Economics Commons^™

Empirical Likelihood For Nonparametric Additive Models, Taisuke Otsu

Cowles Foundation Discussion Papers

Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of dimensionality for fully nonparametric methods induced by high-dimensional covariates. This paper proposes empirical likelihood-based inference methods for unknown functions in three types of nonparametric additive models: (i) additive mean regression with the identity link function, (ii) generalized additive mean regression with a known non-identity link function, and (iii) additive quantile regression. The proposed empirical likelihood ratio statistics for the unknown functions are asymptotically pivotal and converge to chi-square distributions, and their associated confidence …

Second-Order Refinement Of Empirical Likelihood For Testing Overidentifying Restrictions, Yukitoshi Matsushita, Taisuke Otsu

Cowles Foundation Discussion Papers

This paper studies second-order properties of the empirical likelihood overidentifying restriction test to check the validity of moment condition models. We show that the empirical likelihood test is Bartlett correctable and suggest second-order refinement methods for the test based on the empirical Bartlett correction and adjusted empirical likelihood. Our second-order analysis supplements the one in Chen and Cui (2007) who considered parameter hypothesis testing for overidentified models. In simulation studies we find that the empirical Bartlett correction and adjusted empirical likelihood assisted by bootstrapping provide reasonable improvements for the properties of the null rejection probabilities.

Robustness Of Bootstrap In Instrumental Variable Regression, Lorenzo Camponovo, Taisuke Otsu

Cowles Foundation Discussion Papers

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses on behaviors of the bootstrap quantiles when outliers take arbitrarily large values. The implied probabilities are derived from an information theoretic projection from the empirical distribution to a set of distributions satisfying orthogonality conditions for instruments. Our breakdown point analysis considers separately the effects of outliers in dependent variables, endogenous regressors, and instruments, and clarifies the situations where the implied probability bootstrap …

Quantile Regression With Censoring And Endogeneity, Victor Chernozhukov, Iván Fernández-Val, Amanda E. Kowalski

Cowles Foundation Discussion Papers

In this paper, we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal semiparametrically with censoring, with a control variable approach to incorporate endogenous regressors. The CQIV estimator is obtained in two stages that are nonadditive in the unobservables. The first stage estimates a nonadditive model with infinite dimensional parameters for the control variable, such as a quantile or distribution regression model. The second stage estimates a nonadditive censored quantile regression model for the response variable of interest, including the estimated control …

Breakdown Point Theory For Implied Probability Bootstrap, Lorenzo Camponovo, Taisuke Otsu

Cowles Foundation Discussion Papers

This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust than the uniform weight bootstrap against outliers. Simulation studies illustrate our theoretical findings.

Continuous Workout Mortgages, Robert J. Shiller, Rafal M. Wojakowski, M. Shahid Ebrahim, Mark B. Shackleton

Cowles Foundation Discussion Papers

This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable “workout proportion” and adjustable “workout threshold.” These results are of importance as they not only help …

Local Identification Of Nonparametric And Semiparametric Models, Xiaohong Chen, Victor Chernozhukov, Sokbae Lee, Whitney Newey

Cowles Foundation Discussion Papers

In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank condition and differentiability of the moment conditions with respect to a certain norm imply local identification. It turns out these conditions are slightly stronger than needed and are hard to check, so we provide weaker and more primitive conditions. We extend the results to semiparametric models. We illustrate the sufficient conditions with endogenous quantile and single index examples. We …

Local Identification Of Nonparametric And Semiparametric Models, Xiaohong Chen, Victor Chernozhukov, Sokbae Lee, Whitney Newey

Cowles Foundation Discussion Papers

In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities overwhelming linear effects. We give restrictions on a neighborhood of the true value that are sufficient for local identification. We apply these results to obtain new, primitive identification conditions in several important models, including nonseparable quantile instrumental variable (IV) models, single-index IV models, and semiparametric consumption-based asset pricing models.

Dice Or No Dice: The Casino Debate In Massachusetts, College Of Management, University Of Massachusetts Boston

Financial Services Forum Publications

The debate on casinos has intensified over the last few years. Governor Deval Patrick tried to get approval for three casinos back in September 2008, which was rejected by the then Speaker Salvatore Dimasi. However, two years ago, the Governor stood in the way of casinos by vetoing the bill passed by the House and the Senate.

With the economy still recovering from the aftermath of the “Great Recession”, there are talks about job creation and consumer spending all over Massachusetts. Currently, the three most critical players in the government of Massachusetts - Governor Deval Patrick, House Speaker Robert DeLeo, …

Psychotherapy And Pharmacotherapy In Depression, Thomas J. Kniesner, Regina Powers, Thomas Croghan

Economics - All Scholarship

Depression is a condition with various modes of treatment, including pharmacotherapy, psychotherapy, and some combination of each. The role of psychotherapy in the treatment of depression relative to the role of pharmacotherapy is not well understood, and guidelines for psychotherapy in the primary care setting differ from guidelines for specialty care. There is little evidence about the circumstances in actual practice that affect the use of psychotherapy in conjunction with pharmacotherapy.

We retrospectively identify the most important factors associated with the use of psychotherapy in combination with pharmacotherapy in the treatment of depression. Specifically, we study provider choice, health plan …

When Will The Labor Market Recover?, Randall W. Eberts

Employment Research Newsletter

No abstract provided.

