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Bubble Testing Under Polynomial Trends, Xiaohu WANG, Jun YU 2023 Singapore Management University

Bubble Testing Under Polynomial Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the least squares estimator of the autoregressive (AR) coefficient in an AR(1) regression with intercept when data is generated from a polynomial trend model in different forms. It is shown that the commonly used right-tailed unit root tests tend to favor the explosive alternative. A new procedure, which implements the right-tailed unit root tests in an AR(2) regression, is proposed. It is shown that when the data generating process has a polynomial trend, the test statistics based on the new procedure cannot find evidence of explosiveness. Whereas, when the data generating process is …


Impact Of Recessions And The Business Cycle On Altruism, Nicolas De Mello 2023 Claremont Colleges

Impact Of Recessions And The Business Cycle On Altruism, Nicolas De Mello

CMC Senior Theses

I examine how recessions and the business cycle impact the time individuals allocate to altruism, using American Time Use Survey data from 2002-2019. The aim of the paper was to create a measure of altruism to explore changes in attitudes towards charity and altruism instead of the financial ability to do so. Additionally, I want to understand how economic shocks, such as recessions, impact behaviors and habits across the US population. Using ordinary least squares and the Tobit model, I created two models to capture both changes during and after recessionary periods. The first model is a regression of individuals’ …


Renewable Portfolio Standards: Effectiveness And Carbon Implications, Alexander S. Albrecht 2023 Claremont McKenna College

Renewable Portfolio Standards: Effectiveness And Carbon Implications, Alexander S. Albrecht

CMC Senior Theses

A renewable portfolio standard (RPS) policy is a popular regulatory tool implemented within the U.S. and abroad to limit energy sector emissions and incentivize renewable energy. Assessing their effectiveness and efficiency is a key component of achieving further reductions. We assess an energy market under an RPS using fixed-effects panel and 2SLS regression models to lend empirical credence to common theory-based concerns about RPS policy, namely (1) that they leave emissions unregulated once the RPS requirement is met and (2) that they do not incentivize full use of renewable energy resources. Our results show these to be valid concerns that …


H. Keith Hunt On Consumer Behavior: Understanding His Contribution, Laura Egan, David Aron 2022 University of North Dakota

H. Keith Hunt On Consumer Behavior: Understanding His Contribution, Laura Egan, David Aron

Librarian Publications

This study uses an ego-centric bibliometric analysis of H. Keith Hunt to elucidate his connection to researchers in the consumer behavior field and his impact on the field. We identified publications written or edited by Hunt using Web of Science, Google Scholar, and the Journal of Consumer Satisfaction, Dissatisfaction and Complaining Behavior; analyzed Hunt’s co-authors and citations in those works; and tabulated Hunt’s co-cited authors for top consumer behavior journals in Web of Science. Based on the analysis and quotes from his works and others about Hunt, we also identify and discuss dimensions related to Hunt’s impact on the …


Optimal Nonparametric Range-Based Volatility Estimation, Tim BOLLERSLEV, Jia LI, Qiyuan LI 2022 Singapore Management University

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 timeinterval. 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.


Predictive Mind Reading From First And Second Impressions: Better-Than-Chance Prediction Of Cooperative Behavior, Eric Schniter, Timothy W. Shields 2022 Chapman University

Predictive Mind Reading From First And Second Impressions: Better-Than-Chance Prediction Of Cooperative Behavior, Eric Schniter, Timothy W. Shields

ESI Working Papers

People’s appearance and behaviors in strategic interactions provide a variety of informative clues that can help people accurately predict beliefs, intentions, and future behaviors. Mind reading mechanisms may have been selected for that allow for better-than-chance prediction of others’ strategic social propensities based on the sparse information available when forming first and second impressions. We hypothesize that first impressions are based on prior beliefs and available information gleaned from another’s description and appearance. For example, where another’s gender is identified, prior gender stereotypes could influence expectations and correct guesses about them. We also hypothesize that mind reading mechanisms use second …


Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho LEE, Sunha MYONG 2022 Singapore Management University

