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

Econometrics Commons

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

2,867 Full-Text Articles 2,401 Authors 1,309,589 Downloads 131 Institutions

All Articles in Econometrics

Faceted Search

2,867 full-text articles. Page 1 of 112.

Variation And Efficiency Of High-Frequency Betas, Congshan ZHANG, Jia LI, Viktor TODOROV, George. TAUCHEN 2022 Singapore Management University

Variation And Efficiency Of High-Frequency Betas, Congshan Zhang, Jia Li, Viktor Todorov, George. Tauchen

Research Collection School Of Economics

This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify ...


Essays On Futures Market And Machine Learning, Jonathan J. Lopez Camara 2022 The Graduate Center, City University of New York

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 models ...


Improved Marginal Likelihood Estimation Via Power Posteriors And Importance Sampling, Yong LI, Nianling WANG, Jun YU 2022 Singapore Management University

Improved Marginal Likelihood Estimation Via Power Posteriors And Importance Sampling, Yong Li, Nianling Wang, Jun Yu

Research Collection School Of Economics

Power posteriors have become popular in estimating the marginal likelihood of a Bayesian model. A power posterior is referred to as the posterior distribution that is proportional to the likelihood raised to a power b∈[0,1]. Important power-posterior-based algorithms include thermodynamic integration (TI) of Friel and Pettitt (2008) and steppingstone sampling (SS) of Xie et al. (2011). In this paper, it is shown that the Bernstein–von Mises (BvM) theorem holds for power posteriors under regularity conditions. Due to the BvM theorem, power posteriors, when adjusted by the square root of the auxiliary constant, have the same limit distribution ...


“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 2022 Touro College and University System

“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 ...


Child Cognitive Achievement Gaps: The Role Of Family Structure And Maternal Locus Of Control In Parental Investment, Nalinda K. Murray 2022 Western University

Child Cognitive Achievement Gaps: The Role Of Family Structure And Maternal Locus Of Control In Parental Investment, Nalinda K. Murray

Undergraduate Student Research Internships Conference

Little exploration has been done to determine the impact of family structure on parental investment decisions and how gaps in children’s cognitive achievement are affected in turn. To examine the role of family structure, this paper estimates the production function for children’s cognitive achievement using a value-added specification with instrumental variables estimation. A novel feature of this research is that variation in family structure and maternal locus of control are exploited in an effort to account for the endogeneity of parental investment and children’s cognitive performance. Applying my methodology to data from the National Longitudinal Survey of ...


The Effect Of Leverage On Credit Default Swaps, Xiling Lai 2022 Western University

The Effect Of Leverage On Credit Default Swaps, Xiling Lai

Undergraduate Student Research Internships Conference

The research investigates the effect of leverage on the pricing of Credit Default Swaps (CDS) and focuses on key sectors of the economy: Technology, Financials, Consumer Staples and Industrials. CDS are financial instruments that were developed a few decades ago and have become more widely used in financial markets for hedging credit exposures. Given their prevalence in financial markets, it is important to understand how CDS spreads change when reference entities modify their capital structure.

In the regression analysis, the level of CDS spread is used as dependent variable, and the standardized relative leverage is used as independent variable. My ...


A Study Of Canadian Bankruptcies, 2014-2022, Luis Guilherme Mazzali de Almeida 2022 Western University

A Study Of Canadian Bankruptcies, 2014-2022, Luis Guilherme Mazzali De Almeida

Undergraduate Student Research Internships Conference

This paper studies Canadian monthly bankruptcy data from January 2014 to February 2022 with an aim towards identifying the existence of underlying heterogeneity in the decision-making of firms across different industry sectors during periods of economic adversity. The data used include provincial two-digit NAICS bankruptcy level data, provincial pandemic-related data concerning the evolution of cases and stringency of adopted policies, and external factors pertaining to the domestic and foreign economies such as industry GDP, the overnight rate target, exchange rates, imports and exports, prices, and bond liquidity premium. The method is two-fold. First, we identify changes in bankruptcy trends caused ...


Introducing New Forms Of Digital Money: Evidence From The Laboratory, Gabriele Camera 2022 Chapman University

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 2022 University of California, Santa Barbara

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 ...


Medicaid Expansion: Changes In Individual Health Outcomes, Julie Norman 2022 Utah State University

Medicaid Expansion: Changes In Individual Health Outcomes, Julie Norman

All Graduate Plan B and other Reports

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 ...


A Conditional Linear Combination Test With Many Weak Instruments, Dennis Guo Wei LIM, Wenjie WANG, Yichong ZHANG 2022 Singapore Management University

A Conditional Linear Combination Test With Many Weak Instruments, Dennis Guo Wei 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 ...


