You searched for subject:(econometrics).
Showing records 1 – 30 of
1104 total matches.
◁ [1] [2] [3] [4] [5] … [37] ▶
Eastern Illinois University
1.
Aiyash, Eiman.
Shocks Pass-Through to Prices in U.S. and Canada: Evidence from Oil and Exchange Rate Markets.
Degree: MA, Economics, 2018, Eastern Illinois University
URL: http://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
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):
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 http://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 July 22, 2019.
http://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. 22 Jul 2019.
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 2019 Jul 22].
Available from: http://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: http://thekeep.eiu.edu/theses/3557
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
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):
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 July 22, 2019.
http://hdl.handle.net/11375/11916.
MLA Handbook (7th Edition):
Li, Cong. “ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS.” 2012. Web. 22 Jul 2019.
Vancouver:
Li C. ESSAYS IN HEALTH ECONOMICS AND ROBUST ECONOMETRICS. [Internet] [Doctoral dissertation]. McMaster University; 2012. [cited 2019 Jul 22].
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
Texas A&M University
3.
Lin, Zhongjian.
Semiparametric Methods and Applications.
Degree: 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
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):
Lin, Z. (2014). Semiparametric Methods and Applications. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/152663
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):
Lin, Zhongjian. “Semiparametric Methods and Applications.” 2014. Thesis, Texas A&M University. Accessed July 22, 2019.
http://hdl.handle.net/1969.1/152663.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Lin, Zhongjian. “Semiparametric Methods and Applications.” 2014. Web. 22 Jul 2019.
Vancouver:
Lin Z. Semiparametric Methods and Applications. [Internet] [Thesis]. Texas A&M University; 2014. [cited 2019 Jul 22].
Available from: http://hdl.handle.net/1969.1/152663.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Lin Z. Semiparametric Methods and Applications. [Thesis]. Texas A&M University; 2014. Available from: http://hdl.handle.net/1969.1/152663
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Eastern Illinois University
4.
Loebach, Leonard.
Non-Monetary Effects on Inflation Within the Price-Gap Model.
Degree: MA, Economics, 1992, Eastern Illinois University
URL: http://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
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):
Loebach, L. (1992). Non-Monetary Effects on Inflation Within the Price-Gap Model. (Masters Thesis). Eastern Illinois University. Retrieved from http://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 July 22, 2019.
http://thekeep.eiu.edu/theses/2150.
MLA Handbook (7th Edition):
Loebach, Leonard. “Non-Monetary Effects on Inflation Within the Price-Gap Model.” 1992. Web. 22 Jul 2019.
Vancouver:
Loebach L. Non-Monetary Effects on Inflation Within the Price-Gap Model. [Internet] [Masters thesis]. Eastern Illinois University; 1992. [cited 2019 Jul 22].
Available from: http://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: http://thekeep.eiu.edu/theses/2150
5.
Chen, Xirong.
Three Essays on Applied Econometrics.
Degree: 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
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):
Chen, X. (2017). Three Essays on Applied Econometrics. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/161349
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):
Chen, Xirong. “Three Essays on Applied Econometrics.” 2017. Thesis, Texas A&M University. Accessed July 22, 2019.
http://hdl.handle.net/1969.1/161349.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Chen, Xirong. “Three Essays on Applied Econometrics.” 2017. Web. 22 Jul 2019.
Vancouver:
Chen X. Three Essays on Applied Econometrics. [Internet] [Thesis]. Texas A&M University; 2017. [cited 2019 Jul 22].
Available from: http://hdl.handle.net/1969.1/161349.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Chen X. Three Essays on Applied Econometrics. [Thesis]. Texas A&M University; 2017. Available from: http://hdl.handle.net/1969.1/161349
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
6.
Lu, Xin.
Effects of multivitamins on overall self-assessed health.