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

Research Collection School Of Economics

We document a drastic increase in the number of female-owned new firms in the manufacturingindustry in South Korea after the Korean financial crisis of 1997. During the crisis, a majorbanking-sector reform was conducted, and inefficient banks were liquidated. We find that morefemale-owned and fewer male-owned firms were created after the crisis in areas that experiencedseverer banking-sector reform. We show evidence of discrimination against female entrepreneurs in the banking sector before the crisis: capital was misallocated in favor of less-performing malefirms before the crisis, even though investing in female firms generated higher returns and lowerrisks on average. Using a simple theoretical …


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 …


A General Test For Functional Inequalities, Jia LI, Zhipeng LIAO, Wenyu ZHOU 2022 Singapore Management University

A General Test For Functional Inequalities, Jia Li, Zhipeng Liao, Wenyu Zhou

Research Collection School Of Economics

This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.


Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho LEE, Sunha MYONG 2022 Singapore Management University

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

Research Collection School Of Economics

We document a drastic increase in the number of female-owned new firms in the manufacturing industry in South Korea after the Korean financial crisis of 1997. During the crisis, a major banking-sector reform was conducted, and inefficient banks were liquidated. We nd that more female-owned and fewer male-owned firms were created after the crisis in areas that experienced severer banking-sector reform. We show evidence of discrimination against female entrepreneurs in the banking sector before the crisis: capital was misallocated in favor of less-performing malefirms before the crisis, even though investing in female firms generated higher returns and lower risks on …


Contingent Payments In Procurement Interactions - Experimental Evidence, Matthew J. Walker, Jason Shachat, Lijia Wei 2022 Newcastle University

Contingent Payments In Procurement Interactions - Experimental Evidence, Matthew J. Walker, Jason Shachat, Lijia Wei

ESI Working Papers

A chief objective of creating competition among suppliers is the procurement of higher quality goods at lower prices. When procuring non-standard goods, it is often difficult to write a complete specification of desired quality in the contract. A moral hazard arises when this quality is costly and determined by the supplier ex post to contracting. In an effort to mitigate this moral hazard, we introduce a correlated contingent payment contract. This contract is awarded through competitive bidding. The winning supplier’s payment is, according to a fixed probability, either the amount of their bid or a quality contingent amount that depends …


Data Supplement To 'H. Keith Hunt On Consumer Behavior: Understanding His Contribution', Laura Egan, David Aron 2022 University of North Dakota

Data Supplement To 'H. Keith Hunt On Consumer Behavior: Understanding His Contribution', Laura Egan, David Aron

Datasets

Includes the data, data collection procedures, and data notes for the bibliometric analysis components of "H. Keith Hunt on Consumer Behavior: Understanding His Contribution.” The study uses an ego-centered bibliometric analysis method developed by Howard White to examine the impact of H. Keith Hunt on the field of consumer behavior. Ego-centered analysis is based on social network analysis where the social network modes are the citation identity, citation image, citation image-makers, and co-authors of an author studied. The data files address each of these aspects and the top consumer behavior journals used for the citation image portion of the data …


Volatility Puzzle: Long Memory Or Anti-Persistency, Shuping SHI, Jun YU 2022 Singapore Management University

Volatility Puzzle: Long Memory Or Anti-Persistency, Shuping Shi, Jun Yu

Research Collection School Of Economics

The log realized volatility (RV) is often modeled as an autoregressive fractionally integrated moving average model ARFIMA(1,d,01,d,0). Two conflicting empirical results have been found in the literature. One stream shows that log RV has a long memory (i.e., the fractional parameter d > 0). The other stream suggests that the autoregressive coefficient α is near unity with antipersistent errors (i.e., d α close to 0 and d close to 0.5) from Model 2Model 2 (ARFIMA(1,d,01,d,0) with α close to unity and d close to –0.5). An intuitive explanation is given. For the 10 financial assets considered, despite that no definitive conclusions …


Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping SHI, Jun YU, Chen ZHANG 2022 Singapore Management University

Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping Shi, Jun Yu, Chen Zhang

