Instrumental Variable Quantile Estimation Of Spatial Autoregressive Models,
2011
Singapore Management University
Instrumental Variable Quantile Estimation Of Spatial Autoregressive Models, Liangjun Su, Zhenlin Yang
Research Collection School Of Economics
We propose a spatial quantile autoregression (SQAR) model, which allows cross-sectional dependence among the responses, unknown heteroscedasticity in the disturbances, and heterogeneous impacts of covariates on different points (quantiles) of a response distribution. The instrumental variable quantile regression (IVQR) method of Chernozhukov and Hansen (2006) is generalized to allow the data to be non-identically distributed and dependent, an IVQR estimator for the SQAR model is then defined, and its asymptotic properties are derived. Simulation results show that this estimator performs well in finite samples at various quantile points. In the special case of spatial median regression, it outperforms the conventional …
New York Camp Econometrics Vi Program,
2011
Syracuse University
New York Camp Econometrics Vi Program, Center For Policy Research
Camp Econometrics-Programs
No abstract provided.
Rhode Island Current Conditions Index — April 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — April 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Economic Freedom And Fiscal Performance: A Regression Analysis Of Indices Of Economic Freedom On Per Capita Gdp,
2011
Brigham Young University - Utah
Economic Freedom And Fiscal Performance: A Regression Analysis Of Indices Of Economic Freedom On Per Capita Gdp, Jason R. Ockey
Undergraduate Economic Review
This paper explores whether different forms of economic freedom drive fiscal performance. We also seek to determine which specific measurements of economic freedom have the most statistically significant impacts. Though the results of our analysis show that economic freedom does impact levels of per capita GDP, the interpretation of these results is more complicated. Because some indices of economic freedom have negative effects on per capita GDP or are statistically insignificant, it is important to note that simply generally increasing a country’s overall level of economic freedom will not necessarily spur economic growth or increase fiscal performance. This paper does …
Bias In Estimating Multivariate And Univariate Diffusions,
2011
Singapore Management University
Bias In Estimating Multivariate And Univariate Diffusions, Xiaohu Wang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and trapezoidal approximations as special cases and leads to a general class of estimators for the mean reversion matrix. Asymptotic distributions and bias formulae are obtained for estimates of the mean reversion parameter. Explicit expressions are given for the discretization bias and its relationship to estimation bias in both multivariate and …
Asymptotic Theory For Zero Energy Functionals With Nonparametric Regression Applications,
2011
University of Sydney
Asymptotic Theory For Zero Energy Functionals With Nonparametric Regression Applications, Qiying Wang, Peter C. B. Phillips
Research Collection School Of Economics
A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are functions of both sample size and bandwidth. An interesting outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In consequence and in contrast to the stationary case, the Nadaraya-Watson estimator has the same limit distribution (to the second order including bias) as the local linear …
Target Industry Study: An Empirical Analysis Of Intertemporal Trends In Regional Industrial Base Composition,
2011
Lynchburg College
Target Industry Study: An Empirical Analysis Of Intertemporal Trends In Regional Industrial Base Composition, David M. Smith
Undergraduate Theses and Capstone Projects
This paper follows existing literature on local industrial conditions and agglomeration economies in an adapted shift-share framework. The purpose of this study is to develop a cost-efficient empirical model that meets the needs of local government in analyzing changes in industrial composition. The data for this model is obtained from the Bureau of Labor Statistics' Quarterly Census of Employment and Wages (QCEW) with nondisclosed data provided by the Virginia Employment Commission which is sorted by North American Industrial Classification System (NAICS) 2-digit industrial sectors. The model developed in this paper identifies certain industrial sectors which exert significant influence on the …
Infinite Density At The Median And The Typical Shape Of Stock Return Distributions,
2011
Korea University - Korea
Infinite Density At The Median And The Typical Shape Of Stock Return Distributions, Chirok Han, Jin Seo Cho, Peter C. B. Phillips
Research Collection School Of Economics
Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L(1) estimation asymptotics in conjunction with nonparametric kernel density estimation methods. The size and power of the tests are assessed, and conditions under which the tests have good performance are explored in simulations. The new methods are applied to stock returns of leading companies across major U.S. industry groups. The results confirm the presence of infinite density at the median as a new significant empirical evidence …
Impact Of The Economic Downturn On Local Governments In South Carolina,
2011
University of South Carolina
Impact Of The Economic Downturn On Local Governments In South Carolina, William Tomes
Georgia Journal of Public Policy
Across the country local government revenues have decreased while operating costs such as fuel, materials, equipment, and health insurance costs have significantly increased. In addition to reduced revenues, interest earnings for city and county government investments are low. These factors combined have created a difficult financial arena in which local governments must operate. While economists are reporting signs of economic recovery, many city and county budgets are just now feeling the full brunt of the economic downturn that began in 2008. On a daily basis, news media nationwide report local governments addressing budget deficits by cutting services, eliminating positions, or …
Rhode Island Current Conditions Index — March 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — March 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
A Note On The Interpretation Of Scale Values In Multidimensional Scaling Growth Analysis,
2011
University of Missouri–St. Louis
A Note On The Interpretation Of Scale Values In Multidimensional Scaling Growth Analysis, Cody Ding
Education Sciences and Professional Programs Faculty Works
No abstract provided.
