Econometrics Commons^™

High Frequency Factor Analysis With Partially Observable Factors, Dachuan Chen, Wenqi Lu, Siyu Xie

Research Collection School Of Economics

This paper considers a novel factor structure – Partially Observable Factor Model – where both observable factors and latent factors exist in the model simultaneously. Such factor structure can make sure both interpretability and goodness-of-fit at the same time. Necessary estimation methodologies for this partially observable factor model are developed in this paper for the high frequency data. The proposed estimation methodology is robust to jumps, microstructure noise and asynchronous observation times simultaneously.When the observable factors are exogenous, we provide the estimation theory for the integrated eigenvalues of the residual covariance matrix, which including the bias-corrected estimator, central limit theorem …

Pengaruh Demokrasi Terhadap Pertumbuhan Ekonomi Daerah Di Indonesia, Jayanti Kusumaningrum Utomo, Widyono Soetjipto

Jurnal Ekonomi dan Pembangunan Indonesia

This study observes that previous research on the relationship between democracy and economic growth has produced ambiguous outcomes. The aim of this paper is to estimate the relationship between democracy and regional economic growth in Indonesia. Using a fixed effects model with 374 provincial-level observations, the results indicate a statistically significant and positive relationship between democracy and regional economic growth in Indonesia.

Pengaruh Vaksinasi Covid-19 Terhadap Kesehatan Dan Kondisi Ekonomi Masyarakat Di Indonesia, Ayu Lestari, Fauziah Zen

Jurnal Ekonomi dan Pembangunan Indonesia

The COVID-19 vaccination is considered crucial for controlling the pandemic and accelerating economic recovery. However, empirical evidence on the impact of vaccination on health and the economy at the district/city level in Indonesia remains limited. This study aims to analyze the impact of vaccination on health outcomes and economic conditions. The methodology used is a fixed effect model with monthly panel data on vaccination and health outcomes (positivity rate and recovery), as well as annual data on per capita expenditure in 514 districts/cities from January 2021 to December 2022. The results show that the first dose of vaccination significantly reduces …

Determinants Of Catastrophic Health Expenditure Of Households In Indonesia, Rafa Fayza Afrizal, Novira Hasya, Faticha Putri Harda, Wildan Avif Alfathin, Vanissa Nur Latifah, Maxent Rael Nainggolan, Fadillah Rahmah Jaelani, Estro Dariatno Sihaloho

Jurnal Ekonomi Kesehatan Indonesia

The need for healthcare services due to illness is unpredictable, thus burdening patients economically and posing a risk of catastrophic events. The percentage of households with catastrophic health expenditures is defined as out-of-pocket payments exceeding 10% of the household’s capacity to pay for healthcare. Increasing catastrophic expenditure costs can further deteriorate the household’s financial condition. This study analyzes the determinants of catastrophic health expenditures in Indonesian households. A total of 12,892 household samples from the cross-sectional Indonesian Family Life Survey (IFLS) wave 5 (2014) were used in this study. Using a logistic regression model, this study aims to identify various …

Status Sosial Ekonomi Dan Pengeluaran Oop Kesehatan Penyandang Disabilitas, Maxent Rg Nainggolan, Riki Relaksana

Jurnal Ekonomi Kesehatan Indonesia

In 2020, the number of persons with disabilities in Indonesia reached 22.97 million. One of the main challenges this population faces is the high burden of health expenditures, particularly those that are urgent and unpredictable. This study aims to analyze the influence of socioeconomic status on out-of-pocket (OOP) health expenditures among households with persons with disabilities in Indonesia. A quantitative approach was employed using secondary data from the 2022 National Socioeconomic Survey (Susenas), utilizing the core module (KOR) and the household expenditure module (KP). Data were analyzed using the two-part regression model to identify the determinants of OOP health spending. …

General Equilibrium Markets As Distributed Computational Systems, Steven Gjerstad

ESI Working Papers

One principal capability of markets is the coordination of information distributed among market participants who typically have competing incentives. Despite distributed information and conflicting incentives, competition among market participants often leads to socially desirable resource allocation. In this sense a market is a distributed multi-agent mechanism that, in effect, finds an optimal solution to a computational problem that is not known to any individual market participant. The purpose of this paper is to demonstrate that capacity of markets by defining automated agents that interact with one another in a distributed system that implements a socially desirable resource allocation. In this …

The Dynamics Of Word-Of-Mouth Marketing: An Agent-Based Modeling Approach To Message Credibility And Consumer Engagement, Ali Nasirzonouzi, Carlos Gershenson

Northeast Journal of Complex Systems (NEJCS)

Word-of-mouth (WOM) marketing is a critical factor in the dissemination of information and adoption of products in social networks. This paper investigates the impact of two important factors message credibility and consumer engagement on WOM adoption dynamics using agent-based modeling (ABM). This study proposes a simple qualitative model to investigate how these factors influence adoption rates through both broadcast communication and peer-to-peer influence by simulating interactions on a spatially clustered network.

