Cognitive Effort In The Beauty Contest Game,
2011
Chapman University
Cognitive Effort In The Beauty Contest Game, Pablo Brañas-Garza, Teresa García-Muñoz
ESI Working Papers
This paper analyzes cognitive effort in 6 different one-shot p-beauty games. We use both Raven and Cognitive Reáection tests to identify subjects' abilities. We find that the Raven test does not provide any insight on beauty contest game playing but CRT does: subjects with higher scores on this test are more prone to play dominant strategies.
Don’T Ask Me If You Will Not Listen: The Dilemma Of Participative Decision Making,
2011
Chapman University
Don’T Ask Me If You Will Not Listen: The Dilemma Of Participative Decision Making, Brice Corgnet, Roberto Hérnan-Gonzalez
ESI Working Papers
We study the effect of participative decision making in an experimental principalagent game, where the principal can consult the agent’s preferred option regarding the task to be undertaken in the final stage of the game. We show that consulting the agent was beneficial to principals as long as they followed the agent’s choice. Ignoring the agent’s choice was detrimental to the principal as it engendered negative emotions and low levels of transfers. Nevertheless, the majority of principals were reluctant to change their mind and adopt the agent’s proposal. Our results suggest that the ability to change one’s own mind is …
Rhode Island Current Conditions Index — December 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — December 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Estimating A Small-Scale Macroeconometric Model (Ssmm) For Nigeria: A Dynamic Stochastic General Equilibrium (Dsge) Approach,
2010
Central Bank of Nigeria
Estimating A Small-Scale Macroeconometric Model (Ssmm) For Nigeria: A Dynamic Stochastic General Equilibrium (Dsge) Approach, Charlse N.O Mordi, Michael A. Adebiyi
CBN Occasional Papers
This paper attempts to develop a small scale macroeconometric model for the Nigerian economy using dynamic stochastic general equilibrium (DSGE) methodology. Particular attention is paid to using impulse responses to explain the dynamic properties of the model. This model incorporates expectation as an anchor in the forward-looking monetary policy objective of the Central Bank of Nigeria (CBN). It captures most of the channels through which policymakers believe monetary policy can influence a small open economy with a managed floating exchange rate. The model was taken to the data by means of Bayesian estimation with the following major findings. First, although …
Need Singapore Fear Floating? A Dsge-Var Approach,
2010
Singapore Management University
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Research Collection School Of Economics
This paper uses a DSGE-VAR model to examine the managed exchange-rate system at work in Singapore and asks if the country has any reason to fear floating the exchange rate with a Taylor rule inflation-targeting mechanism that uses the short term interest rate instead of the exchange rate as the benchmark monetary policy instrument. Our simulation results show that the use of a more flexible exchange rate system will reduce volatility in inflation and investment but consumption volatility will increase. Overall, there are neither signi cant welfare gains or losses in the regime shift. Given the highly open and trade …
Testing Structural Change In Partially Linear Models,
2010
Singapore Management University
Testing Structural Change In Partially Linear Models, Liangjun Su, Halbert White
Research Collection School Of Economics
We consider two tests of structural change for partially linear time-series models. The first tests for structural change in the parametric component, based on the cumulative sums of gradients from a single semiparametric regression. The second tests for structural change in the parametric and nonparametric components simultaneously, based on the cumulative sums of weighted residuals from the same semiparametric regression. We derive the limiting distributions of both tests under the null hypothesis of no structural change and for sequences of local alternatives. We show that the tests are generally not asymptotically pivotal under the null but may be free of …
Energy And Economic Growth: A State-Level Analysis,
2010
George Fox University
Energy And Economic Growth: A State-Level Analysis, Nathanael D. Peach
Faculty Publications - College of Business
No abstract provided.
