a significant factor in determining migration patterns as do macro- economic differences in origin governorates, gender, educational background before migration, and employment …

Do Conditional Cash Transfers Increase School Enrollment? Evidence From Brazil, Jeanette L. Silvernale

Master's Theses

Conditional cash transfer programs have been widely deployed across the globe. They seek to bolster human capital by providing benefits contingent upon a variety of actions such as school attendance and regular health checkups. Bolsa Familia is the most extensive conditional cash transfer program, serving 46 million Brazilian citizens. Despite its expansive size, there have been seldom large-scale micro evaluations of the program. Limited data has resulted in small sample sizes drawn from a single point in time. Our study diverges from the rest and utilizes a novel administrative dataset with an overall sample of nearly 60 million and a …

Budget Deficit And Economic Growth In Nigeria, A. D. Umaru, H. M. Aliero, M. Abubakar

Economic and Financial Review

This paper examines the relationship between budget deficit and economic growth in Nigeria, from a linear and non-linear perspective, using annual time series data from 1981 to 2019. The linear model, which involves the use of an autoregressive distributed lag (ARDL) approach, was compared with a non-linear analysis, using a threshold autoregressive (TAR) model. The ARDL analysis reveals that the growth of national output is positively driven by the persistent budget deficit in Nigeria. This was substantiated by the TAR model which indicates that though budget deficit drives economic growth in Nigeria, the positive relationship holds only if the deficit …

Essays On Economic Uncertainty And Housing Market In China, Humenghe Zhao

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that covers topics in macroeconomics.

Chapter 1. Literature Survey of China’s Housing Market and Macroeconomic Uncertainty is a survey of the literature on the history and development of China’s housing market, its unique characteristics, the driving forces behind rising housing prices, and the empirical interactions among housing market, economic uncertainty and the macroeconomy in China.

Chapter 2. The Spatial Correlation of Regional Housing Prices and Economic Uncertainty in China

Rapid real estate development and house price growth in China have garnered significant attention in academia and policy circles. Investigation into highly differentiated but interrelated …

Three Essays On Spatial Econometrics: The Matrix Exponential Spatial Specification, Ye Yang

Dissertations, Theses, and Capstone Projects

This thesis consists of three essays on the matrix exponential spatial specification. In the first essay, we study the generalized method of moments (GMM) estimation of matrix exponential spatial specification(p,q) (MESS(p,q)). We extend the model to a general higher order case and derive its GMM estimator. The large sample properties are also studied. Under homoskedasticity a best GMM estimator (BGMME) is derived and shown to be consistent and asymptotically normal. Under heteroskedasticity an optimal GMM estimator (OGMME) is derived and shown to be consistent and asymptotically normal as well. Monte Carlo experiments that discuss the large sample properties of quasi-maximum …

Classical Theory Of Competitive Market Price Formation, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

We offer an information theory of market price formation, formalizing and elaborating on an old, implicit, classical tradition of supply and demand based on buyers’ and sellers’ mone-tary valuations of commodities (formally their reservation prices) and competition as a multilat-eral higgling and bargaining process. The early laboratory market experiments, as it turns out with hindsight, established the remarkable stability, efficiency, and robustness of the old view of competitive price discovery, and not the neoclassical price theory (based on individual utility and profit maximization for given prices). Herein, we present a partial-equilibrium version of the the-ory in which wealth is implicitly …

The Health Costs Of Political Identity: Evidence From Public Safety Responses In The Us And A Natural Experiment In California, Sahiba Chopra

Master's Theses

The Covid-19 pandemic has brought political polarization in the US to the forefront of the battle against coronavirus. We find that for every one percentage point increase in votes for Trump there are 881 more Covid-19 cases and 17 more Covid-19 deaths. We find that these results are motivated by political identity as it is mediated through public safety behaviors like maskwearing and social distancing. In addition, a natural experiment in California during the first half of the pandemic in the US finds that 36% of the Covid-19 cases at the census tract level in California can be associated with …

Temperature Effects On Prevalence Of Sexually Transmitted Infections Among At-Risk Female Sex Workers In India, Rajshri Suresh

