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University of Oxford
1.
Jiao, Xiyu.
Essays on asymptotics of outlier detection algorithms with applications to economics.
Degree: PhD, 2020, University of Oxford
URL: http://ora.ox.ac.uk/objects/uuid:e6e77bac-ccdb-4d36-aa07-da73c2220308 
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.800155
► In this thesis, we study a "heuristic approach" that are frequently used for outlier robustness analysis in either the classical or instrumental variables regression. In…
(more)
▼ In this thesis, we study a "heuristic approach" that are frequently used for outlier robustness analysis in either the classical or instrumental variables regression. In applied economics, it is a frequent concern whether a tiny set of atypical observations may have invalidated the key empirical findings. To check the robustness of the conclusion especially with respect to outliers, the heuristic approach is to first run least squares regression and remove observations with residuals beyond a chosen cut-off value. Then, re-run regression with selected observations and compare the updated estimate with the original one relative to their standard errors. This procedure can be iterated until the robust result is obtained. The leading purpose of this thesis is to develop asymptotic theory that formally justifies this simple robust procedure. The argument involves a theory of a new class of the weighted and marked empirical processes of residuals. Asymptotics are derived under the null hypothesis that there is no data contamination.
Subjects/Keywords: Econometrics
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APA (6th Edition):
Jiao, X. (2020). Essays on asymptotics of outlier detection algorithms with applications to economics. (Doctoral Dissertation). University of Oxford. Retrieved from http://ora.ox.ac.uk/objects/uuid:e6e77bac-ccdb-4d36-aa07-da73c2220308 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.800155
Chicago Manual of Style (16th Edition):
Jiao, Xiyu. “Essays on asymptotics of outlier detection algorithms with applications to economics.” 2020. Doctoral Dissertation, University of Oxford. Accessed March 01, 2021.
http://ora.ox.ac.uk/objects/uuid:e6e77bac-ccdb-4d36-aa07-da73c2220308 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.800155.
MLA Handbook (7th Edition):
Jiao, Xiyu. “Essays on asymptotics of outlier detection algorithms with applications to economics.” 2020. Web. 01 Mar 2021.
Vancouver:
Jiao X. Essays on asymptotics of outlier detection algorithms with applications to economics. [Internet] [Doctoral dissertation]. University of Oxford; 2020. [cited 2021 Mar 01].
Available from: http://ora.ox.ac.uk/objects/uuid:e6e77bac-ccdb-4d36-aa07-da73c2220308 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.800155.
Council of Science Editors:
Jiao X. Essays on asymptotics of outlier detection algorithms with applications to economics. [Doctoral Dissertation]. University of Oxford; 2020. Available from: http://ora.ox.ac.uk/objects/uuid:e6e77bac-ccdb-4d36-aa07-da73c2220308 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.800155
McMaster University
2.
Li, Cong.
ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS.
Degree: PhD, 2012, McMaster University
URL: http://hdl.handle.net/11375/11916
► Formal economic analysis of tobacco products dates back to the middle of the 20th century. At the beginning, most of the research was done…
(more)
▼ Formal economic analysis of tobacco products dates back to the middle of the 20th century. At the beginning, most of the research was done by the tobacco industry itself. Later, research interests switched to the public health perspective following the publication of British and American reports on smoking and health. Many papers consistently demonstrate that smoking significantly damages health and that the cigarette tax is a popular policy tool to reduce smoking. My first two essays focus on the issue of the cigarette excise tax and smoking. In the first essay, we analyze a possible tax avoidance behaviour measured by pack versus carton purchasing behaviour, since carton purchasing is associated with a substantial quantity discount. We find that smokers who intend to quit switch to packs in response to tax increases, while smokers who do not want to quit smoking systematically switch to cartons when taxes increase. In the second essay, we investigate whether the smoking participation of relatively older smokers is sensitive to cigarette taxes. The consensus in the literature is that older smokers are not price-responsive. Medical research, however, suggests quitting smoking even at an older age can still generate substantial health benefit for the old smokers. Using the most recent large tax increases across US, we find that both the older smokers’ desire to quit and actual smoking participation rate are responsive to tax increases. These results run contrary to most of the literature and may suggest that tax increases generate substantial health benefits for older smokers. In the last essay, we extend the model specification test proposed by Fan et al. (2006) to the extent that we also smooth the discrete dependent variable. We derive the null distribution of the test and also show that the test is consistent even when the null hypothesis fails to hold. Finally, a Monte Carlo simulation study shows that by smoothing the categorical dependent variable, our test enjoys substantial power gains.
Doctor of Philosophy (PhD)
Advisors/Committee Members: DeCicca, Philip, Jeremiah Hurley and Lonnie Magee, Economics.
Subjects/Keywords: Econometrics; Health Economics; Econometrics
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APA (6th Edition):
Li, C. (2012). ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS. (Doctoral Dissertation). McMaster University. Retrieved from http://hdl.handle.net/11375/11916
Chicago Manual of Style (16th Edition):
Li, Cong. “ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS.” 2012. Doctoral Dissertation, McMaster University. Accessed March 01, 2021.
http://hdl.handle.net/11375/11916.
MLA Handbook (7th Edition):
Li, Cong. “ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS.” 2012. Web. 01 Mar 2021.
Vancouver:
Li C. ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS. [Internet] [Doctoral dissertation]. McMaster University; 2012. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/11375/11916.
Council of Science Editors:
Li C. ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS. [Doctoral Dissertation]. McMaster University; 2012. Available from: http://hdl.handle.net/11375/11916
Portland State University
3.
Baldivieso, Sebastian.
Sensitivity Diagnostics and Adaptive Tuning of the Multivariate Stochastic Volatility Model.
Degree: PhD, Mathematics and Statistics, 2020, Portland State University
URL: https://pdxscholar.library.pdx.edu/open_access_etds/5423
► New methodologies for diagnostic analysis and adaptive tuning based on sensitivity information of the Multivariate Stochastic Volatility (MSV) model are established in this dissertation.…
(more)
▼ New methodologies for diagnostic analysis and adaptive tuning based on sensitivity information of the Multivariate Stochastic Volatility (MSV) model are established in this dissertation. The main focus is on obtaining optimal conditional volatilities from a time series set of financial data observed in the market by specifying a State-Space model with error covariance adaptive tuning of the MSV model. Variational Data Assimilation methods are used in this research as tools for obtaining the optimal
a posteriori estimates of the multivariate series of volatilities. Calculus of Variations techniques are then applied to a forecast score function to derive the sensitivities of the forecasted volatilities in terms of the input parameters. In summary, this dissertation achieves the development of these new methodologies by
1.Developing the sensitivity information of the multivariate conditional volatilities to observations, covariance specifications and prior estimates,
2.Developing tools for assessing multivariate volatility forecasts. For each time period, sensitivity information provides forecasted volatility diagnostics of the MSV model to give guidance on model performance, and
3.Developing an adaptive tuning procedure based on the multivariate volatility sensitivity information to update the observation error covariance matrix during each assimilation with the main objective of providing improved results in an online manner.
Applications of the new sensitivity diagnostics and adaptive tuning procedures of the MSV model are explored in two experiments. The first experiment is a proof-of-concept experiment where a multivariate series of volatilities is simulated through the specification of a MSV model and serves as a placeholder for true volatilities. The MSV model is then estimated on the resulting time series dataset and the adaptive tuning procedure is performed to demonstrate superior estimation results over the current literature methodologies. In the second experiment, a time series set of Foreign Exchange (FX) rate data is used to estimate the MSV model to provide a time series of conditional volatility estimates of each FX rate. The sensitivity information of each FX rate's conditional volatility forecasts is implemented to derive model performance diagnostics, while the adaptive tuning procedure is implemented to provide improved conditional volatility estimates. Furthermore, an objective assessment and validation of the newly developed methodology is achieved by using an extended data set that is independent on the training set used to calibrate the model.
Advisors/Committee Members: Dacian N. Daescu.
Subjects/Keywords: Mathematics; Econometrics; Applied Mathematics; Econometrics
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APA ·
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APA (6th Edition):
Baldivieso, S. (2020). Sensitivity Diagnostics and Adaptive Tuning of the Multivariate Stochastic Volatility Model. (Doctoral Dissertation). Portland State University. Retrieved from https://pdxscholar.library.pdx.edu/open_access_etds/5423
Chicago Manual of Style (16th Edition):
Baldivieso, Sebastian. “Sensitivity Diagnostics and Adaptive Tuning of the Multivariate Stochastic Volatility Model.” 2020. Doctoral Dissertation, Portland State University. Accessed March 01, 2021.
https://pdxscholar.library.pdx.edu/open_access_etds/5423.
MLA Handbook (7th Edition):
Baldivieso, Sebastian. “Sensitivity Diagnostics and Adaptive Tuning of the Multivariate Stochastic Volatility Model.” 2020. Web. 01 Mar 2021.
Vancouver:
Baldivieso S. Sensitivity Diagnostics and Adaptive Tuning of the Multivariate Stochastic Volatility Model. [Internet] [Doctoral dissertation]. Portland State University; 2020. [cited 2021 Mar 01].
Available from: https://pdxscholar.library.pdx.edu/open_access_etds/5423.
Council of Science Editors:
Baldivieso S. Sensitivity Diagnostics and Adaptive Tuning of the Multivariate Stochastic Volatility Model. [Doctoral Dissertation]. Portland State University; 2020. Available from: https://pdxscholar.library.pdx.edu/open_access_etds/5423
Texas A&M University
4.
Lin, Zhongjian.
Semiparametric Methods and Applications.
Degree: PhD, Economics, 2014, Texas A&M University
URL: http://hdl.handle.net/1969.1/152663
► This dissertation studies semiparametric methods and their applications to economics and marketing problems. We propose a game theoretic model to analyze interactions among individuals in…
(more)
▼ This dissertation studies semiparametric methods and their applications to
economics and marketing problems. We propose a game theoretic model to analyze
interactions among individuals in a social network with hierarchy. We find significant
asymmetric peer effects among individuals in social networks. High status individuals
deliver stronger peer effects on low status individuals than vice versa. Additionally, we
investigate semiparametric panel data truncated regression models with fixed effects. We
show the identification of our model with primitive assumption, establish the
consistency and asymptotic normality of our proposed sieve estimator. We conclude that
we can achieve √n -convergent rate for parametric parameters. Besides theoretical
semiparametric methods, we study the dynamic effectiveness of marketing mix variables
and the competition among the pioneer and early followers in pharmaceutical industry.
With two pharmaceutical categories data, we find dynamic effectiveness of advertising
and detailing inputs. Pioneer firms and follower firms have different effectiveness of
advertising and detailing inputs in different stages. Our out-of-sample analyses show that
when the data is rich, the semiparametric model outperforms the parametric model while
it is better to deploy parametric model when the sample size is small.
Advisors/Committee Members: Li, Qi (advisor), Shankar, Venkatesh (advisor), Puller, Steven (committee member), Xu, Keli (committee member).
Subjects/Keywords: Semiparametric; Econometrics
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APA ·
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APA (6th Edition):
Lin, Z. (2014). Semiparametric Methods and Applications. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/152663
Chicago Manual of Style (16th Edition):
Lin, Zhongjian. “Semiparametric Methods and Applications.” 2014. Doctoral Dissertation, Texas A&M University. Accessed March 01, 2021.
http://hdl.handle.net/1969.1/152663.
