On The Intraday Periodicity Duration Adjustment Of High-Frequency Data,
2012
Singapore Management University
On The Intraday Periodicity Duration Adjustment Of High-Frequency Data, Wu Zhengxiao
Research Collection School Of Economics
In the last decade, intensive studies on modeling high frequency financial data at the transaction level have been conducted. In the analysis of high-frequency duration data, it is often the first step to remove the intraday periodicity. Currently the most popular adjustment procedure is the cubic spline procedure proposed by Engle and Russell (1998). In this article, we first carry out a simulation study and show that the performance of the cubic spline procedure is not entirely satisfactory. Then we define periodicity point processes rigorously and prove a time change theorem. A new intraday periodic adjustment procedure is then proposed …
Estimating Medical Cost Offsets Attributable To Public Health Spending,
2012
University of Kentucky
Estimating Medical Cost Offsets Attributable To Public Health Spending, Glen P. Mays
Health Management and Policy Presentations
Uncertainty about the magnitude and timing of economic returns associated with spending on public health services has contributed to policy debates about the optimal role of the federal government in financing these services.
Public Health Spending, Preventable Outcomes, And Medical Cost Offsets: Questions For Health Reform,
2012
University of Kentucky
Public Health Spending, Preventable Outcomes, And Medical Cost Offsets: Questions For Health Reform, Glen P. Mays
Health Management and Policy Presentations
Uncertainty continues to surround the health and economic effects that can be expected from increased federal spending on public health and prevention strategies. Recent research provides some insight into the question of whether spending on public health strategies can offset the need for future spending on medical care.
Does The Economy Determine The President? A Regression Model For Predicting Us Presidential Elections,
2012
Brigham Young University - Utah
Does The Economy Determine The President? A Regression Model For Predicting Us Presidential Elections, Roy K. Roth
Undergraduate Economic Review
There is a prevalent belief that the economy determines the President. If the economy is good, the President keeps his job, if it is bad, he is out. A large body of econometric literature has been published on this topic. This paper takes a new approach. I look not at how the popular vote changes with economic conditions, but how the electoral vote changes. I further examine how these changes affect the probability that the incumbent party stays in office. I find that economic conditions may not be as important as they have been purported to be.
Rhode Island Current Conditions Index — February 2012,
2012
University of Rhode Island
Rhode Island Current Conditions Index — February 2012, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Pricing For Goodwill: A Threshold Quantile Regression Approach,
2012
Shanghai Jiaotong University
Pricing For Goodwill: A Threshold Quantile Regression Approach, Heng Ju, Liangjun Su, Pai Xu
Research Collection School Of Economics
In the absence of other effective trust systems, an agent's reputation status becomes a critical factor in online transactions. A higher reputation category may give sellers an advantage in competition on online trading platforms. It is also possible that such reputation benefits provide sufficient incentives for sellers to adjust their pricing behavior. We here propose a simple economic model in which an online seller maximizes the sum of the profit from current sales and the possible future gain from a targeted higher reputation level. We show that the model can predict a jump in optimal pricing behavior. We adopt a …
Bayesian Hypothesis Testing In Latent Variable Models,
2012
Sun Yat-sen University
Bayesian Hypothesis Testing In Latent Variable Models, Yong Li, Jun Yu
Research Collection School Of Economics
Hypothesis testing using Bayes factors (BFs) is known not to be well defined under the improper prior. In the context of latent variable models, an additional problem with BFs is that they are difficult to compute. In this paper, a new Bayesian method, based on the decision theory and the EM algorithm, is introduced to test a point hypothesis in latent variable models. The new statistic is a by-product of the Bayesian MCMC output and, hence, easy to compute. It is shown that the new statistic is appropriately defined under improper priors because the method employs a continuous loss function. …
The Et Interview: A Conversation With Professor Eric Ghysels,
2012
Singapore Management University
The Et Interview: A Conversation With Professor Eric Ghysels, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Eric Ghysels is the Bernstein Distinguished Professor of Economics and Professor of Finance at University of North Carolina at Chapel Hill. In 2008, Eric Ghysels and Robert Engle (2003 Nobel co-Laureate in Economic Science with Clive Granger) founded the Society for Financial Econometrics (SoFiE), establishing a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. In June 2010, Eric visited the Centre for Financial Econometrics (CoFiE) and the Sim Kee Boon Institute (SKBI) of Financial Economics at Singapore Management University. During his visit we conversed with him about SoFiE and the growing toolroom of financial …
Testing For Common Trends In Semi-Parametric Panel Data Models With Fixed Effects,
2012
Singapore Management University
Testing For Common Trends In Semi-Parametric Panel Data Models With Fixed Effects, Yonghui Zhang, Liangjun Su, Peter C. B. Phillips
Research Collection School Of Economics
This paper proposes a non-parametric test for common trends in semi-parametric panel data models with fixed effects based on a measure of non-parametric goodness-of-fit (R2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain the augmented residual which consistently estimates the sum of the fixed effect and the disturbance under the null. Then we run a local linear regression of the augmented residuals on a time trend and calculate the non-parametric R2 for each cross-section unit. The proposed test statistic is obtained by averaging all cross-sectional non-parametric R2s, …
The Staffing Of Presidential Assistants: Their Effect On Presidential Success In The House Of Representatives,
2012
Gettysburg College
The Staffing Of Presidential Assistants: Their Effect On Presidential Success In The House Of Representatives, Nicholas R. Jesteadt
Gettysburg Economic Review
This paper examines the Congressional success of United States Presidents based on the reported Congressional Quarterly Presidential Box Scores. Their individual success is examined as an effect of the senior staff member a President chooses and whether they are chosen from the campaign, personal experience, or previous administrations. It is important for a President to consider the origins of these staffers as these Assistants to the President act as the body of the President’s administration. The econometric analysis presented reveals several interesting results. First, the predominance of a President to choose staff members from his campaign shows no significant impact …
The Impact Of The American Recovery And Reinvestment Plan On The Job Market,
2012
Bryant University
The Impact Of The American Recovery And Reinvestment Plan On The Job Market, Matthew Schur
Empirical Economic Bulletin, An Undergraduate Journal
This paper will investigate the impact of the American Recovery and Reinvestment Act on the job market. The ARRA, also known as the Stimulus or the Recovery Act, is a stimulus package that was passed by the 111th United States Congress in February 2009 and signed into law on the 17th of February by President Barack Obama. The primary focus of this bill was to save and create jobs in response to the 2000’s recession that our economy faced. We will evaluate impact of the ARRA by using the latest census bureau data of each state and regression analysis. Our …
The Gettysburg Economic Review, Volume 6, Spring 2012,
2012
Gettysburg College
The Gettysburg Economic Review, Volume 6, Spring 2012
Gettysburg Economic Review
No abstract provided.