Master's Theses

Vulnerability to climate change varies depending on the baseline climate, sensitivity to given exposure, and the presence of social, political, cultural, and institutional inequalities that influence access to essential resources of livelihood, particularly among informal labor market participants. Within the risky informal labor market, the transient nature of sex work implies that sex workers suffer disproportional losses in health, income, protection, and other aspects of general well-being as a result of the effects of climate anomalies. In this paper, I investigate the effect of temperature on the prevalence of sexually transmitted infections in a high-risk population of female sex workers …

Transitioning Into Retirement: Effect Of Pension Expansion On Elderly Labor Force Participation In India, Devaprasad Sahadevan

Master's Theses

The welfare effects of public social security programs have been extensively studied in the context of developing economies where the reliance on state is much larger for the provision of basic goods and services. Pension schemes and reforms, however, are met with much less fiscal investment considering the demographic composition and the requisite demands of the larger proportion of youth- and working age- population. Given the rapid pace of demographic transition, there will inevitably be an ever-growing pressure and economic problems associated with aging are bound to become more apparent. As transitioning into retirement is an under-studied area in countries …

An Inferentially Robust Look At Two Competing Explanations For The Surge In Unauthorized Migration From Central America, Nick Santos

Dissertations

The last 8 years have seen a dramatic increase in the flow of Central American apprehensions by the U.S. Border Patrol. Explanations for this surge in apprehensions have been split between two leading hypotheses. Most academic scholars, immigrant advocates, progressive media outlets, and human rights organizations identify poverty and violence (the Poverty and Violence Hypothesis) in Central America as the primary triggers responsible. In contrast, while most government officials, conservative think tanks, and the agencies that work in the immigration and border enforcement realm admit poverty and violence may underlie some decisions to migrate, they instead blame lax U.S. immigration …

Latent Local-To-Unity Models, Jun Yu

SMU Economics and Statistics Working Paper Series

This paper proposes a class of state-space models where the state equation is a local-to-unity process. The large sample theory is obtained for the least squares (LS) estimator of the autoregressive (AR) parameter in the AR representation of the model under two sets of conditions. In the first set of conditions, the error term in the observation equation is independent and identically distributed (iid), and the error term in the state equation is stationary and fractionally integrated with memory parameter H ϵ 2 (0; 1). It is shown that both the rate of convergence and the asymptotic distribution of the …

Exploiting A Grading Policy Shift As An Instrument To Estimate Impact Of Grading On Teacher Evaluations, Gavin Johnson

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

Professors at a university plausibly have an incentive to give higher grades to students, and these higher grades will be reflected in student evaluations, which are used to assess teaching quality, which could have career impacts. This paper takes advantage of a policy shift at the business school at Utah State University that introduced suggested caps on the average course grades that teachers gave. This allowed instrumental variable analysis to correct for bias in OLS estimations of these impacts. The correlation between grades and students' evaluations of teachers was found to be positive suggesting that student evaluations of teachers are …

The Impact Of Graduate School Ranking On An Economics Professor’S Annual Earnings, Shailee Manandhar

Honors Theses

What are the economic returns to attending a more selective college? This thesis adds to the growing literature on college choices and economic returns by analyzing the effects of graduate school ranking on the annual earnings of economics professors in the United States. In order to answer this question, the author collected an original data set using publicly available salary information from a number of US-based institutions. The data in this paper uses McPherson’s ranking of US Economics Departments, h-index, and other factors collected from the individuals’ CVs to estimate the economic returns. The results from Ordinary Least Squares regression …

In-Fill Asymptotic Theory For Structural Break Point In Autoregression, Liang Jiang, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This article obtains the exact distribution of the maximum likelihood estimator of structural break point in the Ornstein–Uhlenbeck process when a continuous record is available. The exact distribution is asymmetric, trimodal, dependent on the initial condition. These three properties are also found in the finite sample distribution of the least squares (LS) estimator of structural break point in autoregressive (AR) models. Motivated by these observations, the article then develops an in-fill asymptotic theory for the LS estimator of structural break point in the AR(1) coefficient. The in-fill asymptotic distribution is also asymmetric, tri-modal, dependent on the initial condition, and delivers …