Building Dynamic Stochastic General Equilibrium Models For Monetary Policy Analysis,
2011
Central Bank of Nigeria
Building Dynamic Stochastic General Equilibrium Models For Monetary Policy Analysis, Charles N. O. Mordi, Michael A. Adebiyi
Economic and Financial Review
Dynamic Stochastic General Equilibrium (DSGE) models are powerful tools that provide a coherent framework for policy discussion and analysis. In principle, they can help to identify sources of fluctuations, answer questions about structural changes, help to forecast and predict the effect of policy changes, and perform counterfactual experiments. Against this background, this paper aims at providing an insightful discussion on DSGE models by developing a simplified version of the models to explain the behavior of key macroeconomic variables in Nigeria namely: the growth rate of gross domestic product (GDP), headline inflation, exchange rate and the monetary policy rate. The estimated …
Rhode Island Current Conditions Index — February 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — February 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Corrigendum To "A Gaussian Approach For Continuous Time Models Of The Short Term Interest Rate",
2011
Singapore Management University
Corrigendum To "A Gaussian Approach For Continuous Time Models Of The Short Term Interest Rate", Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
An error is corrected in Yu and Phillips (2001) (Econometrics Journal, 4, 210-224) where a time transformation was used to induce Gaussian disturbances in the discrete time equivalent model. It is shown that the error process in this model is not a martingale and the Dambis, Dubins-Schwarz (DDS) theorem is not directly applicable. However, a detrended error process is a martingale, the DDS theorem is applicable, and the corresponding stopping time correctly induces Gaussianity. We show that the two stopping time sequences differ by O(a2), where a is the pre-specified normalized timing constant.
Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?,
2011
Singapore Management University
Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu
Research Collection School Of Economics
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to the …
Monetary And Fiscal Policies: Ordinary Recessions And Financial Crises,
2011
Gettysburg College
Monetary And Fiscal Policies: Ordinary Recessions And Financial Crises, Svetoslav I. Semov
Gettysburg Economic Review
This paper uses two different samples to study the effects of monetary and fiscal policies on the profiles of recessions and recoveries. Several results emerge from the econometric analysis presented. First, monetary policy during ordinary recessions and banking crises is a powerful tool with lasting effects that extend to recovery growth rates. However, the effect of monetary policy during financial crises is strongly diminished in the case of forbearance – banks left to function despite being technically insolvent. Second, the effectiveness of fiscal policy is reversed – it is a powerful tool during banking crises, but it does not seem …
Rhode Island Current Conditions Index — January 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — January 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Metropolitan Growth Policies And New Housing Supply: Evidence From Australia's Capital Cities,
2011
San Jose State University
Metropolitan Growth Policies And New Housing Supply: Evidence From Australia's Capital Cities, Ralph B. Mclaughlin
Faculty Publications, Urban and Regional Planning
This paper empirically examines the relationship between house price change, metropolitan growth policies, and new housing supply in Australia's five major capital cities. Our hypothesis suggests capital cities with tighter regulations on new development will have fewer housing starts and price elasticities than those in less- regulated markets. The empirical procedure used in this paper utilises the Urban Growth Model of Housing Supply developed in Mayer and Somerville (2000a and 2000b) and employed in Zabel and Patterson (2006) by using quarterly data on housing approvals and house prices from 1996-2010. Data on metropolitan growth policies in Australia is borrowed from …
The Relationship Between Poverty And Crime: A Cross Section Analysis,
2011
Bryant University
The Relationship Between Poverty And Crime: A Cross Section Analysis, Luke Fleming
Empirical Economic Bulletin, An Undergraduate Journal
This paper compares the crime rates, poverty rates, and other economic statistics to determine if there is a relationship amongst the variables. The highest crime rates per capita in the world exist in developing countries; these countries also have very high rates of poverty. Is it a coincidence, or is there actually some substance to these facts? Crime is a complicated issue, and other variables like education, healthcare, and housing have to be taken into consideration. The results indicate that there is a relationship between certain types of crime and poverty, and that income inequality is significant to all types …
The Importance Of Good Governance In Achieving Economic Growth For Developing Nations: An Analysis Of Sub-Saharan Africa,
2011
Bryant University
The Importance Of Good Governance In Achieving Economic Growth For Developing Nations: An Analysis Of Sub-Saharan Africa, Karl Turner
Empirical Economic Bulletin, An Undergraduate Journal
This paper aims to expand on the idea that good governance is essential in sustaining growth in developing countries. I have chosen variables that are specific to determining the effect of good governance on sustained growth in several Sub-Saharan African nations. These variables will take into account the increased levels of corruption and manipulation that takes place in many of these regions. By analyzing different countries in Sub-Saharan Africa, I will be able to account for different economic and political conditions. My results show that although these countries differ in various aspects of macroeconomic policy, stable governance has been the …