Research Collection School Of Economics

The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a fractional parameter H ∈ (0, 1). This paper first derives an analytical expression for the spectral density of fGn and investigates the accuracy of various approximation methods for the spectral density. Next, we conduct an extensive Monte Carlo study comparing the finite sample performance and computational cost of alternative estimation methods for H under the …


Four Essays On Peace Consolidation And Ethnic Reconciliation In Postwar Sri Lanka, Narayani Sritharan 2022 University of Massachusetts Amherst

Four Essays On Peace Consolidation And Ethnic Reconciliation In Postwar Sri Lanka, Narayani Sritharan

Doctoral Dissertations

In four essays, this dissertation explores the process of peace consolidation and economic recovery from the devastating conflict of 1983-2009 in Sri Lanka. This dissertation addresses a timely and important topic. The findings make an important contribution to the literature on economic development and peacebuilding, specifically on the role of foreign aid in alleviating the risks of conflict and helping countries rebuild their economies after conflict. The dissertation highlights important political economy dimensions that help illustrate social and political dynamics that lead to conflict, such as regional and ethnic inequalities, which also influence post-conflict reconstruction.

In addition to a historical …


On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu WANG, Chen ZHANG, Jun YU 2022 Singapore Management University

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

Research Collection School Of Economics

This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a continuous record over the finite past is available. Alternative discretiza-tion schemes are proposed to approximate these formulae. These alternative discretization schemes are then compared with the conditional expectation of the target variable on the vector of the discrete and finite sample. It is shown that the conditional expectation delivers more accurate forecasts than the discretization-based …


Litigation With Negative Expected Value Suits: An Experimental Analysis, Cary Deck, Paul Pecorino, Michael Solomon 2022 Chapman University

Litigation With Negative Expected Value Suits: An Experimental Analysis, Cary Deck, Paul Pecorino, Michael Solomon

ESI Working Papers

The existence of lawsuits providing plaintiffs a negative expected value (NEV) at trial has important theoretical implications for signaling models of litigation. The signaling equilibrium possible absent NEV suits breaks down with NEV suits because plaintiffs do not have a credible threat to proceed to trial undermining the ability to signal type. Using a laboratory experiment, we analyze behavior with and without the possibility of NEV suits. Absent NEV suits, behavior largely follows predicted patterns. However, the possibility of NEV suits does not cause the signaling equilibrium to unravel and does not cause the dispute rate to increase. Plaintiffs only …


Cities In A Pandemic: Evidence From China, Badi H. BALTAGI, Ying DENG, Li JING, Zhenlin YANG 2022 Singapore Management University

Cities In A Pandemic: Evidence From China, Badi H. Baltagi, Ying Deng, Li Jing, Zhenlin Yang

Research Collection School Of Economics

This paper studies the impact of urban density, city government efficiency, and medical resources on COVID-19 infection and death outcomes in China. We adopt a simultaneous spatial dynamic panel data model to account for (i) the simultaneity of infection and death outcomes, (ii) the spatial pattern of the transmission, (iii) the intertemporal dynamics of the disease, and (iv) the unobserved city-specific and time-specific effects. We find that, while population density increases the level of infections, government efficiency significantly mitigates the negative impact of urban density. We also find that the availability of medical resources improves public health outcomes conditional on …


Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yiu Lim LUI, Peter C. B. PHILLIPS, Jun YU 2022 Singapore Management University

Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yiu 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 …


Low-Rank Panel Quantile Regression: Estimation And Inference, Yiren WANG, Yichong ZHANG, Yichong ZHANG 2022 Singapore Management University

Low-Rank Panel Quantile Regression: Estimation And Inference, Yiren Wang, Yichong Zhang, Yichong Zhang

Research Collection School Of Economics

In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm regularization followed by sample splitting, row- and column-wise quantile regressions and debiasing. We show that the estimators of the factors and factor loadings associated with the intercept and slope matrices are asymptotically normally distributed. In addition, we develop two specification tests: one for the null hypothesis that the slope coefficient is a constant over time and/or individuals under the case that true rank of slope …


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