Lag Length Selection For Unit Root Tests In The Presence Of Nonstationary Volatility,
2015
University of Bologna
Lag Length Selection For Unit Root Tests In The Presence Of Nonstationary Volatility, Giuseppe Cavaliere, Peter C. B. Phillips, Stephan Smeekes, A. M. Robert Taylor
Research Collection School Of Economics
A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size, rather than data-determined, the latter being standard empirical practice. We investigate the finite sample impact of unconditional heteroskedasticity on conventional data-dependent lag selection methods in augmented Dickey–Fuller type regressions and propose new lag selection criteria which allow for unconditional heteroskedasticity. Standard lag selection methods are shown to have a tendency …
Economic Analysis Of Flight Delay,
2015
Pepperdine University
Economic Analysis Of Flight Delay, Nathan D. Boettcher
Seaver College Research And Scholarly Achievement Symposium
Our project began as an investigation into the phenomenon of flight delay. We approached this problem with two goals in mind. First, we used mathematical statistics and econometric methods to develop a predictive model of flight delay. An improved forecasting process has obvious benefits for customers, and would additionally shed light on the factors which airports and airlines should seek to change in order to reduce flight delay. Our secondary goal was to complement this predictive research with a theoretical analysis of the incentive structure that consumers and producers face. We limited the scope of this model to delayed flights …
Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling,
2015
Collin County Community College District
Analyzing Options Market Toxicity And The Black-Scholes Formula In The Presence Of Jump Diffusion As Simulated With Agent-Based Modeling, William D. Elliott
Undergraduate Economic Review
This paper presents new and significant research on the Black-Scholes Formula using the agent-based modeling software NetLogo. The software was used to simulate an options market subject to jump diffusion. Since the widely-used Black-Scholes Formula has at times proven unreliable, this research sought to understand circumstances that render the formula ineffective. It was hypothesized that markets would become difficult to trade in or “toxic” at low price volatility but high jump volatility. Further, it was predicted that kurtosis would alert the presence of toxic markets by accurately and consistently conveying whether jump diffusion was present.
Rhode Island Current Conditions Index -- March 2015,
2015
University of Rhode Island
Rhode Island Current Conditions Index -- March 2015, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Estimation Of Heterogeneous Panels With Structural Breaks,
2015
Syracuse University
Estimation Of Heterogeneous Panels With Structural Breaks, Badi Baltagi
Center for Policy Research
This paper extends Pesaran's (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are more likely to occur over a longer time span. Consequently, ignoring structural breaks may lead to inconsistent estimation and invalid inference. We propose a general framework that includes heterogeneous panel data models and structural break models as special cases. The least squares method proposed by Bai (1997a, 2010) is applied to estimate the common change points, and the consistency …
Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression,
2015
Singapore Management University
Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang
Research Collection School Of Economics
We consider the problem of supplementing survey data with additional information from a population. The framework we use is very general; examples are missing data problems, measurement error models and combining data from multiple surveys. We do not require the survey data to be a simple random sample of the population of interest. The key assumption we make is that there exists a set of common variables between the survey and the supplementary data. Thus, the supplementary data serve the dual role of providing adjustments to the survey data for model consistencies and also enriching the survey data for improved …
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values,
2015
Singapore Management University
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Research Collection School Of Economics
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values of the LM statistics. Conditions for their validity are clearly laid out and formal justifications are given in general, and in detail under several popular spatial LM …
Asymptotic Theory For Linear Diffusions Under Alternative Sampling Scheme,
2015
University of Southern California
Asymptotic Theory For Linear Diffusions Under Alternative Sampling Scheme, Qiankun Zhou, Jun Yu
Research Collection School Of Economics
The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to the finite sample distribution than the other two distributions. An empirical application highlights the difference in unit root testing based on the alternative asymptotic distributions.
