Econometrics Commons^™

Essays On Energy Economics And Environmental Policies, Janak R. Joshi

Economics ETDs

This dissertation contains three distinct empirical chapters in applied energy and environmental economics. Each chapter focuses on a unique set of research questions, methods, and data. The unifying motivation therein concerns the development of renewable or alternative low-carbon energy sources as a policy response to the challenges of climate change mitigation, local and regional environmental quality issues, and energy security concerns. Economic and environmental evaluation of the energy policies coupled with understanding energy use patterns is of paramount importance. Together, the empirical chapters focus on demand, supply, and policy aspects of energy markets in the United States (US).

First, Chapter …

A Snowball's Chance: Debt Snowball Vs. Debt Avalanche, Evan Mcallister

Senior Honors Projects, 2010-2019

Traditional mathematical analysis states that the most efficient way to pay off interest-bearing consumer debt is to pay the individual debts in order from largest to smallest interest rate. In doing this, the debtor will eliminate the largest sources of interest first, thus shortening the overall time-to-pay. This method is known as the “Debt Avalanche.” The “Debt Snowball” method, popularized in large part by investor-author David Ramsey, recommends that consumers pay debts in order from smallest to largest, regardless of interest rate. In this paper, I conduct an empirical analysis of the Federal Reserve’s Survey of Consumer Finance (SCF), calculating …

The Principal Problem With Principal Components Regression, Heidi Margaret Artigue, Gary Smith

Pomona Faculty Publications and Research

Principal components regression (PCR) reduces a large number of explanatory variables down to a small number of principal components. PCR is thought to be more useful, the more numerous the potential explanatory variables. The reality is that a large number of candidate explanatory variables does not make PCR more valuable; instead, it magnifies the failings of PCR.

Using Response Times To Measure Ability On A Cognitive Task, Aleksandr Alekseev

ESI Working Papers

I show how using response times as a proxy for effort coupled with an explicit process-based model can address a long-standing issue of how to separate the effect of cognitive ability on performance from the effect of motivation. My method is based on a dynamic stochastic model of optimal effort choice in which ability and motivation are the structural parameters. I show how to estimate these parameters from the data on outcomes and response times in a cognitive task. In a laboratory experiment, I find that performance on a Digit-Symbol test is a noisy and biased measure of cognitive ability. …

Rhode Island Current Conditions Index -- December 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Mild-Explosive And Local-To-Mild-Explosive Autoregressions With Serially Correlated Errors, Yiu Lim Lui, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper firstly extends the results of Phillips and Magdalinos (2007a) by allowing for anti-persistent errors in mildly explosive autoregressive models. It is shown that the Cauchy asymptotic theory remains valid for the least squares (LS) estimator. The paper then extends the results of Phillips, Magdalinos and Giraitis (2010) by allowing for serially correlated errors of various forms in local-to-mild-explosive autoregressive models. It is shown that the result of smooth transition in the limit theory between local-to-unity and mild-explosiveness remains valid for the LS estimator. Finally, the limit theory for autoregression with intercept is developed.

Root-N Consistency Of Intercept Estimators In A Binary Response Model Under Tail Restrictions, Lili Tan, Yichong Zhang

Research Collection School Of Economics

The intercept of the binary response model is irregularly identified when the supports of both the special regressor V and the error term ε are the whole real line. This leads to the estimator of the intercept having potentially a slower than √n convergence rate, which can result in a large estimation error in practice. This paper imposes addition tail restrictions which guarantee the regular identification of the intercept and thus the √n-consistency of its estimator. We then propose an estimator that achieves the √n rate. Finally, we extend our tail restrictions to a full-blown model with endogenous regressors.

Semiparametric Maximum Likelihood Inference For Nonignorable Nonresponse With Callbacks, Zhong Guan, Denis H. Y. Leung, Jing Qin

Research Collection School Of Economics

We model the nonresponse probabilities as logistic functions ofthe outcome variable and other covariates in the survey sampling study withcallback. The identification aspect of this callback model is investigated. Semiparametricmaximum likelihood estimators of the parameters in the responseprobabilities are proposed and studied. As a result, an efficient estimator ofthe mean of the outcome variable is constructed using the estimated responseprobabilities. Moreover, if a regression model for conditional mean of the outcomevariable given some covariate is available, then we can obtain an evenmore efficient estimate of the mean of the outcome variable by fitting the regressionmodel using an adjusted least squares …

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

Research Collection School Of Economics

This paper studies the estimation and inference of the quantile treatment effect under covariate-adaptive randomization. We propose three estimation methods: (1) the simple quantile regression (QR), (2) the QR with strata fixed effects, and (3) the inverse propensity score weighted QR. For the three estimators, we derive their asymptotic distributions uniformly over a set of quantile indexes and show that the estimator obtained from inverse propensity score weighted QR weakly dominates the other two in terms of efficiency, for a wide range of randomization schemes. For inference, we show that the weighted bootstrap tends to be conservative for methods (1) …