MLA Handbook (7th Edition):
Lin, Zhongjian. “Semiparametric Methods and Applications.” 2014. Web. 01 Mar 2021.
Vancouver:
Lin Z. Semiparametric Methods and Applications. [Internet] [Doctoral dissertation]. Texas A&M University; 2014. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/1969.1/152663.
Council of Science Editors:
Lin Z. Semiparametric Methods and Applications. [Doctoral Dissertation]. Texas A&M University; 2014. Available from: http://hdl.handle.net/1969.1/152663
University of Cape Town
5.
Hurwitz, A M.
An econometric analysis of South African monetary phenomena.
Degree: Image, School of Economics, 1977, University of Cape Town
URL: http://hdl.handle.net/11427/11091
► Monetarism, and more particularly, the Monetary approach to the balance of payments has been the subject of important theoretical debate and empirical research over the…
(more)
▼ Monetarism, and more particularly, the Monetary approach to the balance of payments has been the
subject of important theoretical debate and empirical research over the last twenty years, and has assumed particular relevance in the world inflationary impasse of the present day. Although of great relevance to South Africa, the theory has received comparatively little attention locally and statistical studies are rare.
Advisors/Committee Members: Kantor, B (advisor).
Subjects/Keywords: Econometrics
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APA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Hurwitz, A. M. (1977). An econometric analysis of South African monetary phenomena. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/11091
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Hurwitz, A M. “An econometric analysis of South African monetary phenomena.” 1977. Thesis, University of Cape Town. Accessed March 01, 2021.
http://hdl.handle.net/11427/11091.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Hurwitz, A M. “An econometric analysis of South African monetary phenomena.” 1977. Web. 01 Mar 2021.
Vancouver:
Hurwitz AM. An econometric analysis of South African monetary phenomena. [Internet] [Thesis]. University of Cape Town; 1977. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/11427/11091.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Hurwitz AM. An econometric analysis of South African monetary phenomena. [Thesis]. University of Cape Town; 1977. Available from: http://hdl.handle.net/11427/11091
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
North-West University
6.
Mah, Gisele.
An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
.
Degree: 2012, North-West University
URL: http://hdl.handle.net/10394/15660
► The European sovereign debt crisis started. in 2008 with the collapse of Iceland's banking system. Subsequently, several European countries faced the implosion of financial institutions,…
(more)
▼ The European sovereign debt crisis started. in 2008 with the collapse of Iceland's banking
system. Subsequently, several European countries faced the implosion of financial institutions,
high government debt and rapidly rising bond yield spreads in government securities. In this
context, Greece is an example of a country whose government debt is a matter of grave concern
since it has received the second bailout but still threatens to default. This is ironic since a
developed economy like Greece is considered to aide developing economies. The main aim of
this dissertation is to conduct an econometric analysis of the determinants of the Greek sovereign
debt crisis while the secondary aim is an extensive literature review of the Eurozone sovereign
debt crisis. Regarding the former aim, the variables selected include the government deficit,
current account balance, inflation, gross savings and general government debt of Greece. This
annual data (from 1976 to 2010) was collected from the World Development Indicators,
European Commission data base and the International Monetary Fund. The Vector Error
Correction Model framework was used to estimate our model. Also, the Granger causality
analysis helped to identify the direction of causation. Furthermore, the Variance Decomposition
and the Generalized Impulse Response Function were employed to analyze the shocks of all our
variables on each other. Finally, for the latter aim, we critically review the evolution, causes,
consequences and cures of the Eurozone sovereign debt crisis and then formulate some
suggestions on how to mitigate the effects of this crisis.
The results of the econometric analysis show that there is a significant negative relationship
between general government debt with government deficit and inflation. However, a significant
positive relationship between general government debt and current account balance was found.
There is an insignificant negative relationship between gross savings and general government
debt. The past value of the general government debt and government deficit has the ability to
determine the present value of inflation; and in turn, pass value of inflation, can predict the
present value of current account balance and gross savings. Variation in most of our variables is
highly explained by our variables itself, with the exception of current account balance where
variation is explained mostly by general government debt. The response of general government
debt to itself is positive. Gross government debt to government deficit and general government
debt to current account balance is negative. General government debt to inflation is positive. A
shock of gross government debt has an increasing negative effect on gross savings over the study
period. Among the causes of the Eurozone sovereign debt crisis is the rapid growth of
government debt levels, trade imbalances, monetary policy inflexibility, and loss of confidence.
Consequences of this crisis involve disrupted bond markets and the banking sector,…
Subjects/Keywords: Econometrics;
Greece
Record Details
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Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Mah, G. (2012). An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
. (Thesis). North-West University. Retrieved from http://hdl.handle.net/10394/15660
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Mah, Gisele. “An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
.” 2012. Thesis, North-West University. Accessed March 01, 2021.
http://hdl.handle.net/10394/15660.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Mah, Gisele. “An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
.” 2012. Web. 01 Mar 2021.
Vancouver:
Mah G. An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
. [Internet] [Thesis]. North-West University; 2012. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/10394/15660.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Mah G. An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
. [Thesis]. North-West University; 2012. Available from: http://hdl.handle.net/10394/15660
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
North-West University
7.
Mah, Gisele.
An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
.
Degree: 2012, North-West University
URL: http://hdl.handle.net/10394/15784
► The European sovereign debt crisis started. in 2008 with the collapse of Iceland's banking system. Subsequently, several European countries faced the implosion of financial institutions,…
(more)
▼ The European sovereign debt crisis started. in 2008 with the collapse of Iceland's banking
system. Subsequently, several European countries faced the implosion of financial institutions,
high government debt and rapidly rising bond yield spreads in government securities. In this
context, Greece is an example of a country whose government debt is a matter of grave concern
since it has received the second bailout but still threatens to default. This is ironic since a
developed economy like Greece is considered to aide developing economies. The main aim of
this dissertation is to conduct an econometric analysis of the determinants of the Greek sovereign
debt crisis while the secondary aim is an extensive literature review of the Eurozone sovereign
debt crisis. Regarding the former aim, the variables selected include the government deficit,
current account balance, inflation, gross savings and general government debt of Greece. This
annual data (from 1976 to 2010) was collected from the World Development Indicators,
European Commission data base and the International Monetary Fund. The Vector Error
Correction Model framework was used to estimate our model. Also, the Granger causality
analysis helped to identify the direction of causation. Furthermore, the Variance Decomposition
and the Generalized Impulse Response Function were employed to analyze the shocks of all our
variables on each other. Finally, for the latter aim, we critically review the evolution, causes,
consequences and cures of the Eurozone sovereign debt crisis and then formulate some
suggestions on how to mitigate the effects of this crisis.
The results of the econometric analysis show that there is a significant negative relationship
between general government debt with government deficit and inflation. However, a significant
positive relationship between general government debt and current account balance was found.
There is an insignificant negative relationship between gross savings and general government
debt. The past value of the general government debt and government deficit has the ability to
determine the present value of inflation; and in turn, pass value of inflation, can predict the
present value of current account balance and gross savings. Variation in most of our variables is
highly explained by our variables itself, with the exception of current account balance where
variation is explained mostly by general government debt. The response of general government
debt to itself is positive. Gross government debt to government deficit and general government
debt to current account balance is negative. General government debt to inflation is positive. A
shock of gross government debt has an increasing negative effect on gross savings over the study
period. Among the causes of the Eurozone sovereign debt crisis is the rapid growth of
government debt levels, trade imbalances, monetary policy inflexibility, and loss of confidence.
Consequences of this crisis involve disrupted bond markets and the banking sector,…
Subjects/Keywords: Econometrics;
Greece
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Mah, G. (2012). An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
. (Thesis). North-West University. Retrieved from http://hdl.handle.net/10394/15784
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Mah, Gisele. “An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
.” 2012. Thesis, North-West University. Accessed March 01, 2021.
http://hdl.handle.net/10394/15784.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Mah, Gisele. “An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
.” 2012. Web. 01 Mar 2021.
Vancouver:
Mah G. An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
. [Internet] [Thesis]. North-West University; 2012. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/10394/15784.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Mah G. An econometric analysis of the eurozone sovereign debt crisis : the case of Greece / Gisele Mah
. [Thesis]. North-West University; 2012. Available from: http://hdl.handle.net/10394/15784
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Illinois – Urbana-Champaign
8.
Cheng, Tzu-Chang.
Essays on applied econometrics.
Degree: PhD, Economics, 2015, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/88282
► This dissertation consists of three independent essays on applied econometrics. The first chapter extends the model averaging estimator (Hansen, 2007) to the time series scenario.…
(more)
▼ This dissertation consists of three independent essays on applied
econometrics. The first chapter extends the model averaging estimator (Hansen, 2007) to the time series scenario. To this end, I propose a Mallows model averaging autocorrelation corrected (MAC) estimator, in which the tapered estimator (McMurry and Politis, 2010) is employed as the working covariance matrix. The optimality of the proposed criterion for MAC is proved under mild regularity conditions. Furthermore, the estimator works for a general family of covariance matrix estimators. Monte Carlo simulations demonstrate the effectiveness of MAC in comparison with the existing counterparts. A significantly improved paper based on this chapter (Cheng, Ing, Yu, 2015) has been accepted for publication, where model averaging weights residing in a discrete set are extended to continuous ones. Additionally, the published paper proposes the use of a modified Cholesky decomposition method, instead of the tapered estimator, for the inverse autocovariance matrix.
The second chapter examines the causality between the odds of winning an election and vote-buying. In Taiwan in 2010, eight cities and counties accounting for 60% of the entire population were merged and upgraded to five special municipalities. Along with the merger event, the number of district seats was changed, exogenously shifting the winning chances of candidates in the 2010 municipal elections. This policy intervention allows us to investigate whether a candidate is incentivized to buy votes when winning odds deteriorate. For every additional seat cut in a district, the difference-in-differences estimate suggests that approximately 4% additional incumbents seeking reelection decided to buy votes.
The third chapter estimates determinants of adolescent romantic matching using a maximum score estimator. Sorting patterns are suggested from the results. Findings are consistent with the literature, but more detailed results are revealed. In line with the literature, I find evidence of positive assortative matching along physical traits and grade. In addition, race is suggested to be the most important determinant of match value in the context of teen romantic relationships. Finally, adolescent matching seems pleasure-driven, in that past sexual experience plays an active role.
Advisors/Committee Members: Powers, Elizabeth T. (advisor), Powers, Elizabeth T. (Committee Chair), Giertz, J.F. (committee member), Koenker, Roger W. (committee member), Perry, Martin K. (committee member).
Subjects/Keywords: Applied Econometrics
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APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Cheng, T. (2015). Essays on applied econometrics. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/88282
Chicago Manual of Style (16th Edition):
Cheng, Tzu-Chang. “Essays on applied econometrics.” 2015. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed March 01, 2021.
http://hdl.handle.net/2142/88282.
MLA Handbook (7th Edition):
Cheng, Tzu-Chang. “Essays on applied econometrics.” 2015. Web. 01 Mar 2021.
Vancouver:
Cheng T. Essays on applied econometrics. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2015. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/2142/88282.
Council of Science Editors:
Cheng T. Essays on applied econometrics. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2015. Available from: http://hdl.handle.net/2142/88282
9.
Hagemann, Andreas.
Three essays in econometrics.
