Econometrics Commons^™

Identifying Latent Grouped Patterns In Conintegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su

Research Collection School Of Economics

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …

Essays In Macroeconomics Of Emerging Markets, Miguel Acosta Henao

Dissertations, Theses, and Capstone Projects

Chapter 1. Law enforcement and the size of the informal sector.

I assemble new cross-country evidence showing that contrary to the standard view, the relationship between the size of the informal sector and tax rates is, at best, ambiguous. Law enforcement and informality also show no clear relation. Motivated by these findings, I augment a standard two-sector (formal and informal) small open economy model with endogenous law enforcement that depends on the size of the informal sector (measured by its assets) and government expenditure. I use a micro-dataset from Colombia to show that both taxes and law enforcement are necessary …

Essays In Financial Economics And Applied Macroeconomics, Marius Mihai

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters that cover topics in finance and macroeconomics.

Chapter 1 - Do Credit Booms Predict U.S. Recessions?

This paper investigates the role of bank credit in predicting U.S. recessions since the 1960s in the context of a bivariate probit model. A set of results emerge. First, credit booms are shown to have strong positive effects in predicting declines in the business cycle at horizons ranging from six to nine months. Second, by isolating the effect of credit booms, I identify their contributions to recession probabilities which range between three and four percentage points at a …

Estimating Selection Models Without Instrument With Stata, Xavier D’Haultfœuille, Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang

Research Collection School Of Economics

This article presents the eqregsel command for implementing the estimationand bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model withoutinstrument or large support regressor, and outputs the point estimates of the ho-mogenous linear coefficients, their bootstrap standard errors, as well as the p-valuefor a specification test.

Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su

Research Collection School Of Economics

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips (2016, Econometrica 84(6), 2215-2264) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals' group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of …

Inequality In Foraging And Farming Societies: An Experimental Approach, Antonio J. Morales, Ismael Rodriguez-Lara

ESI Working Papers

We propose two games that resemble the conditions of human societies before and after the Neolithic agricultural revolution to test the hypothesis that the modes of production affected the level of inequality. We replicate the findings that foraging societies organized themselves around social division of labour and were more egalitarian than farming societies. We also find evidence that i) the transition from foraging to farming societies was heterogeneous, with groups that quickly adopted the agricultural practice and others that never experienced it, and ii) inequality in farming societies increases as agriculture settles. Our experimental data further suggest that the transition …

Religion In Economic History: A Survey, Sascha O. Becker, Jared Rubin, Ludger Woessmann

ESI Working Papers

This chapter surveys the recent social science literature on religion in economic history, covering both socioeconomic causes and consequences of religion. Following the rapidly growing literature, it focuses on the three main monotheisms—Judaism, Christianity, and Islam—and on the period up to WWII. Works on Judaism address Jewish occupational specialization, human capital, emancipation, and the causes and consequences of Jewish persecution. One set of papers on Christianity studies the role of the Catholic Church in European economic history since the medieval period. Taking advantage of newly digitized data and advanced econometric techniques, the voluminous literature on the Protestant Reformation studies its …

Trade Facilitation And Tariff Evasion, Cosimo Beverelli, Rohit Ticku

ESI Working Papers

This paper investigates the extent to which trade facilitation measures included in the WTO Trade Facilitation Agreement affect tariff evasion. In a dataset covering 121 countries and the whole set of HS6 product categories in 2012, 2015, and 2017, the paper shows that trade facilitation measures that improve legal certainty for traders moderate tariff evasion. Holding tariff rate constant at its mean, one standard deviation improvement in trade facilitation measures related to legal certainty reduces tariff evasion, as measured by missing imports in trade statistics, by almost 12%. In a counterfactual with full trade liberalization, countries with higher scores on …

Trust And Trustworthiness After Negative Random Shocks, Hernán Bejarano, Joris Gillet, Ismael Rodriguez-Lara

ESI Working Papers

We investigate experimentally the effect of a negative endowment shock in a trust game to assess whether different causes of inequality have different effects on trust and trustworthiness. In our trust game there may be inequality in favor of the second mover and this may (or may not) be the result of a negative random shock (i.e., the outcome of a die roll) that decreases the endowment of the first-mover. Our findings suggest that inequality leads to differences in behavior. First-movers send more of their endowment and second-movers return more when there is inequality. However, we do not find support …

