Efficient Augmented Inverse Probability Weighted Estimation In Missing Data Problems,
2017
National Institutes of Health
Efficient Augmented Inverse Probability Weighted Estimation In Missing Data Problems, Jing Qin, Biao Zhang, Denis H. Y. Leung
Research Collection School Of Economics
When analyzing data with missing data, a commonly used method is the inverse probability weighting (IPW) method, which reweights estimating equations with propensity scores. The popularity of the IPW method is due to its simplicity. However, it is often being criticized for being inefficient because most of the information from the incomplete observations is not used. Alternatively, the regression method is known to be efficient but is nonrobust to the misspecification of the regression function. In this article, we propose a novel way of optimally combining the propensity score function and the regression model. The resulting estimating equation enjoys the …
On Estimating Market Microstructure Noise Variance,
2017
University of International Business and Economics
On Estimating Market Microstructure Noise Variance, Yingjie Dong, Yiu Kuen Tse
Research Collection School Of Economics
We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to compare our method against others in the literature. Our results show that our proposed estimates have lower (absolute) mean error and root mean-squared error, and their performance is quite stable at different time scales.
A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing,
2017
Bar Ilan University
A Multivariate Stochastic Unit Root Model With An Application To Derivative Pricing, Offer Lieberman, Peter C. B. Phillips
Research Collection School Of Economics
This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (STUR) models to a multivariate case including asymptotic theory for estimation of the model's parameters. The extensions are useful for applications of STUR modeling and because they lead to a generalization of the Black-Scholes formula for derivative pricing. In place of the standard assumption that the price process follows a geometric Brownian motion, we derive a new form of the Black-Scholes equation that allows for a multivariate time varying coefficient element in the price equation. The corresponding formula for the value of a European-type call option …
Changes In Depressive Symptoms Among Older Adults With Multiple Chronic Conditions: Role Of Positive And Negative Social Supports,
2017
University of Memphis
Changes In Depressive Symptoms Among Older Adults With Multiple Chronic Conditions: Role Of Positive And Negative Social Supports, Sangnam Ahn, Seonghoon Kim, Hongmei Zhang
Research Collection School Of Economics
Depression severely affects older adults in the United States. As part of the social environment, significant social support was suggested to ameliorate depression among older adults. We investigate how varying forms of social support moderate depressive symptomatology among older adults with multiple chronic conditions (MCC). Data were analyzed using a sample of 11,400 adults, aged 65 years or older, from the 2006–2012 Health and Retirement Study. The current study investigated the moderating effects of positive or negative social support from spouse, children, other family, and friends on the association between MCC and depression. A linear mixed model with repeated measures …
Determining Individual Or Time Effects In Panel Data Models,
2017
Singapore Management University
Determining Individual Or Time Effects In Panel Data Models, Xun Lu, Liangjun Su
Research Collection School Of Economics
In this paper we propose a jackknife method to determine individual and time e⁄ects in linear panel data models. We rst show that when both the serial and cross-sectional correlation among the idiosyncratic error terms are weak, our jackknife method can pick up the correct model with probability approaching one (w.p.a.1). In the presence of moderate or strong degree of serial correlation, we modify our jackknife criterion function and show that the modied jackknife method can also select the correct model w.p.a.1. We conduct Monte Carlo simulations to show that our new methods perform remarkably well in nite samples. We …
Internal Control Activities As A Tool For Financial Management In The Public Sector: A Case Study Of Ghana Post Company Limited,
2017
Kwame Nkrumah University of Science and Technology, Ghana
Internal Control Activities As A Tool For Financial Management In The Public Sector: A Case Study Of Ghana Post Company Limited, Kwakye E. Agyapong
Journal for the Advancement of Developing Economies
The case, Ghana Post Company Limited, allows for the observation of internal control activities as a tool for financial management in the public sector. The objective of the research is to examine the control environment of the Ghana Post Company to ensure there is segregation of duties, proper information and communication between employees and management; and monitoring of the policies implemented by management. The sample size of 36 included individuals from all of the departments within the company. The departments are Auditing and Finance, Human Resource, Mail and Parcels, and Financial Services. The work established had continued lapses in the …
Renewable Portfolio Standards May Reduce Green Energy Used In Electricity Production,
2017
University of Nebraska-Lincoln
Renewable Portfolio Standards May Reduce Green Energy Used In Electricity Production, Karina Schoengold, Suparna Bhattacharya, Konstantinos Giannakas
CAFIO: Policy Research Group Policy Pagers
Rising energy prices, dependence on foreign oil supplies, and consequences of climate change have prompted governments worldwide to initiate policies to shift from fossil fuels to renewables for electricity generation. One of the most commonly used policy instruments is the Renewable Portfolio Standard (RPS), which requires electricity providers to procure green energy (e.g., wind, solar, biomass) for a portion of their electricity supplies. To date, RPS has been a state-mandated program in the United States. As of February 2017, 29 states, Washington DC, and 3 territories have adopted RPS policies.
