Rhode Island Current Conditions Index — October 2012,
2012
University of Rhode Island
Rhode Island Current Conditions Index — October 2012, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Approach,
2012
Singapore Management University
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Approach, Yiu Kuen Tse, Thomas Tao Yang
Research Collection School Of Economics
We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) model, called the ACD-ICV method. We compare the daily volatility estimated using the ACD-ICV method against several versions of the realized volatility (RV) method, including the bipower variation RV with subsampling, the realized kernel estimate, and the duration-based RV. Our Monte Carlo results show that the ACD-ICV method has lower root mean-squared error than the RV methods in almost all cases considered. This article has online supplementary material.
Rhode Island Current Conditions Index — September 2012,
2012
University of Rhode Island
Rhode Island Current Conditions Index — September 2012, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Why Clayton And Gumbel Copulas: A Symmetry-Based Explanation,
2012
The University of Texas at El Paso
Why Clayton And Gumbel Copulas: A Symmetry-Based Explanation, Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta
Departmental Technical Reports (CS)
In econometrics, many distributions are non-Gaussian. To describe dependence between non-Gaussian variables, it is usually not sufficient to provide their correlation: it is desirable to also know the corresponding copula. There are many different families of copulas; which family shall we use? In many econometric applications, two families of copulas have been most efficient: the Clayton and the Gumbel copulas. In this paper, we provide a theoretical explanation for this empirical efficiency, by showing that these copulas naturally follow from reasonable symmetry assumptions. This symmetry justification also allows us to provide recommendations about which families of copulas we should use …
Reinventing The 21st Century Public Health Workforce: Innovation, Evaluation & Practice-Based Research,
2012
University of Kentucky
Reinventing The 21st Century Public Health Workforce: Innovation, Evaluation & Practice-Based Research, Glen P. Mays
Health Management and Policy Presentations
Compelling opportunities exist for incorporating practice-based research to into the design, implementation, and evaluation of public health workforce training and development programs. Public Health Training Centers (PHTCs) can collaborate with practice-based research networks (PBRNs) to discover and disseminate evidence-based strategies for workforce development.
Essays In Inflation And Monetary Dynamics In Developing Countries,
2012
University of Nebraska-Lincoln
Essays In Inflation And Monetary Dynamics In Developing Countries, Simon K. Harvey
College of Business: Dissertations, Theses, and Student Research
This dissertation is consists of three essays. In the first essay, I analyze how the information contained in the disaggregate components of aggregate inflation helps improve the forecasts of the aggregate series using inflation data from Ghana. Direct univariate forecasting of the aggregate inflation data by an autoregressive (AR) model is used as the benchmark with which all autoregressive (AR), moving average (MA) and vector autoregressive (VAR) models of the disaggregates are compared. The results show that directly forecasting the aggregate series from the benchmark model is generally superior to aggregating forecasts from the disaggregate components. Additionally, including information from …
Does The Equity Market Affect Economic Growth?,
2012
Macalester College
Does The Equity Market Affect Economic Growth?, Kwame D. Fynn
The Macalester Review
This paper examines the impact of the stock market primarily on economic growth using panel data from 1990-2010. I apply Generalized Least Squares techniques for fixed effects with the exclusion of the subgroup 2005-2010 which uses random effects. The effect of the stock market on growth is based on country-specific effects and varies in different time periods.
Rhode Island Current Conditions Index — August 2012,
2012
University of Rhode Island
Rhode Island Current Conditions Index — August 2012, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
International Knowledge Flows And Technological Advance: The Role Of International Migration,
2012
University of Nebraska-Lincoln
International Knowledge Flows And Technological Advance: The Role Of International Migration, Kacey N. Douglas
College of Business: Dissertations, Theses, and Student Research
Immigration is a major aspect of globalization. As the world becomes increasingly integrated, it becomes important to learn more about the effects of immigration on global economic growth. According to Robert Solow’s long run growth model, technological advance is the only form of economic growth sustainable in the long run. Those who contribute to technological advance – highly skilled labor – however, increasingly emigrate from lesser developed to more developed countries in a process known as brain drain. This process has been shown to lead to a permanent increase in income and growth in the host country relative to the …
Optimal Estimation Under Nonstandard Conditions,
2012
Washington University in St. Louis
Optimal Estimation Under Nonstandard Conditions, Werner Ploberger, Peter C. B. Phillips
Research Collection School Of Economics
We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series. The classical Hajek-Le Cam optimality theory is adapted to cover this situation. We show that the expectation of certain monotone "bowl-shaped" functions of the squared estimation error are minimized by the ML estimator in locally asymptotically quadratic situations, which often occur in nonstationary time series analysis when the LAN property fails. Moreover, we demonstrate a direct connection between …
Detecting Bubbles In Hong Kong Residential Property Market,
2012
Singapore Management University
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Research Collection School Of Economics
This study uses a newly developed bubble detection method (Phillips, Shi and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, the method finds a …
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity,
2012
University of London
Mean And Autocovariance Function Estimation Near The Boundary Of Stationarity, Liudas Giraitis, Peter C. B. Phillips
Research Collection School Of Economics
We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases which vary with the sample size. The rate of consistency and the validity of the normal asymptotic approximation for the corresponding estimators is determined both by the sample size n and a parameter measuring the proximity of the model to the unit root boundary. (C) 2012 Elsevier B.V. All rights reserved.
