Econometrics Commons^™

Bitcoin Price Dynamics: A Multiple Regression Analysis Of Market Variables, Zachary S. Biedscheid

2023 Symposium

Bitcoin, a decentralized digital currency (property), has gained significant attention recently as a potential alternative to traditional financial systems. This research project aims to explore the market variables of Bitcoin by conducting a multiple regression analysis. The literature review highlights market dynamics and the impact of Bitcoin in economics and finance, specifically in banking and monetary systems. It explores Bitcoin's decentralized nature and limited supply as a more secure and stable form of money, contrasting it with the flaws and inefficiencies of centralized banking systems. The dataset provides information on the Bitcoin market from July 23, 2010, to April 16, …

Does Low-Income Housing Change Neighborhoods? Evidence From The Low Income Housing Tax Credit Program, Maria Dikler

Theses and Dissertations

This paper examines how LIHTC developments affect a census tract's characteristics. The results indicate that tracts with LIHTC developments have increased education, poverty, diversity, renters, and multi-family buildings. These tracts also have decreased household incomes and rents. However, the study reveals no significant effects on labor force participation or employment.

Stock Splits And Corporate Peer Effects, Albert J. Saad

Theses and Dissertations

We find that a company’s decision to execute a stock split is affected by the number of stock splits carried out by its peers. Through the use of a broad peer group construction methodology, we also reveal the presence of asymmetric effects with regard to companies of different market capitalization size. In the periods of 1983–1996 and 1997–2009 we find that firms are more likely to split their stock if more of their peers have recently done so. However, in the period of 2010–2019 we see that the opposite is true. These results provide further evidence on social learning from …

Heating Systems And Households’ Expenditure, Svitlana Holyk

Master's Theses

The heating energy expenditure has been frequently taken to the consideration across different studies of poverty reduction. However, there is an unresolved question related to understanding how households’ expenditures might be distinct due to the heating system characteristics. This research implements matching methods to investigate the causal effect of the heating system on households’ gas and electricity expenditure in Ukraine. The result indicates that there is a significant difference in the utility expenditure between the District heating system (DHS) and the Individual heating system (IHS) households. The inherited from the past the Soviet District heating system Model in Ukraine doesn’t …

Economic Impact Assessment Of Nature-Based Coastal Resilience Solutions In Charleston. Estimating Local Economic Effects With Algorithm-Based Supporting Tool., Oksana Veselkova

All Theses

Coastal cities are at the forefront of the risks induced by climate change. Local communities are adversely affected, but the essential cultural assets and economies are also at risk of damage or destruction. In the efforts to limit hazard risk exposure, local governments are increasingly planning for long-term flood protection. One prospective flood risk mitigation measure is living shorelines or nature-based adaptation. The coastal ecosystems, such as beaches, wetlands, barrier islands, oyster reefs, and salt marshes, deliver multiple benefits to communities, including recreation, natural resources, freshwater, and carbon sequestration. Moreover, when combined with structural solutions, they can effectively reduce water …

Efficient Estimation Of Generalized Nonparametric Model Under Additive Structure, Ying Xia

Dissertations and Theses Collection (Open Access)

In this thesis, we develop novel nonparametric estimation techniques for two distinct classes of models: (1) Generalized Additive Models with Unknown Link Functions (GAMULF) and (2) Generalized Panel Data Transformation Models with Fixed Effects. Both models avoid parametric assumptions on their respective link or transformation functions, as well as the distribution of the idiosyncratic error terms.

The first chapter aims to provide an in-depth and systematic introduction to cross- sectional and panel-data nonparametric transformation models, encompassing practical applications, a diverse range of estimation techniques, and the study of asymptotic properties. We discuss the advantages and limitations of these models and …

Essays On Large Panel Data Models With Two-Way Heterogeneity, Yiren Wang

Dissertations and Theses Collection (Open Access)

This dissertation consists of two papers that contribute to the estimation and inference theory of the panel data models with two-way slope heterogeneity. The first paper considers the panel quantile regression model with slope heterogeneity along both individuals and time. By modelling this two-way heterogeneity with the low-rank slope matrix, the slope coefficient can be estimated via the nuclear norm regularization followed by sample-splitting, row- and column-wise quantile regression, and debiasing. The inferential theory for the final slope estimator along with its factor and factor loading is derived. Two specification tests are proposed: one tests whether the slope coefficient is …

An Inquiry Concerning Japanese Yen Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models Japanese yen (JPY)–denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the percentage change in the exchange rate. It also tests whether there are structural breaks in the dynamics of Japanese swap yields and related variables. The estimated econometric models show that the short-term interest rate exerts an important influence on the long-term swap yield in some periods but …

Essays On The Economics Of Sports Wagering Markets, Jacob Lamb

All Dissertations

Economists have long been enamored with using wagering markets and sports data to answer various economic questions. Wagering market data are readily available to answer any number of questions relating to sports and economics. However, most studies surrounding wagering markets have focused on searching for inefficiencies and, consequently, profitable betting strategies against the house. This dissertation takes a different approach, focusing on the information that can be extracted from efficient wagering markets and using that information to answer economic questions. Rather than hunting for inefficiencies, this dissertation confirms the efficiency of wagering markets and uses wagering markets to answer questions …

Improved Marginal Likelihood Estimation Via Power Posteriors And Importance Sampling, Yong Li, Nianling Wang, Jun Yu

