Econometrics Commons^™

Do Philippine Stocks Catch Coronavirus? Some Econometric Check-Up On Pandemic Data, 2021-2022, Mark Reniel M. Amarila, Luisito C. Abueg

Journal of Economics, Management and Agricultural Development

Using daily data from March 1, 2021 to March 31, 2022, the USD-PHP exchange rate and pandemic-related variables such as the number of cases, vaccinations, and stringency index in relation to the movements of Philippine Stock Exchange index (PSEi) were investigated. The paper views vaccination as an instrument for reducing economic uncertainty, subsequently providing a positive sentiment for investors and stock market. Ordinary least squares, autoregressive distributed lags, and vector autoregression was used to show some dynamics based on time series data. Particularly, there are indications of reported cases being negatively correlated and statistically significant for PSEi. Further, impulse response …

A Consistent Specification Test For Dynamic Quantile Models, Peter Horvath, Jia Li, Zhipeng Liao, Andrew J. Patton

Research Collection School Of Economics

Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform functional inference. Our approach is theoretically justified via a strong Gaussian approximation for statistics of growing dimensions in a general time series setting. We propose a novel bootstrap method in this nonstandard context and show that it significantly outperforms the benchmark asymptotic approximation in finite samples, especially for tail quantiles such as Value-at-Risk (VaR). We use the proposed new test to study the VaR …

Spatial Panel Data Models: Unbalanced Panel, Threshold Effect And Network Structure, Xiaoyu Meng

Dissertations and Theses Collection (Open Access)

This thesis studies the estimation and inference problems for spatial panel data models when the panels are unbalanced, when the panels contain threshold effects, or when the panels contain time-varying network structures. These three scenarios divide the thesis naturally into three chapters.

The first chapter considers estimation and inferences for fixed effects spatial panel data models based on unbalanced panels that result from randomly missing spatial units. The unbalanced nature of the panel data renders the standard method of estimation inapplicable. In this chapter, we proposed an M-estimation method where the estimating functions are obtained by adjusting the concentrated quasi …

Bayesian And Machine Learning Methods With Applications In Asset Pricing, Yaohan Chen

Dissertations and Theses Collection (Open Access)

The dissertation consists of three essays on asset pricing by constructing new data set and developing new methodologies. In the first chapter, we conduct empirical studies on the volatility-managed portfolios in the Chinese stock market. Using data from the Chinese stock market, we have found that the main empirical findings in Moreira and Muir (2017) break down. Based on the empirical findings, we exploit a comprehensive set of $99$ equity strategies in the Chinese stock market to analyze the value of managed portfolios. Based on these $99$ equity trading strategies, we find that there exists no systematic gain from scaling …

Essays On Long Memory Time Series And Panel Models, Shuyao Ke

Dissertations and Theses Collection (Open Access)

This dissertation studies different long memory models. The first chapter considers a time series regression model where both the regressors and error term are locally stationary long memory processes with time-varying memory parameters, and the regression coefficients are also allowed to be time-varying. We consider a frequency-domain least squares estimator with kernelized discrete Fourier transform and derive its pointwise asymptotic normality and uniform consistency. A specification test on the constancy of coefficients is provided. The second chapter studies a linear regression panel data model with interactive fixed effects where the regressors, factors and idiosyncratic error terms are all stationary but …

Effectiveness Of Foreign Aid In Poverty Reduction In Africa: The Role Of Fiscal Policy, Iwegbu Onyebuchi, Risikat O. S. Dauda

CBN Journal of Applied Statistics (JAS)

This study examines foreign aid effectiveness in poverty reduction in Africa with focus on the role of regional fiscal policy on education and health. The study employs panel dynamic ordinary least squares (DOLS) estimation technique and covers the period 1980-2017. The results reveal that foreign aid augmented with effective fiscal policy on education significantly improves the income level in all the regions except Central Africa, and consumption in the Western and Central regions. When augmented with effective fiscal policy on health foreign aid enhances households’ income in West and Central Africa and consumption in West and Southern regions. Furthermore, foreign …

Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje

CBN Journal of Applied Statistics (JAS)