Bias Correction For Fixed Effects Spatial Panel Data Models,
2015
Singapore Management University
Bias Correction For Fixed Effects Spatial Panel Data Models, Zhenlin Yang, Jihai Yu, Shew Fan Liu
Research Collection School Of Economics
This paper examines the finite sample properties of the quasi maximum likelihood (QML) estimators of the fixed effects spatial panel data (FE-SPD) models of Lee and Yu (2010). Following the general bias correction methods recently developed by Yang (2015), we derive up to third-order bias corrections for the QML estimators of the FE-SPD model, and propose a simple bootstrap method for their practical implementation. Monte Carlo results reveal that the QML estimators of the spatial parameters can be quite biased and that a second-order bias correction effectively removes the bias. The validity of the bootstrap method is established. Variance corrections …
Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression,
2015
Singapore Management University
Enriching Surveys With Supplementary Data And Its Application To Studying Wage Regression, Denis H. Y. Leung, Ken Yamada, Biao Zhang
Research Collection School Of Economics
We consider the problem of supplementing survey data with additional information from a population. The framework we use is very general; examples are missing data problems, measurement error models and combining data from multiple surveys. We do not require the survey data to be a simple random sample of the population of interest. The key assumption we make is that there exists a set of common variables between the survey and the supplementary data. Thus, the supplementary data serve the dual role of providing adjustments to the survey data for model consistencies and also enriching the survey data for improved …
Qml Estimation Of Dynamic Panel Data Models With Spatial Errors,
2015
Singapore Management University
Qml Estimation Of Dynamic Panel Data Models With Spatial Errors, Liangjun Su, Zhenlin Yang
Research Collection School Of Economics
We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML estimators. Monte Carlo simulation shows that both the QML estimators and the bootstrap standard errors perform well in finite samples under a correct assumption on initial observations, but may …
Rhode Island Current Conditions Index -- February 2015,
2015
University of Rhode Island
Rhode Island Current Conditions Index -- February 2015, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects,
2015
Hong Kong University of Science and Technology
Shrinkage Estimation Of Dynamic Panel Data Models With Interactive Fixed Effects, Xun Lu, Liangjun Su
Research Collection School Of Economics
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we propose a method for simultaneous selection of regressors and factors and estimation through the method of adaptive group Lasso (least absolute shrinkage and selection operator). We show that with probability approaching one, our method can correctly select all relevant regressors and factors and shrink the coefficients of irrelevant regressors and redundant factors …
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models,
2015
Singapore Management University
Sieve Instrumental Variable Quantile Regression Estimation Of Functional Coefficient Models, Liangjun Su, Tadao Hoshina
Research Collection School Of Economics
In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis functions and estimate them by the IVQR technique. We establish the uniform consistency and asymptotic normality of the estimators of the functional coefficients. Based on the sieve estimates, we propose a nonparametric specification test for the constancy of the functional coefficients, study its asymptotic properties under the null hypothesis, a sequence of local alternatives and global alternatives, and propose a wild-bootstrap procedure …
Nonparametric Testing For Anomaly Effects In Empirical Asset Pricing Models,
2015
Singapore Management University
Nonparametric Testing For Anomaly Effects In Empirical Asset Pricing Models, Sainan Jin, Liangjun Su, Yonghui Zhang
Research Collection School Of Economics
In this paper, we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to capture the anomaly effects of some asset-specific characteristics and the other is the flexible treatment of both observed/constructed and unobserved common factors. By estimating the unknown factors, betas, and nonparametric function simultaneously, our setup is robust to misspecification of functional form and common factors and avoids the well-known "error-in-variable" problem associated with the commonly used …
The True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression,
2015
Singapore Management University
The True Limit Distributions Of The Anderson-Hsiao Iv Estimators In Panel Autoregression, Peter C. B. Phillips, Chirok Han
Research Collection School Of Economics
This note derives the correct limit distributions of the Anderson-Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample sizes tend to infinity, and compares these results with those of the first difference least squares (FDLS) estimator. (C) 2014 Elsevier B.V. All rights reserved.
Hdi In Transition Countries: A Panel Data Analysis,
2015
Bryant University
Hdi In Transition Countries: A Panel Data Analysis, Narine Hagopian
Empirical Economic Bulletin, An Undergraduate Journal
This paper investigates the factors that have the ability to affect development in transition countries. The study incorporates the human development index to examine the influence of outside variables to human development within transition countries. The study looks at a variety of contributing factors such as the Gini coefficient, federal direct investment levels, world governance contributors, health expenditure per capita, personal remittance levels among a few other contributors. Focusing on transition countries, which evolved after the breakup of the Soviet Union, this study aims to understand human development in twelve of the fourteen former Soviet Republics. Using data from the …
Evaluation Of Company Performance Post Acquisition Or Merger In The United States,
2015
Bryant University
Evaluation Of Company Performance Post Acquisition Or Merger In The United States, Harry Waterton
Empirical Economic Bulletin, An Undergraduate Journal
This paper answers the question surrounding whether or not company performance for the acquiring company improves or worsens post-merger or acquisition. This will be calculated using two separate but related financial performance tools, return on equity and return on assets. The investigation will span over a 5 year period starting the year of 2010 and end at the closing of the fourth quarter of 2014, and will contain all mergers and acquisitions between $300 million and $2 billion that took place across all sectors in America. The results conclude that acquisitions do not financially benefit the acquirer in the short …
Inequality, Poverty And Economic Growth In Different Income Classifications,
2015
Bryant University
Inequality, Poverty And Economic Growth In Different Income Classifications, Alexandra Zhang
Empirical Economic Bulletin, An Undergraduate Journal
This paper defines the relationship between inequality and economic development, analyzes the impact of economic growth on income inequality and poverty rate. The study uses different indicators and panel data over 10 years and across 46 countries worldwide. As the Kuznets Curve suggested, a country’s inequality level and economic development share a non-linear relationship. The author applies this concept to 3 different models and found different results between low and middle-income countries and high-income countries. In result, this study confirms the Kuznets law as the author finds an unequal income distribution in low and middle-income countries.
Rhode Island Current Conditions Index -- January 2015,
2015
University of Rhode Island
Rhode Island Current Conditions Index -- January 2015, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
