Profile Quasi-Maximum Likelihood Estimation Of Partially Linear Spatial Autoregressive Models,
2010
Singapore Management University
Profile Quasi-Maximum Likelihood Estimation Of Partially Linear Spatial Autoregressive Models, Liangjun Su, Sainan Jin
Research Collection School Of Economics
We propose profile quasi-maximum likelihood estimation of spatial autoregressive models that are partially linear. The rate of convergence of the spatial parameter estimator depends on some general features of the spatial weight matrix of the model. The estimators of other finite-dimensional parameters in the model have the regular √n-rate of convergence and the estimator of the nonparametric component is consistent but with different restrictions on the choice of bandwidth parameter associated with different natures of the spatial weights. Monte Carlo simulations verify our theory and indicate that our estimators perform reasonably well in finite samples.
Rhode Island Current Conditions Index — June 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — June 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Improving The Teaching Of Econometrics At Pace University Using Stata,
2010
Department of Economics, Dyson College, Pace University
Improving The Teaching Of Econometrics At Pace University Using Stata, Gregory Colman
Cornerstone 3 Reports : Interdisciplinary Informatics
The goal of this grant was to improve the teaching of econometrics at Pace using the computer program, Stata, the most widely-used econometrics software among applied economists.
Macroeconomics Stress Testing On Malaysia Commercial Banks' Credit Portfolios.,
2010
Universiti Malaya
Macroeconomics Stress Testing On Malaysia Commercial Banks' Credit Portfolios., Foo Chii Shia
Student Works (2010-2019)
In the research paper, quarterly data on Non-performing Loan (NPL) for commercial banks in Malaysia over the time period of quarter 1, 1998 to quarter 4, 2009 together with 5 macroeconomic indicators i.e. Gross Domestic Product (GDP), Consumer Price Index (CPI), FTSE Bursa Malaysia KLCI (KLCI), Unemployment rate and House Property Index are collected to form a credit risk model. The estimated model is employed to analyse banking credit risks conditional on current macroeconomic conditions. Stepwise multiple regression method has been used which to select the useful subsets of variables and to evaluate the order of importance of variables. Furthermore, …
Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities,
2010
Korea University - Korea
Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities, Jin Seo Cho, Chirok Han, Peter C. B. Phillips
Research Collection School Of Economics
Least absolute deviations (LAD) estimation of linear time series models is considered under conditional heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density condition for the errors that is required in standard LAD asymptotics. The results are particularly useful in application of LAD estimation to financial time series data.
Are Major League Baseball Starting Pitchers Compensated For Stadium Risk?,
2010
Macalester College
Are Major League Baseball Starting Pitchers Compensated For Stadium Risk?, Joseph Glatman Zaretsky
Economics Honors Projects
This paper examines the significance of stadium effects on the determination of starting pitcher salaries. It models stadium effect first under the assumption of perfect certainty, and then includes risk through uncertainty. Using starting pitchers’ statistics between 1990 and 2008, this paper determines that the stadium effect is not significant in the model with perfect certainty, but becomes significant when uncertainty (risk) is introduced. An unexpected result of the test shows, however, that there is a fundamental difference between the American League, where the stadium effect is significant, and the National League, where it is insignificant in both models.
Rhode Island Current Conditions Index — May 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — May 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Forex Market Behaviour : Application Of High Frequency Data.,
2010
Universiti Malaya
Forex Market Behaviour : Application Of High Frequency Data., Tan Heng Kiat
Student Works (2010-2019)
The huge and high frequency trading in foreign exchange market creates the need for an analytical method that can provide a view on the volatility. Traditional methods such as GARCH are proven to have limitations when applied to high frequency data, such as those generated in foreign exchange market.In this thesis, wavelet method is applied to high frequency data of EURO/USD, GBP/USD and YEN/USD currency pairs and of one minute resolution. The period of this behavioral study is from one hour before 1pm GMT to one hour after 1pm GMT for every Mondays from June 2008 to Dec 2008. The …
Examining Success At The Domestic Box-Office In The Motion Picture Industry,
2010
Illinois Wesleyan University
Examining Success At The Domestic Box-Office In The Motion Picture Industry, Patrick Topf
Honors Projects
The movie business is a multi-billion dollar industry involving production crews, marketing crews, actors, directors, distribution companies, movie theaters, and movie rental companies, but while each movie created follows the same routine, why do some perform so much better than others at the box-office? Why did Juno become a smash hit, while Poseidon is regarded as a major box-office bomb? This study investigates the impact of production cost, star power, professional reviews, release date, sequels, genre, age-rating, and distribution company on total domestic box-office revenue of the widely released films from January 2006 to December 2008.