The findings show that increased message credibility significantly boosts adoption, achieving a balance between broadcast and social mechanisms. Also, consumer engagement primarily affects the adoption mechanism, shifting the effect …

Environmental-Friendly Consumption: Measuring The Impact Of Lifestyle On Household Carbon Emissions, Faisal Madjid Alyasa, Adam Hawari, Afif Akbar Syawala, Estro Dariatno Dariatno Sihaloho

Economics and Finance in Indonesia

In 2060, Indonesia aims for a clean, emissions-free society. However, achieving this goal requires understanding how lifestyle choices affect household carbon emissions. This study, based on data from the Indonesian Family Life Survey 2014, examines the impact of different diets (plant-based, vegetarian, Mediterranean, full meat-based, and mixed) on carbon emissions. Using Ordinary Least Square Panel Data Regression, the research finds that plant-based and vegetarian diets have a lower carbon footprint compared to mixed and full meat-based diets. The findings suggest that transitioning to more environmentally friendly consumption patterns can help reduce carbon emissions and benefit the environment.

Price Coordination Under List Pricing And Discounting: Experimental Evidence, Roberto Hernán González, Praveen Kujal, Miguel Angel Ropero-García, Román Fossati

ESI Working Papers

List-pricing and discounting is common in both retail and wholesale markets. Its interpretation amongst competition authorities varies from being procompetitive to collusion facilitating. We experimentally test how list pricing and discounting impact prices in a capacity constrained Bertrand-Edgeworth duopoly with symmetric and asymmetric firms facing constant marginal costs. We find that, relative to the symmetric baseline experiments, list pricing and discounting generate higher equilibrium prices for (symmetric) firms. Prices in the asymmetric-list price duopoly are also higher, however, the effect is much smaller than under symmetry. The introduction of asymmetry results in higher prices. The smaller firms gain more from …

Preferences Or Confounders? Persistent Gender Gap In Competition Across Four Continents, Natalia I. Valdez-Gonzalez, Adriana Gaviria, Antonio M. Espin

ESI Working Papers

The gender gap in willingness to compete is thought to underlie enduring inequalities in education, career choice, and labor market outcomes. Yet it remains unclear whether the gap reflects true preference differences or results from confounding factors such as task stereotypes, overconfidence, or risk aversion. We test gender differences in competition entry across eight pre-registered studies in seven countries spanning four continents (Dominican Republic, Ivory Coast, El Salvador, Madagascar, Spain, The Philippines, and Uruguay; total n = 1,833), using an experimental design that systematically minimizes these confounds: (i) based on a non-male-stereotyped task (the Reading the Mind in the Eyes …

Welfare Implication Of Alternative Tax Rates Adjustment Policy In Nigeria: A Dsge Analysis, Umar B. Ibrahim, Isah F. Abubakar

CBN Journal of Applied Statistics (JAS)

This study sets out to determine the desirable policy adjustment in the tax rate for Nigeria that ensures the least welfare cost. A calibrated small open-economy New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model of the Nigerian economy is applied to achieve this objective. Within this framework, we examined the impact of an increase in value-added tax (VAT) rate from 7.5 to 15 percent on key macroeconomic variables relative to the impact of an increase in company income tax (CIT) rate from 30 to 35 percent on macroeconomic variables. Furthermore, we examined the welfare costs of the increases in the …

Econometric Analysis Of Social Interactions And Decision-Making, Shuo Qi

Economics Theses and Dissertations

This dissertation explores the econometric analysis of social interactions and decision-making. The first two chapters advance econometric methodology by addressing key challenges in identifying and estimating peer effects, specifically tackling issues related to partial network data and endogenous link formation. The third chapter presents an empirical analysis of parental over-aspiration and its impact on children's academic outcomes, using monotone instrumental variables constructed from social network structures.