Environmental Policy And Employment: The Effect Of The Regional Greenhouse Gas Initiative On The Labor Market, Kelly-Anne Moffa

Honors Scholar Theses

This paper estimates the impacts that the Regional Greenhouse Gas Initiative, implemented in 2009, has had on labor market outcomes within the policy region. The Regional Greenhouse Gas Initiative is a carbon cap-and-trade program that consists of ten states in the Northeast. Using a difference-in-difference framework, I found that, overall, there was no significant impact on the annual employment growth rate because of RGGI. When broken down into industry-specific effects, most industries still had no significant employment effects, although the mining industry did see a weakly significant 0.09 percentage point decrease in its annual employment growth rate. These estimates are …

Three Essays On Nonstationary Financial Econometrics, Yajie Zhang

Dissertations and Theses Collection (Open Access)

This dissertation consists of three essays that contribute to the theory of nonstationary time-series analysis.

The first chapter explores the inference procedures for predictive regressions with time-varying characteristics. We extend the self-generated instrumentation, called IVX, to incorporate persistent regressors of functional local-to-unity, functional mildly explosive, and functional mildly stationary roots. The asymptotic distributions of IVX estimators under time-varying parameters are novel and nonpivotal but lead to pivotal distributions of the corresponding Wald statistics that are robust across various roots. The numerical experiments justify the robustness of IVX testing procedures in finite samples. We also verify the existence of time-varying coefficients …

On Factor Models With Random Missing: Em Estimation, Inference, And Cross Validation, Sainan Jin, Ke Miao, Liangjun Su

Research Collection School Of Economics

We consider the estimation and inference in approximate factor models with random missing values. We show that with the low rank structure of the common component, we can estimate the factors and factor loadings consistently with the missing values replaced by zeros. We establish the asymptotic distributions of the resulting estimators and those based on the EM algorithm. We also propose a cross validation-based method to determine the number of factors in factor models with or without missing values and justify its consistency. Simulations demonstrate that our cross validation method is robust to fat tails in the error distribution and …

Trustors’ Disregard For Trustees Deciding Intuitively Or Reflectively: Three Experiments On Time Constraints, Antonio Cabrales, Antonio M. Espín, Praveen Kujal, Stephen Rassenti

ESI Working Papers

Human decisions in the social domain are modulated by the interaction between intuitive and reflective processes. Requiring individuals to decide quickly or slowly triggers these processes and is thus likely to elicit different social behaviors. Meanwhile, time pressure has been associated with inefficiency in market settings and market regulation often requires individuals to delay their decisions via cooling-off periods. Yet, recent research suggests that people who make reflective decisions are met with distrust. If this extends to external time constraints, then forcing individuals to delay their decisions may be counterproductive in scenarios where trust considerations are important. In three Trust …

Standard Vs Random Dictator Games: On The Effects Of Role Uncertainty And Framing On Generosity, Ernesto Mesa-Vázquez, Ismael Rodriguez-Lara, Amparo Urbano

ESI Working Papers

We show that generosity is affected when we vary the level of role uncertainty, i.e., the probability that the dictator’s decision will be implemented. We also show that framing matters for generosity in that subjects are less generous when they are told that their choices will be implemented with a certain probability, compared with a setting in which they are told that their choices will not be implemented with certain probability.

Boosting: Why You Can Use The Hp Filter, Peter C. B. Phillips, Zhentao Shi

Research Collection School Of Economics

We propose a procedure of iterating the HP filter to produce a smarter smoothing device, called the boosted HP (bHP) filter, based on L2-boosting in machine learning. Limit theory shows that the bHP filter asymptotically recovers trend mechanisms that involve integrated processes, deterministic drifts, and structural breaks, covering the most common trends that appear in current modeling methodology. A stopping criterion automates the algorithm, giving a data-determined method for data-rich environments. The methodology is illustrated in simulations and with three real data examples that highlight the differences between simple HP filtering, the bHP filter, and an alternative autoregressive approach.