Econometrics Commons^™

Rulc Rxr Econometrics, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. Rule exchange rate and real exchange rate econometrics and stationarity analysis.
• Elliott, G., Rothenberg, T. J., & Stock, J. H. Efficient tests for an autoregressive unit root.
• Ng, S., & Perron, P. Lag length selection and the construction of unit root tests with good size and power.
• Pesaran, M. H., Shin, Y., & Smith, R. J. Bounds testing approaches to the analysis of level relationships.
• Shaikh, A. Gretl statistical regression software outputs for terms of trade and unit labor cost models.
• Shaikh, A. Simulated terms of trade, relative unit labor …

The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng

Dissertations and Theses Collection (Open Access)

In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …

Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti

Dissertations and Theses Collection (Open Access)

This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …

Discussion & Notes On Quality Adjustments Bias Of K Stock, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Fixed reproducible tangible wealth in the United States, 1925–89, written by the Bureau of Economic Analysis, published by the U.S. Government Printing Office, in the year 1993.
• Discussion & note on quality adj bias of k stock, an unpublished set of handwritten research notes and analytical commentary prepared by Anwar Shaikh, PhD, on September 17, 2010.
• Kstock bias in quality adj. prices, a manuscript file folder label inscribed with the identification code NA-23-65, prepared by Anwar Shaikh, PhD, on June 5, 2026.
• Alternate measures of current-cost output/capital indexes: 1947 = 100, an unpublished …

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, 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 …

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.

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 …

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 …

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 …

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.

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, …

Fight Or Flight? Defending Against Sequential Attacks In The Game Of Siege, Cary Deck, Roman M. Sheremeta

ESI Working Papers

This paper examines theory and behavior in a two-player game of siege, sequential attack and defense. The attacker’s objective is to successfully win at least one battle while the defender’s objective is to win every battle. Theoretically, the defender either folds immediately or, if his valuation is sufficiently high and the number of battles is sufficiently small, then he has a constant incentive to fight in each battle. Attackers respond to defense with diminishing assaults over time. Consistent with theoretical predictions, our experimental results indicate that the probability of successful defense increases in the defenders valuation and it decreases in …

Affecting Policy By Manipulating Prediction Markets: Experimental Evidence, Cary Deck, Shengle Lin, David Porter

ESI Working Papers

Documented results indicate prediction markets effectively aggregate information and form accurate predictions. This has led to a proliferation of markets predicting everything from the results of elections to a company’s sales to movie box office receipts. Recent research suggests prediction markets are robust to manipulation attacks and resulting market outcomes improve forecast accuracy. However, we present evidence from the lab indicating that single‐minded, well‐funded manipulators can in fact destroy a prediction market’s ability to aggregate informative prices and mislead those who are making forecasts based upon market predictions. However, we find that manipulators primarily influence market trades meaning outstanding bids …

Personality And The Consistency Of Risk Taking Behavior: Experimental Evidence, Cary Deck, Jungmin Lee, Javier Reyes

ESI Working Papers

Researchers have found that an individual’s risk attitude is not stable across elicitation methods. Results reported by Deck et al. (2009) suggest that personality may help explain the apparent inconsistency, offering support to Borghans et al.’s (2008) argument that economists should consider a multi‐domain approach to measuring risk attitudes. This paper uses laboratory methods to compare risk attitudes as measured by the Holt and Laury (2002) procedure under two different frames. We find that, as in Deck et al. (2009), one’s willingness to take financial risks (as measured by Weber et al. 2002) significantly affects behavior; however the effect is …

Perfect And Imperfect Real-Time Monitoring In A Minimum-Effort Game, Cary Deck, Nikos Nikiforakis

ESI Working Papers

This paper presents the results from a minimum-effort game in which individuals can observe the choices of others in real time. We find that under perfect monitoring almost all groups coordinate at the payoff-dominant equilibrium. However, when individuals can only observe the actions of their immediate neighbors in a circle network, monitoring improves neither coordination nor efficiency relative to a baseline treatment without real-time monitoring. We argue that the inefficiency of imperfect monitoring is due to information uncertainty, that is, uncertainty about the interpretation of the information available regarding the actions of others.

Can Markets Save Lives? An Experimental Investigation Of A Market For Organ Donations, Cary Deck, Erik O. Kimbrough

ESI Working Papers

Many people die while waiting for organ transplants even though the number of usable organs is far larger than the number needed for transplant. Governments have devised many policies aimed at increasing available transplant organs with variable success. However, with few exceptions, policy makers are reluctant to establish markets for organs despite the potential for mutually beneficial exchanges. We ask whether organ markets could save lives. Controlled laboratory methods are ideal for this inquiry because human lives would be involved when implementing field trials. Our results suggest that markets can increase the supply of organs available for transplant, but that …

Price Increasing Competition? Experimental Evidence, Cary Deck, Jingping Gu

ESI Working Papers

Economic intuition suggests that increased competition generates lower prices. However, recent theoretical work shows that a monopolist may charge a lower price than a firm facing a competitor selling a differentiated product. The direction of the price change when competition is introduced is dependent upon the joint distribution of buyer values for the two products. We explore this relationship using controlled laboratory experiments. Our results indicate that the distribution of buyer values does affect prices in a manner consistent with the theoretical predictions, although price increasing competition is rare due in part to overly intense competition regardless of the distribution …