Folklore Theorems, Implicit Maps, And Indirect Inference,
2012
Singapore Management University
Folklore Theorems, Implicit Maps, And Indirect Inference, Peter C. B. Phillips
Research Collection School Of Economics
The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of functions that are commonly encountered in applications and where the usual methods sometimes fail. Important examples of failure arise in the use of simulation-based estimation methods such as indirect inference. The paper explores the application of these methods to the indirect inference estimator (IIE) in first order autoregressive estimation. The IIE uses a binding function that is sample size dependent. Its limit theory relies on a sequence-based delta method in the stationary …
Bayesian Learning Of Impacts Of Self-Exciting Jumps In Returns And Volatility,
2012
ESSEC Business School
Bayesian Learning Of Impacts Of Self-Exciting Jumps In Returns And Volatility, Andras Fulop, Junye Li, Jun Yu
Research Collection School Of Economics
The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and volatility and jump clustering. To properly deal with parameter uncertainty and in-sample over-fitting, a Bayesian learning approach combined with an efficient particle filter is employed. It not only allows for comparison of both nested and non-nested models, but also generates all quantities necessary for sequential model analysis. Empirical investigation using S&P 500 index returns shows …
Conditional Independence Specification Testing For Dependent Processes With Local Polynomial Quantile Regression,
2012
Singapore Management University
Conditional Independence Specification Testing For Dependent Processes With Local Polynomial Quantile Regression, Liangjun Su, Halbert L. White
Research Collection School Of Economics
We provide straightforward new nonparametric methods for testing conditional independence using local polynomial quantile regression, allowing weakly dependent data. Inspired by Hausman's (1978) specification testing ideas, our methods essentially compare two collections of estimators that converge to the same limits under correct specification (conditional independence) and that diverge under the alternative. To establish the properties of our estimators, we generalize the existing nonparametric quantile literature not only by allowing for dependent heterogeneous data but also by establishing a weak consistency rate for the local Bahadur representation that is uniform in both the conditioning variables and the quantile index. We also …
Buyer's Equilibrium With Capacity Constraints And Restricted Mobility: A Recursive Approach,
2012
Chapman University
Buyer's Equilibrium With Capacity Constraints And Restricted Mobility: A Recursive Approach, Gabriele Camera, Jaehong Kim
ESI Working Papers
We study a decentralized trading model as in Peters (1984), where heterogeneous market participants face a trade-o between price and trade probability. We present a novel proof of existence of a unique demand vector in Nash equilibrium, based on a recursive approach that exploits the monotonicity of matching functions.
Information Effects In Multi-Unit Dutch Auctions,
2012
Chapman University
Information Effects In Multi-Unit Dutch Auctions, Joy A. Buchanan, Steven Gjerstad, David Porter
ESI Working Papers
We design a multi-unit descending-price (Dutch) auction mechanism that has applications for resource allocation and pricing problems. We address specific auction design choices by theoretically and experimentally determining optimal information disclosure along two dimensions. Bidders are either informed of the number of bidders in the auction, or know that it is one of two possible sizes; they also either know the number of units remaining for sale or are unaware of how many units have been taken by other bidders. We find that revealing group size decreases bids, and therefore revenue, if units remaining are not shown. When group size …
Do Liars Believe? Beliefs And Other-Regarding Preferences In Sender-Receiver Games,
2012
Chapman University
Do Liars Believe? Beliefs And Other-Regarding Preferences In Sender-Receiver Games, Roman M. Sheremeta, Timothy W. Shields
ESI Working Papers
We examine subjects‟ behavior in sender-receiver games where there are gains from trade and alignment of interests in one of the two states. We elicit subjects‟ beliefs, risk and other-regarding preferences. Our design also allows us to examine the behavior of subjects in both roles, to determine whether the behavior in one role is the best response to the subject‟s own behavior in the other role. The results of the experiment indicate that 60 percent of senders adopt deceptive strategies by sending favorable message when the true state of the nature is unfavorable. Nevertheless, 67 percent of receivers invest conditional …
Are You A Good Employee Or Simply A Good Guy? Influence Costs And Contract Design,
2012
Chapman University
Are You A Good Employee Or Simply A Good Guy? Influence Costs And Contract Design, Brice Corgnet, Ismael Rodriguez-Lara
ESI Working Papers
We develop a principal–agent model with a moral hazard problem in which the principal has access to a hard signal (the level of output) and a soft behavioral signal (the supervision signal) about the agent's level of effort. In our model, the agent can initiate influence activities and manipulate the behavioral signal. These activities are costly for the principal as they detract the agent from the productive task. We show that the agent's ability to manipulate the behavioral signal leads to low-powered incentives and increases the cost of implementing the efficient equilibrium as a result. Interestingly, the fact that manipulation …
Experimental Evidence On The Properties Of The California’S Cap And Trade Price Containment Reserve,
2012
Chapman University
Experimental Evidence On The Properties Of The California’S Cap And Trade Price Containment Reserve, Rachel Bodsky, Domenic Donato, Kevin James, David Porter
ESI Working Papers
We report on a series of experiments to examine the properties of California’s Reserve Sale allocation mechanism to be implemented as part of the forthcoming cap and trade program and compare it with an alternative reserve sale mechanism. The proposed reserve sale mechanism allows covered entities to purchase allowances after the primary auction sale at fixed prices. If demand for units is greater the amount supplied in the reserve sale, a Proportional Rationing rule is used to distribute allowances based on submitted request for units. This rule is contrasted with to an alternative rule, Equal Rationing in which allowances are …
Are All R&D Dollars Created Equal?: A Look At The Effect Of Federal Investment On Patent Success,
2012
Pepperdine University
Are All R&D Dollars Created Equal?: A Look At The Effect Of Federal Investment On Patent Success, Casey J. O'Neil
Pepperdine Policy Review
No abstract provided.
