Econometrics Commons^™

Comment On: Limit Of Random Measures Associated With The Increments Of A Brownian Semimartingale, Jia Li, Dacheng Xiu

Research Collection School Of Economics

We thank the Editors’ invitation for the opportunity of contributing to this special issue as a celebration of Professor Jean Jacod’s seminal work originally written in 1994 (Jacod, 1994). This paper established general limit theorems for integrated volatility functionals, and provided theoretical tools that eventually changed the landscape of theoretical research concerning high-frequency data. This impact is also largely due to Professor Jacod’s continuous contribution to a broad variety of challenging issues in the area of high-frequency financial econometrics, including volatility estimation, jumps, and microstructure noise, as well as a large body of mathematical results collected in Jacod and Shiryaev …

Younger Federal District Court Judges Favor Presidential Power, Tom Campbell, Nathaniel T. Wilcox

ESI Working Papers

From 1960 to 2015, Federal District Court opinions involving challenges to Executive Branch authority show that U.S. Federal District Court judges (trial judges) support such authority less as they age, with a sharp decline beginning near age 57. We argue that District judges know that elevation to the Federal Circuit Court of Appeals becomes increasingly improbable, and hence have less reason to ‘cooperate’ with the Executive, with advancing age. Political variables (and other variables) introduced as extra regressors do not reverse our main results. When there are contemporaneous vacancies on their Circuit courts, District judges in the eleven State Circuits …

The Impact Of Wti And The Ordering Of Crude Tankers On Tanker Spot Freight Rate, Jiajia Xu

World Maritime University Dissertations

No abstract provided.

Study On The Fluctuation And Forecasting Of Capsize Bulk Carrier’S Freight, Kelun Wei

World Maritime University Dissertations

No abstract provided.

Study On Bulk Market Of Panamax Carrier In The Past 20 Years(1998-2018), Wei Chen

World Maritime University Dissertations

No abstract provided.

International Container Logistics Transshipment Service : Comparison Between Shanghai Port And Singapore Port, Tingyu Han

World Maritime University Dissertations

No abstract provided.

Partners Or Strangers? Cooperation, Monetary Trade, And The Choice Of Scale Of Interaction, Maria Bigoni, Gabriele Camera, Marco Casari

ESI Working Papers

We show that monetary exchange facilitates the transition from small to large-scale economic interactions. In an experiment, subjects chose to play an “intertemporal cooperation game” either in partnerships or in groups of strangers where payoffs could be higher. Theoretically, a norm of mutual support is sufficient to maximize efficiency through large-scale cooperation. Empirically, absent a monetary system, participants were reluctant to interact on a large scale; and when they did, efficiency plummeted compared to partnerships because cooperation collapsed. This failure was reversed only when a stable monetary system endogenously emerged: the institution of money mitigated strategic uncertainty problems.

The Connection Between Race And Performance Of Nba Draft Picks, Jeremiah Mitchell

Theses and Dissertations

This paper examines the relationship between race and performance in terms of one of the highest forms of efficiency in basketball, field goal percentage, based on college statistics, with regard to draft position, career earnings and NBA win shares.

The Catalyst Effect Of Historic Preservation: A Spatial Analysis Of The Impact Of Historic District Designation On Housing Renovations In New York City, Ali R. Mostafa

Theses and Dissertations

The constraints on property use along with the economic merits of historic districts are critical points in the debate over preservation policies. Improving the existing housing stock is a substantial economic activity and a significant part of the nation’s overall construction industry. The purpose of this study is to present an empirical analysis of the relationship between historic district designation and renovation decisions. The results of the analysis found that historic preservation does not inhibit the renovation activity of single-family homeowners. However, contrary to the claims made by proponents, it does not give a powerful incentive for owners in undesignated …

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

The Rhode Island Current Conditions Index

No abstract provided.

Resilience And The U.S. Labor Market: A Cross-Scale Analysis On The Role Of Industrial Diversity And Specialization, Christian D. Sprague

Boise State University Theses and Dissertations

This thesis examines how the effects of industrial diversity and specialization vary across geographical scales and classification levels. The notion of a robust institutional design, in conjunction with a regional resilience framework, is used to model how diversity and modularity affect unemployment through-out economic cycles. We use fixed effects models on employment data from the Bureau of Labor Statistics and Census Bureau in all available U.S. counties from 1998-2015. Key results suggest the optimal structure of industrial composition varies across scale, namely, that fine levels of industrial diversity are beneficial at higher levels of geographical scale (regions), whereas a broad …

Nonstationary Panels With Unobserved Heterogeneity, Wenxin Huang

Dissertations and Theses Collection (Open Access)

This dissertation develops several econometric techniques to address the unobserved heterogeneity in nonstationary panels, namely identifying latent group structures in cointegrated panels, studying nonstationary panels with both cross-sectional dependence and latent group structures, and estimating panel error-correction model with unobserved dynamic common factors.

