Open Access. Powered by Scholars. Published by Universities.®

Econometrics Commons

Open Access. Powered by Scholars. Published by Universities.®

2,444 Full-Text Articles 2,016 Authors 659,636 Downloads 113 Institutions

All Articles in Econometrics

Faceted Search

2,444 full-text articles. Page 5 of 85.

The Impact Of Regional Return On Education On The Self-Selection Of Mexican Immigrants, Warren Chen 2019 Claremont Colleges

The Impact Of Regional Return On Education On The Self-Selection Of Mexican Immigrants, Warren Chen

CMC Senior Theses

This paper uses the 2010 Mexican Population and Housing Survey to examine the role of regional return to education on migrant selection. The study uses a standard linear regression model to predict the educational attainment of migrants and compares it to the educational attainment of non-migrants in each Mexican State. It finds evidence of negative selection, that less educated Mexican citizens are more likely to migrate to the United States. It also finds little evidence of the impact of regional return to education on migrant selection. The study offers potential explanations for the lack of impact and suggests avenues for ...


First Movers In Marijuana: Tourism Boom Or Bust?, Henry Klyce Minervini 2019 Claremont McKenna College

First Movers In Marijuana: Tourism Boom Or Bust?, Henry Klyce Minervini

CMC Senior Theses

In 2014, Colorado and Washington legalized the cultivation, sale, and consumption of recreational marijuana for anyone over the age of 21. In doing so, the two states presented the first opportunities for marijuana-specific tourism in the United States. Direct benefits of legalization to these first movers, namely tax revenues generated through the sale of marijuana, have been quantified, but the indirect benefits in the tourism sector are as of yet unquantified. Although there is a large body of informal literature and popular media on marijuana tourism, academic study of the subject is scant. Working with a panel composed of 47 ...


Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace 2019 Claremont Colleges

Are Cds Auctions The Tail Wagging The Dog? An Empirical Study Of Corporate Bond Return Volatility At The Time Of Default, Jennifer Mace

CMC Senior Theses

Over the past decade, numerous engineered credit events and cases of market participants manipulating bond prices to influence Credit Default Swap (CDS) auction payouts have occurred. These cases have become increasingly common, and the CFTC has stated they may constitute market manipulation and undermine not only the CDS market but also the credit derivative and default markets. Although there is a plethora of news and media coverage on publicized cases, there is no previous empirical research on evidence of these practices. This paper is motivated by the desire to determine if there is indirect evidence of bond price manipulation around ...


An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina 2019 The University of Akron

An Examination Of The Stock Market's Effect On Economic Inequality, Nicholas Golina

Williams Honors College, Honors Research Projects

The economic literature on economic inequality has shown that it can negatively impact aggregate demand because it indicates a higher concentration of wealth in the hands of the top 10% as opposed to the poor and middle class, who are more likely to consume. The literature has identified many factors that can lead to increasing inequality. The stock market could be one of those factors since it can either create an upward redistributive effect towards the top 10% or redistributive effect towards the middle class. This paper tested the effect of the stock market on inequality. This study contributes to ...


The Impact Of Transportation Network Companies On Public Transit: A Case Study At The San Francisco International Airport, Lianne Renee Sturgeon 2019 Scripps College

The Impact Of Transportation Network Companies On Public Transit: A Case Study At The San Francisco International Airport, Lianne Renee Sturgeon

Scripps Senior Theses

The emergence and rapid growth of Transportation Network Companies (TNCs), such as Uber and Lyft, has challenged the transportation industry by offering a new mode of transportation to consumers. It is imperative that transit agencies and cities understand the effect of TNCs on public transit usage to make informed decisions. This study analyzes the impact of TNCs on Bay Area Rapid Transit (BART) ridership at the San Francisco International Airport (SFO) to measure the effect of TNCs on public transit. Using a fixed effects model to analyze hourly BART and TNC ridership data from 2011 to 2018, these findings suggest ...


Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, MARCOS FABRICIO PEREZ 2019 ARPM

Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez

Business Faculty Publications

We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail ...


Rhode Island Current Conditions Index -- January 2019, Leonard Lardaro 2019 University of Rhode Island

Rhode Island Current Conditions Index -- January 2019, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.


The Effect Of Us Monetary Policy Shocks On Cryptocurrency Returns, Jisung Kim 2019 University of Colorado, Boulder

The Effect Of Us Monetary Policy Shocks On Cryptocurrency Returns, Jisung Kim

Undergraduate Honors Theses

I explore the effect of US monetary policy shocks on the returns of digital assets since the creation of Bitcoin. A pool of 100 cryptocurrencies are separated into three categories. The monetary policy shocks are measured with two different futures contracts, Fed fund futures and 10-Year bond futures, around a FOMC meeting announcement. With the use of a panel fixed effect model, I find that changes to both futures prices around FOMC meeting have differing effects on the returns of digital assets. In particular, my results suggest that digital assets with deeper integration of blockchain, like digital assets under the ...