Degree: PhD, 0074, 2012, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/34307
► This dissertation consists of three essays. In the first essay, entitled “Robust Spectral Analysis,” I introduce quantile spectral densities that summarize the cyclical behavior of…
(more)
▼ This dissertation consists of three essays. In the first essay, entitled “Robust Spectral Analysis,” I introduce quantile spectral densities that summarize the cyclical behavior of time series across their whole distribution by analyzing periodicities in quantile crossings. This approach can capture systematic changes in the impact of cycles on the distribution of a time series and allows robust spectral estimation and inference in situations where the dependence structure is not accurately captured by the auto-covariance function. I study the statistical properties of quantile spectral estimators in a large class of nonlinear time series models and discuss inference both at fixed and across all frequencies. Monte Carlo experiments and an empirical example illustrate the advantages of quantile spectral analysis over classical methods when standard assumptions are violated.
In the second essay, “Stochastic Equicontinuity in Nonlinear Time Series Models,” I provide simple and easily verifiable conditions under which a strong form of stochastic equicontinuity holds in a wide variety of modern time series models. In contrast to most results currently available in the literature, my methods avoid mixing conditions. I discuss two applications in detail.
In the third essay, “A Simple Test for Regression Specification with Non-Nested Alternatives,” I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions inherited from the J test.
Advisors/Committee Members: Koenker, Roger W. (advisor), Koenker, Roger W. (Committee Chair), Shao, Xiaofeng (committee member), McMillen, Daniel P. (committee member), Bera, Anil K. (committee member).
Subjects/Keywords: Econometrics
…and econometrics; see, e.g., Walsh
(1960). More recently, Chernozhukov, Hansen…
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APA (6th Edition):
Hagemann, A. (2012). Three essays in econometrics. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/34307
Chicago Manual of Style (16th Edition):
Hagemann, Andreas. “Three essays in econometrics.” 2012. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed March 01, 2021.
http://hdl.handle.net/2142/34307.
MLA Handbook (7th Edition):
Hagemann, Andreas. “Three essays in econometrics.” 2012. Web. 01 Mar 2021.
Vancouver:
Hagemann A. Three essays in econometrics. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2012. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/2142/34307.
Council of Science Editors:
Hagemann A. Three essays in econometrics. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2012. Available from: http://hdl.handle.net/2142/34307
10.
Aiyash, Eiman.
Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets.
Degree: MA, 2018, Eastern Illinois University
URL: https://thekeep.eiu.edu/theses/3557
► This paper investigates the degree of exchange rate and oil prices pass-through to import prices, producer prices, and consumer prices in Canada and United…
(more)
▼ This paper investigates the degree of exchange rate and oil prices pass-through to import prices, producer prices, and consumer prices in Canada and United States over the period from 1980 to 2017 using a Structural Vector Auto-Regression (SVAR) model. The results indicate a robust evidence of a positive long-run correlation between exchange rate & oil prices and aggregate price levels. Impulse response function reveals a persistent and incomplete pass-through for both exchange rates and oil prices i.e. 0.20 and 0.04 for Canada and 0.27 and 0.25 for the U.S. That is, greater pass-through exist in an economy which has a more oil import share, more volatile monetary policy, and higher inflation rate. Consistent with impulse response function, variance decomposition reveals that oil price shocks in the United States are the major cause of the variation in the import prices and producer prices, while exchange rate fluctuations explain more of the variation in consumer prices. However, in Canada, import prices are mainly explained by exchange rate fluctuations, while oil price shocks explain the variation in producer and consumer prices.
Advisors/Committee Members: Ahmed S. Abou-Zaid.
Subjects/Keywords: Econometrics
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APA (6th Edition):
Aiyash, E. (2018). Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets. (Masters Thesis). Eastern Illinois University. Retrieved from https://thekeep.eiu.edu/theses/3557
Chicago Manual of Style (16th Edition):
Aiyash, Eiman. “Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets.” 2018. Masters Thesis, Eastern Illinois University. Accessed March 01, 2021.
https://thekeep.eiu.edu/theses/3557.
MLA Handbook (7th Edition):
Aiyash, Eiman. “Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets.” 2018. Web. 01 Mar 2021.
Vancouver:
Aiyash E. Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets. [Internet] [Masters thesis]. Eastern Illinois University; 2018. [cited 2021 Mar 01].
Available from: https://thekeep.eiu.edu/theses/3557.
Council of Science Editors:
Aiyash E. Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets. [Masters Thesis]. Eastern Illinois University; 2018. Available from: https://thekeep.eiu.edu/theses/3557
Eastern Illinois University
11.
Loebach, Leonard.
Non-Monetary Effects on Inflation Within the Price-Gap Model.
Degree: MA, 1992, Eastern Illinois University
URL: https://thekeep.eiu.edu/theses/2150
► The purpose of this thesis is to examine some of the various non-monetary effects on inflation within the framework of the price-gap model. Some…
(more)
▼ The purpose of this thesis is to examine some of the various non-monetary effects on inflation within the framework of the price-gap model. Some of the non-monetary shocks that can affect inflation include wage adjustments, changes in basic commodity prices (for example, crude oil), changes in the exchange rates, and shifts in inflationary expectations.
In April of 1989, a study was put out by the Federal Reserve (staff study 157) that examined the relationship between the current price level and an estimate of the long-run equilibrium price level. In the study, an indicator P* (pronounced P-star) was used to estimate what level of prices could be supported by the present money stock. The long-run price level was defined as P*=(MV*)/Q* where M ls the money stock, V* is the long-run equilibrium level of velocity, and Q* is the potential output level. From this the study relates the acceleration of the price level (or changes in the rate of inflation) to the price gap defined as (p-p*) where the lower-case variables are the natural logarithms of the upper-case counterparts. The authors were able to show that, in the long-run, the price gap gives a reasonable explaination of the dynamics of inflation.
This thesis builds on the basic framework of the price gap model particularly with respect to short-run variations in the rate of inflation. The Fed study suggest:
"In the short-run, other characteristics of the economy such as the formation of expectations, lags in wage contracts and in aggregate demand, and the effects of changes in the exhange rate, may affect the inflation process. These factors thus may well affect the estimated dynamics of the model, … and (we) have focused instead on tying down the long-run price level."
This thesis examines the effect of these short-run variations.
The basic form of the model is specified as:
change in rate of inflation = price gap + lagged changes in the rate of inflation + series of non-monetary disturbances
The price gap and the lagged dependent variables are the basic form of the price-gap model used in the Fed study. The non-monetary disturbances to be used are basic commodity prices, exchange rates, wage adjustments, and inflationary expectations. The individual commodity prices that are examined are crude oil, lumber, cotton, copper and scrap steel. These commodities are chosen because they are basic industrial commodities that have the greatest effect on the manufacturing sector of the economy. In addition, a commodity price index is developed that incorporates price movements of the mentioned commodities into a single series. The effects of this index are also examined. Variations in a dollar index are used to model exchanges rates. The dollar index used is a trade weighted basket of 10 foreign currencies published by the Fedral Reserve and is a good proxy for the performance of the dollar relative to foreign currencies. The average weekly wage level for manufacturing is used to model wage adjustments and their impact on…
Advisors/Committee Members: Minh Q. Dao.
Subjects/Keywords: Econometrics
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APA (6th Edition):
Loebach, L. (1992). Non-Monetary Effects on Inflation Within the Price-Gap Model. (Masters Thesis). Eastern Illinois University. Retrieved from https://thekeep.eiu.edu/theses/2150
Chicago Manual of Style (16th Edition):
Loebach, Leonard. “Non-Monetary Effects on Inflation Within the Price-Gap Model.” 1992. Masters Thesis, Eastern Illinois University. Accessed March 01, 2021.
https://thekeep.eiu.edu/theses/2150.
MLA Handbook (7th Edition):
Loebach, Leonard. “Non-Monetary Effects on Inflation Within the Price-Gap Model.” 1992. Web. 01 Mar 2021.
Vancouver:
Loebach L. Non-Monetary Effects on Inflation Within the Price-Gap Model. [Internet] [Masters thesis]. Eastern Illinois University; 1992. [cited 2021 Mar 01].
Available from: https://thekeep.eiu.edu/theses/2150.
Council of Science Editors:
Loebach L. Non-Monetary Effects on Inflation Within the Price-Gap Model. [Masters Thesis]. Eastern Illinois University; 1992. Available from: https://thekeep.eiu.edu/theses/2150
12.
Chen, Xirong.
Three Essays on Applied Econometrics.
Degree: PhD, Economics, 2017, Texas A&M University
URL: http://hdl.handle.net/1969.1/161349
► In this thesis, I study microeconometrics and its applications in empirical questions. There are three studies, which investigate the housing vacancy rate, sticky demand, and…
(more)
▼ In this thesis, I study microeconometrics and its applications in empirical questions. There are three studies, which investigate the housing vacancy rate, sticky demand, and the quantile forecasting methods for time series data.
In the first study, I use a mixture density model to estimate the housing vacancy rate of 15.85% from housing-units level electricity consumption data. This high vacancy rate reflects the high volumes of investment demands in the Chinese housing market.
In the second study, I relax a fundamental assumption in the literature of dynamic pricing, from regular demand to sticky demand and investigate the related economics outcomes.
In the third study, I extend a novel nonparametric quantile forecasting method that is from being only applicable to i.i.d data to being more general applicable that allows for weakly dependent time series data. The simulated and empirical data illustrated the efficiency gain of my method over other existing nonparametric methods.
Advisors/Committee Members: Gan, Li (advisor), Tian, Guoqiang (committee member), Zhang, Yuzhe (committee member), Mu, Ren (committee member).
Subjects/Keywords: Econometrics
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APA (6th Edition):
Chen, X. (2017). Three Essays on Applied Econometrics. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/161349
Chicago Manual of Style (16th Edition):
Chen, Xirong. “Three Essays on Applied Econometrics.” 2017. Doctoral Dissertation, Texas A&M University. Accessed March 01, 2021.
http://hdl.handle.net/1969.1/161349.
MLA Handbook (7th Edition):
Chen, Xirong. “Three Essays on Applied Econometrics.” 2017. Web. 01 Mar 2021.
Vancouver:
Chen X. Three Essays on Applied Econometrics. [Internet] [Doctoral dissertation]. Texas A&M University; 2017. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/1969.1/161349.
Council of Science Editors:
Chen X. Three Essays on Applied Econometrics. [Doctoral Dissertation]. Texas A&M University; 2017. Available from: http://hdl.handle.net/1969.1/161349
Michigan State University
13.
Satchachai, Panutat.
Three essays in econometrics.
Degree: PhD, Department of Economics, 2009, Michigan State University
URL: http://etd.lib.msu.edu/islandora/object/etd:17135
Subjects/Keywords: Econometrics
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APA (6th Edition):
Satchachai, P. (2009). Three essays in econometrics. (Doctoral Dissertation). Michigan State University. Retrieved from http://etd.lib.msu.edu/islandora/object/etd:17135
Chicago Manual of Style (16th Edition):
Satchachai, Panutat. “Three essays in econometrics.” 2009. Doctoral Dissertation, Michigan State University. Accessed March 01, 2021.
http://etd.lib.msu.edu/islandora/object/etd:17135.
MLA Handbook (7th Edition):
Satchachai, Panutat. “Three essays in econometrics.” 2009. Web. 01 Mar 2021.
Vancouver:
Satchachai P. Three essays in econometrics. [Internet] [Doctoral dissertation]. Michigan State University; 2009. [cited 2021 Mar 01].