Sanctuary Cities And Their Respective Effect On Crime Rates, Adam R. Schutt

Undergraduate Economic Review

According to the U.S. Center for Immigration Studies (2017), cities or counties in twenty-four states declare themselves as a place of “sanctuary” for illegal immigrants. This study addresses the following question: Do sanctuary cities experience higher crime rates than those cities that are not? Using publicly available data, this regression analysis investigates the relationship between crime rates in selected cities and independent variables which the research literature or the media has linked to criminal activity. Results of this research reveal that sanctuary cities do not experience higher violent or property crime rates than those cities that are not sanctuary cities.

Running On Fumes: The Long And Short-Run Effects Of British Columbia's Carbon Tax On Gasoline Consumption, Martin A. Long

Honors Thesis

British Columbia (BC) implemented a carbon tax in 2008 at the rate of ten Canadian dollars (CAD) per metric ton of carbon dioxide equivalents (CO2e). In April of 2019, the tax was set at a rate of CAD 40 per metric ton of CO2e with a dual mandate to reduce fuel consumption while not contracting economic output. This paper attempts to estimate the effect of British Columbia’s carbon tax on per capita gasoline consumption using panel data regression. To assess the empirical evidence, provincial-level monthly data from ten Canadian provinces was collected and analyzed over the period 1991 to 2018. …

Regional Household Economic Stress And Retail Sales Fluctuations, Thomas M. Fullerton Jr., Ana P. Gutierrez-Zubiate

Departmental Papers (E & F)

Economic stress indices are used to monitor business cycle conditions in several regions.Although the deployment of these tools is spreading, there have been relatively few efforts to empirically assess the performance of these gauges, especially at the regional level.This study takes advantage of one such index that is published monthly and has more than 15 years of historical data.Results obtained confirm an inverse relationship between household economic duress and retail sales activity, but it is not found to be statistically reliable over the long-run.Deviations from equilibrium are found to last for 142 months.More relevantly, a 1-point increase in the index …

Shocks To Aggregate Demand And Aggregate Supply In The Midst Of Covid-19, Anna M. Gellerman

Publications and Research

COVID-19 sent shockwaves throughout the economy, changing the amounts of goods and services distributed and altering the demand. This article discusses the negative demand shock and adverse supply shock that the U.S. economy faced in 2020, and the policies that the government implemented to reverse these effects.

Mentoring Effects On Microbusiness Growth In Medellín, Colombia, Diana Herrera

Master's Theses

Microbusinesses are stagnant in growth across least developed countries due to their lack of managerial skills and limited access to the credit market. Current business methods aimed at increasing profitability for microentrepreneurs with limited capital in developing countries are only moderately successful in increasing growth. Having a mentor that has a localized business understanding can provide their mentee with the proper guidance on how to effectively manage their business to increase growth. This paper presents the results for a randomized controlled trial which identifies the average treatment effects of meeting with a mentor and observes the impact on business growth …

Income Inequality In America: Conclusions From 100 Years Of Income Tax Data And Cross-Country Comparisons, Noriel Campos

Master's Theses

In 1913, taxation of income was permanently introduced in the United States. Other similarly developed countries soon followed suit. From there, income inequality in the United States dropped significantly, and the decline in Europe was even more dramatic. First, this paper considers the changes over time of the share of national income gained by the top 1% of income earners in seven countries going back to World War Two. A second analysis considers the impact that tax policy may have had on the share of income accruing to the top 1% of U.S. income earners between 1980 and 2014, a …

Estimating Predictors Of Mental Well-Being Through Analysis Of Children’S Drawings: The Case Of Syrian Refugees, Stephanie Smith

Master's Theses

There are currently over 65 million individuals that have been forcibly displaced globally. The cumulative trauma that comes from the refugee experience and exposure to violence has proven to have long-term negative psychological outcomes and thus negative impacts on human capital in the long run. Given that over 50% percent of the global refugee population are children, the ability to efficiently and accurately assess their mental well-being is of critical importance. Using data from over 2000 refugee children in Jordan, I use machine learning techniques to find key predictors of psychological distress, PTSD, and exposure to violence found in children’s …

