Specification Tests Based On Mcmc Output, 2018 Singapore Management University

#### Specification Tests Based On Mcmc Output, Yong Li, Jun Yu, Tao Zeng

*Research Collection School Of Economics*

Two test statistics are proposed to determine model specification after a model is estimated by an MCMC method. The first test is the MCMC version of IOSA test and its asymptotic null distribution is normal. The second test is motivated from the power enhancement technique of Fan et al. (2015). It combines a component (J1) that tests a null point hypothesis in an expanded model and a power enhancement component (J0) obtained from the first test. It is shown that J0 converges to zero when the null model is correctly specified and diverges when the null model is misspecified. Also ...

News Co-Occurrence, Attention Spillover, And Return Predictability, 2018 Singapore Management University

#### News Co-Occurrence, Attention Spillover, And Return Predictability, Li Guo, Lin Peng, Yubo Tao, Jun Tu

*Research Collection School Of Economics*

We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a long-short portfolio based on news co-occurrence generates a significant monthly alpha of 68 basis points. The results are robust to the inclusion of alternative attention proxies, sentiment measures, other news- and information-based predictors, across recession and expansion periods. We further validate the attention spillover effect by showing that news co-mentioning leads to greater ...

The Grid Bootstrap For Continuous Time Models, 2018 Singapore Management University

#### The Grid Bootstrap For Continuous Time Models, Yiu Lim Lui, Weilin Xiao, Jun Yu

*Research Collection School Of Economics*

This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill asymptotic theory is achieved by expanding the coefficient-based statistic around its in fill asymptotic distribution which is non-pivotal and depends on the initial condition. Monte Carlo studies show that the gird bootstrap method performs better than the in-fill asymptotic theory and much better than the long-span theory. Empirical applications to U.S. interest rate data ...

Identifying Latent Grouped Patterns In Cointegrated Panels, 2018 Shanghai Jiaotong University

#### Identifying Latent Grouped Patterns In Cointegrated Panels, Wenxin Huang, Sainan Jin, Liangjun Su

*Research Collection School Of Economics*

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su, Shi, and Phillips’ (2016) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the stationary regressors to diverge with the sample size. We show that we can identify the individuals’ group membership and estimate the group-specific long-run cointegrated relationships simultaneously. We demonstrate the desirable property of uniform classification consistency and the oracle properties of both the C-Lasso ...

Agglomeration And The Extent Of The Market: An Experimental Investigation Into Spatially Coordinated Exchange, 2018 Chapman University

#### Agglomeration And The Extent Of The Market: An Experimental Investigation Into Spatially Coordinated Exchange, Jordan Adamson

*ESI Working Papers*

How and why do agglomerations emerge? While economic historians emphasize trade and economic geographers emphasize variety, we still don’t understand the role of coordination. I fill this gap by extending the model of Fudenberg and Ellison (2003) to formalize Smith’s (1776) theory of agglomeration. I then test the model in a laboratory experiment and find individuals tend to coalesce purely to coordinate exchange, with more agglomeration when there is a larger variety of goods in the economy. I also find that tying individuals to the land reduces agglomeration, but magnifies the effect of variety.

The Effects Of Student-Teacher Ratio On Test Scores: Applying Ceteris Paribus To California And Massachusetts Schools, 2018 Claremont McKenna College

#### The Effects Of Student-Teacher Ratio On Test Scores: Applying Ceteris Paribus To California And Massachusetts Schools, Laira Aggarwal

*Undergraduate Economic Review*

This paper seeks to analyze the impact of student-teacher ratio on test scores in California and Massachusetts. Since student-teacher ratio is just one of the variables affecting students’ learning outcomes, other attributes were taken into account for a comprehensive analysis. These attributes included percent of English learners, average district income, percent of students on free or reduced lunch, and expenditures per student. The data sets for both states were assessed both inherently and with ceteris paribus approach. The results indicated that while student-teacher ratio does affect test scores, other classroom variables have a significantly greater influence on students’ learning outcomes.