Rhode Island Current Conditions Index — November 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — November 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises,
2010
Singapore Management University
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection Lee Kong Chian School Of Business
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact finite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on devian information criterion …
Rhode Island Current Conditions Index — October 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — October 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Asymptotic Distributions Of The Least Squares Estimator For Diffusion Processes,
2010
Singapore Management University
Asymptotic Distributions Of The Least Squares Estimator For Diffusion Processes, Qiankun Zhou, Jun Yu
Research Collection School Of Economics
The asymptotic distributions of the least squares estimator of the mean reversion parameter (κ) are developed in a general class of diffusion models under three sampling schemes, namely, ongspan, in-fill and the combination of long-span and in-fill. The models have an affine structure in the drift function, but allow for nonlinearity in the diffusion function. The limiting distributions are quite different under the alternative sampling schemes. In particular, the in-fill limiting distribution is non-standard and depends on the initial condition and the time span whereas the other two are Gaussian. Moreover, while the other two distributions are discontinuous at κ …
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions,
2010
Syracuse University
Standardized Lm Tests For Spatial Error Dependence In Linear Or Panel Regressions, Badi H. Baltagi, Zhenlin Yang
Research Collection School Of Economics
The robustness of the LM tests for spatial error dependence of Burridge (1980) for the linear regression model and Anselin (1988) for the panel regression model are examined. While both tests are asymptotic ally robust against distributional misspecification, their finite sample behavior can be sensitive to the spatial layout. To overcome this shortcoming, standardized LM tests are suggested. Monte Carlo results show that the new tests possess good finite sample properties. An important observation made throughout this study is that the LM tests for spatial dependence need to be both mean- and variance-adjusted for good finite sample performance to be …
Smoothing Local-To-Moderate Unit Root Theory,
2010
Singapore Management University
Smoothing Local-To-Moderate Unit Root Theory, Peter C. B. Phillips, Tassos Magdalinos, Liudas Giraitis
Research Collection School Of Economics
A limit theory is established for autoregressive time series that smooths the transition between local and moderate deviations from unity and provides a transitional form that links conventional unit root distributions and the standard normal. Edgeworth expansions of the limit theory are given. These expansions show that the limit theory that holds for values of the autoregressive coefficient that are closer to stationarity than local (i.e. deviations of the form rho = 1 + c/n, where n is the sample size and c < 0) holds up to the second order. Similar expansions around the limiting Cauchy density are provided for the mildly explosive case. (C) 2010 Elsevier B.V. All rights reserved.
New York Camp Econometrics V Program,
2010
Syracuse University
New York Camp Econometrics V Program, Center For Policy Research
Camp Econometrics-Programs
No abstract provided.
Corporate Transparency, Private Information And Stock Price Synchronicity.,
2010
Universiti Malaya
Corporate Transparency, Private Information And Stock Price Synchronicity., Mohammed Sharaf Mohsen Shaiban
Student Works (2010-2019)
The issue of stock price synchronicity as a measure of stock price informativeness has recently attracted much research attention. Using cross-country data from 40 countries, this study investigates the relationship between corporate transparency (measured by reporting timeliness, financial analyst following and credibility of disclosures) and stock price synchronicity. In addition, this study investigates the moderating effects of reporting timeliness on the relationship between financial analyst and credibility of disclosures and stock price synchronicity. Specifically, it examines whether the relationship between financial analysts and disclosure credibility and stock price synchronicity is stronger or weaker given the range of timeliness of financial …
Border Metropolitan Water Forecast Accuracy,
2010
University of Texas at El Paso
Border Metropolitan Water Forecast Accuracy, Thomas M. Fullerton Jr., Angel L. Molina Jr.
Border Region Modeling Project
Municipal water consumption planning is an active area of research due to infrastructure construction and maintenance costs, supply constraints, and water quality assurance. In spite of that, relatively few water forecast accuracy assessments have been completed to date, although some internal documentation may exist as part of the proprietary “grey literature.” This study utilizes a data set of previously published municipal consumption forecasts to partially fill that gap in the empirical water economics literature. Previously published municipal water econometric forecasts for three public utilities are examined for predictive accuracy against two random walk benchmarks commonly used in regional analyses. Descriptive …
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time,
2010
University of Bergen
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Ait-Sahalia (2008) to approximate the transition probability density of return and volatility, and the Efficient Importance Sampler (EIS) of Richard and Zhang (2007) to integrate out the volatility. The first and second order terms in the polynomial expansion are used to generate a base-line importance density for an EIS algorithm. The higher order terms are included when evaluating the importance weights. Monte Carlo …
Bayesian Hypothesis Testing In Latent Variable Models,
2010
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 to suffer from several problems in the context of latent variable models. The first problem is computational. Another problem is that BFs are not well defined under the improper prior. In this paper, a new Bayesian method, based on 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 …
A Conversation With Eric Ghysels,
2010
Singapore Management University
A Conversation With 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 …
Bias In Estimating Multivariate And Univariate Diffusions,
2010
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 …