Who Benefits From Park And Recreation Improvements In San Francisco? A Case Study Of Recreation Center Renovations In San Francisco, Safia Belayadi

Master's Theses

The purpose of this study is to examine the efficacy of city policies undertaking public goods investments to benefit disadvantaged communities in San Francisco. Namely, is the process of improving the quality of public goods serving targeted populations, or does it lead to unintended consequences such as gentrification? I take advantage of the timing of city recreation center renovations and the synthetic control method to capture any difference in the proportion of users that is poor before and after the renovation date. I use San Francisco Recreation and Park Department registrant data containing user zip codes and census demographic data …

The Effect Of Sex Of Firstborn Children On Attitudes Towards Intimate Partner Violence, Shuvam Rizal

Master's Theses

What are the different ways in which one’s life is influenced by the sex of their children? Is there an effect on how they view Intimate Partner Violence? If so, is there a difference in how the male parent is affected by the sex of his child than the female parent? Bodies of conflicting Social Sciences literature suggest having a daughter makes one both more and less likely to engage in Intimate Partner Violence. In this paper, I approach this question through the use of a Linear Probability Fixed-Effects model on Demographic Health Surveys (DHS) datasets, using data from the …

The Role Of High-Fructose Corn Syrup Imports In Child And Women Obesity, Anna Subirana Bofill

Master's Theses

High Fructose Corn Syrup is believed to be responsible for the increase of the obesity epidemic that is affecting both developed and developing countries, yet to date there are no rigorous analyses that quantify this effect. To estimate the impact of consumption of HFCS on obesity, I have paired country-specific data on imports of HFCS from the United Nations International Trade Statistics Database (UN Comtrade) with women and child health data from around 70 countries from 1985 to 2018. The results show that conditional on space and time fixed effects, imports of HFCS with a high concentration of fructose have …

Wellbeing And Marriage: Does Marriage Improve Mental Health?, Maranda L. (Kahl) Joyce

Undergraduate Economic Review

With the decline in marriage rates and the rise in mental health issues, understanding the potential correlation between marital status and overall mental health is of economic importance. This research explores the potential effects of marital status on mental health in the U.S., using microdata from the 2016 Behavior Risk Factor Surveillance System. The role of marital status is examined on three different dependent variables. My results suggest that marriage is associated with a decrease in number of days of poor mental health, a decrease in the likelihood of a depressive disorder diagnosis, and an increase in overall life satisfaction.

An Economic Analysis Of The Short-Term Rental Market: Local Regulatory Decisions, Joseph L. Kauffman, Harrison D. Hooper

Senior Honors Projects, 2020-current

In recent years, short-term home rental companies such as Airbnb and Vacation Rentals by Owner (VRBO) have grown in popularity throughout the United States and the world. The lack of regulation of this rapid growth, which stemmed from the legal grey area these rentals fall under, caused some states to adopt specific regulatory policies. These regulatory policies attempt to better monitor this sector, to tax rental earnings, and to reduce perceived negative externalities to this new market. This thesis researches the benefits and costs that short-term rentals (STRs) provide to cities and the regulatory implications on the growing rental market. …

Evaluating The Effectiveness Of Quantitative Easing: An Svar Approach, Seth T. Walker

Senior Honors Projects, 2020-current

The 2008 recession affected the American economy more than any recession since the Great Depression. Unlike its response to the Great Depression, the Federal Reserve aimed to stimulate the economy through all means in its power. However, the Federal Reserve’s conventional monetary policy tools were not viable options due to the zero lower bound. As a result, the Federal Reserve pursued an unconventional monetary policy tool known as quantitative easing which involved purchases of long-term assets on a scale never before seen in the United States. Since its inception, quantitative easing has faced significant scrutiny over its merit and has …

Shutdown Policies And Worldwide Conflict, Nicolas Berman, Mathieu Couttenier, Nathalie Monnet, Rohit Ticku