Forecasting Large Covariance Matrix With High-Frequency Data: A Factor Correlation Matrix Approach, Yingjie Dong, Yiu Kuen Tse

Research Collection School Of Economics

We propose a factor correlation matrix approach to forecast large covariance matrix of asset returns using high-frequency data. We apply shrinkage method to estimate large correlation matrix and adopt principal component method to model the underlying latent factors. A vector autoregressive model is used to forecast the latent factors and hence the large correlation matrix. The realized variances are separately forecasted using the Heterogeneous Autoregressive model. The forecasted variances and correlations are then combined to forecast large covariance matrix. We conduct Monte Carlo studies to compare the finite sample performance of several methods of forecasting large covariance matrix. Our proposed …

On Booms That Never Bust: Ambiguity In Experimental Asset Markets With Bubbles, Brice Corgnet, Roberto Hernán-González, Praveen Kujal

ESI Working Papers

We study the effect of ambiguity on the formation of bubbles and on the occurrence of crashes in experimental asset markets à la Smith, Suchanek, and Williams (1988). We extend their framework to an environment where the fundamental value of the asset is ambiguous. We show that, when the fundamental value is ambiguous, asset prices tend to be lower than when it is risky although bubbles form in both the ambiguous and the risky environments. Additionally, bubbles do not crash in the ambiguous case whereas they do so in the risky one. These findings regarding depressed prices and the absence …

Determinants Of Parking Fees On College Campuses, Hannah Huckeby

Posters-at-the-Capitol

The price of parking has recently been a hot topic around the Murray area, especially among the college students. Due to the drastic increase in parking pass prices there has been an abundant amount of discussion surrounding this idea of parking being a public good. Many individuals have been outraged which has brought up the questions of why there is a price tag on something that many people consider a public good. With that being said, this paper is going to take a deeper look into parking specifically pertaining to college campuses but also in the cities surrounding these institutions. …

Conditional Independence In A Binary Choice Experiment, Nathaniel Wilcox

ESI Working Papers

Experimental and behavioral economists, as well as psychologists, commonly assume conditional independence of choices when constructing likelihood functions for structural estimation. I test this assumption using data from a new experiment designed for this purpose. Within the limits of the experiment’s identifying restriction and designed power to detect deviations from conditional independence, conditional independence is not rejected. In naturally occurring data, concerns about violations of conditional independence are certainly proper and well-taken (for well-known reasons). However, when an experimenter employs contemporary state-of-the-art experimental mechanisms and designs, the current evidence suggests that conditional independence is an acceptable assumption for analyzing data …

Selection In The Lab: A Network Approach, Aleksandr Alekseev, Mikhail Freer

ESI Working Papers

We study the selection problem in economic experiments by focusing on its dynamic and network aspects. We develop a dynamic network model of student participation in a subject pool, which assumes that students' participation is driven by the two channels: the direct channel of recruitment and the indirect channel of student interaction. Using rich recruitment data from a large public university, we find that the patterns of participation and biases are consistent with the model. We also find evidence of both short- and long-run selection biases between males and females, as well as between cohorts of students. Males tend to …

The Econometric Analysis Of The Factors Affecting The Revenue Of Bangkok Port, Viyada Suriyakul Na Ayudhaya, Praew Ritthirungrat

World Maritime University Dissertations

No abstract provided.

Rhode Island Current Conditions Index -- November 2018, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Threshold Regression Asymptotics: From The Compound Poisson Process To Two-Sided Brownian Motion, Ping Yu, Peter C. B. Phillips

Research Collection School Of Economics

The asymptotic distribution of the least squares estimator in threshold regression is expressed in terms of a compound Poisson process when the threshold effect is fixed and as a functional of two-sided Brownian motion when the threshold effect shrinks to zero. This paper explains the relationship between this dual limit theory by showing how the asymptotic forms are linked in terms of joint and sequential limits. In one case, joint asymptotics apply when both the sample size diverges and the threshold effect shrinks to zero, whereas sequential asymptotics operate in the other case in which the sample size diverges first …

Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su

Research Collection School Of Economics

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips’ (2016) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals’ group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of both the C-Lasso …

The Grid Bootstrap For Continuous Time Models, Yiu Lim Lui, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic around its in fill asymptotic distribution which is non-pivotal and depends on the initial condition. Monte Carlo studies show that the gird bootstrap method performs better than the in-fill asymptotic theory and much better than the long-span theory. Empirical applications to U.S. interest rate data highlight …

Specification Tests Based On Mcmc Output, Yong Li, Jun Yu, Tao Zeng

Research Collection School Of Economics

Two test statistics are proposed to determine model specification after a model is estimated by an MCMC method. The first test is the MCMC version of IOSA test and its asymptotic null distribution is normal. The second test is motivated from the power enhancement technique of Fan et al. (2015). It combines a component (J1) that tests a null point hypothesis in an expanded model and a power enhancement component (J0) obtained from the first test. It is shown that J0 converges to zero when the null model is correctly specified and diverges when the null model is misspecified. Also …