Degree: MA, Economics, 2012, University of Georgia
URL: http://purl.galileo.usg.edu/uga_etd/lu_xin_201208_ma
► This paper examines the relationship between vitamin usage and self-assessed health of United States residents and addresses the issue of endogeneity of vitamin use. First,…
(more)
▼ This paper examines the relationship between vitamin usage and self-assessed health of United States residents and addresses the issue of endogeneity of vitamin use. First, preliminary OLS regressions are run, which ignore endogeneity. Then two instruments are introduced in two separate bivariate probit models. Finally, a di fference in di fferences probit regression is run using data from years 1986 and 2006. The two data sets used in this paper are the 1986 National Health Interview Survey and the 2006 National Health and Nutrition Examination Survey. Vitamin usage was found to be signi cant in all regressions that do not ignore endogeneity.
Advisors/Committee Members: Scott Atkinson.
Subjects/Keywords: econometrics
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):
Lu, X. (2012). Effects of multivitamins on overall self-assessed health. (Masters Thesis). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/lu_xin_201208_ma
Chicago Manual of Style (16th Edition):
Lu, Xin. “Effects of multivitamins on overall self-assessed health.” 2012. Masters Thesis, University of Georgia. Accessed July 22, 2019.
http://purl.galileo.usg.edu/uga_etd/lu_xin_201208_ma.
MLA Handbook (7th Edition):
Lu, Xin. “Effects of multivitamins on overall self-assessed health.” 2012. Web. 22 Jul 2019.
Vancouver:
Lu X. Effects of multivitamins on overall self-assessed health. [Internet] [Masters thesis]. University of Georgia; 2012. [cited 2019 Jul 22].
Available from: http://purl.galileo.usg.edu/uga_etd/lu_xin_201208_ma.
Council of Science Editors:
Lu X. Effects of multivitamins on overall self-assessed health. [Masters Thesis]. University of Georgia; 2012. Available from: http://purl.galileo.usg.edu/uga_etd/lu_xin_201208_ma
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/10394/15660
► 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
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/10394/15660
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 July 22, 2019.
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. 22 Jul 2019.
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 2019 Jul 22].
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
8.
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 July 22, 2019.
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. 22 Jul 2019.
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 2019 Jul 22].
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
McGill University
9.
Zernov, Serguei.
Three essays in financial econometrics.
Degree: PhD, Department of Economics., 2004, McGill University
URL: http://digitool.library.mcgill.ca/thesisfile85031.pdf
► The three essays of this thesis touch a variety of topics in financial econometrics. The first is an empirical investigation of aspects of transactions dynamics…
(more)
▼ The three essays of this thesis touch a variety of topics in financial econometrics. The first is an empirical investigation of aspects of transactions dynamics of currency futures. Based on the analysis of years of transactions data, the author describes the seasonal dynamic component of trade and price durations of futures and then analyses dynamics of durations using the stochastic conditional duration model (SCD).
The second essay develops a model for the robust analysis of time series. Asymptotic properties of the parameter estimates of this model are established. The model is applied to the analysis of dynamics of conditional quantiles of the quadratic variation in currency exchange rates. Forecasting properties of the model are also evaluated.
Finally; the third essay uses recent advances in the theory of extremal events to analyse the effects of institutional changes in financial markets on the extremal behaviour of major stock indices, as far as this behaviour is reflected in the evolution of Hill's estimator of the tail index.
Subjects/Keywords: Econometrics
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
McGill University
10.
Jain, Renuka.
Economic fluctuations, structure, and measurement : three essays on 'soft' econometrics.
Degree: PhD, Department of Economics., 1984, McGill University
URL: http://digitool.library.mcgill.ca/thesisfile71981.pdf
► Research practices of econometricians evolve rapidly. They have changed as much in the last two decades as they did in the preceding two decades when…
(more)
▼ Research practices of econometricians evolve rapidly. They have changed as much in the last two decades as they did in the preceding two decades when the primacy of the simultaneous-equation model was established. Much of what econometricians do now does not fit into the framework indicated by a preoccupation with statistical inference. Given this background, it is convenient to distinguish soft econometrics from its hard counterpart, which stresses mathematical statistics. This distinction is derived from a parallel in Cox's discussion of the behaviour of statisticians, and of the nature of data. To clarify the substance of soft econometrics and to reveal its occurrence, three essays are provided. One essay considers the potential use of econometrics in long-wave research. A second essay looks at the impact of changing views on the concept of structure, while the final essay deals with the interaction of soft econometrics and significant issues of measurement. The concluding comments emphasize the complexity and variety of modern econometrics.