Rhode Island Current Conditions Index — January 2012,
2012
University of Rhode Island
Rhode Island Current Conditions Index — January 2012, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
The Effect Of Homeownership On Household Savings In The United States,
2012
Bryant University
The Effect Of Homeownership On Household Savings In The United States, Jacquelyn Ammirato
Empirical Economic Bulletin, An Undergraduate Journal
This paper examines the effect of changes in house prices on the saving patterns of households in the United States of America. The paper uses data from the Panel Study of Income Dynamics. Three empirical models are run, one for 2009, one for 2005 and one for 1999 data, to account for differences in household income, age of the head of household, employment status, and mortgage information. The results indicate that whether the home is owned or rented has a significant impact on household savings in each year.
Offshoring And The Effects On American It Workers,
2012
Bryant University
Offshoring And The Effects On American It Workers, Kristen Bousquet
Empirical Economic Bulletin, An Undergraduate Journal
This paper will use an existing model from Amiti and Wei (2009) to illustrate the potentially positive effects that offshoring will have on the productivity of American IT workers and the IT industry. The inputs that will be used to measure productivity are labor, capital, materials, service inputs, and the offshoring of materials and services and were collected from the Bureau of Economic Analysis and the Bureau of Labor Statistics. Based on a previous study from Amiti and Wei (2009), the results may suggest that there is a positive correlation from offshoring and productivity.
Comment,
2012
University of Richmond
Impact Of Work Values And Individual Attributes On Citizenship And Task Performance: A Test In A Developing Country Context,
2012
University of Wollongong
Impact Of Work Values And Individual Attributes On Citizenship And Task Performance: A Test In A Developing Country Context, Anil Chadrakumara
Journal for the Advancement of Developing Economies
This study examined the impact of work values and individual characteristics on organizational citizenship behavior (OCB) and task performance (TP). Based on the arguments of Social Capital Theory, a theoretical foundation was developed to use work values as antecedents of OCB. Analyzing 416 responses from Sri Lankan manufacturing sector employees, it was found that gender and employment category were related to citizenship performance, while level of education was related to task performance. More importantly, the impact of work values (work norms, work ethics, and intrinsic values) on OCB was found to be more significant than that of demographic factors. Overall, …
Technology And The Export Behavior Of Small, Locally- Owned Firms: New Insight,
2012
The University of the West Indies
Technology And The Export Behavior Of Small, Locally- Owned Firms: New Insight, Densil A. Williams
Journal for the Advancement of Developing Economies
This paper investigates the relationship between technology and the export performance of small, locally-owned firms in the Jamaican economy. The literature argues that technology is an important variable in influencing the export performance of small firms given its technological ability to generate competitive advantage for the firm. However, the results from empirical studies are not always consistent. To investigate this issue, the paper uses survey data collected through face-to-face interviews of 92 exporters and non-exporters to estimate a logistic regression model of the firm’s export behavior. The results revealed that firm size, is the most critical factor that determines export …
Measuring Water Poverty Index In Urban Areas Of Punjab,
2012
University of Central Punjab
Measuring Water Poverty Index In Urban Areas Of Punjab, Kanwal Zahra, Syed Hussain Haider, Afzal Mahmood, Sami Ullah
Journal for the Advancement of Developing Economies
The urban population of Punjab is growing rapidly. It is projected that there will be a 25 to 30 percent increase in urban population by 2020. This rapid population increase is causing major problems in the efficient provision of urban services in these cities. To evaluate the effect of this population increase, this paper tries to produce an integrated assessment of water stress and scarcity, linking physical estimates of water availability with socioeconomic variables that reflect poverty, i.e., a Water Poverty Index. It is understood that poor households face the problem of the accessibility of potable water, and this results …
Supply Response, Exchange Rate And Domestic Price In Nigeria,
2012
Federal University, Wukari, Nigeria
Supply Response, Exchange Rate And Domestic Price In Nigeria, Emmanuel C. Ani, Samson Adeniyi Aladejare
Journal for the Advancement of Developing Economies
The purpose of this paper is to empirically investigate the impact of exchange rate and domestic price on export trade in Nigeria. Firstly, based on the literature review and findings of the study in the area, the paper aligned itself within the premise of the traditionalist view which concludes that non-oil export trade in Nigeria is predicated by currency depreciation via lower export prices. Secondly, the introduction of domestic prices, alongside naira rate of exchange as major determinants of non–oil exports in Nigeria, has the implication of showing that currency devaluation could be used to improve the balance of payment …