Available from: http://etd.lib.msu.edu/islandora/object/etd:17135.
Council of Science Editors:
Satchachai P. Three essays in econometrics. [Doctoral Dissertation]. Michigan State University; 2009. Available from: http://etd.lib.msu.edu/islandora/object/etd:17135
Michigan State University
14.
Nam, Suhyeon.
Essays in multiple fractional responses with endogenous explanatory variables.
Degree: 2014, Michigan State University
URL: http://etd.lib.msu.edu/islandora/object/etd:2429
► Thesis Ph. D. Michigan State University. Economics - Doctor of Philosophy 2014.
This dissertation consists of three chapters. The first and second chapters develop new…
(more)
▼ Thesis Ph. D. Michigan State University. Economics - Doctor of Philosophy 2014.
This dissertation consists of three chapters. The first and second chapters develop new estimation methods for multiple fractional response variables with endogeneity. Multiple fractional response variables have two features. Each response is between zero and one, and the sum of the responses for a unit is one. The first chapter proposes an estimation method accounting for these features when there is a continuous endogenous explanatory variable (EEV). It is a two step estimation method combining a control function approach. The first step generates a control function using a linear regression, and the second step maximizes a multinomial log likelihood function with a multinomial logit conditional mean which depends on the control function generated in the first step. Monte Carlo simulations examine the performance of the estimation method when the conditional mean in the second step is misspecified. The simulation results provide evidence that the method's average partial effect (APE) estimates approximate well true APEs as long as an instrument is not weak and that the method's approximation outperforms an alternative linear method's. We apply the proposed two step estimation method to Michigan's fourth grade math test data to estimate the average partial effects of spending on student performance. The second chapter develops and evaluates an estimation method allowing for the discrete nature of an EEV. We modify the two step estimation method proposed in the first chapter by following Wooldridge (2014); instead of unstandardized residual, we use the generalized residuals as control functions The Monte Carlo simulation demonstrate that although the two step estimation method cannot provide consistent estimators for the mean parameters and average partial effects under the conditional mean misspecification, it yields a decent approximation to average partial effects. In the third chapter, we clarify some issues in computing average partial (or marginal) effects in models that have been estimated using control function or correlated random effects approaches (or some combination). In particular, we show that a common method of estimating average partial effects, where the averaging is done across all variables and across the entire sample, estimates an interesting parameter. Nevertheless, the method differs from averaging across the observed covariates the partial effects obtained via the average structural function. In the special case where unobservables are independent of the observed covariates the two methods are identical.
Description based on online resource; title from PDF t.p. (viewed on May 18, 2017)
Advisors/Committee Members: Wooldridge, Jeffrey M., Papke, Leslie E., Schmidt, Peter, Frank, Kenneth.
Subjects/Keywords: Econometrics; Economics
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APA (6th Edition):
Nam, S. (2014). Essays in multiple fractional responses with endogenous explanatory variables. (Thesis). Michigan State University. Retrieved from http://etd.lib.msu.edu/islandora/object/etd:2429
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Nam, Suhyeon. “Essays in multiple fractional responses with endogenous explanatory variables.” 2014. Thesis, Michigan State University. Accessed March 01, 2021.
http://etd.lib.msu.edu/islandora/object/etd:2429.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Nam, Suhyeon. “Essays in multiple fractional responses with endogenous explanatory variables.” 2014. Web. 01 Mar 2021.
Vancouver:
Nam S. Essays in multiple fractional responses with endogenous explanatory variables. [Internet] [Thesis]. Michigan State University; 2014. [cited 2021 Mar 01].
Available from: http://etd.lib.msu.edu/islandora/object/etd:2429.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Nam S. Essays in multiple fractional responses with endogenous explanatory variables. [Thesis]. Michigan State University; 2014. Available from: http://etd.lib.msu.edu/islandora/object/etd:2429
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Michigan State University
15.
Satimanon, Monthien.
Three essays in applied econometrics.
Degree: 2013, Michigan State University
URL: http://etd.lib.msu.edu/islandora/object/etd:1718
► Thesis Ph. D. Michigan State University. Economics 2013.
ABSTRACTTHREE ESSAYS IN APPLIED ECONOMETRICSByMonthien SatimanonThe three essays are self-contained and are the combination of applied and…
(more)
▼ Thesis Ph. D. Michigan State University. Economics 2013.
ABSTRACTTHREE ESSAYS IN APPLIED ECONOMETRICSByMonthien SatimanonThe three essays are self-contained and are the combination of applied and empirical econometrics. They are "Comparisons of Approaches in Measuring Willingness to Pay for Environmental Services", "Comparisons of Approaches in Measuring Causes of Wage Inequality", and "Estimation of Binary Response Model with Endogeneity and Hetero- skedasticity." The first essay proposes a comparison of both parametric and semiparametric estimation of willingness to pay (WTP) for environmental services. In order to solve for problem of inconsistency of estimation since heteroskedasticity, several conventional and new methods are used in the analysis. The methods are Probit (Probit), Heteroskedasticy Probit (HP), Turnbull (T), Watnabe (2010), Ahn (2000), and sieve semiparametric estimator (S). The comparison includes the estimated parameters as well as the estimated standard errors since the WTP is derived from these parameters. Monte Carlo simulations have been used to compare finite sample properties of each estimating methods. The empirical application comes from a study of the demand for payment for environmental services, water quality preservation, in eastern Costa Rica. By Monte Carlo Simulation, we found out that neglecting heteroskedasticity could lead to over estimation of WTP by almost 100 percent. In the empirical study, we found out that WTP for water conservation program in villages in eastern Costa Rica is about 2400 Colones that is about two times of the current monthly water cost program. This estimate is consistent with previous studies in the water conservation program.The second essay proposes a comparison of both parametric and semiparametric estimation of causes of income equality. In quantile regression setting, this paper analyzes the determinants of wage inequality with endogenous categorical regressors. The framework of Lee (2007) has been extended to cover the case where control function comes from generalized residuals of ordered probit models. We found out that the proposed method yields not only consistent but also efficient estimated parameters when there is a present of both endogeneity and heteroskedasticity while the conventional estimators led to overestimated parameters. In addition, we use all the proposed to estimate the return to education on wage using the data from Current Population Survery (CPS). We found out that returns to education are not monotonically increase throughout the wage distribution. The third essay analyzes the binary response model that encounters the problems of endogeneity and heteroskedasticity that lead to inconsistent estimated parameters. Our model allows both heteroskedasticity in structural and reduced formed equation. To handle both problems, we employ control function estimation with sieve estimator. The first step generates control function with flexible form of multiplicative exponential heteroskedasticity. The second step employs the use of…
Advisors/Committee Members: Wooldridge, Jeffrey M., Volgelsang, Timothy, Elder, Todd, Myers, Robert J..
Subjects/Keywords: Econometrics; Economics
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APA (6th Edition):
Satimanon, M. (2013). Three essays in applied econometrics. (Thesis). Michigan State University. Retrieved from http://etd.lib.msu.edu/islandora/object/etd:1718
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Satimanon, Monthien. “Three essays in applied econometrics.” 2013. Thesis, Michigan State University. Accessed March 01, 2021.
http://etd.lib.msu.edu/islandora/object/etd:1718.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Satimanon, Monthien. “Three essays in applied econometrics.” 2013. Web. 01 Mar 2021.
Vancouver:
Satimanon M. Three essays in applied econometrics. [Internet] [Thesis]. Michigan State University; 2013. [cited 2021 Mar 01].
Available from: http://etd.lib.msu.edu/islandora/object/etd:1718.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Satimanon M. Three essays in applied econometrics. [Thesis]. Michigan State University; 2013. Available from: http://etd.lib.msu.edu/islandora/object/etd:1718
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
16.
Cai, Lili.
Essays on financial econometrics:.
Degree: PhD, Economics, 2010, Rutgers University
URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098
► This dissertation comprises of three essays in financial econometrics. The first essay discusses the efficacy of alternative simulation models of the short term interest rate.…
(more)
▼ This dissertation comprises of three essays in financial econometrics. The first essay discusses the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a "horse-race" comparing various one, two, and three factor models (possiblely with jumps), across multiple historical sample periods. We find that the choice of model for simulating the future distribution of short rates is highly sample dependent, and structural breaks appear to be an important component to be considered.
The second essay presents a model that focuses on exploring the profitability of portfolio-based trading strategies that variously combine downside risk, momentum, and mean reversion by carrying out a series of pseudo real-time trading experiments using different combination trading strategies. We find, contrary to the existing literature, that momentum effects are sensitive to value and size factors. In particular, downside risk plays an important role when portfolios are sorted based on size and value.
The third essay re-examines the empirical linkage between macroeconomic variables and financial markets. Our evaluation focuses on the use of a large variety of state-of-the-art ex-ante predictive accuracy tests as well as more standard in-sample regression diagnostics. We observe substantive shifts in the dynamics of macroeconomic factor models, which have noteworthy effects on the predictive content of the factors when used to predict returns.
Advisors/Committee Members: Cai, Lili (author), Swanson, Norman (chair), Klein, Roger, (internal member), Landon-Lane, John, (internal member), Goldman, Elena (outside member).
Subjects/Keywords: Econometrics
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APA (6th Edition):
Cai, L. (2010). Essays on financial econometrics:. (Doctoral Dissertation). Rutgers University. Retrieved from http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098
Chicago Manual of Style (16th Edition):
Cai, Lili. “Essays on financial econometrics:.” 2010. Doctoral Dissertation, Rutgers University. Accessed March 01, 2021.
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098.
MLA Handbook (7th Edition):
Cai, Lili. “Essays on financial econometrics:.” 2010. Web. 01 Mar 2021.
Vancouver:
Cai L. Essays on financial econometrics:. [Internet] [Doctoral dissertation]. Rutgers University; 2010. [cited 2021 Mar 01].
Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098.
Council of Science Editors:
Cai L. Essays on financial econometrics:. [Doctoral Dissertation]. Rutgers University; 2010. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098
Rutgers University
17.
Peng, Weijia, 1992-.
Essays on forecasting methods in high-frequency financial econometrics.
Degree: PhD, Financial econometrics, 2020, Rutgers University
URL: https://rucore.libraries.rutgers.edu/rutgers-lib/64117/
► This dissertation studies methodologies on forecasting methods in high-frequency financial econometrics. The dissertation consists of three chapters. In the first chapter, I develop novel latent…
(more)
▼ This dissertation studies methodologies on forecasting methods in high-frequency financial
econometrics. The dissertation consists of three chapters. In the first chapter, I develop novel latent uncertainty measures (i.e., latent factors) using both high dimensional and high frequency financial data as well as multi-frequency macroeconomic data. In particular, I introduce three factors which capture macroeconomic fundamentals, market uncertainty, and financial market stress. These factors are analyzed in a series of forecasting experiments. In the second chapter of my dissertation, I investigate importance of co-jumps for predicting equity return volatility. In particular, using high frequency financial data, I disentangle individual sector jumps and multiple sector co-jumps. Using this information, I construct new jump and co-jump variation measures, which are included in a series of real-time prediction experiments in order to evaluate the importance of co-jumps when predicting stock market return volatility. Finally, in my third chapter, I review recent theoretical and methodological advances in the area of volatility/risk estimation, and in testing for jumps and co-jumps, using big data.