Research Collection School Of Economics

Power posteriors have become popular in estimating the marginal likelihood of a Bayesian model. A power posterior is referred to as the posterior distribution that is proportional to the likelihood raised to a power b∈[0,1]. Important power-posterior-based algorithms include thermodynamic integration (TI) of Friel and Pettitt (2008) and steppingstone sampling (SS) of Xie et al. (2011). In this paper, it is shown that the Bernstein–von Mises (BvM) theorem holds for power posteriors under regularity conditions. Due to the BvM theorem, power posteriors, when adjusted by the square root of the auxiliary constant, have the same limit distribution as the original …

Uniform Nonparametric Inference For Time Series Using Stata, Jia Li, Zhipeng Liao, Mengsi Gao

Research Collection School Of Economics

In this article, we introduce a command, tssreg, that conducts nonparametric series estimation and uniform inference for time-series data, including the case with independent data as a special case. This command can be used to nonparametrically estimate the conditional expectation function and the uniform confidence band at a user-specified confidence level, based on an econometric theory that accommodates general time-series dependence. The uniform inference tool can also be used to perform nonparametric specification tests for conditional moment restrictions commonly seen in dynamic equilibrium models.

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 …

On The Spectral Density Of Fractional Ornstein-Uhlenbeck Process: Approximation, Estimation, And Model Comparison, Shuping Shi, Jun Yu, Chen Zhang

Research Collection School Of Economics

This paper introduces a novel method for accurately approximating the spectral density of the discretely-sampled fractional Ornstein-Uhlenbeck (fOU) process. We utilize this approximated spec-tral density to develop an estimation method called the approximated Whittle maximum likelihood method (AWML) for fOU. Additionally, we develop a likelihood-ratio (LR) test using the approxi-mated spectral densities to distinguish between the fractional Brownian motion (fBm) and fOU pro-cesses, two popular models in the volatility literature. Simulation studies demonstrate that the AWML method improves the estimation speed and accuracy compared to existing ones and that the LR test is effective in distinguishing between the two processes …

Inflation Dynamics And Expectations In Singapore, Hwee Kwan Chow-Tan

Research Collection School Of Economics

Inflation dynamics in Singapore have primarily been shaped by foreign factors, including global inflationary pressures and external macroeconomic shocks. More recently, the normalisation phase of the Covid-19 pandemic crisis has led to domestic price pressures from pent-up demand and supply-chain disruptions. Meanwhile, the war in Ukraine has resulted in a hike in the global prices of food, energy, and industrial commodities. Using inflation forecasts from the MAS Survey of Professional Forecasters as our measure of inflation expectations, we show that short-term inflation expectations have shifted up recently. Moreover, greater disagreement amongst survey respondents in the more recent surveys suggests individual …

Multivariate Econometric Regression Of Factors That Determine Form Of Disposition Of Human Remains Using Archival Death Certificates, Salt Lake County, Utah, Delphine T. Feigenbaum

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This project considers the inescapable and burgeoning issues concerning the long-term allocation of scarce natural resources between the living and the deceased. America’s population growth will demand more space and maintenance resources used for disposition. To meet the forthcoming exigencies, economic planners need to address natural resource availability for future generations while incorporating sustainable and innovative technologies to prohibit environmental injustice.

The goals are to answer the following questions: How do demographical variables, age and sex influence the choice of disposition? How do cause of death variables influence the choice of disposition? I also evaluate the hypothesis that the average …

The 2015 Ncaa Cost-Of-Attendance Stipend And Its Effects On Institutional Financial Aid Packages, Sara Greene

Honors Theses

In 2015, the National Collegiate Athletic Association (NCAA) allowed “Cost of Attendance” (COA) stipends to be offered to athletic recruits for Division I schools. These stipends are intended to allow schools to grant aid to student-athletes beyond a full-ride scholarship to cover additional costs imposed on student-athletes. These stipends created an opportunity for the “Autonomy” Power 5 programs to utilize a competitive tactic to try to win over the top recruits. There is evidence that these COA stipends have caused an increase in the estimated cost of attendance reported by the university. This paper examines if the COA stipends have …

New York Camp Econometrics Xvii Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

Fenway And Crime: Opportunity, Geographic Differences, And Team Rivalry At Boston Red Sox Games, Cole Mcgovern

Empirical Economic Bulletin, An Undergraduate Journal

Although hosting professional sports are often seen as a financial benefit for cities, there are also associated costs. This paper investigates the possibility of interdependence between a variety of crimes and home game days of the Boston Red Sox. When adjusting for game attendance and length, minor assaults charges such as disorderly conduct and simple assault increase city-wide during game days. Despite this, all crime around the immediate stadium area decreases in volume. Additionally, this study examines differences in geographical impacts and crime levels, when a game was played, and games played against the New York Yankees, their historic rival.

The Happiness-Income Paradox: A Cross Sectional Analysis, Samantha Sczepanski

Empirical Economic Bulletin, An Undergraduate Journal

This paper presents an empirical analysis of how income, education and healthcare affect overall happiness in a country. By using data found through the world happiness report, Statista and the world population review, I was able to analyze the relationship between these three variables and the overall happiness index from 100 counties. The results showed that while all three variables have a positive relationship with the happiness index, mean income had the strongest relationship. I was also able to explore potential other variables that could have an effect which were cost of higher education, percentage of population with secondary or …

Educations Effect On Income Inequality: A Panel Data Analysis, Nicholas Garbarino

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the effects of education amongst other factors on income inequality in Europe. This study examines if countries who have higher educational attainment have lower income inequality or if having higher educational attainment has no effect on income inequality. The study will include data from several European countries over two different time periods and the results will then be compared at a country level and at an overall level to see how education affects income inequality. The regression results show that a country that has higher educational attainment is more likely to have lower income inequality. These findings …