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term interest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive distributed lag (NARDL) and threshold regression models are adopted. The study uses monthly data from 2002:M1 to 2019:M12. The results of the threshold regression model indicate that the degree of the effect of MPR on SINT and LINT above the estimated threshold of 11 and 13 percent respectively is greater and significant than if MPR were to …

Social Dimension Of Inclusive Growth In Ecowas: Implication For Poverty Reduction, Toriola K. Anu, Goerge O. Emmanuel, Ajayi O. Felix

CBN Journal of Applied Statistics (JAS)

This study investigates the implication of the social dimension of inclusive growth on poverty reduction in Economic Community of West African States (ECOWAS) countries. It specifically examines how social indices of inclusive growth comprising of income inequality, education, and health outcomes affect poverty reduction. The study uses a panel dataset of the six (6) lower-middle income countries in ECOWAS which was analysed via panel Difference Generalised Method of Moment (D-GMM). The results show that GDP per capita exerts significant negative effect on poverty while inequality, education and health outcomes do not show significant effect on poverty. Although, the estimates of …

Effect Of Fdi Inflows On Employment Generation In Selected Ecowas Countries: Heterogeneous Panel Analysis, Timothy A. Aderemi, Olawunmi Omitogun, Bukonla G. Osisanwo

CBN Journal of Applied Statistics (JAS)

The aim of this study is to examine the effect of FDI on employment in ECOWAS sub region between 1990 and 2019. The study utilizes a panel autoregressive distributed lag model to analyse the short run and long run relationship between FDI and employment across ECOWAS sub region. In the short run, the impact of FDI on employment is negative and statistically not significant. Meanwhile, in the long run FDI has a positive and statistically significant impact on employment rate. This implies that FDI has the capacity to generate employment in countries in ECOWAS sub region. Therefore, this study recommends …

Impact Of Covid-19 Pandemic On The Nigeria Stock Market: A Sectoral Stock Prices Analysis, Peter A. Adekunle, Yakubu A. Bello, Udochukwu G. Nwachukwu

CBN Journal of Applied Statistics (JAS)

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on the stock market indices in the short run. Furthermore, the study documents negative response of sectoral stock prices to the pandemic while the stock prices of the banking sub-sector are the worst hit. Compared to the consumer goods, and industrial subsector indices, the speed of adjustment to long run equilibrium is faster for …

Weak Identification Of Long Memory With Implications For Inference, Jia Li, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This paper explores weak identification issues arising in commonly used models of economic and financial time series. Two highly popular configurations are shown to be asymptotically observationally equivalent: one with long memory and weak autoregressive dynamics, the other with antipersistent shocks and a near-unit autoregressive root. We develop a data-driven semiparametric and identification-robust approach to inference that reveals such ambiguities and documents the prevalence of weak identification in many realized volatility and trading volume series. The identification-robust empirical evidence generally favors long memory dynamics in volatility and volume, a conclusion that is corroborated using social-media news flow data.

Win: How Public Entrepreneurship Can Transform The Developing World, Tomoki Fujii

Research Collection School Of Economics

This book provides a story about the Infrastructure Development Company Limited (IDCOL) written from the perspective of its first full-time Chief Executive Officer. For those who have never heard of IDCOL, it was created in 1997 by the Government of Bangladesh as a nonbank financial institution to fill the financial gap for developing medium- to large-scale infrastructure. IDCOL had a very modest start with a nominal paid-up capital of less than US$2,000, but its capital, equity, and reserves increased to US$110 million by 2020. During this massive expansion, IDCOL met various challenges. This book gives an account of these challenges …

300 Anniversary Of Smith’ Birth, Vernon L. Smith

ESI Working Papers

Thousand-word brief on key quotes from Adam Smith’s two books (TMS, WN) modelling Society and Economy.

