Econometrics Commons^™

Eco 230 / Mgt 230 Introduction To Economic And Managerial Statistics, George Vachadze

Open Educational Resources

Development and application of modern statistical methods, including such elements of descriptive statistics and statistical inference as correlation and regression analysis, probability theory, sampling procedures, normal distribution and binomial distribution, estimation, and testing of hypotheses.

Essays On Multivariate Stochastic Volatility Models, Han Chen

Dissertations and Theses Collection (Open Access)

In this dissertation, I have made several contributions to the literature on the multivariate stochastic volatility model. First, I have considered a new multivariate stochastic volatility (MSV) model based on a recently proposed novel parameterization of the correlation matrix. This modeling design is a generalization of Fisher's z-transformation to the high-dimensional case. It is fully flexible as the validity of the resulting correlation matrix is guaranteed automatically. It allows me to completely separate the driving factors of volatilities and correlations. To conduct an econometric analysis of the proposed model, I develop a new Bayesian method that relies on the Markov …

Multi-Dimensional Analysis Of Public Transfer Payment Policy In Malaysia, Amirullah Muhammad Adli

Student Works (2020-2029)

The impact of public transfer payment is dynamic, whereby it has shown separately that it can affect the income of the poor, aggregate consumption, economics outputs, education level of the poor and unemployment. However, there is a gap in previous public transfer payment analysis where all previous literature used Ceteris Paribus assumption that means “other things equal” as the central assumption when conducting the study. Nonetheless, Ceteris Paribus assumption is unable to capture the complex economic phenomena of the real world since it assumes other variables constant when analysing the selected variables. Hence, the introduction of Omnia Mobilis assumption that …

Three Essays On Econometrics, Xin Zheng

Dissertations and Theses Collection (Open Access)

The dissertation includes three chapters on econometrics. The first chapter is about treatment effects and its application in randomized control trial. The second chapter is about specification test. The third chapter is about panel data model with fixed effects.

In the first chapter, we study the estimation and inference of the quantile treatment effect under covariate-adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we derive their asymptotic distributions uniformly over a compact set of quantile indexes, and show that, when the treatment assignment …

Two Suggestions To Wp Mp Jamus Lim, Zhengxiao Wu

Research Collection School Of Economics

In a commentary, SMU Senior Lecturer of Statistics Wu Zhengxiao discussed the arguments presented by Workers’ Party’s candidate Associate Professor Jamus Lim during the live broadcast of a political debate, and put forth two suggestions for Assoc Prof Lim.

In-Fill Asymptotic Theory For Structural Break Point In Autoregressions, Liang Jiang, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This article obtains the exact distribution of the maximum likelihood estimator of structural break point in the Ornstein-Uhlenbeck process when a continuous record is available. The exact distribution is asymmetric, tri-modal, dependent on the initial condition. These three properties are also found in the finite sample distribution of the least squares (LS) estimator of structural break point in autoregressive (AR) models. Motivated by these observations, the article then develops an in-fill asymptotic theory for the LS estimator of structural break point in the AR(1) coefficient. The in-fill asymptotic distribution is also asymmetric, tri-modal, dependent on the initial condition, and delivers …

Quantile Treatment Effects And Bootstrap Inference Under Covariate-Adaptive Randomization, Yichong Zhang, Xin Zheng

Research Collection School Of Economics

In this paper, we study the estimation and inference of the quantile treatment effect under covariate‐adaptive randomization. We propose two estimation methods: (1) the simple quantile regression and (2) the inverse propensity score weighted quantile regression. For the two estimators, we derive their asymptotic distributions uniformly over a compact set of quantile indexes, and show that, when the treatment assignment rule does not achieve strong balance, the inverse propensity score weighted estimator has a smaller asymptotic variance than the simple quantile regression estimator. For the inference of method (1), we show that the Wald test using a weighted bootstrap standard …

