The Attack And Defense Of Weakest-Link Networks,
2010
Chapman University
The Attack And Defense Of Weakest-Link Networks, Dan Kovenock, Brian Roberson, Roman M. Sheremeta
ESI Working Papers
This paper experimentally examines behavior in a two-player game of attack and defense of a weakest-link network of targets, in which the attacker‟s objective is to successfully attack at least one target and the defender‟s objective is diametrically opposed. We apply two benchmark contest success functions (CSFs): the auction CSF and the lottery CSF. Consistent with the theoretical prediction, under the auction CSF, attackers utilize a stochastic “guerilla warfare” strategy — in which a single random target is attacked — more than 80% of the time. Under the lottery CSF, attackers utilize the stochastic guerilla warfare strategy almost 45% of …
Visibility Of Contributions And Cost Of Information: An Experiment On Public Goods,
2010
Chapman University
Visibility Of Contributions And Cost Of Information: An Experiment On Public Goods, Anya Savikhin, Roman M. Sheremeta
ESI Working Papers
We experimentally investigate the impact of visibility of information about contributors on contributions in the public goods game. We systematically consider several treatments that are similar to a wide range of situations in practice. First, we vary the cost of viewing identifiable information about contributors. Second, we vary recognizing all, top or bottom contributors. We find that recognizing all contributors significantly increases contributions relative to the baseline. Recognizing only the top contributors is not significantly different from not recognizing contributors, but recognizing only the bottom contributors is as effective as recognizing all contributors. When viewing information about contributors is costly, …
Durability, Re-Trading And Market Performance,
2010
Chapman University
Durability, Re-Trading And Market Performance, John Dickhaut, Shengle Lin, David Porter, Vernon Smith
ESI Working Papers
Key differential structural characteristics of environments studied in previous market experiments have documented large divergences in their observed performance, particularly discrepancies in their convergence to expected equilibrium outcomes. We investigate why this should be so.
Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models,
2010
University of Bergen
Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
In this chapter we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach does not require observations on option prices, nor volatility. To integrate out latent volatility from the joint density of return and volatility, a modified efficient importance sampling technique is used after the continuous time model is approximated using the Euler–Maruyama scheme. The Monte Carlo studies show that the method works well and the empirical applications illustrate usefulness of the method. Empirical results provide strong evidence against the Heston model.
Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model,
2010
Singapore Management University
Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun Yu
Research Collection School Of Economics
This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is semiparametric in the sense that the distributional form of its error component is left unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Asymptotic properties are established for the new estimation method. Simulation studies validate the new estimation method. The out-of-sample performance of the proposed model is evaluated against a number …
Functional Coefficient Estimation With Both Categorical And Continuous Data,
2010
Singapore Management University
Functional Coefficient Estimation With Both Categorical And Continuous Data, Liangjun Su, Ye Chen, Aman Ullah
Research Collection School Of Economics
We propose a local linear functional coefficient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the finite sample performance of our estimator. As an application, we estimate a wage determination function that explicitly allows the return to education to depend on other variables. We find evidence of the complex interacting patterns among the regressors in the wage equation, such as increasing returns to education when experience is very low, high return to education for …
Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy,
2010
Singapore Management University
Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki Fujii, Larry Karp
Research Collection School Of Economics
When current decisions affect welfare in the far-distant future, as with climate change, the use of a declining pure rate of time preference (PRTP) provides potentially important modeling flexibility. The difficulty of analyzing models with non-constant PRTP limits their application. We describe and provide software (available online) to implement an algorithm to numerically obtain a Markov perfect equilibrium for an optimal control problem with non-constant PRTP. We apply this software to a simplified version of the numerical climate change model used in the Stern Review. For our calibration, the policy recommendations are less sensitive to the PRTP than widely believed.
Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity,
2010
Korea University - Korea
Testing Linearity In Cointegrating Relations With An Application To Purchasing Power Parity, Seong Hyun Hong, Peter C. B. Phillips
Research Collection School Of Economics
This article shows that when applied to nonstationary time series, the conventional Regression Error Specification Test (RESET) leads to severe size distortion and its asymptotic distribution involves a mixture of noncentral chi(2) distributions. Nonstationarity introduces bias terms in the limit distribution, and appropriate corrections for the bias are presented leading to a modified RESET test that has a central chi(2) limit distribution. In simulations, this modified test is shown to have power not only against nonlinear cointegration but also against the absence of cointegration. In an empirical illustration, the linear purchasing power parity (PPP) specification is tested using five Organization …
Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence,
2010
Singapore Management University
Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su
Research Collection School Of Economics
In this paper we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values and justify its validity. A small set of Monte Carlo simulations indicate the test performs …
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach,
2010
Singapore Management University
Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang
Research Collection School Of Economics
We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) models. We compare the daily volatilities estimated using the ACD models against several versions of the realized volatility (RV) method, including the bipower variation realized volatility with subsampling, the realized kernel estimate and the duration-based realized volatility. The ACD volatility estimates correlate highly with and perform very well against the RV estimates. Our Monte Carlo results show that our method has lower root mean-squared error than the RV methods in most …
Economies Of Scope For Microfinance: Differences Across Output Measures,
2009
Auburn University Main Campus
Economies Of Scope For Microfinance: Differences Across Output Measures, Valentina Hartarska, Christopher Parmeter, Denis Nadolynak, Beibei Zhu