Quality, Choice, And Price: A Study Of Hospitals In Colorado, Erin Marie LoCoco 2019 University of Colorado, Boulder

Quality, Choice, And Price: A Study Of Hospitals In Colorado, Erin Marie Lococo

Undergraduate Honors Theses

The purpose of this study is to investigate to what extent prices charged by hospitals for common surgical procedures reflect hospital quality and consumer choice. Increases in hospital quality should be associated with higher compensation, whereas increased consumer choice should result in consumers paying lower prices. Prices of common surgical procedures are regressed on level of consumer choice and a Hospital Quality Incentive Payment Score (HQIP). The Ordinary Least Squares (OLS) regression does not yield statistical significance for both HQIP and level of consumer choice, but rather attributes much of the variation in price to county income per capita and ...


The Relationship Between Commuting Habits And Mortality Rates In The United States, Samuel Earl Supplee-Niederman 2019 University of Montana

The Relationship Between Commuting Habits And Mortality Rates In The United States, Samuel Earl Supplee-Niederman

Graduate Student Theses, Dissertations, & Professional Papers

In recent years, policy makers have invested in public transportation and infrastructure to promote walking and cycling to work. There is also a large body of economic research that has found mortality rates increase during economic expansions. While there has been a number of epidemiological studies that investigate the impact of commuting mode choice on individual health outcomes, there is a lack of research on the aggregate health effects of alternative transportation methods, such as biking, walking, or using public transportation. This paper uses a fixed-effect model to investigate the impact of an increase in total employment on mortality rates ...


Accounting For Agent Heterogeneity In Market And Policy Analysis, Konstantinos Giannakas 2019 University of Nebraska-Lincoln

Accounting For Agent Heterogeneity In Market And Policy Analysis, Konstantinos Giannakas

Zea E-Books

doi:10.13014/K2416V8V

This book presents a multi-market framework of market and policy analysis that explicitly accounts for the empirically relevant heterogeneity in consumer preferences and producer characteristics. The explicit consideration of consumer and producer heterogeneity represents a significant departure from the representative consumer and producer that have been at the center of most of the literature on market and policy analysis, and enables the distributional impacts of changes in market conditions and policies to be fully identified. The framework is used to analyze the system-wide market and welfare impacts of a number of changes in market conditions (like ...


A Comparative Analysis On Output Gap - Inflation Relation: The New Keynesian Approach, Oladimeji Tomiwa Shodipe 2019 Eastern Illinois University

A Comparative Analysis On Output Gap - Inflation Relation: The New Keynesian Approach, Oladimeji Tomiwa Shodipe

Masters Theses

The thrust of this research paper is to examine the inflation information that is contained in the output gap using the New Keynesian Phillips Curve framework. As informed by the model, the study also sets to investigate inflation persistence and the influence of forward inertia on the current inflation. This paper follows the Gali and Monacelli (2005) of the small open-economy type of model. However, the current study differs by introducing external factors (trade and real exchange rate) not only on the hybrid model, also on the backward, forward and the hybrid restricted models for time-series data (1971-2017) of all ...


On Cluster Robust Models, José Bayoán Santiago Calderón 2019 Claremont Graduate University

On Cluster Robust Models, José Bayoán Santiago Calderón

CGU Theses & Dissertations

Cluster robust models are a kind of statistical models that attempt to estimate parameters considering potential heterogeneity in treatment effects. Absent heterogeneity in treatment effects, the partial and average treatment effect are the same. When heterogeneity in treatment effects occurs, the average treatment effect is a function of the various partial treatment effects and the composition of the population of interest. The first chapter explores the performance of common estimators as a function of the presence of heterogeneity in treatment effects and other characteristics that may influence their performance for estimating average treatment effects. The second chapter examines various approaches ...


A Full Characterization Of Best-Response Functions In The Lottery Colonel Blotto Game, Dan Kovenock, David Rojo Arjona 2019 Chapman University

A Full Characterization Of Best-Response Functions In The Lottery Colonel Blotto Game, Dan Kovenock, David Rojo Arjona

ESI Working Papers

We fully characterize best-response functions in Colonel Blotto games with lottery contest success functions.