Forecasting Singapore Gdp Using The Spf Data, Tian Xie, Jun Yu

Research Collection School Of Economics

In this article, we use econometric methods, machine learning methods, and a hybrid method to forecast the GDP growth rate in Singapore based on the Survey of Professional Forecasters (SPF). We compare the performance of these methods with the sample median used by the Monetary Authority of Singapore (MAS). It is shown that the relationship between the actual GDP growth rates and the forecasts from individual professionals is highly nonlinear and non-additive, making it hard for all linear methods and the sample median to perform well. It is found that the hybrid method performs the best, reducing the mean squared …

Realized Semicovariances, Tim Bollerslev, Jia Li, Andrew J. Patton, Rogier Quaedvlieg

Research Collection School Of Economics

We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high-frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures as the sampling interval goes to zero. The first-order asymptotic results highlight how the same-sign and mixed-sign components load differently on economic information related to stochastic correlation and jumps. The second-order asymptotic results reveal the structure underlying the same-sign semicovariances, as manifested in the form of co-drifting and dynamic “leverage” effects. In line with this anatomy, we use data on a large cross-section of individual stocks to empirically …

Public Leaderboard Feedback In Sampling Competition: An Experimental Investigation, Stanton Hudja, Brian Roberson, Yaroslav Rosokha

ESI Working Papers

We investigate the role of performance feedback, in the form of a public leaderboard, in a sequential-sampling contest with costly observations. The player whose sequential random sample contains the observation with the highest value wins the contest and obtains a prize with a fixed value. We find that there exist parameter configurations such that in the subgame perfect equilibrium of contests with a fixed ending date (i.e., finite horizon), providing public performance feedback results in fewer expected observations and a lower expected value of the winning observation. We conduct a controlled laboratory experiment to test the theoretical predictions, and find …

Forecasting Skills In Experimental Markets: Illusion Or Reality?, Brice Corgnet, Cary Deck, Mark Desantis, David Porter

ESI Working Papers

Using experimental asset markets, we study the situation of a financial analyst who is trying to infer the fundamental value of an asset by observing the market’s history. We find that such capacity requires both standard cognitive skills (IQ) as well as social and emotional skills. However, forecasters with high emotional skills tend to perform worse when market mispricing is high as they tend to give too much emphasis to the noisy signals from market data. By contrast, forecasters with high social skills perform especially well in markets with high levels of mispricing in which their skills could help them …

Trust, Reciprocity, And Social History: New Pathways Of Learning When Max U (Own Reward) Fails Decisively, Vernon L. Smith

ESI Working Papers

"This evaluation begins with the BDM protocol—itself a methodological contribution—and the experimental findings. The question of the replicability and robustness of these unexpected results is addressed next in a summary of two subsequent experimental papers. We follow with a discussion of two attempts to explain qua understand the BDM findings; both, however, have methological deficiencies—Reciprocity and Social Preference explanations. Finally, we offer a brief on Adam Smith’s (1759; 1853; hereafter in the text, Sentiments) model of human sociability, based on strictly self-interested actors, that culminates in propositions that (1) account for trust game choices, and (2) predict action in new …

Strategic Problems With Risky Prospects, Alessandro Sontuoso, Cristina Bicchieri, Alexander Funcke, Einav Hart

ESI Working Papers

We study “hypothetical reasoning” in games where the impact of risky prospects (chance moves with commonly-known conditional probabilities) is compounded by strategic uncertainty. We embed such games in an environment that permits us to verify if risk-taking behavior is affected by information that reduces the extent of strategic uncertainty. We then test some implications of expected utility theory, while making minimal assumptions about individuals’ (risk or ambiguity) attitudes. Results indicate an effect of the information on behavior: this effect is triggered in some cases by a belief-revision about others’ actions, and in other cases by a reversal in risk …

Impacts Of Rift Valley Fever Virus: A One Health Approach To Assess Burden And Inform Prevention And Control Options, Catherine Machalaba