Christopher F. Parmeter
In banking, scope economies of mobilizing deposits and lending are often estimated, while consideration of the same measures for microfinance institutions (MFI) is still in its infancy. An open issue remains regarding what characterizes an output of an MFI. Moreover, depending on the output used, do estimated scope economies differ? We use a novel data set for over 800 MFI across more than 70 countries to estimate economies of scope. Our findings suggest that statistical differences arise between estimates of scope economies. However, our qualitative findings indicate that both of these measures provide similar overviews of the landscape of scope …
Market Power, Eu Integration And Privatization: The Case Of Romania,
2009
University of Miami
Market Power, Eu Integration And Privatization: The Case Of Romania, Gabriel Asaftei, Christopher Parmeter
Christopher F. Parmeter
This paper investigates the effects on pricing behavior of firms in a transition economy resulting from integration into the European Union’s Common Market and changes in ownership. We use a semiparametric model with a rich panel of manufacturing firms in Romania from 1995 to 2003 to estimate firm-level markups. We find that markups are higher in more concentrated industries and less exposed to foreign competition. Trade integration appears to generally increase competitive pressure on markups. Industries exposed to more international competition experience a larger change in markups following integration into the European Union’s Common Market. However, as the initial impact …
Which Hedonic Models Can We Trust To Recover The Marginal Willingness To Pay For Environmental Amenities?,
2009
Arizona State University
Which Hedonic Models Can We Trust To Recover The Marginal Willingness To Pay For Environmental Amenities?, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope
Christopher F. Parmeter
The hedonic property value model is among our foremost tools for evaluating the economic consequences of policies that target the supply of local public goods, environmental services, and urban amenities. We design a theoretically consistent and empirically realistic Monte Carlo study of whether omitted variables seriously undermine the method’s ability to accurately identify economic values. Our results suggest that large gains in accuracy can be realized by moving from the standard linear specifications for the price function to a more flexible framework that uses a combination of spatial fixed effects, quasi-experimental identification, and temporal controls for housing market adjustment
The Benefit Transfer Challenges,
2009
Virginia Polytechnic Institute and State University
The Benefit Transfer Challenges, Kevin Boyle, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope
Christopher F. Parmeter
Presidential Executive Order 12,866 requires federal agencies to design “cost-effective” regulations and to assess “costs and benefits” of these regulations on the basis of “the best reasonably obtainable scientific, technical, economic, and other information.” Benefit transfers are one economic approach used to estimate these benefits and costs, and the use of existing economic information to predict the effects of new policies is well established. However, advancing the practice of benefit transfers is crucial if economists are to play a role in developing federal policies. We review contributions to the benefit-transfer literature and present a unified conceptual framework to guide the …
Estimation Of Hedonic Price Functions With Incomplete Information,
2009
University of Miami
Estimation Of Hedonic Price Functions With Incomplete Information, Subal Kumbhakar, Christopher Parmeter
Christopher F. Parmeter
Existence of persistent price dispersion suggests that some buyers find lower prices through search and information acquisition, while some sellers charge higher prices by gathering information on potential buyers. If buyers are not fully informed of the lowest price available in the market they end up paying a price higher than if they had full information. Similarly, if sellers are not fully informed about the highest price they could charge, they too suffer by receiving a price lower than had they had full information. This paper develops a hedonic price model that incorporates the effects of incomplete information on both …
Female Political Leadership And The Prevalence Of Water Borne Diseases: Evidence From A Natural Experiment In India,
2009
University of California- Santa Cruz
Female Political Leadership And The Prevalence Of Water Borne Diseases: Evidence From A Natural Experiment In India, Ambrish Dongre
Ambrish A Dongre
This paper examines the relationship between prevalence of water borne diseases and gender of the head of the village councils by exploiting a natural experiment in local governance in India. A constitutional amendment in early 1990s ensured that only women could contest the elections and be the head in at least one- third of the village councils selected through an exogenous process. Utilizing a unique sample survey, we show that having a woman as the council head seems to have no effect on the prevalence of water borne diseases. But if we look into the sub-categories of the female council …
Trade Bans, Imperfect Competition, And Welfare: Bse And The U.S. Beef Industry,
2009
University of Nebraska-Lincoln
Trade Bans, Imperfect Competition, And Welfare: Bse And The U.S. Beef Industry, Dimitrios Pangiotou, Azzeddine Azzam
Azzeddine Azzam
Between May 2003 and July 2005, the U.S. beef industry faced a total ban on Canadian cattle imports following the discovery of BSE in Canada in May 2003 and restrictions on U.S. beef exports following the discovery of BSE in the United States in December 2003. When the United States reopened its border to Canadian cattle in July 2005, shipments were restricted to cattle less than 30 months of age. The total ban on Canadian cattle imports and restrictions on U.S. beef exports overlapped between January 2004 and July 2005. The restrictions on Canadian cattle imports and U.S. beef exports …
A Direct Monte Carlo Approach For Bayesian Analysis Of The Seemingly Unrelated Regression Model,
2009
Melbourne Business School
A Direct Monte Carlo Approach For Bayesian Analysis Of The Seemingly Unrelated Regression Model, Tomohiro Ando, Arnold Zellner
Tomohiro Ando
No abstract provided.
Has The World Trade Organization Promoted Successful Regional Trade Agreements?,
2009
Virginia Polytechnic Institute and State University
Has The World Trade Organization Promoted Successful Regional Trade Agreements?, Jason Grant, Christopher Parmeter
Christopher F. Parmeter
The WTO’s Committee on Regional Trade Agreements (CRTA) is charged with monitoring, examining, and ensuring the compliance of RTAs. In this paper we ask whether oversight and examination has fostered successful RTAs using bilateral trade flows as our metric. We develop a comprehensive dataset covering 290 regional economic integration agreements that have entered into force since 1960. Remarkably, the data reveal that almost half (43%) of all agreements in existence (up to 2005) are neither notified nor accounted for in the RTA database published by the WTO. We then exploit variation in the notification status of an RTA to determine …
The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars,
2009
DePaul University and Columbia College Chicago
The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell
Byron E. Bell
No abstract provided.