Chapter 1 is "Identification and Estimation of Discrete Choice Models with Spillovers Using Partial Network Data". This paper investigates peer effects in discrete choice models with incomplete data on social links. We consider an …

Mitigating Agricultural Income Volatility: Evidence From Crop Insurance Adoption In India, Annoushqa Bobde

Master's Theses

Income volatility resulting from crop loss presents a significant threat to rural livelihoods in India, where nearly half of the workforce is employed in agriculture. This study examines the causal impact of crop insurance uptake on farm income using nationally representative data from the 70th and 77th rounds of the National Sample Survey, merged with satellite-derived climate data and Harmful Degree Days (HDD), which is used as a proxy for crop-damaging temperature. To address selection bias in insurance enrollment, Propensity Score Matching, Inverse Propensity Weighting, and a Two-Way Fixed Effects model are used. Results show that insurance uptake is associated …

The Long-Term Effect Of Universities On Local Technology, Dafina Rizvanolli

Master's Theses

This paper studies the long-term effects of universities on local economic complexity, contributing to new evidence on how higher education institutions shape local productive capabilities over time. While extensive research documents universities’ positive impact on development, fundamental questions remain about the mechanisms through which they operate. Our study employs the Economic Complexity Index (ECI), a measure that captures the diversity and ubiquity of regional economic structures, to provide novel insights into universities’ influence on local economies. Building on Andrews (2023), we exploit historical natural experiments in university site selection during the 19^th and 20^th centuries in the U.S. …

The Hidden Logic Behind Migration And Success, Elsa Russom

Master's Projects and Capstones

This research paper explores the hidden drivers of financial success among Eritrean migrants navigating uncertainty, displacement, and limited institutional access. Drawing on original survey data collected from diaspora communities across East African host countries, I apply a mixed-methods framework combining ordinal and binary logistic regression, random forest classification, bootstrapping, and Bayesian causal mediation; to identify the structural and cultural variables most predictive of financial stability. The findings reveal that participation in Ekub, a traditional rotating savings association, and engagement in communal support systems are the strongest predictors of financial success, outperforming conventional factors such as age, education, or employment status. …

Behavioral Responses To The Medicare Part D Coverage Gap And Its Closure, Selene Urbatsch

Theses and Dissertations

The author examines how exposure to the Medicare Part D coverage gap affects future prescription drug use and whether the closure of the gap under the Affordable Care Act (ACA) altered beneficiary behavior. Using 2007–2019 MEPS data, the analysis compares Part D enrollees to similarly aged, privately insured individuals, producing first-differences and difference-in-differences estimates. Before the ACA, exposure to the gap was associated with 4.9 fewer prescription fills relative to comparable non-Part D individuals. After the ACA, the effect fell to a reduction of 2.2 generic fills, with no significant decline in branded use. Sudden out-of-pocket cost increases prompted sharp …

Elected To Die: The Effect Of Municipal Assassinations On Remittances In Mexico, Victor M. Mendez Robles

Latin American Studies Honors Projects

This paper looks at localized violence in Mexico through both a qualitative and quantitative approach. Looking at some motivating factors behind violence against political institutions at the municipal level in Mexico. In addition, this paper looks at the relationship between assassinations of municipal mayors in Mexico to see if their assassination leads to changes in remittances in those municipalities in the following periods. This paper uses various difference in difference models to come to its conclusion. There is suggestive evidence of a relationship between remittance growth in municipalities in the periods following an assassination of a mayor currently in office.

The Impact Of Green Credit Ratio On Return On Assets, Liao Wang

All Theses

How does the green credit ratio affect a bank return on assets? This study uses panel data from 2012 to 2019, covering 18 large banks in China, including 6 state-owned banks and major 12 important joint-stock and city commercial banks. I use regression models to measure the effect of the green credit ratio (GCR) on return on assets (ROA) and return on equity (ROE), and we focus on how bank ownership and fixed effects matters.

The results show that the effect of green credit ratio (GCR) on ROA depends on the model design. When bank fixed effects are included, green …

Estimation And Testing In A Fixed Effects Panel Data Model With Serially Correlated Error Component Disturbances, Badi H. Baltagi, Long Liu

Center for Policy Research

This paper revisits the fixed effects panel data model with AR(1) remainder disturbances and provides a bias corrected estimator for the serial correlation coefficient based on first differencing the panel regression to get rid of the fixed effects. This bias corrected estimator builds upon the estimator proposed by Han and Phillips (2010). Asymptotic properties as well as Monte Carlo results are provided that show the better performance of this new proposed bias corrected estimator. This is extended to the unbalanced panel data case and also illustrated using the empirical application in Donohue and Levitt (2001).

Essays On Financial Econometrics, Yuexuan Ren

Dissertations and Theses Collection (Open Access)

This dissertation consists of two papers that contribute to the theory of estimation, inference, and prediction using high-frequency financial data. In the first chapter, time-varying betas from return regressions, commonly used to measure systematic financial market risk, are studied using high-frequency data. A novel econometric framework is introduced for the nonparametric estimation of these betas. The optimal finite-sample inference, in a well-defined sense, is enabled by the local Gaussian property of a generic continuous-time benchmark model under the fixed-k framework. Furthermore, a uniform functional inference theory for spot regressions is developed. The proposed methodology is broadly applicable in empirical settings, …