Testing The Martingale Hypothesis,
2014
Singapore Management University
Testing The Martingale Hypothesis, Peter C. B. Phillips, Sainan Jin
Research Collection School Of Economics
We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov–Smirnov and Cramér–von Mises tests. The tests are distribution-free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for their implementation and so are well suited to practical work. The article develops limit theory for the tests under the null and shows that the tests are consistent against a wide class of nonlinear, nonmartingale processes. Simulations show that the tests have good finite sample properties in comparison with other tests particularly under conditional heteroscedasticity …
A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market,
2014
Hood College
A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala
Undergraduate Economic Review
This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.
Top Of The Order: Modeling The Optimal Locations Of Minor League Baseball Teams,
2014
Emory & Henry College
Top Of The Order: Modeling The Optimal Locations Of Minor League Baseball Teams, W. Coleman Conley
Undergraduate Economic Review
Over the last twenty-five years, minor league baseball franchises have defined firm mobility. Revisiting the work of Michael C. Davis (2006), I construct a logistic regression model to predict which cities house minor league baseball teams. Six variables are tested for inclusion in the model, including population, income level, the number of major-league professional sports teams in a city, five-year population change, and distance from the closest professional team. Based on the model's predicted probabilities, cities are ranked in order of highest probability of having a team at each of the different levels from Class A to Class AAA.
Rhode Island Current Conditions Index -- November 2014,
2014
University of Rhode Island
Rhode Island Current Conditions Index -- November 2014, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions,
2014
Bar-Ilan University, Israel
Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions, Offer Lieberman, Peter C. B. Phillips
Research Collection School Of Economics
A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the random-walk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential similarity function as its AR coefficient. Consistency of the quasi-maximum likelihood estimator of the parameters in this model is established, the behaviours of the score and Hessian functions are analysed and test statistics are suggested. A complete list is provided of the normalization rates required for the consistency proof and for the score and Hessian function standardization. A large family of unit …
Rhode Island Current Conditions Index -- October 2014,
2014
University of Rhode Island
Rhode Island Current Conditions Index -- October 2014, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Bound Estimator Of Hiv Prevalence: Application To Malawi,
2014
Singapore Management University
Bound Estimator Of Hiv Prevalence: Application To Malawi, Tomoki Fujii, Denis H. Y. Leung
Research Collection School Of Economics
To find lower and upper bounds of HIV prevalence in Malawi under mild and intuitive assumptions to assess the importance of the refusal issue in the estimation of HIV prevalence. Methods: We derive bounds based on the following two key assumptions: (i) Among those who have never taken an HIV test before, those who refuse to take an HIV test (hereafter “refusers”) have at least as much risk to be HIV positive as those who participate in the HIV test, and (ii) among the refusers, those who have a prior testing experience are at least as likely to be HIV …
A New Hedonic Regression For Real Estate Prices Applied To The Singapore Residential Market,
2014
Singapore Management University
A New Hedonic Regression For Real Estate Prices Applied To The Singapore Residential Market, Jiang Liang, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all available data. Like the Case-Shiller repeat-sales method, the new method has the advantage of being computationally efficient. In an empirical analysis of the methodology, we fit the model to all transaction prices for private residential property holdings in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macro …
Additive Nonparametric Regression In The Presence Of Endogenous Regressors,
2014
University of Connecticut - Storrs
Additive Nonparametric Regression In The Presence Of Endogenous Regressors, Deniz Ozabaci, Daniel J. Henderson, Liangjun Su
Research Collection School Of Economics
In this article we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient, and free from the curse of dimensionality. Monte Carlo simulations support the asymptotic developments. We employ a partially linear extension of our model to study the relationship between child care and cognitive outcomes. Some of our (average) results are consistent with the literature (e.g., negative returns to child care when mothers have higher levels of education). However, as our estimators allow for heterogeneity both across and within …
An Economic Analysis Of Housing Market Instability And Affordability In China,
2014
Minnesota State University, Moorhead
An Economic Analysis Of Housing Market Instability And Affordability In China, You Wang
Undergraduate Economic Review
Applying an intertemporal optimization model proposed by Aizenman and Marion (1991), this research quantifies instability in the Chinese housing market. Although the Chinese government established numerous real estate policies to ensure the stability of the housing market, the regression analyses indicate that housing policies had no significant impact on the stabilization of the Chinese housing market. Alternatively, macroeconomic factors are identified as significant explanatory variables to the instability of housing prices. In addition, this research computes the median multiple for major cities in China and provides an alternative means of investigating the abnormal housing price situation in China.