In chapter 2, we investigate the importance of co-jumps for predicting sector level equity return volatility. For our analysis we use the co-jump tests based on Barndorff- Nielsen and Shephard (2004), Jacod and Todorov (2009), and the jump test introduced in Huang and Tauchen (2005), in order to classify jumps in sector-level S&P500 exchangedtraded funds (ETF) as either idiosyncratic jumps or co jumps. We find that co-jumps are more densely populated during the 2008 financial crisis and 2011 debt crisis periods. Also, co-jumps occur frequently, and have large magnitudes compared with idiosyncratic jumps. These different types of jumps are analyzed in the context of volatility prediction, using extensions of Heterogeneous Autoregressive models (i.e., HAR-RV-CJ models). Empirical results are promising. There are clear marginal predictive gains associated with including certain types of jumps in HAR regressions; and it is found that the predictive content of co-jumps is higher than that idiosyncratic jumps. This is not surprising, if one assumes that idiosyncratic jumps may be “more” exogenously driven, and hence less useful thanco-jumps. In order to shed further light on the estimation of the co-jumps examined in our prediction experiments, we carry out Monte Carlo experiments that are designed to examine the relative performance of the three types of widely used co-jump tests (i.e., the BLT co-jump test of Bollerslev et al. (2008), the JT co-jump test of Jacod and Todorov(2009) and σ thresholding type tests based on bipower variation). Findings indicate that the JT co-jump test and the σ threshold test are more powerful, than the BLT co-jump test. However, there is also a distinct size trade-off when using the alternate tests.
In chapter3, we examine the usefulness of a large variety of machine learning methods for…
Advisors/Committee Members: Swanson, Norman R. (chair), Yang, Xiye (internal member), Liao, Yuan (internal member), Chao, John (outside member), School of Graduate Studies.
Subjects/Keywords: Econometrics; Economics
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Manager
APA (6th Edition):
Peng, Weijia, 1. (2020). Essays on forecasting methods in high-frequency financial econometrics. (Doctoral Dissertation). Rutgers University. Retrieved from https://rucore.libraries.rutgers.edu/rutgers-lib/64117/
Chicago Manual of Style (16th Edition):
Peng, Weijia, 1992-. “Essays on forecasting methods in high-frequency financial econometrics.” 2020. Doctoral Dissertation, Rutgers University. Accessed March 01, 2021.
https://rucore.libraries.rutgers.edu/rutgers-lib/64117/.
MLA Handbook (7th Edition):
Peng, Weijia, 1992-. “Essays on forecasting methods in high-frequency financial econometrics.” 2020. Web. 01 Mar 2021.
Vancouver:
Peng, Weijia 1. Essays on forecasting methods in high-frequency financial econometrics. [Internet] [Doctoral dissertation]. Rutgers University; 2020. [cited 2021 Mar 01].
Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/64117/.
Council of Science Editors:
Peng, Weijia 1. Essays on forecasting methods in high-frequency financial econometrics. [Doctoral Dissertation]. Rutgers University; 2020. Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/64117/
Rutgers University
18.
Ulku, Levent.
Essays in mechanism design:.
Degree: Economics, 2008, Rutgers University
URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050462
Subjects/Keywords: Econometrics
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Chicago ·
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APA (6th Edition):
Ulku, L. (2008). Essays in mechanism design:. (Thesis). Rutgers University. Retrieved from http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050462
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Ulku, Levent. “Essays in mechanism design:.” 2008. Thesis, Rutgers University. Accessed March 01, 2021.
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050462.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Ulku, Levent. “Essays in mechanism design:.” 2008. Web. 01 Mar 2021.
Vancouver:
Ulku L. Essays in mechanism design:. [Internet] [Thesis]. Rutgers University; 2008. [cited 2021 Mar 01].
Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050462.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Ulku L. Essays in mechanism design:. [Thesis]. Rutgers University; 2008. Available from: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050462
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
19.
Gu, Zhutong, 1988-.
Essays on nonparametric structural econometrics: theory and applications.
Degree: PhD, Economics, 2017, Rutgers University
URL: https://rucore.libraries.rutgers.edu/rutgers-lib/55501/
► My dissertation contains three papers in the theory and applications of nonparametric structural econometrics. In chapter 1, I propose a nonparametric test for additive separability…
(more)
▼ My dissertation contains three papers in the theory and applications of nonparametric structural
econometrics. In chapter 1, I propose a nonparametric test for additive separability of unobservables of unrestricted dimensions with average structural functions. Chapter 2 considers identification and estimation of fully nonparametric production functions and empirically tests for the Hicks-neutral productivity shocks, a direct application of the test proposed in chapter 1. In chapter 3, my authors and I study the semiparametric ordered response models with correlated unobserved thresholds and investigate the issue of corporate bond rating biases due to the sharing of common investors between bond-issuing firms and credit rating agencies. Brief abstracts are presented in order below. Additive separability between observables and unobservables is one of the essential properties in structural modeling of heterogeneity in the presence of endogeneity. In this chapter, I propose an easy-to-compute test based on empirical quantile mean differences between the average structural functions (ASFs) generated by nonparametric nonseparable and separable models with unrestricted heterogeneity. Given identification, I establish conditions under which structural additivity can be linked to the equality of ASFs derived from the two commonly employed competing specifications. I estimate the reduced form regressions by Nadaraya-Watson estimators and control for the asymptotic bias. I show that the asymptotic test statistic follows a central Chi-squred distribution under the null hypothesis and has power against a sequence of root N-local alternatives. The proposed test statistic works well in a series of finite sample simulations with analytic variances, alleviating the computational burden often involved in bootstrapped inferences. I also show that the test can be straightforwardly extended to semiparametric models, panel data and triangular simultaneous equations frameworks. Hicks-neutral technology implies the substitution pattern of labor and capital in a production function is not affected by technological shocks, first put forth by John Hicks in 1932. In this chapter, I consider the identification and estimation of fully nonparametric firm-level production functions and empirically test the Hicks-neutral productivity in the U.S. manufacturing industry during the period from 1990 to 2011. Firstly, I extend the proxy variable approach to fully nonparametric settings and propose a robust estimator of average output elasticities in non-Hick-neutral scenarios. Secondly, I show that the Hicks-neutral restriction can be converted to the additive separability between inputs and unobservables in a monotonic transformed model for which the proposed testing procedure can be directly applied. It turns out that there is substantial heterogeneity in the nonparametric output elasticities over various counterfactual input amounts. I also find that there were periods in the 90s when the non-Hicks technological shocks occur which coincide…
Advisors/Committee Members: Klein, Roger W (chair), Prusa, Tom J (internal member), Swanson, Norman R (internal member), Shen, Chan (outside member), School of Graduate Studies.
Subjects/Keywords: Econometrics
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APA ·
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Manager
APA (6th Edition):
Gu, Zhutong, 1. (2017). Essays on nonparametric structural econometrics: theory and applications. (Doctoral Dissertation). Rutgers University. Retrieved from https://rucore.libraries.rutgers.edu/rutgers-lib/55501/
Chicago Manual of Style (16th Edition):
Gu, Zhutong, 1988-. “Essays on nonparametric structural econometrics: theory and applications.” 2017. Doctoral Dissertation, Rutgers University. Accessed March 01, 2021.
https://rucore.libraries.rutgers.edu/rutgers-lib/55501/.
MLA Handbook (7th Edition):
Gu, Zhutong, 1988-. “Essays on nonparametric structural econometrics: theory and applications.” 2017. Web. 01 Mar 2021.
Vancouver:
Gu, Zhutong 1. Essays on nonparametric structural econometrics: theory and applications. [Internet] [Doctoral dissertation]. Rutgers University; 2017. [cited 2021 Mar 01].
Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/55501/.
Council of Science Editors:
Gu, Zhutong 1. Essays on nonparametric structural econometrics: theory and applications. [Doctoral Dissertation]. Rutgers University; 2017. Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/55501/
University of Illinois – Urbana-Champaign
20.
Galvis, Luis A.
Essays in economic geography: Convergence, inequalities and innovations in the knowledge economy.
Degree: PhD, 0341, 2011, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/18584
► My dissertation consists of four papers embedded within the Economic Geography field. The first paper analyzes economic growth and convergence from a time series perspective…
(more)
▼ My dissertation consists of four papers embedded within the Economic Geography field. The first paper analyzes economic growth and convergence from a time series perspective focusing on regional labor markets. The second paper uses microdata to evaluate what is termed conditional sigma convergence. Finally, the third paper uses innovations, as proxied by patents, and studies determinants of innovation intensity in reference to measures of human capital and economic structure such as the degree of specialization, and competitiveness. Each chapter contains a review of the relevant literature.
The paper entitled ???Regional Economic Development and Regional Policies in Colombia???, begins by discussing regional imbalances in the last three decades in Colombia. The paper reviews the process by which Colombia is evolving to a pattern that consists of having a single, large metropolis, in this case Bogot??, a pattern that is typical of the Latin American experience. The paper argues that economic policies have not helped in achieving a more balanced spatial pattern of economic development. Instead, most of the economic policies seem to have worsened the situation as they have privileged the core of the country.
The paper entitled ???Stochastic Convergence and Regional Disparities: An Application to Urban Wages in Colombia??? develops a model for real wages in Colombian metropolitan areas to evaluate the existence of real wage convergence, as predicted by neoclassical theory. The study employs what is termed "Stochastic Convergence" to evaluate whether real wages are converging or not. The major findings indicate that there exist differences in mean wages across urban areas, which persist through time even when accounting for differences in living costs. The analysis of stochastic convergence reveals that those differences are not vanishing through time. From a policy perspective, the results found are not encouraging given that the greatest wage disparities are more salient in the more impoverished regions such as the city of Barranquilla in the Caribbean Coast and Pasto in the southern part of the country.
In the paper ???Real Wages in Colombia: A Convergence Conditional Analysis: 1984-2009???, the convergence hypothesis is studied from a different perspective than has traditionally been done in Colombia. Previous studies in Colombia have used aggregate or average income, whereas this study uses micro-data and employs hedonic models. It is argued that a model based on micro-data shows more complete results, allowing a more specific interpretation of the determinants in the difference of urban wages.
The results indicate that the wage differentials in urban zones are persistent over time, even when controlling for variation in the cost of living which is used to generate real wages. This raises additional concerns: whether the difference continues after taking into account variables which represent the characteristics of workers (Mincer, 1974), the economic sector (Hewings, 1977), and sample selection bias…
Advisors/Committee Members: Hewings, Geoffrey J. D. (advisor), Hewings, Geoffrey J. D. (Committee Chair), McLafferty, Sara L. (committee member), Wilson, David (committee member), Hannon, Bruce M. (committee member).
Subjects/Keywords: Labor market; econometrics; innovations; spatial econometrics
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APA ·
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APA (6th Edition):
Galvis, L. A. (2011). Essays in economic geography: Convergence, inequalities and innovations in the knowledge economy. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/18584
Chicago Manual of Style (16th Edition):
Galvis, Luis A. “Essays in economic geography: Convergence, inequalities and innovations in the knowledge economy.” 2011. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed March 01, 2021.
http://hdl.handle.net/2142/18584.
MLA Handbook (7th Edition):
Galvis, Luis A. “Essays in economic geography: Convergence, inequalities and innovations in the knowledge economy.” 2011. Web. 01 Mar 2021.
Vancouver:
Galvis LA. Essays in economic geography: Convergence, inequalities and innovations in the knowledge economy. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2011. [cited 2021 Mar 01].
Available from: http://hdl.handle.net/2142/18584.