Chapter 1 considers a panel cointegration model with latent group structures that allows for heterogeneous long-run relations across groups. We extend Su et al. (2013) 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 …

Spatial Dynamic Panel Data Models With Correlated Random Effects, Liyao Li, Zhenlin Yang

Research Collection School Of Economics

In this paper, M-estimation and inference methods are developed for spatial dynamic panel data models with correlated random effects, based on short panels. The unobserved individual-specific effects are assumed to be correlated with the observed time-varying regressors linearly or in a linearizable way, giving the so-called correlated random effects model, which allows the estimation of effects of time-invariant regressors. The unbiased estimating functions are obtained by adjusting the conditional quasi-scores given the initial observations, leading to M-estimators that are consistent, asymptotically normal, and free from the initial conditions except the process starting time. By decomposing the estimating functions into sums …

Unified M-Estimation Of Fixed-Effects Spatial Dynamic Models With Short Panels, Zhenlin Yang

Research Collection School Of Economics

It is well known that quasi maximum likelihood (QML) estimation of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values, and a wrong treatment of them will result in inconsistency and serious bias. The same issues apply to spatial DPD (SDPD) models with short panels. In this paper, a unified Mestimation method is proposed for estimating the fixed-effects SDPD models containing three major types of spatial effects, namely spatial lag, spatial error and space-time lag. The method is free from the specification of the distribution of the initial observations and robust against nonnormality …

Bootstrap Lm Tests For Higher-Order Spatial Effects In Spatial Linear Regression Models, Zhenlin Yang

Research Collection School Of Economics

This paper first extends the methodology of Yang (J Econom 185:33-59, 2015) to allow for non-normality and/or unknown heteroskedasticity in obtaining asymptotically refined critical values for the LM-type tests through bootstrap. Bootstrap refinements in critical values require the LM test statistics to be asymptotically pivotal under the null hypothesis, and for this we provide a set of general methods for constructing LM and robust LM tests. We then give detailed treatments for two general higher-order spatial linear regression models: namely the model and the model, by providing a complete set of non-normality robust LM and bootstrap LM tests for higher-order …

Financial Bubble Implosion And Reverse Regression, Peter C. B. Phillips, Shu-Ping Shi

Research Collection School Of Economics

Expansion and collapse are two key features of a financial asset bubble. Bubble expansionmay be modeled using a mildly explosive process. Bubble implosion may take several differentforms depending on the nature of the collapse and therefore requires some flexibility in modeling.This paper first strengthens the theoretical foundation of the real time bubble monitoringstrategy proposed in Phillips, Shi and Yu (2015a,b, PSY) by developing analytics and studyingthe performance characteristics of the testing algorithm under alternative forms of bubbleimplosion which capture various return paths to market normalcy. Second, we propose a newreverse sample use of the PSY procedure for detecting crises and …

Pretrial Release And Failure-To-Appear In Mclean County, Il, Jonathan Monsma

Student Research – Stevenson Center

Actuarial risk assessment tools increasingly have been employed in jurisdictions across the U.S. to assist courts in the decision of whether someone charged with a crime should be detained or released prior to their trial. These tools should be continually monitored and researched by independent 3^rd parties to ensure that these powerful tools are being administered properly and used in the most proficient way as to provide socially optimal results. McLean County, Illinois began using the Public Safety Assessment-Court^TM (PSA-Court or simply PSA) risk assessment tool beginning in 2016. This study culls data from the McLean County Jail …

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

The Rhode Island Current Conditions Index

No abstract provided.

Boundary Limit Theory For Functional Local To Unity Regression, Anna Bykhovskaya, Peter C. B. Phillips

Research Collection School Of Economics

This article studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function which characterizes departures from unity that may occur within the sample in both stationary and explosive directions. Such models enhance the flexibility of the LUR framework by including break point, trending, and multidirectional departures from unit autoregressive coefficients. We study the behavior of this model as the localizing function diverges, thereby determining the impact on the time series and on …

Asymptotics And Bootstrap For Random-Effects Panel Data Transformation Models, Liangjun Su, Zhenlin Yang

Research Collection School Of Economics

This article investigates the asymptotic properties of quasi-maximum likelihood (QML) estimators for random-effects panel data transformation models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoskedasticity, and simple model structure. We develop a QML-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the QML estimators, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance (VC) matrix. Monte Carlo results reveal that the QML estimators perform well in finite samples, and that the gains by using the robust …