The Supply Side Determinants Of Territory And Conflict, 2018 Chapman University

#### The Supply Side Determinants Of Territory And Conflict, Jordan Adamson, Erik O. Kimbrough

*ESI Working Papers*

What determines the geographic extent of territory? We microfound and extend Boulding’s “Loss of Strength Gradient” to predict the extensive and intensive margins of conflict across space. We show how economies of scale in the production of violence and varying costs of projecting violence at a distance combine to affect the geographic distribution of conflict and territory. We test and probe the boundaries of this model in an experiment varying the fixed costs of conflict entry. As predicted, higher fixed costs increase the probability of exclusive territories; median behavior closely tracks equilibrium predictions in all treatments.

Experimental Research On Contests, 2018 Chapman University

#### Experimental Research On Contests, Roman M. Sheremeta

*ESI Working Papers*

Costly competitions between economic agents are modeled as contests. Researchers use laboratory experiments to study contests and test comparative static predictions of contest theory. Commonly, researchers find that participants’ efforts are significantly higher than predicted by the standard Nash equilibrium. Despite overbidding, most comparative static predictions, such as the incentive effect, the size effect, the discouragement effect and others are supported in the laboratory. In addition, experimental studies examine various contest structures, including dynamic contests (such as multi-stage races, wars of attrition, tug-of-wars), multi-dimensional contests (such as Colonel Blotto games), and contests between groups. This article provides a short review ...

Preferences (Partial Pre-Orders) On Complex Numbers -- In View Of Possible Use In Quantum Econometrics, 2018 Chiang Mai University

#### Preferences (Partial Pre-Orders) On Complex Numbers -- In View Of Possible Use In Quantum Econometrics, Songsak Sriboonchitta, Vladik Kreinovich, Olga Kosheleva

*Departmental Technical Reports (CS)*

In economic application, it is desirable to find an optimal solution -- i.e., a solution which is preferable to any other possible solution. Traditionally, the state of an economic system has been described by real-valued quantities such as profit, unemployment level, etc. For such quantities, preferences correspond to natural order between real numbers: all things being equal, the more profit the better, and the smaller unemployment, the better. Lately, it turned out that to adequately describe economic phenomena, it is often convenient to use complex numbers. From this viewpoint, a natural question is: what are possible orders on complex numbers ...

Rhode Island Current Conditions Index -- October 2018, 2018 University of Rhode Island

#### Rhode Island Current Conditions Index -- October 2018, Leonard Lardaro

*The Rhode Island Current Conditions Index*

No abstract provided.

Firm Internal Network, Environmental Regulation, And Plant Death, 2018 Wuhan University

#### Firm Internal Network, Environmental Regulation, And Plant Death, Jingbo Cui, Giancarlo Moschini

*CARD Working Papers*

This paper examines the role of a firm’s internal network in determining plant shutdown decisions in response to environmental regulations. Using unique plant-level data for U.S. manufacturing industries from 1990 to 2008, we find evidence that, in response to increasingly stringent environmental regulations at the county level, multi-plant firms do exercise their greater flexibility in adjusting production, relative to single-plant firms. Specifically, in regulated counties, the likelihood of a plant shutting down is higher for multi-plant firms. Moreover, we measure the firm internal network effect at the local, neighborhood, and the wider-area levels, as defined by the number ...

The Distribution Of Information And The Price Efficiency Of Markets, 2018 Chapman University

#### The Distribution Of Information And The Price Efficiency Of Markets, Brice Corgnet, Mark Desantis, David Porter

*ESI Working Papers*

Apparently contradictory evidence has accumulated regarding the extent to which financial markets are informationally efficient. Shedding new light on this old debate, we show that differences in the distribution of private information may explain why informational efficiency can vary greatly across markets. We find that markets are informationally efficient when complete information is concentrated in the hands of competing insiders whereas they are less efficient when private information is dispersed across traders. A learning model helps to illustrate why inferring others’ private information from prices takes more time when information is more dispersed. We discuss the implications of our findings ...