Council of Science Editors:
Galvis LA. Essays in economic geography: Convergence, inequalities and innovations in the knowledge economy. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2011. Available from: http://hdl.handle.net/2142/18584
21.
Han, Hyojin.
Generalized Method of Moments with a large number of moment
conditions with applications in financial economics.
Degree: Department of Economics, 2017, Brown University
URL: https://repository.library.brown.edu/studio/item/bdr:733353/
► This dissertation studies Generalized Method of Moments (GMM) models when the number of moments is allowed to diverge with the sample size and its application…
(more)
▼ This dissertation studies Generalized Method of
Moments (GMM) models when the number of moments is allowed to
diverge with the sample size and its application in financial
economics. In the first chapter, my coauthor Eric Renault and I
study how identification is affected in GMM estimation as the
number of moments increases. We develop a general asymptotic theory
extending the set up of of Chao & Swanson (2005) and Antoine
& Renault (2009, 2012) to the case where moment conditions have
heterogeneous identification strengths and the number of them may
diverge to infinity with the sample size. The theory encompasses
many cases including GMM models with many moments (Han &
Phillips (2006)), partially linear models, and local GMM via kernel
smoothing. We provide an understanding of the benefits of a large
number of moments that compensate the weakness of individual
moments by explicitly showing how an increasing number of moments
improves the rate of convergence in GMM. In the second chapter, we
develop an affine discrete-time option pricing model by using the
general framework of discrete-time affine models by Darolles et al.
(2006) for modeling a bivariate process of returns and stochastic
volatility (SV). We exploit information in high-frequency data as
summarized by realized variance (RV) which produces dynamics of RV
as a SV-type extension of traditional high-frequency-based
volatility (HEAVY) models by Shephard & Sheppard (2010) that
are of the GARCH type. An empirical illustration is provided with
the S&P500 index data. In the third chapter, we revisit a
potential identification issue of affine models. Affine models
provide conditional moment restrictions based on analytical
characteristic functions (CF). The usual procedure for GMM is to
apply minimum distance estimation using a set of induced
unconditional moment restrictions. However, while the literature
has focused on efficiency of GMM, the identification issue with a
choice of instruments has been neglected. This chapter shows that
identification failure could arise commonly in time-series models
if moment conditions are not chosen carefully. Thanks to the affine
structure, we provide analytical identification conditions for some
choices of moments.
Advisors/Committee Members: Renault, Eric (Advisor), McCloskey, Adam (Reader), Schennach, Susanne (Reader).
Subjects/Keywords: Econometrics – Asymptotic theory
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APA ·
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Manager
APA (6th Edition):
Han, H. (2017). Generalized Method of Moments with a large number of moment
conditions with applications in financial economics. (Thesis). Brown University. Retrieved from https://repository.library.brown.edu/studio/item/bdr:733353/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Han, Hyojin. “Generalized Method of Moments with a large number of moment
conditions with applications in financial economics.” 2017. Thesis, Brown University. Accessed March 01, 2021.
https://repository.library.brown.edu/studio/item/bdr:733353/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Han, Hyojin. “Generalized Method of Moments with a large number of moment
conditions with applications in financial economics.” 2017. Web. 01 Mar 2021.
Vancouver:
Han H. Generalized Method of Moments with a large number of moment
conditions with applications in financial economics. [Internet] [Thesis]. Brown University; 2017. [cited 2021 Mar 01].
Available from: https://repository.library.brown.edu/studio/item/bdr:733353/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Han H. Generalized Method of Moments with a large number of moment
conditions with applications in financial economics. [Thesis]. Brown University; 2017. Available from: https://repository.library.brown.edu/studio/item/bdr:733353/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Vermont
22.
Kazman, Samuel B.
Exploring the Laffer Curve: Behavioral Responses to Taxation.
Degree: Economics, 2014, University of Vermont
URL: https://scholarworks.uvm.edu/hcoltheses/8
► This project assesses behavioral responses to tax rate changes in an effort to add substance to the policy debate about appropriate levels of federal…
(more)
▼ This project assesses behavioral responses to tax rate changes in an effort to add substance to the policy debate about appropriate levels of federal income tax rates. It is necessary to know how individuals will react to tax rate changes to judge the potential effects of a tax reform. The Laffer curve, which is a theoretical concept coined by Arthur Laffer in the 1970’s that shows a graphical representation of the relationship between tax rates and tax revenues, will be estimated since it is a well-known model that applies to this debate. Other methods will also be used to estimate this relationship to test which one is the most accurate. Along with showing the validity of a particular model, the other goals of this project are to show the magnitude of an individual’s reaction to tax rate changes and also to show if income switching between different forms of income (capital gains and wage income for example) occurs. Multiple regressions have been built to test the validity of various theories about the relationship between tax rates and tax revenues. The results of this research have shown that the Laffer curve theory is not the most accurate method of modeling this relationship. Although the magnitude generated of individual responses to tax rate changes was not in keeping with modern scholarly articles, this research showed that individuals switch income forms when tax rates change.
Advisors/Committee Members: Nathalie Mathieu-Bolh.
Subjects/Keywords: economics taxation econometrics
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Manager
APA (6th Edition):
Kazman, S. B. (2014). Exploring the Laffer Curve: Behavioral Responses to Taxation. (Thesis). University of Vermont. Retrieved from https://scholarworks.uvm.edu/hcoltheses/8
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Kazman, Samuel B. “Exploring the Laffer Curve: Behavioral Responses to Taxation.” 2014. Thesis, University of Vermont. Accessed March 01, 2021.
https://scholarworks.uvm.edu/hcoltheses/8.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Kazman, Samuel B. “Exploring the Laffer Curve: Behavioral Responses to Taxation.” 2014. Web. 01 Mar 2021.
Vancouver:
Kazman SB. Exploring the Laffer Curve: Behavioral Responses to Taxation. [Internet] [Thesis]. University of Vermont; 2014. [cited 2021 Mar 01].
Available from: https://scholarworks.uvm.edu/hcoltheses/8.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Kazman SB. Exploring the Laffer Curve: Behavioral Responses to Taxation. [Thesis]. University of Vermont; 2014. Available from: https://scholarworks.uvm.edu/hcoltheses/8
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
23.
Zasova, Anna.
Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
.
Degree: 2012, University of Latvia
URL: https://dspace.lu.lv/dspace/handle/7/5086
► ANOTĀCIJA. Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums Promocijas darba anotācija Latvija, līdzīgi kā citas dalībvalstis, kuras iestājās Eiropas Savienībā pēc 2004. gada 1. maija, ir…
(more)
▼ ANOTĀCIJA. Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
Promocijas darba anotācija
Latvija, līdzīgi kā citas dalībvalstis, kuras iestājās Eiropas Savienībā pēc 2004. gada 1. maija,
ir apņēmusies ar laiku pievienoties eirozonai. Apstākļos, kad budžeta instrumentu
izmantošana ir ierobežota ar ES fiskālo disciplīnu, vienīgais negatīvo ekonomisko šoku
absorbēšanas mehānisms, kas ir pieejams eirozonas dalībvalstij, ir elastīgs darba tirgus.
Promocijas darbā ir novērtēta Latvijas darba tirgus elastības pakāpe un funkcionēšanas
efektivitāte, kā arī ir analizēta darba tirgus institūtu loma elastības nodrošināšanā. Rezultāti
liecina, ka kopumā darba tirgus elastības pakāpe ir augsta. Darba tirgus institūtiem Latvijā ir
potenciāli ierobežojošā ietekme uz darba tirgus elastību, tai pašā laikā tika identificēti vairāki
signāli tam, ka Latvijā, salīdzinājumā ar citām ES valstīm, likumu izpildes kontrole ir vājāka.
Atslēgas vārdi: darba tirgus elastība, darba tirgus institūti, reālo algu elastība, NAIRU
Advisors/Committee Members: Hazans, Mihails (advisor).
Subjects/Keywords: Ekonomika;
Economics;
Econometrics
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APA ·
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Manager
APA (6th Edition):
Zasova, A. (2012). Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
. (Thesis). University of Latvia. Retrieved from https://dspace.lu.lv/dspace/handle/7/5086
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Zasova, Anna. “Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
.” 2012. Thesis, University of Latvia. Accessed March 01, 2021.
https://dspace.lu.lv/dspace/handle/7/5086.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Zasova, Anna. “Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
.” 2012. Web. 01 Mar 2021.
Vancouver:
Zasova A. Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
. [Internet] [Thesis]. University of Latvia; 2012. [cited 2021 Mar 01].
Available from: https://dspace.lu.lv/dspace/handle/7/5086.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Zasova A. Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
. [Thesis]. University of Latvia; 2012. Available from: https://dspace.lu.lv/dspace/handle/7/5086
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Columbia University
24.
Kim, Ju Hyun.
Three Essays on Identification in Microeconometrics.
Degree: 2014, Columbia University
URL: https://doi.org/10.7916/D89W0CMD
► My dissertation consists of three chapters that concern identification in microeconometrics. The first two chapters discuss partial identification of distributional treatment effects in the causal…
(more)
▼ My dissertation consists of three chapters that concern identification in microeconometrics. The first two chapters discuss partial identification of distributional treatment effects in the causal inference models. The third chapter, which is joint work with Pierre-Andre Chiappori, studies identification of structural parameters in collective consumption models in labor economics.
In the first chapter, I consider partial identification of the distribution of treatment effects when the marginal distributions of potential outcomes are fixed and restrictions are imposed on the support of potential outcomes. Examples of such support restrictions include monotone treatment response, concave or convex treatment response, and the Roy model of self-selection. Establishing informative bounds on the DTE is difficult because it involves constrained optimization over the space of joint distributions. I formulate the problem as an optimal transportation linear program and develop a new dual representation to characterize the general identification region with respect to the marginal distributions. I use this result to derive informative bounds for economic examples. I also propose an estimation procedure and illustrate the usefulness of my approach in the context of an empirical analysis of the effects of smoking on infant birth weight. The empirical results show that monotone treatment response has substantial identifying power for the DTE when the marginal distributions are given.
In the second chapter, I study partial identification of distributional parameters in nonparametric triangular systems. The model consists of an outcome equation and a selection equation. It allows for general unobserved heterogeneity and selection on unobservables. The distributional parameters that I consider are the marginal distributions of potential outcomes, their joint distribution, and the distribution of treatment effects. I explore different types of plausible restrictions to tighten existing bounds on these parameters. My identification applies to the whole population without a full support condition on instrumental variables and does not rely on parametric specifications or rank similarity. I also provide numerical examples to illustrate identifying power of each restriction.
The third chapter is joint work with Pierre-Andre Chiappori. In it, we identify the heterogeneous sharing rule in collective models. In such models, agents have their own preferences, and make Pareto efficient decisions. The econometrician can observe the household's (aggregate) demand, but not individual consumptions. We consider identification of `cross sectional' collective models, in which prices are constant over the sample. We allow for unobserved heterogeneity in the sharing rule and measurement errors in the household demand of each good. We show that nonparametric identification obtains except for particular cases (typically, when some of the individual Engel curves are linear). The existence of two exclusive goods is sufficient to identify…
Subjects/Keywords: Identification; Econometrics; Economics
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APA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Kim, J. H. (2014). Three Essays on Identification in Microeconometrics. (Doctoral Dissertation). Columbia University. Retrieved from https://doi.org/10.7916/D89W0CMD
Chicago Manual of Style (16th Edition):
Kim, Ju Hyun. “Three Essays on Identification in Microeconometrics.” 2014. Doctoral Dissertation, Columbia University. Accessed March 01, 2021.
https://doi.org/10.7916/D89W0CMD.
