Econometrics Commons^™

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

The Rhode Island Current Conditions Index

No abstract provided.

The Ncaa's Breaking Point For Equal Opportunity: A Title Ix Perspective On Name, Image, And Likeness Sponsorship Legislation, Joshua C. Sorbe

Honors Thesis

This paper analyzes the efficacy of Title IX when considering national name, image, and likeness (NIL) legislation and NCAA Division I athletic department expenditure behavior. To answer this question, I analyzed Title IX’s legislative history, current compliance rules, recent litigation, and academic literature. Using publicly-available data reported to the US Department of Education, I performed regression analysis on institutional characteristics and expenditure behaviors to assess the impact that spending behavior has on gender equity. My results show that revenue-generating sports had a large impact on spending equity, and disparities in expenditures are more distinct than participation. Ultimately, the market-based exceptions …

Essays On Nonstationary Econometrics, Yanbo Liu

Dissertations and Theses Collection (Open Access)

My dissertation consists of three essays that contribute new theoretical results to robust inference procedures and machine learning algorithms in nonstationary models.

Chapter 2 compares OLS and GLS in autoregressions with integrated noise terms. Grenander and Rosenblatt (2008) gave sufficient conditions for the asymptotic equivalence of GLS and OLS in deterministic trend extraction. However when extending to univariate autoregression model yt = ρnyt−1 + ut , ρn = 1 + c nα , ut = ut−1 + t , and t is one iid disturbance term with zero expectation and σ 2 variance, the asymptotic equivalence no longer holds. Under …

Essays On A Mechanism Design Approach To The Problem Of Bilateral Trade And Public Good Provision, Cuiling Zhang

Dissertations and Theses Collection (Open Access)

The dissertation consists of three chapters which studies a mechanism design approach to the problem of bilateral trade and public good provision.

Chapter 1 characterizes mechanisms satisfying Bayesian incentive compatibility (BIC) and interim individual rationality (IIR) in the classical public good provision problem. We propose a stress test for the results in the standard continuum type space by subject- ing them to a finite type space. The main contribution of this paper is to propose a set of techniques that allow us to characterize the efficient and optimal mechanisms in a discrete setup. Using these techniques, we conclude that many …

Three Essays On Nonstationary Time Series Econometrics, Yiu Lim Lui

Dissertations and Theses Collection (Open Access)

This dissertation comprises three papers that separately study different nonstationary time series models.

The first paper, titled as "The Grid Bootstrap for Continuous Time Models", is a joint work with Professor Jun Yu and Professor Weilin Xiao. It considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous-time models driven by a Lévy process. Its asymptotic validity is discussed under the assumption that the sampling interval (h) shrinks to zero, the time span (N) goes to infinity or both. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic …

Essays On Empirical Asset Pricing, Liyao Wang

Dissertations and Theses Collection (Open Access)

The dissertation consists of four chapters on empirical asset pricing. The first chapter reexamines the existence of time-series momentum. Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one month return. Using the same data set as Moskowitz, Ooi, and Pedersen (2012) (MOP, henceforth), we show that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t -statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, the performance of …

Stock Liquidity Of Malaysian Public Listed Firms, Yee Ee Chia

Student Works (2020-2029)

This thesis is motivated by the limited research on the liquidity of Malaysian public listed firms, the growing number of liquidity horseraces, the recent data commercialization by Bursa Malaysia, and liquidity-enhancing policies being spearheaded mainly by stock exchange regulators in emerging markets. By assembling information that covers 1250 public listed non-financial firms over 2000–2015, the thesis conducts three empirical analyses on the determinants of firm liquidity and the effects of higher liquidity on firm valuation, where liquidity is proxied by the “Closing Percent Quoted Spreads” (CPQS). First, the thesis revisits the standard liquidity model and advocates the inclusion of shareholder …

Robust Estimation And Inference Of Spatial Panel Data Models With Fixed Effects, Shew Fan Liu, Zhenlin Yang

Research Collection School Of Economics

It is well established that the quasi maximum likelihood (QML) estimation of the spatial regression models is generally inconsistent under unknown cross-sectional heteroskedasticity (CH) and the CH-robust methods have been developed. The same issue remains for the spatial panel data (SPD) models but the similar studies based on QML approach do not seem to have been carried out. This paper focuses on the SPD model with fixed effects (FE). We argue that under unknown CH the QML estimator for the SPD-FE model is inconsistent in general, but there are ‘special cases’ where it may remain consistent although the exact conditions …

Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C. B. Phillips, Jiti Gao

Research Collection School Of Economics

This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the data, we allow the regressors to be cointegrated and to embody a mixture of stochastic and deterministic trends, complications which result in asymptotic degeneracy of the kernel-weighted signal matrix. To address these complications new local and global rotation techniques are introduced to transform the covariate space to accommodate multiple scenarios of induced degeneracy. Under regularity conditions we derive asymptotic results that differ …

Viral Social Media Videos Can Raise Pro-Social Behaviours When An Epidemic Arises, Youting Guo, Jason Shachat, Matthew J. Walker, Lijia Wei

ESI Working Papers

At the onset of an epidemic, can viral social media videos induce the high levels of trust and pro-sociality required for a successful community response? Shortly after the outbreak of the COVID-19 virus in Wuhan, China, we conducted an experiment assessing the impact of viral videos on individual preferences and pro-social behaviour. Prior to the experiment, participants viewed one of three videos culled from Chinese social media: a central government leader visiting a local hospital and supermarket, health care volunteers transiting to Wuhan, or an emotionally neutral video unrelated to the emergency. Viewing one of the first two videos leads …