Subjects/Keywords: Econometrics.
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
University of Cape Town
11.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
Vancouver:
Hurwitz AM. An econometric analysis of South African monetary phenomena. [Internet] [Thesis]. University of Cape Town; 1977. [cited 2019 Jul 22].
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
Rutgers University
12.
Ulku, Levent.
Essays in mechanism design:.
Degree: Economics, 2008, Rutgers University
URL: http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000050462
Subjects/Keywords: Econometrics
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):
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 July 22, 2019.
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. 22 Jul 2019.
Vancouver:
Ulku L. Essays in mechanism design:. [Internet] [Thesis]. Rutgers University; 2008. [cited 2019 Jul 22].
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
13.
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
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):
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 July 22, 2019.
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000052098.
MLA Handbook (7th Edition):
Cai, Lili. “Essays on financial econometrics:.” 2010. Web. 22 Jul 2019.
Vancouver:
Cai L. Essays on financial econometrics:. [Internet] [Doctoral dissertation]. Rutgers University; 2010. [cited 2019 Jul 22].
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
University of Illinois – Urbana-Champaign
14.
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
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):
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 July 22, 2019.
http://hdl.handle.net/2142/88282.
MLA Handbook (7th Edition):
Cheng, Tzu-Chang. “Essays on applied econometrics.” 2015. Web. 22 Jul 2019.
Vancouver:
Cheng T. Essays on applied econometrics. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2015. [cited 2019 Jul 22].
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
15.
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…
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):
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 July 22, 2019.
http://hdl.handle.net/2142/34307.
MLA Handbook (7th Edition):
Hagemann, Andreas. “Three essays in econometrics.” 2012. Web. 22 Jul 2019.
Vancouver:
Hagemann A. Three essays in econometrics. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2012. [cited 2019 Jul 22].
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
Michigan State University
16.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
Vancouver:
Nam S. Essays in multiple fractional responses with endogenous explanatory variables. [Internet] [Thesis]. Michigan State University; 2014. [cited 2019 Jul 22].
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
17.
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
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):
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 July 22, 2019.
http://etd.lib.msu.edu/islandora/object/etd:17135.
MLA Handbook (7th Edition):
Satchachai, Panutat. “Three essays in econometrics.” 2009. Web. 22 Jul 2019.
Vancouver:
Satchachai P. Three essays in econometrics. [Internet] [Doctoral dissertation]. Michigan State University; 2009. [cited 2019 Jul 22].
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
University of Illinois – Urbana-Champaign
18.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
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 2019 Jul 22].
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
University of Vermont
19.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
Vancouver:
Kazman SB. Exploring the Laffer Curve: Behavioral Responses to Taxation. [Internet] [Thesis]. University of Vermont; 2014. [cited 2019 Jul 22].
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
Eastern Illinois University
20.
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, Economics, 2015, Eastern Illinois University
URL: http://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
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):
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 http://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 July 22, 2019.
http://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. 22 Jul 2019.
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 2019 Jul 22].
Available from: http://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: http://thekeep.eiu.edu/theses/2359
Queen Mary, University of London
21.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
Vancouver:
Dias GF. Essays on forecasting and volatility modelling. [Internet] [Doctoral dissertation]. Queen Mary, University of London; 2013. [cited 2019 Jul 22].
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
Kingston University
22.
Musti, Babagana Mala.
Asymmetric and nonlinear exchange rate pass-through to consumer price in Nigeria, 1986-2013.