Political Legitimacy In Historical Political Economy, Avner Greif, Jared Rubin

ESI Working Papers

Political legitimacy has long been recognized in the social sciences as an integral component of governance. It encourages obedience without the threat of force, thus lowering governing costs and improving the efficacy of policies. This chapter begins by overviewing the extensive literature on political legitimacy, classifying studies by whether they are based on the beliefs (regarding the legitimacy of the authority) or effectiveness (good governance is legitimate governance). Among the studies focusing on beliefs, most take legitimacy as an exogenous element of political authority. We develop a conceptual framework to study how beliefs regarding political legitimacy form endogenously and impact …

Youth Entrepreneurship Dynamics In Benin: Was Access To Finance The Missing Piece For Opportunistic Self-Employment?, Modeste Melain Senou, Kolotioloman Soro

The Journal of Entrepreneurial Finance

Young people in developing countries and more especially in Sub-Saharan African countries are seeking employment opportunities in challenging economic and social environments. Entrepreneurship appears then as a key factor in reducing unemployment, grasping for a sustainable job and reducing poverty. Both national and international authorities are taking steps to facilitate youth entrepreneurship. In that context, this study aims at reexamining the effect of access to finance on the dynamics of entrepreneurship of young people in transition from School to work in Benin. Using a SURE Probit procedure on data from the International Labor Organization (ILO) we estimated jointly the predicted …

Does My Skin Tone Really Matter? A Socioeconomic Analysis In Nigeria., Mutiu O. Fakorede

Master's Theses

Abstract: Does my skin tone really matter? If it does, to what extent and direction does skin tone predict socioeconomic outcomes, especially amongst people of color who have experienced colonial rule with its white supremacy agenda? In this research, we examined if skin tone measured in individual typology angle (ITA) does not affect employability, income, partner selection, and political representativeness. With a focus on Nigeria, the most populous black nation, a former British colony, we addressed this broad question through a survey. Using the iterative capability of Qualtrics which randomly picks a set of three pictures with known ITA and …

How Do Reward Versus Penalty Framed Incentives Affect Diagnostic Performance In Auditing?, Bright (Yue) Hong, Timothy W. Shields

ESI Working Papers

Prior research examines how rewards versus economically equivalent penalties affect effort. However, accountants perform various diagnostic analyses that involve more than exerting effort. For example, auditors often need to identify whether a material misstatement is the underlying cause of a phenomenon among the possible causes. Testing helps identify the cause, but testing is costly. When participants are incentivized to test accurately (rather than test more) and objectively (unbiased between testing and not testing), we find that framing the incentives as rewards versus equivalent penalties increases testing by lowering the subjective testing criterion and by increasing the assessed risk of material …

Motives For Cooperation In The One-Shot Prisoner’S Dilemma, Mark Schneider, Timothy W. Shields

ESI Working Papers

We investigate the motives for cooperation in the one-shot Prisoner’s Dilemma (PD). A prior study finds that cooperation rates in one-shot PD games can be ranked empirically by the social surplus from cooperation. That study employs symmetric payoffs from cooperation in simultaneous PD games. Hence, in that setting, it is not possible to discern the motives for cooperation since three prominent social welfare criteria, social surplus (efficiency) preferences, Rawlsian maximin preferences, and inequity aversion make the same predictions. In the present paper, we conduct an experiment to identify which of these social preferences best explains differences in cooperation rates and …

Save, Gamble, Or Both? The Relationship Between Premium Bond Sales And Lottery Sales In The United Kingdom, Kaden Grace

Honors Theses

Four out of every ten Americans are unable to pay for an unexpected $400 bill out of their savings accounts. To ameliorate this problem, one policy to incentivize saving is a Prize-Linked Savings Account (PLSA). Unlike a traditional savings account that pays out a consistent rate of return, a PLSA pools the interest on all deposits and distributes the returns in randomly drawn prizes (similar to a lottery). However, PLSAs remain illegal in many areas due to a concern that the introduction of a private or public PLSA could cannibalize revenue from an existing state-sponsored lottery, thus restricting the state’s …

On The Generalizability Of Using Mobile Devices To Conduct Economic Experiments, Yiting Guo, Jason Shachat, Matthew J. Walker, Lijia Wei

ESI Working Papers

Recent technological advances enable the implementation of online, field and hybrid experiments using mobile devices. Mobile devices enable sampling of incentivized decisions in more representative samples, consequently increasing the generalizability of results. Generalizability might be compromised, however, if the device is a relevant behavioural confound. This paper reports on a battery of common economic games and decision-making tasks in which we systematically randomize the decision-making device (computer versus mobile phone) and the laboratory setup (physical versus online). The results offer broad support for conducting decision experiments using mobile devices. For six out of eight tasks, we find robust null results …