Rhode Island Current Conditions Index -- September 2014,
2014
University of Rhode Island
Rhode Island Current Conditions Index -- September 2014, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Asymptotic Distribution And Finite-Sample Bias Correction Of Qml Estimators For Spatial Dependence Model,
2014
Singapore Management University
Asymptotic Distribution And Finite-Sample Bias Correction Of Qml Estimators For Spatial Dependence Model, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
In studying the asymptotic and finite-sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model. In particular, the effect of spatial dependence on the convergence rate of the QML estimators has not been formally studied, and methods for correcting finite-sample bias of the QML estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the application of this model. Contrary to the …
Testing Conditional Independence Via Empirical Likelihood,
2014
Singapore Management University
Testing Conditional Independence Via Empirical Likelihood, Liangjun Su, Halbert White
Research Collection School Of Economics
We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother functions. We show that the test statistics are asymptotically normal under the null hypothesis and a sequence of Pitman local alternatives. We also show that the tests possess an asymptotic optimality property in terms of average power. Simulations suggest that the tests are well behaved in finite samples. Applications to some economic and financial time …
Intraday Periodicity Adjustments Of Transaction Duration And Their Effects On High-Frequency Volatility Estimation,
2014
Singapore Management University
Intraday Periodicity Adjustments Of Transaction Duration And Their Effects On High-Frequency Volatility Estimation, Yiu Kuen Tse, Yingjie Dong
Research Collection School Of Economics
We study two methods of adjusting for intraday periodicity of high-frequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). We examine the effects of these adjustments on the estimation of intraday volatility using the Autoregressive Conditional Duration-Integrated Conditional Variance (ACD-ICV) method of Tse and Yang (2012). We find that daily volatility estimates are not sensitive to intraday periodicity adjustment. However, intraday volatility is found to have a weaker U-shaped volatility smile and a biased trough if intraday periodicity adjustment is not applied. In addition, adjustment taking account of trades with …
Modified Qml Estimation Of Spatial Autoregressive Models With Unknown Heteroskedasticity And Nonnormality,
2014
Singapore Management University
Modified Qml Estimation Of Spatial Autoregressive Models With Unknown Heteroskedasticity And Nonnormality, Shew Fan Liu, Zhenlin Yang
Research Collection School Of Economics
In the presence of heteroskedasticity, Lin and Lee (2010) show that the quasi maximum likelihood (QML) estimators of spatial autoregressive models (SAR) can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In this paper, we first show that this condition may hold in many practical situations and when it does the regular QML estimators can be consistent.In cases where this condition is violated, we propose a modified QML estimation method robust against heteroskedasticity of unknown form. In both cases, asymptotic distributions of the estimators are derived, and methods …
Initial-Condition Free Estimation Of Fixed Effects Dynamic Panel Data Models,
2014
Singapore Management University
Initial-Condition Free Estimation Of Fixed Effects Dynamic Panel Data Models, Zhenlin Yang
Research Collection School Of Economics
It is well known that (quasi) MLE of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values; ignoring them or a wrong treatment of them will result in inconsistency or serious bias. This paper introduces a initial-condition free method for estimating the fixed-effects DPD models, through as simple modification of the quasi-score. An outer-product-of-gradients (OPG) method is also proposed for robust inference. The MLE of Hsiao, Pesaran and Tahmiscioglu (2002, Journal of Econometrics), where the initial observations are modeled, is extended to quasi MLE and an OPG method is proposed for robust inference. …
Study On The Newbuilding Price Mechanism Of Capesize Bulkcarrier Based On The Econometric Theory,
2014
World Maritime University
Study On The Newbuilding Price Mechanism Of Capesize Bulkcarrier Based On The Econometric Theory, Yue Lei
World Maritime University Dissertations
No abstract provided.
Determinants Of Traffic Fatalities In The U.S.,
2014
Minnesota State University, Mankato
Determinants Of Traffic Fatalities In The U.S., Hanna Stapleton
Journal of Undergraduate Research at Minnesota State University, Mankato
This paper investigates the determinants of motor vehicle fatalities in each of the 50 states in the U.S., along with the District of Columbia. Using a panel data set from 1994 to 2005, we analyze how the factors, such as safety belt laws, speed control, alcohol usage, fine, driving conditions and annual vehicle-miles of travel (VMT), affect the incidence of traffic fatalities. Econometric models are developed and the estimates are obtained from a general-to-specific specification search based upon all the diagnostic tests in order to increase the probability of selecting models which are statistically reliable. The empirical results show that …
Willingness-To-Pay For Renewable Wind Energy: Differences In Preferences Between Demographic Groups,
2014
Colby College
Willingness-To-Pay For Renewable Wind Energy: Differences In Preferences Between Demographic Groups, Carlton D. Reed, William H. Scott
Journal of Environmental and Resource Economics at Colby
Many surveys have shown that public acceptance of wind energy is high in general; however there always seems to be concerns at the local level during the siting and permitting process. This shows that people understand that clean wind energy is an essential need, however people do not normally want to have turbines in their own community. This choice experiment determines which benefits people prefer and which trade-offs people are willing to make in order to host a wind farm in their community. The effectiveness of several attributes, and their respective ability to rid apathy and concerns about local wind …
Individuals Willingness To Pay For Health And Wellness In The Built Environment,
2014
colby college
Individuals Willingness To Pay For Health And Wellness In The Built Environment, Max Pollinger
Journal of Environmental and Resource Economics at Colby
Improving biological sustainability through health and wellness improvements in the built environment is currently being applied to high-end real estate development in both the residential and commercial environment in the United States. However, the market for health and wellness extends well beyond the top income bracket. This study adopts a choice experiment (CE) approach to investigate individual’s willingness to pay (WTP) for health and wellness improvements within their homes. The results suggest that individuals value health as an inelastic good independent of income, and they are willing to pay significant premiums to ensure biological sustainability within their homes independent of …