MLA Handbook (7th Edition):
Kim, Ju Hyun. “Three Essays on Identification in Microeconometrics.” 2014. Web. 01 Mar 2021.
Vancouver:
Kim JH. Three Essays on Identification in Microeconometrics. [Internet] [Doctoral dissertation]. Columbia University; 2014. [cited 2021 Mar 01].
Available from: https://doi.org/10.7916/D89W0CMD.
Council of Science Editors:
Kim JH. Three Essays on Identification in Microeconometrics. [Doctoral Dissertation]. Columbia University; 2014. Available from: https://doi.org/10.7916/D89W0CMD
Columbia University
25.
Tuzcuoglu, Kerem.
Three Essays in Econometrics.
Degree: 2017, Columbia University
URL: https://doi.org/10.7916/D81G0ZJX
► This dissertation contains both theoretical and applied econometric work. The applications are on finance and macroeconomics. Each chapter utilizes time series techniques to analyze dynamic…
(more)
▼ This dissertation contains both theoretical and applied econometric work. The applications are on finance and macroeconomics. Each chapter utilizes time series techniques to analyze dynamic characteristics of data. The first chapter is on composite likelihood (CL) estimation, which has gained a lot of attention in the statistics field but is a relatively new technique to the economics literature. I study its asymptotic properties in a complex dynamic nonlinear model and use it to analyze corporate bond ratings. The second chapter explores the importance of global food price fluctuations. In particular, I measure the effects of global food shocks on domestic macroeconomic variables for a large number of countries. The third chapter proposes a method to interpret latent factors in a data-rich environment. In the application, I find five meaningful factor driving the US economy.
Chapter 1, persistent discrete data are modeled by Autoregressive Probit model and estimated by CL estimation. Autocorrelation in the latent variable results in an intractable likelihood function containing high dimensional integrals. CL approach offers a fast and reliable estimation compared to computationally demanding simulation methods. I provide consistency and asymptotic normality results of the CL estimator and use it to study the credit ratings. The ratings are modeled as imperfect measures of the latent and autocorrelated creditworthiness of firms explained by the balance sheet ratios and business cycle variables. The empirical results show evidence for rating assignment according to Through-the-cycle methodology, that is, the ratings do not respond to the short-term fluctuations in the financial situation of the firms. Moreover, I show that the ratings become more volatile over time, in particular after the crisis, as a reaction to the regulations and critics on credit rating agencies.
Chapter 2, which is a joint work with Bilge Erten, explores the sources and effects of global shocks that drive global food prices. We examine this question using a sign-restricted SVAR model and rich data on domestic output and its components for 82 countries from 1980 to 2011. After identifying the relevant demand and supply shocks that explain fluctuations in real food prices, we quantify their dynamic effects on net food-importing and food-exporting economies. We find that global food shocks have contractionary effects on the domestic output of net food importers, and they are transmitted through deteriorating trade balances and declining household consumption. We document expansionary and shorter-lived effects for net food exporters. By contrast, positive global demand shocks that also increase real food prices stimulate the domestic output of both groups of countries. Our results indicate that identifying the source of a shock that affects global food prices is crucial to evaluate its domestic effects. The adverse effects of global food shocks on household consumption are larger for net food importers with relatively high shares of…
Subjects/Keywords: Macroeconomics; Finance; Econometrics
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APA (6th Edition):
Tuzcuoglu, K. (2017). Three Essays in Econometrics. (Doctoral Dissertation). Columbia University. Retrieved from https://doi.org/10.7916/D81G0ZJX
Chicago Manual of Style (16th Edition):
Tuzcuoglu, Kerem. “Three Essays in Econometrics.” 2017. Doctoral Dissertation, Columbia University. Accessed March 01, 2021.
https://doi.org/10.7916/D81G0ZJX.
MLA Handbook (7th Edition):
Tuzcuoglu, Kerem. “Three Essays in Econometrics.” 2017. Web. 01 Mar 2021.
Vancouver:
Tuzcuoglu K. Three Essays in Econometrics. [Internet] [Doctoral dissertation]. Columbia University; 2017. [cited 2021 Mar 01].
Available from: https://doi.org/10.7916/D81G0ZJX.
Council of Science Editors:
Tuzcuoglu K. Three Essays in Econometrics. [Doctoral Dissertation]. Columbia University; 2017. Available from: https://doi.org/10.7916/D81G0ZJX
Queen Mary, University of London
26.
Dias, Gustavo Fruet.
Essays on forecasting and volatility modelling.
Degree: PhD, 2013, Queen Mary, University of London
URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8513
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667092
► This thesis contributes to four distinct fields on the econometrics literature: forecasting macroeconomic variables using large datasets, volatility modelling, risk premium estimation and iterative estimators.…
(more)
▼ This thesis contributes to four distinct fields on the econometrics literature: forecasting macroeconomic variables using large datasets, volatility modelling, risk premium estimation and iterative estimators. As a research output, this thesis presents a balance of applied econometrics and econometric theory, with the latter one covering the asymptotic theory of iterative estimators under different models and mapping specifications. In Chapter 1 we introduce and motivate the estimation tools for large datasets, the volatility modelling and the use of iterative estimators. In Chapter 2, we address the issue of forecasting macroeconomic variables using medium and large datasets, by adopting vector autoregressive moving average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing the iterative ordinary least squares (IOLS) estimator. We establish the consistency and asymptotic distribution considering the ARMA(1,1) and we argue these results can be extended to the multivariate case. Monte Carlo results show that IOLS is consistent and feasible for large systems, and outperforms the maximum likelihood (MLE) estimator when sample size is small. Our empirical application shows that VARMA models outperform the AR(1) (autoregressive of order one model) and vector autoregressive (VAR) models, considering different model dimensions. Chapter 3 proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time or when the conditional variance is misspecified. We illustrate the NL-ILS estimator by providing algorithms that consider the GARCH(1,1), weak-GARCH(1,1), GARCH(1,1)-in-mean and RealGARCH(1,1)-in-mean models. I establish the consistency and asymptotic distribution of the NLILS estimator, in the case of the GARCH(1,1) model under assumptions that are compatible with the quasi-maximum likelihood (QMLE) estimator. The consistency result is extended to the weak-GARCH(1,1) model and a further extension of the asymptotic results to the GARCH(1,1)-inmean case is also discussed. A Monte Carlo study provides evidences that the NL-ILS estimator is consistent and outperforms the MLE benchmark in a variety of specifications. Moreover, when the conditional variance is misspecified, the MLE estimator delivers biased estimates of the parameters in the mean equation, whereas the NL-ILS estimator does not. The empirical application investigates the risk premium on the CRSP, S&P500 and S&P100 indices. I document the risk premium parameter to be significant only for the CRSP index when using the robust NL-ILS estimator. We argue that this comes from the wider composition of the CRPS index, resembling the market more accurately, when compared to the S&P500 and S&P100 indices. This nding holds on daily, weekly and monthly frequencies and it is corroborated by a series of robustness checks. Chapter 4 assesses the evolution of the risk premium parameter…
Subjects/Keywords: 330.01; Economics; Econometrics
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APA (6th Edition):
Dias, G. F. (2013). Essays on forecasting and volatility modelling. (Doctoral Dissertation). Queen Mary, University of London. Retrieved from http://qmro.qmul.ac.uk/xmlui/handle/123456789/8513 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667092
Chicago Manual of Style (16th Edition):
Dias, Gustavo Fruet. “Essays on forecasting and volatility modelling.” 2013. Doctoral Dissertation, Queen Mary, University of London. Accessed March 01, 2021.
http://qmro.qmul.ac.uk/xmlui/handle/123456789/8513 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667092.
MLA Handbook (7th Edition):
Dias, Gustavo Fruet. “Essays on forecasting and volatility modelling.” 2013. Web. 01 Mar 2021.
Vancouver:
Dias GF. Essays on forecasting and volatility modelling. [Internet] [Doctoral dissertation]. Queen Mary, University of London; 2013. [cited 2021 Mar 01].
Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8513 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667092.
Council of Science Editors:
Dias GF. Essays on forecasting and volatility modelling. [Doctoral Dissertation]. Queen Mary, University of London; 2013. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8513 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667092
Michigan State University
27.
Bartalotti, Otávio Augusto Camargo.
Essays in econometrics.
Degree: 2012, Michigan State University
URL: http://etd.lib.msu.edu/islandora/object/etd:1395
► Thesis Ph. D. Michigan State University. Economics 2012.
This dissertation is divided in three self-contained chapters. The first extends the GMM redundancy results of Prokhorov…
(more)
▼ Thesis Ph. D. Michigan State University. Economics 2012.
This dissertation is divided in three self-contained chapters. The first extends the GMM redundancy results of Prokhorov and Schmidt (2009) for nonsmooth objective functions, giving sharp guidelines about how to obtain efficient estimates of parameters of interest in the presence of nuisance parameters. The use of one-step GMM estimators for both sets of parameters is asymptotically more efficient than two-step procedures. These results are applied to Wooldridge's (2007) inverse probability weighted estimator (IPW), generalizing the framework to deal with missing-data in this context. Even though two-step estimation of the parameters of interest is more efficient than using known probabilities of selection, this is dominated by a one-step joint estimation procedure. Examples for quantile regression with missing data and instrumental variable quantile regression are provided.The second chapter analyzes the asymptotic distribution of local polynomial estimators in the context of regression discontinuity designs. The standard "small-h" approach in the literature (Hahn et al., 2001; Porter, 2003; Imbens and Lemieux, 2008; Lee and Lemieux, 2009) is to assume the bandwidth, h, around the discontinuity shrinks towards zero as the sample size increases. However, in practice, the researcher has to choose an h>0 to implement the estimator. This chapter derives the fixed-h asymptotic distribution that allows for the bandwidth to be positive, providing refined approximations for the estimator's behavior. When h>0, the small-h asymptotic variance is equivalent to assuming that the density of the running variable and the conditional variance of the dependent variable are constant around the cutoff. Simulations provide evidence that fixed-h asymptotic distributions better describe the behavior of both bias and variance of the estimator, leading to improved inference. Estimators for fixed-h standard errors are proposed and incorporate the theoretical gains of the improved approximations. The fixed-h variance estimators improve markedly over small-h estimators in the presence of some forms of heteroskedasticity. Interestingly, in the special case of homoskedastic errors using a local linear estimator, the variance estimators based on small-h asymptotics produce tests with similar size to the fixed-h variance estimators proposed in this chapter.Chapter 3 develops the asymptotic properties of quantile regression estimators under standard stratification sampling, following Wooldridge (2001). Formulas for the asymptotic variance and feasible estimators are provided. Under exogenous stratification the usual quantile regression estimators and standard errors are still valid.
GMM efficiency and IPW for nonsmooth functions – Fixed bandwidth asymptotics for regression discontinuity designs – Asymptotic properties of quantile regression for standard stratified samples – Appendices.
Description based on online resource; title from PDF t.p. (ProQuest, viewed Jan. 30, 2013)
Advisors/Committee Members: Wooldridge, Jeffrey M, Vogelsang, Timothy J, Solon, Gary, Smidt, Corwin D.