Economic Circumstances And Support For Universal Health Care, Daniel Cotter

Political Science Theses and Capstones

There have been many differing opinions over the new health care bill passed in 2010. My research is aimed at finding what factors play a role in forming an opinion on the new health care bill. Specifically looking at the economic and demographic circumstances of citizens of the United States and how it has affected their opinions on the health care bill. I use data gathered from the Pew Research Center and ran crosstabs on various different variables including opinions on the current economy, demographic characteristics, as well as opinions on the current health care plan. I anticipate finding that …

Why Do Some Nations Have More Renewable Energy Policies?, Melissa Dahl

Political Science Theses and Capstones

Some nations have considerably more renewable energy policies than others and this research is attempting to discover why. Renewable energy use is quickly growing in our world and has become a major topic in today’s politics. Existing literature suggests various theories as to why some nations have more renewable energy policies than others. I test these theories with data from two major data sources; REN21, the Renewable Energy Policy Network for the 21st Century, and the International Energy Agency. I anticipate that nations with a larger number of effective political parties, higher GDPs, and larger population would have more renewable …

The Politics Of Subsidizing Sports: Legislative Voting For Three Minnesota Sports Venues, Dave Hitchcock

Political Science Theses and Capstones

Since 1998 the State of Minnesota has funded the building of the Xcel Energy Center, Target Field, and TCF Bank Stadium. The focus of this research is to locate voting trends within the Minnesota House of Representatives towards these venues. I recorded the votes of each member on the legislation approving these venues from the Minnesota Journal of the House and then constructed data sets for all three buildings. From this data, trends emerge potentially linking the voting tendencies of members based on party, gender, and geographical location of their district. Initial analysis supports a fairly strong relationship between district …

Introduction To Heckscher-Ohlin Theory: A Modern Approach, Eric O'N. Fisher

Economics

No abstract provided.

Are Risk Preferences Stable Across Contexts? Evidence From Insurance Data, Levon Barseghyan, Jeffrey Prince, Joshua C. Teitelbaum

Georgetown Law Faculty Publications and Other Works

Using a unique data set, the authors test whether households' deductible choices in auto and home insurance reflect stable risk preferences. Their test relies on a structural model that assumes households are objective expected utility maximizers and claims are generated by household-coverage specific Poisson processes. They find that the hypothesis of stable risk preferences is rejected by the data. Their analysis suggests that many households exhibit greater risk aversion in their home deductible choices than their auto deductible choices. They find that their results are robust to several alternative modeling assumptions.

An Exploration Of Alternative Means Of Financial Sustainability For The Church In Tanzania, East Africa: A Donor And Donee Perspective, Juvenalis Baltazar Asantemungu

Dissertations (1934 -)

This academic enterprise is a result of careful research and detailed work that was done for the benefit of the Church in Tanzania in particular but with general implications to the Church in Africa and the Church Universal. According to Kalilombe (2002), "Self-reliance of the local Church in Africa remains a crucial subject matter" (p.2). The Catholic Church in Tanzania, as is true in most of other Churches in Sub-Saharan Africa, has traditionally been dependent to some extent on financial gifts and foreign aid (donations). However, as the financial needs of the rapidly growing dioceses are increasing, subsidies and donations …

Sectoral Changes And The Increase In Women's Labor Force Participation, Rahşan Akbulut

Business Faculty Articles and Research

Throughout the second half of the 20th century, women in the United States decided to move increasingly into the labor market. This paper investigates the growth of the service sector as an explanation for the increase in women's employment. It develops an economic model that can account for the increase in women's employment and the growth of the service sector at the same time. A growth model with two sectors and a home production technology is constructed in order to quantitatively assess the contribution of sectoral productivity differences to the change in women's employment decision. The sectoral productivities are taken …

Price Ceilings And Rationing: The Base Ingredients Of The Black Market Food Industry In Nevada During World War Ii, Richard B. Keeton

Psi Sigma Siren

After the Empire of Japan bombed Pearl Harbor, Americans braced themselves for what would surely be a long, hard-fought war. In World War II, brave young United States soldiers made the ultimate sacrifice across the seas on both the European and Pacific fronts. However, the millions of citizens on domestic soil also made countless sacrifices in a national mobilization to support the war effort. People in Nevada and across the nation gave up everyday conveniences and seemingly ordinary items to show their support for the troops. Government agencies instituted tight rationing guidelines on a variety of consumer goods. Perhaps the …

The Persistence Of Employee 401(K) Contributions Over A Major Stock Market Cycle: Evidence On The Limited Power Of Inertia On Savings Behavior, Leslie A. Muller, John A. Turner

Upjohn Institute Working Papers

Many middle-income workers save for retirement through 401(k) plans. This study addresses the concern that low account balances of older workers may indicate that these vehicles are not sufficient to insure adequate retirement savings. In particular, the study shows that workers are not persistent (continuing once a worker has started) in contributing, and a weak stock market exacerbates the problem.
/="/">The study suggests that the concept of inertia, which is in vogue in behavioral economics, does not seem to hold for 401(k) saving behavior. Furthermore, the investment strategy of dollar cost averaging does not seem to hold, either. Using …