The Impact Of The Legalization Of Marijuana In Colorado On Education Funding And Car Crash Fatality Rates, Lauren Mcdonald

Undergraduate Theses and Capstone Projects

The objective of this thesis is to investigate and report the impact of the legalization of marijuana on the funding of education and car crash fatality rates in the state of Colorado. Legalization has been a controversial topic, and marijuana has already been legalized for recreational use in 11 states, and medically in 22 states across the United States. The tax revenues from marijuana are used in school funding, though the allocations of these funds have varied in different years. As we approach the impact that legalization has had on Colorado, it will be interesting to see if the newly …

A Test Of The Modigliani-Miller Theorem, Dividend Policy And Algorithmic Arbitrage In Experimental Asset Markets, Tibor Neugebauer, Jason Shachat, Wiebke Szymczak

ESI Working Papers

Modigliani and Miller showed that the market value of the company is in dependent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the MM theorem in a complete market with two simultaneously traded assets, employing two experimental treatment variations. The first variation involves the dividend stream. According to this variation the dividend payout order is either identical or independent. The second variation involves the market participation, or not, of an algorithmic arbitrageur. We find that Modigliani-Miller's law of one price can be supported on average with or …

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

The Rhode Island Current Conditions Index

No abstract provided.

Estimation Of Fixed Effects Spatial Dynamic Panel Data Models With Small T And Unknown Heteroskedasticity, Liyao Li, Zhenlin Yang

Research Collection School Of Economics

We consider the estimation and inference of fixed effects (FE) spatial dynamic panel data (SDPD) models under small T and unknown heteroskedasticity by extending the M-estimation strategy for homoskedastic FE-SDPD model of Yang (2018, Journal of Econometrics). Unbiased estimating equations are obtained by adjusting the conditional quasi-score functions given the initial observations, leading to M-estimators that are free from the initial conditions and robust against unknown cross-sectional heteroskedasticity. Consistency and asymptotic normality of the proposed M-estimator are established. The standard errors are obtained by representing the estimating equations as sums of martingale differences. Monte Carlo results show that the proposed …

Specification Tests For Temporal Heterogeneity In Spatial Panel Data Models With Fixed Effects, Yuhong Xu, Zhenlin Yang

Research Collection School Of Economics

We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with …

Hybrid Stochastic Local Unit Roots, Offer Lieberman, Peter C. B. Phillips

Research Collection School Of Economics

Two approaches have dominated formulations designed to capture small departures from unit root autoregressions. The first involves deterministic departures that include local-to-unity (LUR) and mildly (or moderately) integrated (MI) specifications where departures shrink to zero as the sample size n -> infinity. The second approach allows for stochastic departures from unity, leading to stochastic unit root (STUR) specifications. This paper introduces a hybrid local stochastic unit root (LSTUR) specification that has both LUR and STUR components and allows for endogeneity in the time varying coefficient that introduces structural elements to the autoregression. This hybrid model generates trajectories that, upon normalization, …

The Classical Theory Of Supply And Demand, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

This paper introduces and formalizes the classical view on supply and demand, which, we argue, has an integrity independent and distinct from the neoclassical theory. Demand and supply, before the marginal rev-olution, are defined not by an unobservable criterion such as a utility func-tion, but by an observable monetary variable, the reservation price: the buyer’s (maximum) willingness to pay (WTP) value (a potential price) and the seller’s (minimum) willingness to accept (WTA) value (a potential price) at the marketplace. Market demand and supply are the cumulative distri-bution of the buyers’ and sellers’ reservation prices, respectively. This WTP-WTA classical view of …

Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets, Brice Corgnet, Mark Desantis, David Porter

ESI Working Papers

The growing prevalence of stock market chat rooms and social media suggests communication between traders may affect market outcomes. Using data from a series of laboratory experiments, we study the causal effect of trader communication on the price efficiency of markets. We show that communication allows markets to convey private information more effectively. This effect is most pronounced when the communication platform publicizes a reputation score that might identify a person as not being truthful. This illustrates the need for market designers to consider social interactions when designing market institutions to leverage the social motives that foster information aggregation.

An Empirical Study Of The Sentiment Capital Asset Pricing Model, Soroush Ghazi, Mark Schneider

ESI Working Papers

What is market sentiment? This paper takes a new approach to this question and de- rives a formula for market sentiment as a function of the risk-free rate, the price/dividend ratio, and the conditional stock market volatility. The formula is derived from a representative agent with a prospect theory probability weighting function. We estimate the model and find that our sentiment measure correlates positively with the leading sentiment indexes. The model matches the equity premium while generating a low and stable risk-free rate with low risk aversion. We also apply the model to explain other anomalies for the aggregate stock …

Categorical Salience Theory, Mark Schneider, Cary Deck, Patrick Dejarnette

ESI Working Papers

Monetary lotteries are the overwhelmingly predominant tool for understanding decisions under risk. However, many real-world decisions concern multidimensional out- comes involving different goods. Recent studies have tested whether people treat multidimensional risky choices in the same manner as unidimensional monetary lotteries and found that choices over consumer goods are less risk-averse and more consistent with expected utility theory than choices over monetary lotteries. While these puzzling results cannot be explained by any standard model of decision making, we demonstrate that these findings are predicted by a salience-based model of category-dependent preferences that also explains the classic anomalies for choices under …