Econometrics Commons^™

A Classical Model Of Speculative Asset Price Dynamics, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on reservation prices (in place of the utility function). In this paper, we specialize the classical methodology to deal with speculation, an important impediment to price stability. The model involves typical features of a field or lab asset market setup and lends itself to an experimental test of its specific predictions; here we use the model to explain three general stylized facts, well established both empirically and …

H. Keith Hunt On Consumer Behavior: Understanding His Contribution, Laura Egan, David Aron

Librarian Publications

This study uses an ego-centric bibliometric analysis of H. Keith Hunt to elucidate his connection to researchers in the consumer behavior field and his impact on the field. We identified publications written or edited by Hunt using Web of Science, Google Scholar, and the Journal of Consumer Satisfaction, Dissatisfaction and Complaining Behavior; analyzed Hunt’s co-authors and citations in those works; and tabulated Hunt’s co-cited authors for top consumer behavior journals in Web of Science. Based on the analysis and quotes from his works and others about Hunt, we also identify and discuss dimensions related to Hunt’s impact on the …

A Comparison Of M&T Bank And Citizens Bank Net Income Changes During The Coronavirus Pandemic, Alex R. Glasier

Applied Economics Theses

The COVID-19 pandemic had a tremendous impact on every aspect of life, particularly within the world of banking & finance. All banks saw sharp drops in their stock prices and net income, but my hypothesis is that larger, more established banks maintained more stability during 2020 than smaller banks. This paper analyzes the income statements and balance sheets of M&T Bank (an older, more well-established bank) and Citizens Bank (a less-established bank) during this difficult time.

The first part of my thesis describes similarities and differences between M&T Bank and Citizens Bank. I explain how these similarities and differences may …

Optimal Nonparametric Range-Based Volatility Estimation, Tim Bollerslev, Jia Li, Qiyuan Li

Research Collection School Of Economics

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given timeinterval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures.

A General Test For Functional Inequalities, Jia Li, Zhipeng Liao, Wenyu Zhou

Research Collection School Of Economics

This paper develops a nonparametric test for general functional inequalities that include conditional moment inequalities as a special case. It is shown that the test controls size uniformly over a large class of distributions for observed data, importantly allowing for general forms of time series dependence. New results on uniform growing dimensional Gaussian coupling for general mixingale processes are developed for this purpose, which readily accommodate most applications in economics and finance. The proposed method is applied in a portfolio evaluation context to test for “all-weather” portfolios with uniformly superior conditional Sharpe ratio functions.

Predictive Mind Reading From First And Second Impressions: Better-Than-Chance Prediction Of Cooperative Behavior, Eric Schniter, Timothy W. Shields

ESI Working Papers

Could cooperation among strangers be facilitated by adaptations that use sparse information from first and second impressions to accurately predict cooperative behavior? If so, does more of this information lead to more accurate predictions? We hypothesize that predictions are influenced by stereotypes, descriptions, appearance, and contextualized behavioral history available for first and second impressions. We also hypothesize that predictions improve when more information is available. We conducted a two-part study. First, we recorded thin-slice videos of university students just before their choices in a repeated Prisoner’s Dilemma (PD) with matched partners. Second, a worldwide sample of raters evaluated each player …

Variation And Efficiency Of High-Frequency Betas, Congshan Zhang, Jia Li, Viktor Todorov, George. Tauchen

Research Collection School Of Economics

This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify …

Financial Crisis And Female Entrepreneurship: Evidence From South Korea, Jungho Lee, Sunha Myong

Research Collection School Of Economics

We document a drastic increase in female-owned manufacturing firms in South Korea after the 1997 financial crisis. A major banking sector reform was conducted during the crisis, and many underperforming bank branches were forced to close down. We find that more female-owned firms were created in areas where more bank branches were closed during the reform. We present evidence that male-owned firms were preferred by closed-down bank branches, despite femaleowned firms exhibiting lower risks and higher returns. The banking sector reform, although not explicitly aimed at addressing gender disparities, substantially benefited female entrepreneurs by improving efficiency in the financial market.

Contingent Payments In Procurement Interactions - Experimental Evidence, Matthew J. Walker, Jason Shachat, Lijia Wei

ESI Working Papers

A chief objective of creating competition among suppliers is the procurement of higher quality goods and services at lower prices. When procuring non-standard goods, it is often difficult to write a complete specification of desired quality in the contract. A moral hazard arises when this quality is costly and determined by the supplier ex post to contracting. In an effort to mitigate this moral hazard, we introduce a correlated contingent payment contract. This contract is awarded through competitive bidding. The winning supplier’s payment is, according to a fixed probability, either the amount of their bid or a quality contingent amount …

Data Supplement To 'H. Keith Hunt On Consumer Behavior: Understanding His Contribution', Laura Egan, David Aron

Datasets

Includes the data, data collection procedures, and data notes for the bibliometric analysis components of "H. Keith Hunt on Consumer Behavior: Understanding His Contribution.” The study uses an ego-centered bibliometric analysis method developed by Howard White to examine the impact of H. Keith Hunt on the field of consumer behavior. Ego-centered analysis is based on social network analysis where the social network modes are the citation identity, citation image, citation image-makers, and co-authors of an author studied. The data files address each of these aspects and the top consumer behavior journals used for the citation image portion of the data …

