Econometrics Commons^™

Asymptotic Theory For Estimating The Persistent Parameter In The Fractional Vasicek Model, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory for the least squares (LS) estimator of the persistent parameter in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst parameter greater than or equal to one half. It is shown that the asymptotic properties depend on the sign of the persistent parameter, corresponding to the stationary case, the explosive case and the null recurrent case. The strong consistency and the asymptotic distribution are obtained in all three cases.

Testing Of Non-Inferiority And Superiority For Three-Arm Clinincal Studies With Multiple Experimental Treatments, Junjiang Zhong, Koon Shing Kwong, Siu Hung Cheung

Research Collection School Of Economics

The purpose of a non-inferiority trial is to assert the efficacy of an experimental treatment compared with a reference treatment by showing that the experimental treatment retains a substantial proportion of the efficacy of the reference treatment. Statistical methods have been developed to test multiple experimental treatments in three-arm non-inferiority trials. In this paper, we report the development of procedures that simultaneously test the non-inferiority and the superiority of experimental treatments after the assay sensitivity has been established. The advantage of the proposed test procedures is the additional ability to identify superior treatments while retaining an non-inferiority testing power comparable …

Asset Pricing With Financial Bubble Risk, Ji Hyung Lee, Peter C. B. Phillips

Research Collection School Of Economics

This paper characterizes systematic risk stemming from the possible occurrence of price bubbles and measures the impact of this additional risk factor on asset prices. Historical stock market behavior and recent empirical experience have led economists and policy makers to acknowledge that price bubbles in financial markets do occur and need to be accounted for in risk analysis. New econometric tools for analyzing mildly explosive behavior (Phillips and Magdalinos, 2007; Phillips et al., 2011) have made it possible to detect the presence of bubbles in data and to date stamp their origination and collapse, providing empirical confirmation of such episodes …

Endogenous Market Formation And Monetary Trade: An Experiment, Gabriele Camera, Dror Goldberg, Avi Weiss

ESI Working Papers

The theory of money assumes decentralized bilateral exchange and excludes centralized multilateral exchange. However, endogenizing the exchange process is critical for understanding the conditions that support the use of money. We develop a “travelling game” to study the spontaneous emergence of decentralized and centralized exchange, theoretically and experimentally. Players located on separate “islands” can either trade locally, or pay a cost to trade elsewhere, so decentralized and centralized markets can both emerge in equilibrium. The latter maximize trade meetings and are socially efficient; the former minimize trade costs through the use of money. In the laboratory, centralized exchange more frequently …

Do Economic Inequalities Affect Long-Run Cooperation?, Gabriele Camera, Cary Deck, David Porter

ESI Working Papers

Does inequality affect a group’s cohesion and ability to prosper? Participants in laboratory economies played an indefinite sequence of helping games in random, anonymous pairs. A coin flip determined donor and recipient roles in each pair. This random shock ensured equality of opportunity but not of results, because earnings depended on realized shocks. We manipulated the ability to condition choices on this uncontrollable inequality source. In all treatments, uncertain ending supports multiple Pareto-ranked equilibria, including full cooperation. Theoretically, inequalities do not alter the incentives’ structure. Empirically, inequality disclosures altered conduct, weakened norms of mutual support and reduced efficiency.

Focality And Asymmetry In Multi-Battle Contests, Subhashish M. Chowdhury, Dan Kovenock, David Rojo Arjona, Nathaniel Wilcox

ESI Working Papers

This article examines behavior in two-person constant-sum Colonel Blotto games in which each player maximizes the expected total value of the battlefields won. A lottery contest success function is employed in each battlefield. Recent experimental research on such games provides only partial support for Nash equilibrium behavior. We hypothesize that the salience of battlefields affects strategic behavior (the salient target hypothesis). We present a controlled test of this hypothesis – against Nash predictions – when the sources of salience come from certain asymmetries in either battlefield values or labels (as in Schelling (1960)). In both cases, subjects over-allocate the resource …

Rhode Island Current Conditions Index -- August 2016, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

The Influence Of The Electric Supply Industry On Economic Growth In Less Developed Countries, Edward Richard Bee

Dissertations

This study measures the impact that electrical outages have on manufacturing production in 135 less developed countries using stochastic frontier analysis and data from World Bank’s Investment Climate surveys. Outages of electricity, for firms with and without backup power sources, are the most frequently cited constraint on manufacturing growth in these surveys.

Outages are shown to reduce output below the production frontier by almost five percent in Africa and by a lower percentage in South Asia, Southeast Asia and the Middle East and North Africa. Production response to outages is quadratic in form. Outages also increase labor cost, reduce exports …

Rhode Island Current Conditions Index -- July 2016, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Worker Cooperatives As An Innovative Strategy To Address Income Inequality?, Bryan Titzler

Student Research – Stevenson Center

This project explores the relation between the magnitude of the cooperative sector and the degree of income inequality in a country. After a somewhat selective consideration of the possible linkages between the size of the cooperative sector and income inequality, and using Gini as the primary measure for income inequality and two proxies for the size of the cooperative sector, an empirical exploration is done in three ways. First, simple plots are used to judge the gross relation between Gini and each of the two proxies for the size of the cooperative sector. Both plots show a perceptible negative relation. …

Generalized Method Of Integrated Moments For High-Frequency Data, Jia Li, Dacheng Xiu