Empathy Conservation: Experiments Suggest A Need For More Attention In Policymaking,
2017
University of Michigan-Dearborn
Empathy Conservation: Experiments Suggest A Need For More Attention In Policymaking, Natalia V. Czap, Hans J. Czap, Gary Lynne, Mark E. Burbach
CAFIO: Policy Research Group Policy Pagers
One of the major challenges of environmental policy with regard to conservation is that it must often rely on voluntary and non-selfish actions of individuals. Traditionally policy makers rely on direct regulation and financial incentives, but both approaches face problems. Regulations may lead to resentment and the costs of perfect enforcement are prohibitively high. Financial incentives can be perverse and may lead to unintended consequences, including crowding out of intrinsic motivation. In addition, behavioral economics and economic psychology studies demonstrate that the assumptions of the neoclassical economic models (such as self-interest only, rationality, and willpower) on which the policy design …
Bubbles In Experimental Asset Markets,
2017
Chapman University
Bubbles In Experimental Asset Markets, Praveen Kujal, Owen Powell
ESI Working Papers
"One can define a bubble as a persistent increase in the price of an asset over and above its fundamental value with an abrupt fall in prices when no buyers are available to make purchases. The occurrence of market bubbles has a long history, starting with the Dutch Tulip Mania (1624-1637) to the South Sea and Mississippi Bubble (1716-1720), the British Railway Mania (1840´s) to the crash of 1929. Recent events have been the crash of 1987, the dot-com bubble (1990s) to the most recent housing crisis in early 2000. Even though bubbles, and a subsequent crash, may reallocate resources …
Humans’ (Incorrect) Distrust Of Reflective Decisions,
2017
University College London
Humans’ (Incorrect) Distrust Of Reflective Decisions, Antonio Cabrales, Antonio M. Espín, Praveen Kujal, Stephen Rassenti
ESI Working Papers
Recent experiments suggest that social behavior may be shaped by the time available for decision making. It is known that fast decision making relies more on intuition whereas slow decision making is affected by reflective processes. Little is known, however, about whether people correctly anticipate the effect of intuition vs. reflection on others’ decision making. This is important in everyday situations where anticipating others’ behavior is often essential. A good example of this is the extensively studied Trust Game where the trustor, by sending an amount of money to the trustee, runs the risk of being exploited by the trustee’s …
A Flexible And Customizable Method For Assessing Cognitive Abilities,
2017
University of Arkansas
A Flexible And Customizable Method For Assessing Cognitive Abilities, Andrea Civelli, Cary Deck
ESI Working Papers
Raven's Progressive Matrices are a broadly used tool for measuring cognitive ability. This paper develops and validates a set of nonverbal puzzles that can be viewed as an extension of or substitute for the well-known Ravens tasks. Specifically, we describe the characteristics of our puzzles and provide a calibration of the matrices in terms of response accuracy and response time as a function of these characteristics. Then we directly compare within-subject performance on our puzzles and Ravens tasks. Finally, we replicate a previous experimental paper, substituting our puzzles for the Ravens matrices, and show the two tools have similar predictive …
Minimal Frames And Transparent Frames For Risk, Time, And Uncertainty,
2017
Chapman University
Minimal Frames And Transparent Frames For Risk, Time, And Uncertainty, Jonathan Leland, Mark Schneider, Nathaniel Wilcox
ESI Working Papers
It has been argued that behavior differs between transparent and nontransparent representations of a decision. However, the notion of a ‘transparent representation’ has not been precisely defined. We address this gap by providing formal definitions of ‘transparent frames’ for risk and time, establishing their uniqueness, presenting an approach to construct such frames, and comparing these framesto the ‘standard’ presentation format. Our typology of frames provides a logic for predicting systematic shifts in risk and time preferences as well as changes in the violation rates of rational choice theory. We conduct an experiment for choice under risk to investigate the framing …
Risk Preference, Time Preference, And Salience Perception,
2017
Chapman University
Risk Preference, Time Preference, And Salience Perception, Jonathan Leland, Mark Schneider
ESI Working Papers
A model of decision making is introduced that provides a unified approach for predicting choices under risk and over time. The model predicts systematic departures from expected utility and discounted utility using the same mathematical structure and the same psychological intuition and shows that a dozen diverse choice anomalies can be given a common underlying explanation. The model weights attribute differences both by their importance (consistent with expected utility and discounted utility) and by their salience or similarity (consistent with procedural models based on heuristics), and so provides a bridge between rational and heuristic representations of decision making.