Volatility Puzzle: Long Memory Or Anti-Persistency, Shuping Shi, Jun Yu

Research Collection School Of Economics

The log realized volatility (RV) is often modeled as an autoregressive fractionally integrated moving average model ARFIMA(1,d,01,d,0). Two conflicting empirical results have been found in the literature. One stream shows that log RV has a long memory (i.e., the fractional parameter d > 0). The other stream suggests that the autoregressive coefficient α is near unity with antipersistent errors (i.e., d α close to 0 and d close to 0.5) from Model 2Model 2 (ARFIMA(1,d,01,d,0) with α close to unity and d close to –0.5). An intuitive explanation is given. For the 10 financial assets considered, despite that no definitive conclusions …

Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping Shi, Jun Yu, Chen Zhang

Research Collection School Of Economics

The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a fractional parameter H ∈ (0, 1). This paper first derives an analytical expression for the spectral density of fGn and investigates the accuracy of various approximation methods for the spectral density. Next, we conduct an extensive Monte Carlo study comparing the finite sample performance and computational cost of alternative estimation methods for H under the …

Four Essays On Peace Consolidation And Ethnic Reconciliation In Postwar Sri Lanka, Narayani Sritharan

Doctoral Dissertations

In four essays, this dissertation explores the process of peace consolidation and economic recovery from the devastating conflict of 1983-2009 in Sri Lanka. This dissertation addresses a timely and important topic. The findings make an important contribution to the literature on economic development and peacebuilding, specifically on the role of foreign aid in alleviating the risks of conflict and helping countries rebuild their economies after conflict. The dissertation highlights important political economy dimensions that help illustrate social and political dynamics that lead to conflict, such as regional and ethnic inequalities, which also influence post-conflict reconstruction.

In addition to a historical …

Litigation With Negative Expected Value Suits: An Experimental Analysis, Cary Deck, Paul Pecorino, Michael Solomon

ESI Working Papers

The existence of lawsuits providing plaintiffs a negative expected value (NEV) at trial has important theoretical implications for signaling models of litigation. The signaling equilibrium possible absent NEV suits breaks down with NEV suits because plaintiffs do not have a credible threat to proceed to trial undermining the ability to signal type. Using a laboratory experiment, we analyze behavior with and without the possibility of NEV suits. Absent NEV suits, behavior largely follows predicted patterns. However, the possibility of NEV suits does not cause the signaling equilibrium to unravel and does not cause the dispute rate to increase. Plaintiffs only …

On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Chen Zhang, Jun Yu

Research Collection School Of Economics

This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a continuous record over the finite past is available. Alternative discretiza-tion schemes are proposed to approximate these formulae. These alternative discretization schemes are then compared with the conditional expectation of the target variable on the vector of the discrete and finite sample. It is shown that the conditional expectation delivers more accurate forecasts than the discretization-based …

Optimal Inference For Spot Regressions, Tim Bollerslev, Jia Li, Yuexuan Ren

Research Collection School Of Economics

We propose new nonparametric inference procedures for the continuous-time regression coefficient and the residual variance for Itˆo semimartingale processes. Treating the local estimation window as fixed, we couple the nonparametric estimation problem with a conditional Gaussian limit experiment, establishing asymptotic optimality of the resulting estimators via a novel “spot” version of the Gauss–Markov theorem. Asymptotically valid feasible inference procedures based on the non-Gaussian exact distributions in the limit experiment perform excellently in finite-samples. An empirical application involving three popular ETFs for the Nasdaq-100 stock market index reveals non-trivial systematic intraday and episodic deviations from the funds’ stated objectives.

Cities In A Pandemic: Evidence From China, Badi H. Baltagi, Ying Deng, Li Jing, Zhenlin Yang

Research Collection School Of Economics

This paper studies the impact of urban density, city government efficiency, and medical resources on COVID-19 infection and death outcomes in China. We adopt a simultaneous spatial dynamic panel data model to account for (i) the simultaneity of infection and death outcomes, (ii) the spatial pattern of the transmission, (iii) the intertemporal dynamics of the disease, and (iv) the unobserved city-specific and time-specific effects. We find that, while population density increases the level of infections, government efficiency significantly mitigates the negative impact of urban density. We also find that the availability of medical resources improves public health outcomes conditional on …

Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yiu Lim Lui, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite …

Economic Forecasting In A Pandemic: Some Evidence From Singapore, Hwee Kwan Chow-Tan, Keen Meng Choy

Research Collection School Of Economics

This paper aims to investigate whether the predictive performance and behaviour of professional forecasters are different during the COVID-19 pandemic as compared with the global financial crisis of 2008 and normal times. To this end, we use a survey of professional forecasters in Singapore collated by the central bank to analyse the forecasting records for GDP growth and CPI inflation for the period 2000Q1–2021Q4. We first examine the point forecasts to document the extent of forecast failure duringthe two crises and explore various explanations for it, such as leader-following and herding behaviour. Then, using percentile-based summary measures of probability distribution …

Low-Rank Panel Quantile Regression: Estimation And Inference, Yiren Wang, Yichong Zhang, Yichong Zhang

Research Collection School Of Economics

In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm regularization followed by sample splitting, row- and column-wise quantile regressions and debiasing. We show that the estimators of the factors and factor loadings associated with the intercept and slope matrices are asymptotically normally distributed. In addition, we develop two specification tests: one for the null hypothesis that the slope coefficient is a constant over time and/or individuals under the case that true rank of slope …