Measurement And High Finance,
2010
Singapore Management University
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Research Collection School Of Economics
Turbulence in the world of banking and finance over the last two years has riveted media attention on the financial industry, exposing practices, products and risks in the industry to widespread public scrutiny. Questions continue to be asked about the management and regulation of an industry whose performance is now seen to affect the world’s financial health and its prospects as much as it does national savings and individual retirement funds.
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 simulatio n-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 …
A New Bayesian Unit Root Test In Stochastic Volatility Models,
2010
Sun Yat-sen University
A New Bayesian Unit Root Test In Stochastic Volatility Models, Yong Li, Jun Yu
Research Collection School Of Economics
A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. This analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business Economic Statistics) in two important ways. First, a numerically more stable algorithm is introduced to compute the Bayes factor, taking into account the special structure of the competing models. Owing to its numerical stability, the algorithm overcomes the problem of diverged “size” in the marginal likelihood approach. Second, to improve the “power” of the unit root test, a mixed prior specification …
Bias-Corrected Estimation For Spatial Autocorrelation,
2010
Singapore Management University
Bias-Corrected Estimation For Spatial Autocorrelation, Zhenlin Yang
Research Collection School Of Economics
The biasedness issue arising from the maximum likelihood estimation of the spatial autoregressive model (SAR) is further investigated under a broader set-up than that in Bao and Ullah (2007a). A major difficulty in analytically evaluating the expectations of ratios of quadratic forms is overcome by a simple bootstrap procedure. With that, the corrections on bias and variance of the spatial estimator can easily be made up to third-order, and once this is done, the estimators of other model parameters become nearly unbiased. Compared with the analytical approach, the new approach is much simpler, and can easily be extended to other …
A Study Of Price Evolution In Online Toy Market,
2010
Singapore Management University
A Study Of Price Evolution In Online Toy Market, Zhenlin Yang, Lydia L Gan, Fang-Fang Tang
Research Collection School Of Economics
We study and contrast pricing and price evolution of online only (Dotcom) and online branch of multi-channel retailers (OBMCRs) based on two panel data sets collected from online toy markets. Panel data regression analyses reveal several interesting empirical results: over time, OBMCRs and Dotcoms charge similar prices on average but Dotcoms significantly increase their shipping costs that eventually drive the overall average price of Dotcoms higher than that of OBMCRs. Price dispersions of both types of retailers are persistent. The price dispersion of OBMCRs is higher than that of Dotcoms at the beginning and does not change much over time, …
Rhode Island Current Conditions Index — September 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — September 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
A Robust Lm Test For Spatial Error Components,
2010
Singapore Management University
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
Research Collection School Of Economics
This paper presents previous termanext term modified previous termLM test of spatial error components,next term which is shown to be previous termrobustnext term against distributional misspecifications and previous termspatialnext term layouts. The proposed previous termtestnext term differs from the previous termLM testnext term of Anselin (2001) by previous termanext term term in the denominators of the previous termtestnext term statistics. This term disappears when either the previous termerrorsnext term are normal, or the variance of the diagonal elements of the product of previous termspatialnext term weights matrix and its transpose is zero or approaches to zero as sample size goes …
How Does Income Inequality Affect The Growth Of U.S. Counties?,
2010
Macalester College
How Does Income Inequality Affect The Growth Of U.S. Counties?, Jeremy Roth
Economics Honors Projects
This paper aims to conduct a precise test of the political economy hypothesis linking income inequality and economic growth. By choosing covariates from a detailed county-level dataset and assuming that U.S. counties experience perfect capital mobility, I shut off the four possible channels linking inequality and growth other than political economy. This is a first in an empirical literature that has reported conflicting findings with observations of states and countries. I also present thematic maps to illustrate the cross-county variation in key growth determinants that is masked by state-level studies. My econometric tests find a negative association between the initial …
Rhode Island Current Conditions Index — August 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — August 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Rhode Island Current Conditions Index — July 2010,
2010
University of Rhode Island
Rhode Island Current Conditions Index — July 2010, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Determinants Of Foreign Direct Investment In Services Sector Of Pakistan: An Econometrics Approach,
2010
Gomal University, D. I. Khan, Pakistan
Determinants Of Foreign Direct Investment In Services Sector Of Pakistan: An Econometrics Approach, Muhammad Zahid Awan, Khair Uz Zaman, Bakhtiar Khan
Business Review
This study examines the key determinants of FDI inflows in Services sector of Pakistan, using time series data (quarterly) for the period of 1996Q1-2008Q4. To check the stationarity of the data, ADF test has been applied. Co-integration and Error Correction Model (ECM) is used for estimation of the data. This study found that Gross Domestic Fixed Capital formation (GDFCF), Inflation Rate(INF), Current Account Balance(CAB), Exchange Rate (ER), and Per Capita Income (PC) are main factors of FDI inflows in services sector of Pakistan. This study reveals that GDFCF, INF and PC are found statistically significant with positive signs. CAB and …
Nonparametric Testing For Asymmetric Information,
2010
Singapore Management University
Nonparametric Testing For Asymmetric Information, Liangjun Su, Martin Spindler
Research Collection School Of Economics
Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or distributional relationships among the variables of interest. Motivated by the literature on testing conditional independence, we propose a new nonparametric test for asymmetric information which is applicable in a variety of situations. We demonstrate the test works reasonably well through Monte …
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.
Bimodal T-Ratios: The Impact Of Thick Tails On Inference,
2010
University of Milan
Bimodal T-Ratios: The Impact Of Thick Tails On Inference, Carlo V. Fioro, Vassilis A. Hajivassiliou, Peter C. B. Phillips
Research Collection School Of Economics
This paper studies the distribution of the classical t-ratio with data generated from distributions with no finite moments and shows how classical testing is affected by bimodality. A key condition in generating bimodality is independence of the observations in the underlying data-generating process (DGP). The paper highlights the strikingly different implications of lack of correlation versus statistical independence in DGPs with infinite moments and shows how standard inference can be invalidated in such cases, thereby pointing to the need for adapting estimation and inference procedures to the special problems induced by thick-tailed (TT) distributions. The paper presents theoretical results for …
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.