How Does The Million Baht Village Fund Impact Fertility In Thailand?,
2017
University of Montana
How Does The Million Baht Village Fund Impact Fertility In Thailand?, Kaci Felstet
Graduate Student Theses, Dissertations, & Professional Papers
This study evaluates the impact of Thailand’s Million Baht Village Fund program on household fertility decisions. Thailand’s fertility rates are alarmingly low and it is imperative to recognize the unintended consequences a microfinance program may have on fertility choices within Thailand. Using panel data from pre- and post-program years, this research identifies the change in number of babies in a household associated with getting a microloan from the Village Fund program. The quasi-experimental nature of the program and an instrumental variable model with fixed effects identifies a negative relationship between the number of babies within families and participation in the …
An Outlay Equivalence Analysis Of South African Households,
2017
University of Montana
An Outlay Equivalence Analysis Of South African Households, Samuel Peevey
Graduate Student Theses, Dissertations, & Professional Papers
A significant amount of evidence suggests that gender inequality in the developing world negatively impacts women and girls’ health, education and future wage potential. This thesis investigates whether households in South Africa discriminated against their girl children, in favor of their boy children. Additionally, I will investigate whether household heads favored children matching their own sex. Using the 1st wave of the National Income Dynamics Study and Angus Deaton’s outlay-equivalence ratio method, I will estimate the impact, 8 age and sex categories have on their household’s adult goods expenditure. I found statistically significant but practically insignificant evidence, from a …
All-Pay Auctions With Ties,
2016
Institute for Defense Analyses
All-Pay Auctions With Ties, Alan Gelder, Dan Kovenock, Brian Roberson
ESI Working Papers
We study the two-player, complete information all-pay auction in which a tie ensues if neither player outbids the other by more than a given amount. In the event of a tie, each player receives an identical fraction of the winning prize. Thus players engage in two margins of competition: losing versus tying, and tying versus winning. Two pertinent parameters are the margin required for victory and the value of tying relative to winning. We fully characterize the set of Nash equilibria for the entire parameter space. For much of the parameter space, there is a unique Nash equilibrium which is …
A Perspective On Electronic Alternatives To Traditional Currencies,
2016
Chapman University
A Perspective On Electronic Alternatives To Traditional Currencies, Gabriele Camera
ESI Working Papers
The institution of money is rapidly evolving thanks to developments in computer-based cryptography. Technological advances have made possible the creation of cost-effective electronic alternatives to banknotes and coins, which are the traditional physical currencies. This document aims to describe — based on scientific literature — the use and characteristics of money, some of the problems associated with issuing a new currency or a new payment instrument, and the possible comparative advantages of a central bank in leading the way relative to private issuers.
Asymmetric Social Norms,
2016
Chapman University
Asymmetric Social Norms, Gabriele Camera, Alessandro Gioffré
ESI Working Papers
Studies of cooperation in infinitely repeated matching games focus on homogeneous economies, where full cooperation is efficient and any defection is collectively sanctioned. Here we study heterogeneous economies where occasional defections are part of efficient play, and show how to support those outcomes through contagious punishments.
Rhode Island Current Conditions Index -- December 2016,
2016
University of Rhode Island
Rhode Island Current Conditions Index -- December 2016, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Shrinkage Estimation Of Regression Models With Multiple Structural Changes,
2016
Shanghai Jiaotong University
Shrinkage Estimation Of Regression Models With Multiple Structural Changes, Junhai Qian, Liangjun Su
Research Collection School Of Economics
In this paper, we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso. We show that with probability tending to one, our method can correctly determine the unknown number of breaks, and the estimated break dates are sufficiently close to the true break dates. We obtain estimates of the regression coefficients via post Lasso and establish the asymptotic distributions of the estimates of both break ratios and regression coefficients. We also propose and validate a data-driven method to determine the tuning parameter. Monte Carlo simulations demonstrate that the proposed method …