Estimating The Impact Of Cell Phone Laws On Car Accident Fatalities,
2012
Pepperdine University
Estimating The Impact Of Cell Phone Laws On Car Accident Fatalities, Odinakachi Anyanwu
Pepperdine Policy Review
No abstract provided.
Driving Qi With Research: Findings From Public Health Pbrns,
2011
University of Kentucky
Driving Qi With Research: Findings From Public Health Pbrns, Glen P. Mays
Health Management and Policy Presentations
Public health agencies are increasingly experimenting with quality improvement (QI) strategies designed to enhance the effectiveness and efficiency of their efforts. Does QI work in public health, and if so for whom and under what circumstances? What QI strategies work best for which types of public health process failures, and at what cost? Research underway through the Public Health Practice-Based Research Networks (PBRN) Program is examining these types of questions to build an evidence base for public health QI.
Rhode Island Current Conditions Index — December 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — December 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009),
2011
Department of Agricultural Economics and Extension University of Port Harcourt, Nigeria
Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009), Anthony O. Onoja, M. E. Onu, S. Ajodo-Ohiemi
CBN Journal of Applied Statistics (JAS)
This study analyzed the trends and pattern of institutional credit supply to agriculture during pre- and post-financial reforms along with their determinants. It then compared the effects of reform policies on access to institutional credits in Nigerian agricultural sector before and after the reforms (1978 - 1985; and 1986 -2009). Relying mainly on time series data from CBN and NBS, it used ordinary least squares method (linear, semi-log and double log) to model the determinants of banking sector lending to the agricultural sector during the review period. The models were subjected to several econometric tests before accepting one. Chow test …
Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach,
2011
Department of Economics, University of Maiduguri
Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach, David Irefin, Baba N. Yaaba
CBN Journal of Applied Statistics (JAS)
On global scale, central banks’ holdings of foreign reserves have escalated sharply in recent years. World international reserves holdings have risen significantly from US$1.2 trillion in 1995 to nearly US$10.0 trillion in June 2011. Dominant among these reserves are concentrated in the hands of few countries. Ten major holders of foreign reserves are mostly from Asia. Oil exporting countries in Africa and the Middle East are not left out in this trend. Nigeria’s foreign reserves rose from US$5.5 billion in 1999 to US$62.40 billion in July 2008, making Nigeria the twenty-fourth largest reserves holder in the world. This pace of …
Effects Of Exchange Rate Movements On Economic Growth In Nigeria,
2011
Department of Economics, University of Ibadan
Effects Of Exchange Rate Movements On Economic Growth In Nigeria, Eme O. Akpan, Johnson A. Atan
CBN Journal of Applied Statistics (JAS)
This study investigates the effect of exchange rate movements on real output growth in Nigeria. Based on quarterly series for the period 1986 to 2010, the paper examines the possible direct and indirect relationship between exchange rates and GDP growth. The relationship is derived in two ways using a simultaneous equations model within a fully specified (but small) macroeconomic model. A Generalised Method of Moments (GMM) technique was explored. The estimation results suggest that there is no evidence of a strong direct relationship between changes in exchange rate and output growth. Rather, Nigeria’s economic growth has been directly affected by …
Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses,
2011
Datatric Research Consulting, Nigeria
Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses, Babatunde Adeoye, Akinwande A. Atanda
CBN Journal of Applied Statistics (JAS)
The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates all through different time horizons. On this basis, this study examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis-a-vis the United State dollar using monthly time series data from 1986 to 2008. The standard Purchasing Power Parity (PPP) model was used to analyze the long-run consistency of …
Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis,
2011
1Department of Statistics Collage of Science and Technology. Waziri Umaru Federal Polytechnic Birnin Kebbi, Nigeria
Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis, F. Z. Abdullahi, S. Ladan, Haruna R. Bakari
CBN Journal of Applied Statistics (JAS)
This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of the impact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation. The study further investigates the causal relationship using the Granger causality analysis of VECM which indicates a uni-directional causality relationship between GDP and FDI …
Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation,
2011
Department of Economics, Modibbo Adama University of Technology, Yola, Nigeria
Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation, Aniekan O. Akpansung, Sikiru J. Babalola
CBN Journal of Applied Statistics (JAS)
The paper examines the relationship between banking sector credit and economic growth in Nigeria over the period 1970-2008. The causal links between the pairs of variables of interest were established using Granger causality test while a Two-Stage Least Squares (TSLS) estimation technique was used for the regression models. The results of Granger causality test show evidence of unidirectional causal relationship from GDP to private sector credit (PSC) and from industrial production index (IND) to GDP. Estimated regression models indicate that private sector credit impacts positively on economic growth over the period of coverage in this study. However, lending (interest) rate …
Neither The Washington Nor Beijing Consensus: Developmental Models To Fit African Realities And Cultures,
2011
Central Bank of Nigeria
Neither The Washington Nor Beijing Consensus: Developmental Models To Fit African Realities And Cultures, Sanusi L. Sanusi
CBN Journal of Applied Statistics (JAS)
No abstract provided.
Banking Reform And Its Impact On The Nigerian Economy,
2011
Central Bank of Nigeria
Banking Reform And Its Impact On The Nigerian Economy, Sanusi L. Sanusi
CBN Journal of Applied Statistics (JAS)
No abstract provided.