Dissertations and Theses

Background: Rift Valley Fever (RVF) is a climate-sensitive emerging zoonotic disease associated with large-scale livestock production losses and human disease burden in Sub-Saharan Africa and the Middle East. While recognized as a key One Health issue based on its transmission dynamics involving human, animal and environmental determinants, there has been poor coordination between sectors to reduce the risk and impact of RVF. Efforts to counter the disease remain largely reactive, presenting an ongoing threat to local and global health security. The intent of this dissertation was to improve understanding of the burden of RVF across society and to identify entry …

Rhode Island Current Conditions Index -- June 2020, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Essays On Time Series And Financial Econometrics, Yijie Fei

Dissertations and Theses Collection (Open Access)

This dissertation contains four essays in financial econometrics. In the first essay, some asymptotic results are derived for first-order autoregression with a root moderately deviating from unity and a nonzero drift. It is shown that the drift changes drastically the large sample properties of the least-squares (LS) estimator. The second essay is concerned with the joint test of predictability and stability in the context of predictive regression. The null hypothesis under investigation is that the potential predictors exhibit no predictability and incur no structural break during the sample period. We first show that the IVX estimator provides better finite sample …

Analysis Of The Causal Link Between Economic Growth And Development In Nigeria (1960-2019), Muhammad Umar

Bullion

Taking cognizant of Nigeria's recent policies toward translating growth to meaningful development, this study aimed at analysing causality amid economic growth and development using annual series from 1960-2019.The study engaged vector autoregressive method by embracing Toda and Yamamoto 1995 model. The results reveals a bidirectional causality between economic growth and dependency ratio; population growth rate and economic growth and also it reveals the evidence of uni-directional causality from dependency ratio to life expectancy and from population growth to life expectancy. But economic growth and life expectancy as well as dependency ratio and life expectancy does not present evidence of causality.

Capital Adequacy Requirement And Bank Behaviour In Nigeria, Baba Nmadu Yaaba, Lailah G. Sanusi

Bullion

The divergent views on the usefulness of capital adequacy ratio (CAR) in controlling the risk appetite of banks necessitates further research on its efficiency and effectiveness. Whereas proponents of CAR believe that it enhances the soundness and stability of the banking system, opponents contend that it can impedes on the intermediating capabilities of banks and possibly ignites credit crunch that could induce fall in the level of output. This study empirical verifies the infuence of CAR on the behavior of banks in Nigeria. The study adopts a system of simultaneous equation, in the tradition of Maraghni (2017) using Generalized Method …

The Impact Of External Debt On Agricultural Production In Nigeria (1980-2016): Autoregressive Distributed Lag Modelling, Aishatu U. Yerima, Hussaini M. Tahir

Bullion

The study analyzed the impact of external debt on Nigeria's agricultural production from 1980 to 2016 using secondary data obtained from Central Bank of Nigeria (CBN) statistical bulletin and the World Development Indicators (WDI). Augmented DickeyFuller unit root test and the autoregressive distributed lag (ARDL) bound testing approach to co-integration were utilized, to achieve the objectives of the study. Empirical results revealed that the variables were cointegrated, indicating that they exhibited long run relationship, both in the short and the long run. External debt stock (EDS) had a significant positive impact on agricultural production (AGP), indicating that EDS positively impacted …

Deviance Information Criterion For Latent Variable Models And Misspecified Models, Yong Li, Jun Yu, Tao Zeng

Research Collection School Of Economics

Deviance information criterion (DIC) has been widely used for Bayesian model comparison, especially after Markov chain Monte Carlo (MCMC) is used to estimate candidate models. This paper first studies the problem of using DIC to compare latent variable models when DIC is calculated from the conditional likelihood. In particular, it is shown that the conditional likelihood approach undermines theoretical underpinnings of DIC. A new version of DIC, namely DICL, is proposed to compare latent variable models. The large sample properties of DICL are studied. A frequentist justification of DICL is provided. Like AIC, DICL provides an asymptotically unbiased estimator to …