Research Collection School Of Economics

We propose a semiparametric two‐step inference procedure for a finite‐dimensional parameter based on moment conditions constructed from high‐frequency data. The population moment conditions take the form of temporally integrated functionals of state‐variable processes that include the latent stochastic volatility process of an asset. In the first step, we nonparametrically recover the volatility path from high‐frequency asset returns. The nonparametric volatility estimator is then used to form sample moment functions in the second‐step GMM estimation, which requires the correction of a high‐order nonlinearity bias from the first step. We show that the proposed estimator is consistent and asymptotically mixed Gaussian and …

Testing For Monotonicity In Unobservables Under Unconfoundedness, Stefan Hoderlein, Liangjun Su, Halbert White, Thomas Tao Yang

Research Collection School Of Economics

Monotonicity in a scalar unobservable is a common assumption when modeling heterogeneity in structural models. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption and in some economic applications unlikely to hold, e.g., random coefficient models. Its failure can have substantive adverse consequences, in particular inconsistency of any estimator that is based on it. Having a test for this hypothesis is hence desirable. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together With a conditional independence …

Double Asymptotics For Explosive Continuous Time Models, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper establishes a double asymptotic theory for explosive continuous time Levy-driven processes and the corresponding exact discrete time models. The double asymptotic theory assumes the sample size diverges because the sampling interval (h) shrinks to zero and the time span (N) diverges. Both the simultaneous and sequential double asymptotic distributions are derived. In contrast to the long-time span asymptotics (N -> infinity with fixed h) where no invariance principle applies, the double asymptotic distribution is derived without assuming Gaussian errors, so an invariance principle applies, as the asymptotic theory for the mildly explosive process developed by Phillips and Magdalinos …

Empirical Study Of Online Horse Race Bettors Betting Behavior In Finland, Tuomo Kainulainen

International Conference on Gambling & Risk Taking

This presentation produces an overview of online horse race bettors’ betting behavior in the Finnish betting market. The following studies have utilized individual-level online betting data LaPlante et al. (2006), LaBrie et al. (2007), LaBrie et al. (2008), LaPlante et al. (2009), Xuan & Shaffer (2009), Braveman & Shaffer (2010), Dragicevic et al. (2011), Fiedler (2013) and Gainsbury & Russell (2013). These studies focus on sports betting, poker and casino games. As an addition to the betting behavioural literature, this study focuses on horse race betting by utilizing betting data provided by Fintoto Ltd which has a legal monopoly for …

The Effects Of Globalization On An Emerging Economy: The Case Of South Africa, Oluwasheyi S. Oladipo

Dissertations, Theses, and Capstone Projects

This dissertation examines how globalization influences selected aspects of an emerging economy, using South Africa as a case study. The dissertation consists of three chapters: two microeconomic studies and one macroeconomic paper on the effects of globalization on some of the factors affecting economic growth. One micro paper explores the impacts of openness on inequality (Chapter 1), another investigates the impacts of trade liberalization on manufacturing sector wages (Chapter 2), and the macro study, which is the final chapter, examines the effects of inflation targeting on exchange rate pass through to domestic prices (Chapter 3).

In 1994, apartheid ended in …

A Dynamic Stochastic General Equilibrium (Dsge) Model Of Exchange Rate Pass-Through To Domestic Prices In Nigeria, M. A. Adebiyi Dr, C. N. Mordi Dr

CBN Occasional Papers

This paper employed a Bayesian framework of DSGE model to estimate the pass-through effect of exchange rate to domestic inflation in Nigeria, using quarterly data for the period 1990 to 2011. The response of inflation rate to exchange rate shocks was found to be positive and statistically significant in the short-run. The pass-through was small and incomplete with almost zero in quarter 1 (0.09), rose to 0.18 in quarter 2 and declined to 0.07 and 0.01 in quarters 3 and 4, respectively. These findings were lower than those obtained elsewhere by other authors. The low pass-through reported in this study …

Rhode Island Current Conditions Index -- June 2016, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Robust Econometric Inference With Mixed Integrated And Mildly Explosive Regressors, Peter C. B. Phillips, Ji Hyung Lee

Research Collection School Of Economics

This paper explores in several prototypical models a convenient inference procedure for nonstationary variable regression that enables robust chi-square testing for a wide class of persistent and endogenous regressors. The approach uses the mechanism of self-generated instruments called IVX instrumentation developed by Magdalinos and Phillips (2009b). We first show that these methods remain valid for regressors with local unit roots in the explosive direction and mildly explosive roots, where the roots are further from unity in the explosive direction than 0 (n(-1)). It is also shown that Wald testing procedures remain robust for multivariate regressors with certain forms of mixed …

Endogeneity In Ceo Power: A Survey And Experiment, Zhichuan Li

Business Publications

The endogeneity problem has always been one, if not the only, obstacle to understanding the true relationship between different aspects of empirical corporate finance. Variables are typically endogenous, instruments are scarce, and causality relations are complicated. As the first attempt to summarize different econometric methods that are commonly used to address endogeneity concerns in the context of corporate governance, we explore the relation between CEO power and firm performance, as an experiment, to illustrate how these methods can be used to mitigate the endogeneity problem and by how much. After carefully dealing with the endogeneity issues, we find strong evidence …

Effect Of Non-Monetary Incentives On Women's Competitive Inclination: Experimental Evidence From Ancona, Italy, Kalkidan Shebi

Master's Theses

This study investigates how monetary incentives versus non-monetary incentives affect women’s decision to enter a competitive environment. This study was conducted in Ancona Italy, in a controlled laboratory experiment with a total of 60 participants; of which 29 were male and 31 were female. Participants were given mathematical addition problems to solve under alternative incentives. How they received these incentives differed based on their preference to enter or withdraw from the competition. The study also included components that assessed risk preferences and willingness to pay for the non-monetary incentive in the experiment. Results show no significant difference in performance scores …