The Effects Of Marital Status & Gender On Health Care Insurance Coverage In The United States,
2010
Illinois Wesleyan University
The Effects Of Marital Status & Gender On Health Care Insurance Coverage In The United States, Jessica S. T. Kong
Honors Projects
Having health insurance is a crucial factor for many to sustain life in America. This study examines the demographic determinants of health care coverage within the United States with a focus on how gender and marital status influence the likelihood of having health insurance. Using the human capital theory and the theory of statistical discrimination, it is predicted that married females will have a higher probability of being insured than divorced and separated females. Also, divorced males are predicted to have a higher probability of coverage than divorced females. The data for this research is retrieved from the United States …
Rhode Island Current Conditions Index — April 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — April 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
A New Stock Index To Better Predict The United States' Real Gdp,
2010
Bryant University
A New Stock Index To Better Predict The United States' Real Gdp, William Nette
Honors Projects in Finance
The relationship between the United States’ real GDP and the overall stock market has been acknowledged by researchers and investors alike. This research paper will document a newly created composite index that will try to more accurately predict the overall U.S. economy through the proxy of GDP than the current S&P 500 index. Success will be determined if the composite index representing the addition of a service sector component to the S&P 500 is more correlated to U.S. real GDP than the S&P 500 alone. The results suggest that the service sector is not quite adequately in the S&P 500. …
Microeconomic Study Of A Labor Union: An Econometrics Analysis Of How The Nhl Salary Cap Has Affected The Competitive Balance Of The Nhl And Determinants Of Team Revenue,
2010
Lynchburg College
Microeconomic Study Of A Labor Union: An Econometrics Analysis Of How The Nhl Salary Cap Has Affected The Competitive Balance Of The Nhl And Determinants Of Team Revenue, Lauren Grossman
Undergraduate Theses and Capstone Projects
This thesis is a microeconomic study of labor unions and a business analysis of a professional sports industry. It will examine the effects of the salary cap in the National Hockey League. The 2004-05 NHL season was cancelled due to a lockout because the National Hockey League Players' Association and the team owners could not come to an agreement on salaries. As a result, the Players' Association and the owners came to an agreement that included the implementation of a salary cap and revenue sharing. The purpose of this thesis is to determine whether or not the implementation of the …
Rhode Island Current Conditions Index — March 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — March 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Simulation-Based Estimation Methods For Financial Time Series Models,
2010
Singapore Management University
Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu
Research Collection School Of Economics
This paper overviews some recent advances on simulation-based methods of estimating time series models and asset pricing models that are widely used in finance. The simulation based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms and hence the maximum likelihood method (MLE) and the generalized method of moments (GMM) are difficult to use. They can also be useful for improving the finite sample performance of the traditional methods when financial time series are highly persistent and when the quantity of interest is a highly nonlinear function of system parameters. The …
Rhode Island Current Conditions Index — February 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — February 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Semiparametric Estimator Of Time Series Conditional Variance,
2010
Oregon State University
Semiparametric Estimator Of Time Series Conditional Variance, Santosh Mishra, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, variance, and normality of the combined estimator under general conditions. We show that under correct parametric specification, our estimator can do as well as the parametric estimator in terms of convergence rates; whereas under parametric misspecification our estimator can still be consistent. It also improves over the nonparametric estimator of Ziegelmann (2002) in terms of bias reduction. The superiority of our estimator is verfied by Monte Carlo simulations and empirical data analysis.
Determinants Of Rental Rates In Major Cities In The United States,
2010
Bryant University
Determinants Of Rental Rates In Major Cities In The United States, Roy Ruivo
Empirical Economic Bulletin, An Undergraduate Journal
The focus of this paper is to determine variables that contribute to rental rate pricing. Using U.S. Census data pertaining to all cities in the United States with populations over 100,000 in 2005, this paper furthers a study of inter-city rent determinants within New York City provided by Marco (2008) using additional variables provided by Gilderbloom and Pan (2002) in their inter-city study. This report studies the impact of variables, including vacancy rates, median family income, population growth rate, and average housing costs. The population variable will be manipulated so that it represents density, which provides an accurate representation of …
Determinants Of Hyperinflation: An Analysis Of Argentina,
2010
Bryant University
Determinants Of Hyperinflation: An Analysis Of Argentina, Eric Fudge
Empirical Economic Bulletin, An Undergraduate Journal
This paper examines the history of inflation rates in Argentina compared to other economic factors, including: GDP, national budget, money supply, exchange rate, and unemployment levels. Using data from the World Bank and Centre of International Economics this paper will give insight into some of the causes of high inflation levels that were evident in Argentina throughout the 1980s, peaking with hyperinflation in 1989 and 1990. Results from analyzing statistics pertaining to Argentina’s economy from 1980 to present suggest that perpetual budget deficits led the government to print money more rapidly, causing a significant decrease in currency valuation and thus …
Economic Growth And Emissions In China And India: A Comparison With The Other G5 Emerging Nations,
2010
Bryant University
Economic Growth And Emissions In China And India: A Comparison With The Other G5 Emerging Nations, David Niles
Empirical Economic Bulletin, An Undergraduate Journal
This paper investigates the possibility of different modes of production affecting the emission levels of developing nations. China and India have experienced substantial economic growth of the past few decades. Past economists have found emission levels positively correlated with GDP growth. Nonetheless, China has significantly higher emission levels than India, given their respective growth in GDP. Whether a country bases their growth on agriculture, industry, manufacturing or services has an effect on their subsequent emission levels. Comparing these results with the other G5 nations indicate the relative importance of GDP level in comparison with economic structure. This paper finds that …