ESI Working Papers

We provide real-time evidence on the impact of Covid-19 restrictions policies on conflicts globally. We use daily information on conflict events and government policy responses to limit the spread of coronavirus to study how conflict levels vary following shutdown and lockdown policies. We use the staggered implementation of restriction policies across countries to identify their effect on conflict incidence and intensity. Our results show that imposing a nation-wide shutdown reduces the likelihood of daily conflict by around 9 percentage points. The reduction is driven by a drop in the incidence of battles, protests and violence against civilians. Across actors the …

Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao

Pomona Economics

We analyze the extent of comovement between daily price returns of nine major cryptocurrencies during the first three main phases of their development, from April 2013 to November 2018. We assess its evolution using bivariate and multivariate modelling approaches, and detect pronounced time variation. Generally, comovement is initially low and positive, but increases between early 2017 and late 2018. We then adopt a right-tail version of the Augmented Dickey-Fuller unit root test to identify periods of mildly explosive behavior (statistical instability) in the Network Value to Transactions (NVT) ratio (a measure of the dollar value of cryptocurrency transaction activity relative …

Female Labor Force Participation And Economic Growth: Granger Causality Test, Zulakha Rahman

Theses and Dissertations

Does rising female labor force participation precede economic growth, or does the relationship run in the other direction? This paper addresses this question by performing a Granger causality test to examine the relationship between economic growth and female labor force participation worldwide. The economic growth –is measured in two ways: using Growth Domestic Product, Purchasing Power Parity (constant 2011 international dollar) and Growth Domestic Product using local currency units. The test uses a completely balanced panel dataset spanning over 28 years from 1990 to 2018 and using 151 countries for Purchasing Power Parity dataset and 154 countries in GDP in …

Rhode Island Current Conditions Index -- May 2020, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Colonial Legacies And Institutional Legitimacy: Explaining Variation In State-Level Informal Economy Size, Makayla Barker

Political Science Honors Projects

Abstract: Why are some states’ economies more formal than others? This question has critical significance for policy-makers who endeavor to tap into the reservoir of tax revenue and entrepreneurship that informal economies contain. More importantly, large informal economies inhibit public good provision and perpetuate the impoverishment, marginaliza- tion, and political instability of select communities. Despite major variation in the size of informal economies across states, most scholarship on the informal economy concentrates only on the causes and consequences of the phenomenon, while neglecting to address its variation. This thesis builds on a canon of scholarship surrounding colonial legacies, new- institutional …

An Econometric Analysis Of Homelessness Risk-Factors, Zac Smith

Economics Undergraduate Honors Theses

This paper explores the issue of homelessness within the United States and seeks to create an econometric model that identifies predicting factors of homelessness at a state level which can be used to estimate the size of homeless populations. The author analyzed the role of 16 factors including income inequality, minimum wage, unemployment, rental cost, poverty, education, veteran status, and substance abuse on the 2017 state homeless populations. Using an ordinary least squares regression, the model produced five significant variables: adjusted minimum wage, percent of income spent on rent, possession of health insurance, average winter temperature, and the unemployment rate. …

The Effects Of South Africa's Unexpected Monetary Policy Shocks In The Common Monetary Area, Bonang N. Seoela

Boise State University Theses and Dissertations

The Common Monetary Area (CMA) is a multilateral agreement that provides a framework for a fixed exchange rate regime between the South-African Rand and the currencies of Lesotho, Eswatini, and Namibia (LEN). The nature of the arrangement restrains the LEN countries from exercising independent discretionary monetary policy. As a result, they must rely on the South African authorities for policy formulation and implementation. Interest rates in the LEN countries cannot deviate too far from those in South Africa. Given this limited scope for monetary policy in the LEN countries, this study investigates how each member country adjusts to shocks to …

Analyzing Competitive Balance In Professional Sport, Kevin Alwell

Honors Scholar Theses

In this paper we review several measures to statistically analyze competitive balance and report which leagues have a wider variance of performance amongst its competitors. Each league seeks to maintain high levels of parity, making matches and overall season more unpredictable and appealing to the general audience. Here we quantify competitive advantage across major sports leagues in numbers using several statistical methods in order for leagues to optimize their revenue.