Three Essays On Nonparametric Hypothesis Testing And Stochastic Frontier Analysis, Taining Wang 2019 West Virginia University

Three Essays On Nonparametric Hypothesis Testing And Stochastic Frontier Analysis, Taining Wang

Graduate Theses, Dissertations, and Problem Reports

The first chapter proposes a nonparametric test of significant variables in the partial derivative of a regression mean function. The test is constructed through a variation based measure of the derivative in the directions of the significant variables, with the derivative estimation through a local polynomial estimator. The test is shown to have the asymptotic null distribution and demonstrated to be consistent. The chapter further proposes a wild-bootstrap test, which exhibits the same null distribution regardless of whether the null is valid or not. Through Monte Carlo studies, the test shows encouraging finite sample performances. Through an empirical application, the ...


Analyzing The Impact Of Home Locales On Access To Tertiary Education; Trends In Students’ Access To Bucknell University, Emily Tevebaugh 2019 Bucknell University

Analyzing The Impact Of Home Locales On Access To Tertiary Education; Trends In Students’ Access To Bucknell University, Emily Tevebaugh

Honors Theses

Access to postsecondary education has been found in previous studies to be correlated with socioeconomic status as well as with various other indicators, such as parents’ education levels and cultural expectations. However, addressing the impact of home locales and geographical proximity to colleges in addition to these individual characteristics is a crucial part of understanding college access. In this honors thesis, the following questions will be examined: how has access to college and the decision to matriculate changed in recent years? How does distance from colleges and differing characteristics of home locales influence acceptance to a university and the decision ...


Specification Tests For Temporal Heterogeneity In Spatial Panel Models With Fixed Effects, Yuhong XU, Zhenlin YANG 2019 Singapore Management University

Specification Tests For Temporal Heterogeneity In Spatial Panel Models With Fixed Effects, Yuhong Xu, Zhenlin Yang

Research Collection School Of Economics

We propose score type tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag effect is treated in detail by first considering the model with individual-specific effects only, and then extending it to the model with both individual and time specific effects. Two types of tests (naive and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to an SPD model with both ...


On Factor Models With Random Missing: Em Estimation, Inference, And Cross Validation, Liangjun SU, Ke MIAO, Sainan JIN 2019 Singapore Management University

On Factor Models With Random Missing: Em Estimation, Inference, And Cross Validation, Liangjun Su, Ke Miao, Sainan Jin

Research Collection School Of Economics

We consider the estimation and inference in approximate factor models with random missing values. We show that with the low rank structure of the common component, we can estimate the factors and factor loadings consistently with the missing values replaced by zeros. We establish the asymptotic distributions of the resulting estimators and those based on the EM algorithm. We also propose a cross validation-based method to determine the number of factors in factor models with or without missing values and justify its consistency. Simulations demonstrate that our cross validation method is robust to fat tails in the error distribution and ...


Financial Sector In Singapore, Hwee Kwan CHOW-TAN, Sai Fan PEI 2019 Singapore Management University

Financial Sector In Singapore, Hwee Kwan Chow-Tan, Sai Fan Pei

Research Collection School Of Economics

The Routledge Handbook of Banking and Finance in Asia brings together leading scholars, policymakers, and practitioners to provide a comprehensive and cutting-edge guide to Asia’s financial institutions, markets, and systems.Part I provides a country-by-country overview of banking and finance in East, Southeast, and South Asia, including examples from China, Japan, Hong Kong, India, and Singapore.Part II contains thematic chapters, covering topics such as commercial banking, development banking, infrastructure finance, stock markets, insurance, and sovereign wealth funds. It also includes examinations of banking regulation and supervision, and analyses of macroprudential regulation, capital flow management measures, and monetary policy ...


Econometric Estimates Of Earth's Transient Climate Sensitivity, Peter C. B. PHILLIPS, Thomas LEIRVIK, Trude STORELVMO 2019 Singapore Management University

Econometric Estimates Of Earth's Transient Climate Sensitivity, Peter C. B. Phillips, Thomas Leirvik, Trude Storelvmo

Research Collection School Of Economics

How sensitive is Earth's climate to a given increase in atmospheric greenhouse gas (GHG) concentrations? This long-standing question in climate science was recently analyzed by dynamic panel data methods using extensive spatio-temporal data of global surface temperatures, solar radiation, and GHG concentrations over the last half century to 2010 (Storelvmo et al, 2016). Those methods revealed that atmospheric aerosol effects masked approximately one-third of the continental warming due to increasing GHG concentrations over this period, thereby implying greater climate sensitivity to GHGs than previously thought. The present study provides regularity conditions and asymptotic theory justifying the use of time ...


Digital Commons powered by bepress