Robust Deviance Information Criterion For Latent Variable Models,
2012
Renmin University of China
Robust Deviance Information Criterion For Latent Variable Models, Yong Li, Tao Zeng, Jun Yu
Research Collection School Of Economics
It is shown in this paper that the data augmentation technique undermines the theoretical underpinnings of the deviance information criterion (DIC), a widely used information criterion for Bayesian model comparison, although it facilitates parameter estimation for latent variable models via Markov chain Monte Carlo (MCMC) simulation. Data augmentation makes the likelihood function non-regular and hence invalidates the standard asymptotic arguments. A new information criterion, robust DIC (RDIC), is proposed for Bayesian comparison of latent variable models. RDIC is shown to be a good approximation to DIC without data augmentation. While the later quantity is difficult to compute, the expectation { …
Recent Advances In Nonstationary Time Series: A Festschrift In Honor Of Peter C. B. Phillips,
2012
University of Pennsylvania
Recent Advances In Nonstationary Time Series: A Festschrift In Honor Of Peter C. B. Phillips, Robert S. Mariano, Zhijie Xiao, Jun Yu
Research Collection School Of Economics
On July 14–15, 2008, the School of Economics and the Sim Kee Boon Institute for Financial Economics at Singapore Management University (SMU) co-hosted a conference honoring the contribution of Peter Phillips to econometrics and statistics, in celebration of his 60th birthday. In total, 51 papers were presented by his colleagues and former students, who deeply appreciate and respect Peter as a true scholar and a good friend. These papers mainly cover two areas of Peter’s current research interests—nonstationary time series analysis, and panel, nonlinear and nonparametric models. On the basis of this conference, we have taken the opportunity to edit …
Making The Case For Public Health: Estimating Roi And Value,
2012
University of Kentucky
Making The Case For Public Health: Estimating Roi And Value, Glen P. Mays
Health Management and Policy Presentations
This presentation describes recent progress and new directions for estimating the value of public health strategies and infrastructure.
Rhode Island Current Conditions Index — July 2012,
2012
University of Rhode Island
Rhode Island Current Conditions Index — July 2012, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Statistical Tests For Multiple Forecast Comparison,
2012
Singapore Management University
Statistical Tests For Multiple Forecast Comparison, Roberto Mariano, Daniel P. A. Preve
Research Collection School Of Economics
We consider a multivariate version of the Diebold–Mariano test for equal predictive ability of three or more forecasting models. The Wald-type test, S, which has a null distribution that is asymptotically chi-squared, is shown to be generally invariant with respect to the ordering of the models being compared. Finite-sample corrections for the test are also developed. Monte Carlo simulations indicate that S has reasonable size properties in large samples but tends to be oversized in moderate samples. The finite-sample correction succeeds in correcting for size, but only partially. For the size-adjusted tests, power increases with sample size, as expected. It …
Sieve Estimation Of Panel Data Models With Cross Section Dependence,
2012
Singapore Management University
Sieve Estimation Of Panel Data Models With Cross Section Dependence, Liangjun Su, Sainan Jin
Research Collection School Of Economics
In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence, where the individual-specific regressors enter the model nonparametrically whereas the common factors enter the model linearly. We consider both heterogeneous and homogeneous regression relationships when both the time and cross-section dimensions are large. We propose sieve estimators for the nonparametric regression functions by extending Pesaran’s (2006) common correlated effect (CCE) estimator to our semiparametric framework. Asymptotic normal distributions for the proposed estimators are derived and asymptotic variance estimators are provided. Monte Carlo simulations indicate that our estimators perform well in finite samples.
Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models,
2012
Singapore Management University
Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu
Research Collection School Of Economics
It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process with a known long run mean when discretely sampled data are available. The first expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression does not work satisfactorily when the …
Quantifying The Value Of Public Health Investments,
2012
University of Kentucky
Quantifying The Value Of Public Health Investments, Glen P. Mays
Health Management and Policy Presentations
This session reviews recent findings from a series of studies that estimate the health and economic effects attributable to investments in public health services and delivery systems.