Subjects/Keywords: Econometrics; Economics; Statistics
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APA (6th Edition):
Bartalotti, O. A. C. (2012). Essays in econometrics. (Thesis). Michigan State University. Retrieved from http://etd.lib.msu.edu/islandora/object/etd:1395
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Bartalotti, Otávio Augusto Camargo. “Essays in econometrics.” 2012. Thesis, Michigan State University. Accessed March 01, 2021.
http://etd.lib.msu.edu/islandora/object/etd:1395.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Bartalotti, Otávio Augusto Camargo. “Essays in econometrics.” 2012. Web. 01 Mar 2021.
Vancouver:
Bartalotti OAC. Essays in econometrics. [Internet] [Thesis]. Michigan State University; 2012. [cited 2021 Mar 01].
Available from: http://etd.lib.msu.edu/islandora/object/etd:1395.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Bartalotti OAC. Essays in econometrics. [Thesis]. Michigan State University; 2012. Available from: http://etd.lib.msu.edu/islandora/object/etd:1395
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Eastern Illinois University
28.
Ahmmad, Tofayel.
From Trade Deficit in Goods to Trade Surplus in Services: An Eclectic and Extended Gravity Model Approach in Analyzing the Determinants of Service Trade of the United States.
Degree: MA, 2015, Eastern Illinois University
URL: https://thekeep.eiu.edu/theses/2359
► This paper employs an eclectic and extended gravity model of trade to assess the most important determinants of real export and import of services…
(more)
▼ This paper employs an eclectic and extended gravity model of trade to assess the most important determinants of real export and import of services of the United States by analyzing US service trade with its 33 partner countries for 15 years. Distance affects US real export of services negatively, but has no influence on US real import of services. A devaluation of the US dollar increases service export of the United States. We find a positive relationship between US goods trade and US service exports. US outward FDI has a positive impact on US real export of services, but has no significance on US real service imports. Trade freedom of both the US and its partner countries contribute to both the real service exports and imports of the United States. Tariff equivalents of non-tariff barriers and corruption in the importing country have a strong negative impact on the US export of services. Neither regional trade agreements nor a common language contribute to US service trade. Contiguity increases both US export and import of services.
Advisors/Committee Members: Ahmed S. Abou-Zaid.
Subjects/Keywords: Econometrics; International Economics
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APA (6th Edition):
Ahmmad, T. (2015). From Trade Deficit in Goods to Trade Surplus in Services: An Eclectic and Extended Gravity Model Approach in Analyzing the Determinants of Service Trade of the United States. (Masters Thesis). Eastern Illinois University. Retrieved from https://thekeep.eiu.edu/theses/2359
Chicago Manual of Style (16th Edition):
Ahmmad, Tofayel. “From Trade Deficit in Goods to Trade Surplus in Services: An Eclectic and Extended Gravity Model Approach in Analyzing the Determinants of Service Trade of the United States.” 2015. Masters Thesis, Eastern Illinois University. Accessed March 01, 2021.
https://thekeep.eiu.edu/theses/2359.
MLA Handbook (7th Edition):
Ahmmad, Tofayel. “From Trade Deficit in Goods to Trade Surplus in Services: An Eclectic and Extended Gravity Model Approach in Analyzing the Determinants of Service Trade of the United States.” 2015. Web. 01 Mar 2021.
Vancouver:
Ahmmad T. From Trade Deficit in Goods to Trade Surplus in Services: An Eclectic and Extended Gravity Model Approach in Analyzing the Determinants of Service Trade of the United States. [Internet] [Masters thesis]. Eastern Illinois University; 2015. [cited 2021 Mar 01].
Available from: https://thekeep.eiu.edu/theses/2359.
Council of Science Editors:
Ahmmad T. From Trade Deficit in Goods to Trade Surplus in Services: An Eclectic and Extended Gravity Model Approach in Analyzing the Determinants of Service Trade of the United States. [Masters Thesis]. Eastern Illinois University; 2015. Available from: https://thekeep.eiu.edu/theses/2359
Boston College
29.
Cooprider, Joseph.
Essays in Econometrics.
Degree: PhD, Economics, 2020, Boston College
URL: http://dlib.bc.edu/islandora/object/bc-ir:108714
► In my doctoral research, I developed econometric estimators with strong applications in analysis of heterogeneous consumer demand. The first chapter develops an estimator for grouped…
(more)
▼ In my doctoral research, I developed econometric
estimators with strong applications in analysis of heterogeneous
consumer demand. The first chapter develops an estimator for
grouped patterns of heterogeneity in an approximately sparse
setting. This setting is used to estimate demand shocks,
competition sets and own-price elasticities for different groups of
consumers. The second chapter, which is joint work with Stefan
Hoderlein and Alexander Meister, develops a nonparametric estimator
of the marginal effects in a panel data even if there are only a
small number of time periods. This is used to estimate the
heterogeneous marginal effects of increasing income on consumption
of junk food. The third chapter, which is joint work with Stefan
Hoderlein and Solvejg Wewal, is the first difference-in-differences
model for binary choice outcome variables when treatment effects
are heterogeneous. We apply this estimator to examine the
heterogeneous effects of a soda tax. Chapter 1: ``Approximately
Sparse Models and Methods with Grouped Patterns of Heterogeneity
with an Application to Consumer Demand" introduces post-Lasso
methods to time-varying grouped patterns of heterogeneity in linear
panel data models with heterogeneous coefficients. Group membership
is left unrestricted and the model is approximately sparse, meaning
the conditional expectation of the variables given the covariates
can be well-approximated by a subset of the variables whose
identities may be unknown. I estimate the parameters of the model
using a “grouped fixed-effects” estimator that minimizes a
post-Lasso least-squares criterion with respect to all possible
groupings of the cross-sectional units. I provide conditions under
which the estimator is consistent as both dimensions of the panel
tend to infinity and provide inference methods. Under reasonable
assumptions, applying this estimator to a consumer demand
application allows me to partition consumers into groups, deal with
price endogeneity without instrumental variables, estimate demand
shocks, and identify compliments and substitutes for each group. I
then use this estimator to estimate demand for soda by identifying
different groups' competition sets as well as demand shocks using
Homescan data. Chapter 2: In ``A Panel Data Estimator for the
Distribution and Quantiles of Marginal Effects in Nonlinear
Structural Models with an Application to the Demand for Junk Food",
we propose a framework to estimate the distribution of marginal
effects in a general class of structural models that allow for
arbitrary smooth nonlinearities, high dimensional heterogeneity,
and unrestricted correlation between the persistent components of
this heterogeneity and all covariates. The main idea is to form a
derivative dependent variable using two periods of the panel, and
use differences in outcome variables of nearby subpopulations to
obtain the distribution of marginal effects. We establish
constructive nonparametric identification for the population of
``stayers" (Chamberlain 1982), and show generic…
Advisors/Committee Members: Arthur Lewbel (Thesis advisor).
Subjects/Keywords: Econometric estimators; Econometrics
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APA ·
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APA (6th Edition):
Cooprider, J. (2020). Essays in Econometrics. (Doctoral Dissertation). Boston College. Retrieved from http://dlib.bc.edu/islandora/object/bc-ir:108714
Chicago Manual of Style (16th Edition):
Cooprider, Joseph. “Essays in Econometrics.” 2020. Doctoral Dissertation, Boston College. Accessed March 01, 2021.
http://dlib.bc.edu/islandora/object/bc-ir:108714.
MLA Handbook (7th Edition):
Cooprider, Joseph. “Essays in Econometrics.” 2020. Web. 01 Mar 2021.
Vancouver:
Cooprider J. Essays in Econometrics. [Internet] [Doctoral dissertation]. Boston College; 2020. [cited 2021 Mar 01].
Available from: http://dlib.bc.edu/islandora/object/bc-ir:108714.
Council of Science Editors:
Cooprider J. Essays in Econometrics. [Doctoral Dissertation]. Boston College; 2020. Available from: http://dlib.bc.edu/islandora/object/bc-ir:108714
30.
Ajayi, Olaoluwa.
Comparison of alternative inflation forecasting models in OPEC and BRICS countries.
Degree: PhD, 2019, Kingston University
URL: http://eprints.kingston.ac.uk/id/eprint/42994/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.770021
► We compare the forecasting performance of univariate and multivariate models for BRICS and OPEC economies. For the univariate models, we produce forecasts using ARIMAX models…
(more)
▼ We compare the forecasting performance of univariate and multivariate models for BRICS and OPEC economies. For the univariate models, we produce forecasts using ARIMAX models that have a deterministic component to account for structural breaks over the full sample period and different ARIMA specifications over a reduced sample period that avoids the modelling structural breaks. The univariate ARIMA models that we develop over the reduced sample period are, first, a seasonal ARIMA specification identified using the Box-Jenkins method, second, a seasonal ARIMA model identified using EView's automatic model selection tool and third, a non-seasonal ARIMA model identified using EView's automatic model selection tool applied to seasonally adjusted data. The other univariate model we considered include the regime shift threshold Autoregressive model (over the full sample and reduced sample) and the naïve model which added as a benchmark. Multivariate models are estimated over the reduced sample period to avoid modelling structural breaks and are based upon Vector Autoregression (VAR) models that utilise differencing and cointegrating restrictions to ensure the stationarity of the data. In particular, we consider the unrestricted VAR model with differenced (stationary) data, the (unrestricted) Vector Error Correction Model (VECM) that assumes cointegration without imposing cointegrating restrictions and the restricted VEC that imposes a single cointegrating equation on the VECM. Our study shows that the benchmark models (naïve) were never favoured over the best selected univariate and multivariate model. The univariate EView's automatic non-seasonal ARIMA model is generally favoured for the BRICS countries (the exception is South Africa). However, the results are mixed between univariate and multivariate methods for OPEC countries. For OPEC countries that have a history of moderate inflation, for example, Saudi Arabia, the univariate automatic non-seasonal ARIMA model outperforms the multivariate model. In contrast, multivariate models generally outperform univariate automatically selected ARIMA models for countries with high inflation (e.g Angola and Algeria).
Subjects/Keywords: Economics and econometrics
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APA ·
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Manager
APA (6th Edition):
Ajayi, O. (2019). Comparison of alternative inflation forecasting models in OPEC and BRICS countries. (Doctoral Dissertation). Kingston University. Retrieved from http://eprints.kingston.ac.uk/id/eprint/42994/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.770021
Chicago Manual of Style (16th Edition):
Ajayi, Olaoluwa. “Comparison of alternative inflation forecasting models in OPEC and BRICS countries.” 2019. Doctoral Dissertation, Kingston University. Accessed March 01, 2021.
http://eprints.kingston.ac.uk/id/eprint/42994/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.770021.
MLA Handbook (7th Edition):
Ajayi, Olaoluwa. “Comparison of alternative inflation forecasting models in OPEC and BRICS countries.” 2019. Web. 01 Mar 2021.
Vancouver:
Ajayi O. Comparison of alternative inflation forecasting models in OPEC and BRICS countries. [Internet] [Doctoral dissertation]. Kingston University; 2019. [cited 2021 Mar 01].
Available from: http://eprints.kingston.ac.uk/id/eprint/42994/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.770021.
Council of Science Editors:
Ajayi O. Comparison of alternative inflation forecasting models in OPEC and BRICS countries. [Doctoral Dissertation]. Kingston University; 2019. Available from: http://eprints.kingston.ac.uk/id/eprint/42994/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.770021
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Open Access Theses and Dissertations