Degree: PhD, 2017, Kingston University
URL: http://eprints.kingston.ac.uk/41131/
;
https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.745472
► This study examines the effect of exchange rate changes on consumer prices in Nigeria by examining the magnitude and speed of exchange rate pass-through (ERPT)…
(more)
▼ This study examines the effect of exchange rate changes on consumer prices in Nigeria by examining the magnitude and speed of exchange rate pass-through (ERPT) to consumer prices in Nigeria using quarterly time series data from 1986 to 2013. The study also examines the potential nonlinearities and asymmetries in the ERPT in Nigeria during the same period. The study used vector error correction model (VECM) and smooth transition autoregresive (STAR) model. The methodology employed, are free from some weaknesses of the previous empirical studies and contributed to the analysis of ERPT from a macroeconomic perspective. This study focuses on the macroeconomic perspective of the effect of ERPT which is more relevant for monetary policy. To design and implement an efficient monetary policy, theoritical and empirical knowledge of the ERPT to domestic consumer price is necessary. Similarly, the understanding of the level of ERPT to domestic consumer prices would offer more understanding of the international transmission of shocks and the efficiency of exchange rate policy measures on external adjustment. The study results show full and statistically significant ERPT in the long-run in Nigeria during the sample period. However, using linear model (VECM) the short-run estimate shows no significant ERPT in Nigeria. Whereas, the nonlinear STAR model shows significant ERPT even in the short-run in Nigeria. The results of the nonlinear model (STAR) show evidence of nonlinearities and asymmetries in the ERPT in Nigeria. The nonlinearities and asymmetries tend to be prevalent during periods of higher inflation and greater exchange movements when the changes in prices and exchange rates exceed certain thresholds. This study, therefore, confirms Taylor’s (2000) hypothesis that pass-through declines in low and stable inflation environment which create nonlinear ERPT. The result shows asymmetric ERPT to the direction of exchange rate change (appreciation or depreciation). The result also shows clear evidence of nonlinearity with respect to the size of the exchange rate change. This result is in line with the menu cost hypothesis where the importing firms do not transfer the exchange rate changes due to the cost of changing their menu. Therefore, the effect of the exchange rate changes on consumer price is minimal when the exchange rate changes are below the threshold level. The study also examined the output growth as a source of nonlinearities. However, the result does not show evidence of nonlinear ERPT due to the output level. The comparison of statistical test results of linear autoregressive (AR) and the nonlinear (STAR) model indicates that the nonlinear STAR model fits the data better than the linear AR model in all cases. The results of this study, therefore, show a significant impact of exchange rate changes on the domestic consumer price in both short run and long run. The asymmetric and nonlinear ERPT induced by the pricing behaviors of the importing firms also significantly influences the speed and magnitude of the ERPT to…
Subjects/Keywords: Economics and econometrics
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):
Musti, B. M. (2017). Asymmetric and nonlinear exchange rate pass-through to consumer price in Nigeria, 1986-2013. (Doctoral Dissertation). Kingston University. Retrieved from http://eprints.kingston.ac.uk/41131/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.745472
Chicago Manual of Style (16th Edition):
Musti, Babagana Mala. “Asymmetric and nonlinear exchange rate pass-through to consumer price in Nigeria, 1986-2013.” 2017. Doctoral Dissertation, Kingston University. Accessed July 22, 2019.
http://eprints.kingston.ac.uk/41131/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.745472.
MLA Handbook (7th Edition):
Musti, Babagana Mala. “Asymmetric and nonlinear exchange rate pass-through to consumer price in Nigeria, 1986-2013.” 2017. Web. 22 Jul 2019.
Vancouver:
Musti BM. Asymmetric and nonlinear exchange rate pass-through to consumer price in Nigeria, 1986-2013. [Internet] [Doctoral dissertation]. Kingston University; 2017. [cited 2019 Jul 22].
Available from: http://eprints.kingston.ac.uk/41131/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.745472.
Council of Science Editors:
Musti BM. Asymmetric and nonlinear exchange rate pass-through to consumer price in Nigeria, 1986-2013. [Doctoral Dissertation]. Kingston University; 2017. Available from: http://eprints.kingston.ac.uk/41131/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.745472
Columbia University
23.
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
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):
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 July 22, 2019.
https://doi.org/10.7916/D81G0ZJX.
MLA Handbook (7th Edition):
Tuzcuoglu, Kerem. “Three Essays in Econometrics.” 2017. Web. 22 Jul 2019.