Change In Subjective Well-Being, Affluence And Trust In State Governments In India, Vani S. Kulkarni, Veena S. Kulkarni, Katsushi Imai, Raghav Gaiha 2022 University of Pennsylvania

Change In Subjective Well-Being, Affluence And Trust In State Governments In India, Vani S. Kulkarni, Veena S. Kulkarni, Katsushi Imai, Raghav Gaiha

Population Center Working Papers (PSC/PARC)

The present study explores the relationship between trust in state governments and changes in subjective well-being in India, drawing upon the nationally-representative India Human Development Survey (IHDS) panel data for 2005 and 2012. Our econometric results confirm that people’s trust in state governments is positively associated with changes in their subjective well-being in economic aspects. To take into account the endogeneity of people’s trust in the state government, we have used the 2SLS model where the trust is instrumented by (i) whether the winning legislators belonged to the ruling party, and (ii) whether the margin of victory over ...


300 Anniversary Of Smith’ Birth, Vernon L. Smith 2022 Chapman University

300 Anniversary Of Smith’ Birth, Vernon L. Smith

ESI Working Papers

Thousand-word brief on key quotes from Adam Smith’s two books (TMS, WN) modelling Society and Economy.


A Consistent Specification Test For Dynamic Quantile Models, Peter HORVATH, Jia LI, Zhipeng LIAO, Andrew PATTON 2022 Singapore Management University

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


Testing The Dimensionality Of Policy Shocks, Jia LI, Viktor TODOROV, Qiushi. ZHANG 2022 Singapore Management University

Testing The Dimensionality Of Policy Shocks, Jia Li, Viktor Todorov, Qiushi. Zhang

Research Collection School Of Economics

This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns' stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the event to estimate the covariance jump matrix, and then test its rank. We find a one-factor structure in the covariance jump matrix of the yield curve resulting from the Federal Reserve's monetary policy shocks prior to the 2007-2009 financial crisis. The dimensionality of policy shocks increased afterwards due to the use of unconventional monetary policy ...


Political Legitimacy In Historical Political Economy, Avner Greif, Jared Rubin 2022 Stanford University

Political Legitimacy In Historical Political Economy, Avner Greif, Jared Rubin

ESI Working Papers

Political legitimacy has long been recognized in the social sciences as an integral component of governance. It encourages obedience without the threat of force, thus lowering governing costs and improving the efficacy of policies. This chapter begins by overviewing the extensive literature on political legitimacy, classifying studies by whether they are based on the beliefs (regarding the legitimacy of the authority) or effectiveness (good governance is legitimate governance). Among the studies focusing on beliefs, most take legitimacy as an exogenous element of political authority. We develop a conceptual framework to study how beliefs regarding political legitimacy form endogenously and impact ...


Weak Identification Of Long Memory With Implications For Inference, Jia LI, Peter C. B. PHILLIPS, Shuping SHI, Jun YU 2022 Singapore Management University

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 autore-gressive 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 identifi-cation 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.


Determinants Of The Withdrawal Of Foreign-Invested Enterprises: Evidence From China, Zhihao Wang 2022 University of Windsor

Determinants Of The Withdrawal Of Foreign-Invested Enterprises: Evidence From China, Zhihao Wang

Major Papers

Based on the industry and commerce annual report data, the present study uses the continuous-time nonparametric, parametric, and semi-parametric estimation to investigate the determinants influencing the withdrawal behaviour of foreign-invested enterprises. Through the survival analysis of 3,858 foreign-invested enterprises located in China from 2013 to 2020, the study found that operation profit, enterprise size and enterprise age have significantly negative impacts on the probability of enterprise withdrawal. At the industry-level and region-level, the improvement of industry entry rate and regional business environment ranking can significantly increase the probability of enterprise survival. The rise of the regional GDP growth rate ...


Youth Entrepreneurship Dynamics In Benin: Was Access To Finance The Missing Piece For Opportunistic Self-Employment?, Modeste Melain SENOU, Kolotioloman SORO 2022 African Economic Research Consortium

Youth Entrepreneurship Dynamics In Benin: Was Access To Finance The Missing Piece For Opportunistic Self-Employment?, Modeste Melain Senou, Kolotioloman Soro

The Journal of Entrepreneurial Finance

Young people in developing countries and more especially in Sub-Saharan African countries are seeking employment opportunities in challenging economic and social environments. Entrepreneurship appears then as a key factor in reducing unemployment, grasping for a sustainable job and reducing poverty. Both national and international authorities are taking steps to facilitate youth entrepreneurship. In that context, this study aims at reexamining the effect of access to finance on the dynamics of entrepreneurship of young people in transition from School to work in Benin. Using a SURE Probit procedure on data from the International Labor Organization (ILO) we estimated jointly the predicted ...


Does My Skin Tone Really Matter? A Socioeconomic Analysis In Nigeria., Mutiu O. Fakorede 2022 University of San Francisco

Does My Skin Tone Really Matter? A Socioeconomic Analysis In Nigeria., Mutiu O. Fakorede

Master's Theses

Abstract: Does my skin tone really matter? If it does, to what extent and direction does skin tone predict socioeconomic outcomes, especially amongst people of color who have experienced colonial rule with its white supremacy agenda? In this research, we examined if skin tone measured in individual typology angle (ITA) does not affect employability, income, partner selection, and political representativeness. With a focus on Nigeria, the most populous black nation, a former British colony, we addressed this broad question through a survey. Using the iterative capability of Qualtrics which randomly picks a set of three pictures with known ITA and ...


Digital Commons powered by bepress