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University of Texas – Austin

1. Hsu, Yu-Chin, 1978-. Three essays on hypotheses testing involving inequality constraints.

Degree: Economics, 2010, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2010-05-796

The focus of this research is on hypotheses testing involving inequality constraints. In the first chapter of this dissertation, we propose Kolmogorov-Smirnov type tests for stochastic dominance relations between the potential outcomes of a binary treatment under the unconfoundedness assumption. Our stochastic dominance tests compare every point of the cumulative distribution functions (CDF), so they can fully utilize all information in the distributions. For first order stochastic dominance, the test statistic is defined as the supremum of the difference of two inverse-probability-weighting estimators for the CDFs of the potential outcomes. The critical values are approximated based on a simulation method. We show that our test has good size properties and is consistent in the sense that it can detect any violation of the null hypothesis asymptotically. First order stochastic dominance tests in the treated subpopulation, and higher order stochastic dominance tests in the whole population and among the treated are shown to share the same properties. The tests are applied to evaluate the effect of a job training program on incomes, and we find that job training has a positive effect on real earnings. Finally, we extend our tests to cases in which the unconfoundedness assumption does not hold. On the other hand, there has been a considerable amount of attention paid to testing inequality restrictions using Wald type tests. As noted by Wolak (1991), there are certain situations where it is difficult to obtain tests with correct size even asymptotically. These situations occur when the variance-covariance matrix of the functions in the constraints depends on the unknown parameters as would be the case in nonlinear models. This dependence on the unknown parameters makes it computationally difficult to find the least favorable configuration (LFC) which can be used to bound the size of the test. In the second chapter of this dissertation, we extend Hansen's (2005) superior predictive ability (SPA) test to testing hypotheses involving general inequality constraints in which the variance-covariance matrix can be dependent on the unknown parameters. For our test we are able to obtain correct size asymptotically plus test consistency without requiring knowledge of the LFC. Also the test can be applied to a wider class of problems than considered in Wolak (1991). In the last chapter, we construct new Kolmogorov-Smirnov tests for stochastic dominance of any pre-specified order without resorting to the LFC to improve the power of Barrett and Donald's (2003) tests. To do this, we first show that under the null hypothesis if the objects being compared at a given income level are not equal, then the objects at this given income level will have no effect on the null distribution. Second, we extend Hansen's (2005) recentering method to a continuum of inequality constraints and construct a recentering function that will converge to the underlying parameter function uniformly asymptotically under the null hypothesis. We treat the…
*Advisors/Committee Members: Donald, Stephen G. (advisor), Abrevaya, Jason (committee member), Lieli, Robert P. (committee member), Stinchcombe, Maxwell B. (committee member), Shively, Thomas S. (committee member).*

Subjects/Keywords: Stochastic dominance test; Treatment effect; Inequality constraints; Least favorable configuration; Cumulative distribution functions; Hypotheses testing

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Hsu, Yu-Chin, 1. (2010). Three essays on hypotheses testing involving inequality constraints. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2010-05-796

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Hsu, Yu-Chin, 1978-. “Three essays on hypotheses testing involving inequality constraints.” 2010. Thesis, University of Texas – Austin. Accessed June 26, 2019. http://hdl.handle.net/2152/ETD-UT-2010-05-796.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Hsu, Yu-Chin, 1978-. “Three essays on hypotheses testing involving inequality constraints.” 2010. Web. 26 Jun 2019.

Vancouver:

Hsu, Yu-Chin 1. Three essays on hypotheses testing involving inequality constraints. [Internet] [Thesis]. University of Texas – Austin; 2010. [cited 2019 Jun 26]. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-796.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Hsu, Yu-Chin 1. Three essays on hypotheses testing involving inequality constraints. [Thesis]. University of Texas – Austin; 2010. Available from: http://hdl.handle.net/2152/ETD-UT-2010-05-796

Not specified: Masters Thesis or Doctoral Dissertation

2. Khan, Urmee, 1977-. Essays in economic design : information, markets and dynamics.

Degree: Economics, 2011, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2011-05-3373

This dissertation consists of three essays that apply both economic theory and econometric methods to understand design and dynamics of institutions. In particular, it studies how institutions aggregate information and deal with uncertainty and attempts to derive implications for optimal institution design. Here is a brief summary of the essays. In many economic, political and social situations where the environment changes in a random fashion necessitating costly action we face a choice of both the timing of the action as well as choosing the optimal action. In particular, if the stochastic environment possesses the property that the next environmental change becomes either more or less likely as more time passes since the last change (in other words the hazard rate of environmental change is not constant over time), then the timing of the action takes on special importance. In the first essay, joint with Maxwell B Stinchcombe, we model and solve a dynamic decision problem in a semi-Markov environment. We find that if the arrival times for state changes do not follow a memoryless process, time since the last observed change of state, in addition to the current state, becomes a crucial variable in the decision. We characterize the optimal policy and the optimal timing of executing that policy in the differentiable case by a set of first order conditions of a relatively simple form. They show that both in the case of increasing and decreasing hazard rates, the optimal response may be to wait before executing a policy change. The intuitive explanation of the result has to do with the fact that waiting reveals information about the likelihood of the next change occurring, hence waiting is valuable when actions are costly. This result helps shed new light on the structure of optimal decisions in many interesting problems of institution design, including the fact that constitutions often have built-in delay mechanisms to slow the pace of legislative change. Our model results could be used to characterize optimal timing rules for constitutional amendments. The paper also contributes to generalize the methodology of semi-Markov decision theory by formulating a dynamic programming set-up that looks to solve the timing-of-action problem whereas the existing literature looks to optimize over a much more limited set of policies where the action can only be taken at the instant when the state changes. In the second essay, we extend our research to situations, where the current choice of action influences the future path of the stochastic process, and apply it to the legal framework surrounding environmental issues, particularly to the â€˜Precautionary Principle' as applied to climate change legislation. We represent scientific uncertainty about environmental degradation using the concept of 'ambiguity' and show that ambiguity aversion generates a 'precautionary effect'. As a result, justification is provided for the Precautionary Principle that is different from the ones provided by expected utility theory. This essay serves both…
*Advisors/Committee Members: Hayashi, Takashi, Ph D. (advisor), Stinchcombe, Maxwell (advisor), Peski, Marcin (committee member), Lieli, Robert P. (committee member), Zitkovic, Gordan (committee member).*

Subjects/Keywords: Information aggregation; Prediction markets; Markov processes; Decision theory; Policy change; Precautionary principle; Climatic change; 2008 presidential election; Granger causality

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Khan, Urmee, 1. (2011). Essays in economic design : information, markets and dynamics. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2011-05-3373

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Khan, Urmee, 1977-. “Essays in economic design : information, markets and dynamics.” 2011. Thesis, University of Texas – Austin. Accessed June 26, 2019. http://hdl.handle.net/2152/ETD-UT-2011-05-3373.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Khan, Urmee, 1977-. “Essays in economic design : information, markets and dynamics.” 2011. Web. 26 Jun 2019.

Vancouver:

Khan, Urmee 1. Essays in economic design : information, markets and dynamics. [Internet] [Thesis]. University of Texas – Austin; 2011. [cited 2019 Jun 26]. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-3373.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Khan, Urmee 1. Essays in economic design : information, markets and dynamics. [Thesis]. University of Texas – Austin; 2011. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-3373

Not specified: Masters Thesis or Doctoral Dissertation