Vancouver:
Tuzcuoglu K. Three Essays in Econometrics. [Internet] [Doctoral dissertation]. Columbia University; 2017. [cited 2019 Jul 22].
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
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
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):
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 July 22, 2019.
https://doi.org/10.7916/D89W0CMD.
MLA Handbook (7th Edition):
Kim, Ju Hyun. “Three Essays on Identification in Microeconometrics.” 2014. Web. 22 Jul 2019.
Vancouver:
Kim JH. Three Essays on Identification in Microeconometrics. [Internet] [Doctoral dissertation]. Columbia University; 2014. [cited 2019 Jul 22].
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
25.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
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 2019 Jul 22].
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
Kingston University
26.
Ajayi, Olaoluwa.
Comparison of alternative inflation forecasting models in OPEC and BRICS countries.
Degree: PhD, 2019, Kingston University
URL: http://eprints.kingston.ac.uk/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
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):
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/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 July 22, 2019.
http://eprints.kingston.ac.uk/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. 22 Jul 2019.
Vancouver:
Ajayi O. Comparison of alternative inflation forecasting models in OPEC and BRICS countries. [Internet] [Doctoral dissertation]. Kingston University; 2019. [cited 2019 Jul 22].
Available from: http://eprints.kingston.ac.uk/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/42994/ ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.770021
27.
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
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):
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 July 22, 2019.
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. 22 Jul 2019.
Vancouver:
Zasova A. Latvijas darba tirgus funkcionēšanas ekonometriskais novērtējums
. [Internet] [Thesis]. University of Latvia; 2012. [cited 2019 Jul 22].
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
The Ohio State University
28.
Baird, Catherine Ann.
A multiregional econometric model of Ohio.
Degree: PhD, Graduate School, 1981, The Ohio State University
URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1487169969172116
Subjects/Keywords: Economics; Econometrics
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):
Baird, C. A. (1981). A multiregional econometric model of Ohio. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1487169969172116
Chicago Manual of Style (16th Edition):
Baird, Catherine Ann. “A multiregional econometric model of Ohio.” 1981. Doctoral Dissertation, The Ohio State University. Accessed July 22, 2019.
http://rave.ohiolink.edu/etdc/view?acc_num=osu1487169969172116.
MLA Handbook (7th Edition):
Baird, Catherine Ann. “A multiregional econometric model of Ohio.” 1981. Web. 22 Jul 2019.
Vancouver:
Baird CA. A multiregional econometric model of Ohio. [Internet] [Doctoral dissertation]. The Ohio State University; 1981. [cited 2019 Jul 22].
Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1487169969172116.
Council of Science Editors:
Baird CA. A multiregional econometric model of Ohio. [Doctoral Dissertation]. The Ohio State University; 1981. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1487169969172116
Eastern Illinois University
29.
Abiodun, Kehinde.
Resources, Financial Sector Development, Governance and Growth in South Africa: A Time Series Analysis.
Degree: MA, Economics, 2018, Eastern Illinois University
URL: http://thekeep.eiu.edu/theses/3651
► We examine the impact of financial sector development - proxied by domestic credit and market capitalization - mineral rent, and quality of governance on…
(more)
▼ We examine the impact of financial sector development - proxied by domestic credit and market capitalization - mineral rent, and quality of governance on economic growth in South Africa. The novelty of this thesis lies in the introduction of an interaction term between mineral rent and quality of governance, which is iterated along with the other afore-mentioned variables in a five-model estimation. Two other variables: trade and government expenditure are also added to the mix.
We developed five models to test the impacts of the different variables using the error correction model. In all five models, we find, consistently, a strong positive and significant relationship between the measures of financial sector development and economic growth. However, we find that mineral rent is negatively associated with growth in two of our models. The interaction term between mineral rent and quality of governance shows a positive but insignificant relationship with growth. Granger causality test reports a bidirectional causality between domestic credit and real GDP, a unidirectional causality between market capitalization and real GDP, a unidirectional causality between mineral rent and real GDP and no directional relationship between quality of governance and real GDP.
Advisors/Committee Members: Ahmed S. Abou-Zaid.
Subjects/Keywords: Econometrics; Finance; Growth and Development
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):
Abiodun, K. (2018). Resources, Financial Sector Development, Governance and Growth in South Africa: A Time Series Analysis. (Masters Thesis). Eastern Illinois University. Retrieved from http://thekeep.eiu.edu/theses/3651
Chicago Manual of Style (16th Edition):
Abiodun, Kehinde. “Resources, Financial Sector Development, Governance and Growth in South Africa: A Time Series Analysis.” 2018. Masters Thesis, Eastern Illinois University. Accessed July 22, 2019.
http://thekeep.eiu.edu/theses/3651.
MLA Handbook (7th Edition):
Abiodun, Kehinde. “Resources, Financial Sector Development, Governance and Growth in South Africa: A Time Series Analysis.” 2018. Web. 22 Jul 2019.
Vancouver:
Abiodun K. Resources, Financial Sector Development, Governance and Growth in South Africa: A Time Series Analysis. [Internet] [Masters thesis]. Eastern Illinois University; 2018. [cited 2019 Jul 22].
Available from: http://thekeep.eiu.edu/theses/3651.
Council of Science Editors:
Abiodun K. Resources, Financial Sector Development, Governance and Growth in South Africa: A Time Series Analysis. [Masters Thesis]. Eastern Illinois University; 2018. Available from: http://thekeep.eiu.edu/theses/3651
30.
Wells, Patrick Julian.
The rate of profit as a random variable.
Degree: 2007, Open University
URL: http://oro.open.ac.uk/22347/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.555052
► This thesis is a systematic attempt to investigate two conjectures about the distribution of company rates of profit: that it should be log-normal (Gibrat 1931),…
(more)
▼ This thesis is a systematic attempt to investigate two conjectures about the distribution of company rates of profit: that it should be log-normal (Gibrat 1931), and that it should be gamma distributed (Farjoun and Machover 1983). A large set of company accounts data is analysed, and partial support found for Gibrat and for a generalised version of Farjoun and Machover. The analysis includes a demonstration of different empirical distributions for different profit rate measures, a demonstration of power law tails in all measures of the profit rate, and a demonstration of size effects (differences in tail weights) in financial ratios. Annual variation in the overall skewness and kurtosis of profit rate distributions is shown to be dominated by variation in the power law tails. <i>L</i>-moments, a recent innovation in robust methods to deal with extreme values, are used in conjunction with a size-weighted sampling scheme to identify possible models for distributions of the profit rate at the capital level. Farjoun and Machover derive their hypothesis from a particular conception of the process of capitalist competition. A rival conception, that of Glick (1985), is tested using company accounts data and shown to be vulnerable to criticism concerning the scope of its data set, the test statistic employed, and its choice of profit rate measure. More fundamentally, it is also dependent on doubtful premises about the within-industry distribution of profit rates, as L-moment analysis demonstrates.
Subjects/Keywords: 330.015195; Economics and econometrics
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):
Wells, P. J. (2007). The rate of profit as a random variable. (Doctoral Dissertation). Open University. Retrieved from http://oro.open.ac.uk/22347/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.555052
Chicago Manual of Style (16th Edition):
Wells, Patrick Julian. “The rate of profit as a random variable.” 2007. Doctoral Dissertation, Open University. Accessed July 22, 2019.
http://oro.open.ac.uk/22347/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.555052.
MLA Handbook (7th Edition):
Wells, Patrick Julian. “The rate of profit as a random variable.” 2007. Web. 22 Jul 2019.
Vancouver:
Wells PJ. The rate of profit as a random variable. [Internet] [Doctoral dissertation]. Open University; 2007. [cited 2019 Jul 22].
Available from: http://oro.open.ac.uk/22347/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.555052.
Council of Science Editors:
Wells PJ. The rate of profit as a random variable. [Doctoral Dissertation]. Open University; 2007. Available from: http://oro.open.ac.uk/22347/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.555052
◁ [1] [2] [3] [4] [5] … [37] ▶
. 
Open Access Theses and Dissertations