Causal Versus Consequential Motives In Mental Models Of Agent Social And Economic Action: Experiments, And The Neoclassical Diversion In Economics, 2018 Chapman University

#### Causal Versus Consequential Motives In Mental Models Of Agent Social And Economic Action: Experiments, And The Neoclassical Diversion In Economics, Vernon L. Smith

*ESI Working Papers*

"In this paper I want to begin with the neoclassical supply and demand model of markets (SDM), whose static equilibrium consequences predicted outcomes far more accurately than were anticipated in laboratory experimental tests of the theory actuated by Jevons (1862, 1871; Smith, 1962). The observed predictive accuracy of SDM was not anticipated because complete information on supply and demand was widely believed, thought and taught to be a necessary condition for finding equilibrium. 1 Jevons’ model required him to have complete information in any particular market, as he only articulated a model of market optimal outcomes, and no model of ...

Nonlinearities In The Real Exchange Rates: New Evidence From Developed And Developing Countries, 2018 University of Wisconsin - Whitewater

#### Nonlinearities In The Real Exchange Rates: New Evidence From Developed And Developing Countries, Yamin S. Ahmad, Ming Chien Lo, Olena M. Staveley-O'Carroll

*Economics Department Working Papers*

This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Teräsvirta-Anderson (1992) and the Teräsvirta (1994) test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we examine the modification proposed by Ahmad, Lo and Mykhaylova (2013; Journal of International Economics) to show that the modified nonlinearity test performs much better than the original in both Monte Carlo exercises and in the actual data on 1431 bilateral real exchange rate series. Finally, we investigate the dynamics of the real exchange ...

Identifying Latent Grouped Patterns In Panel Data Models With Interactive Fixed Effects, 2018 Singapore Management University

#### Identifying Latent Grouped Patterns In Panel Data Models With Interactive Fixed Effects, Liangjun Su, Gaosheng Ju

*Research Collection School Of Economics*

We consider the estimation of latent grouped patterns in dynamic panel data models with interactive fixed effects. We assume that the individual slope coefficients are homogeneous within a group and heterogeneous across groups but each individual’s group membership is unknown to the researcher. We consider penalized principal component (PPC) estimation by extending the penalized-profile-likelihood-based C-Lasso of Su, Shi, and Phillips (2016) to panel data models with cross section dependence. Given the correct number of groups, we show that the C-Lasso can achieve simultaneous classification and estimation in a single step and exhibit the desirable property of uniform classification consistency ...

Identifying Treatment Effects In The Presence Of Confounded Types, 2018 Iowa State University

#### Identifying Treatment Effects In The Presence Of Confounded Types, Desire Kedagni

*Economics Working Papers*

In this paper, I consider identification of treatment effects when

the treatment is endogenous. The use of instrumental variables is a popular

solution to deal with endogeneity, but this may give misleading answers when

the instrument is invalid. I show that when the instrument is invalid due to

correlation with the first stage unobserved heterogeneity, a second (also

possibly invalid) instrument allows to partially identify not only the local

average treatment effect but also the entire potential outcomes distributions

for compliers. I exploit the fact that the distribution of the observed

outcome in each group defined by the treatment and ...

Rhode Island Current Conditions Index -- September 2018, 2018 University of Rhode Island

#### Rhode Island Current Conditions Index -- September 2018, Leonard Lardaro

*The Rhode Island Current Conditions Index*

No abstract provided.

The Impact Of The 2018 Trade Disruptions On The Iowa Economy, 2018 Iowa State University

#### The Impact Of The 2018 Trade Disruptions On The Iowa Economy, Edward J. Balistreri, Chad E. Hart, Dermot J. Hayes, Minghao Li, Lee Schulz, David A. Swenson, Wendong Zhang, John M. Crespi

*CARD Policy Briefs*

In this analysis, we use historical trade patterns, revenue linkages, and recent futures market price changes to discern the 2018 tariffs’ near-term impacts on the state of Iowa. We use two distinct modeling techniques, and in each technique we make two distinct assumptions. First, we use partial-equilibrium modeling approaches that do not directly consider linkages among the markets and industries across the state of Iowa. In these approaches, two assumptions about price changes are invoked—either the price changes are based upon supply and demand elasticities or the price changes are based upon observations in the futures market. The partial ...

Determining The Number Of Communities In Degree-Corrected Stochastic Block Models, 2018 University of California, Riverside

#### Determining The Number Of Communities In Degree-Corrected Stochastic Block Models, Shujie Ma, Liangjun Su, Yichong Zhang

*Research Collection School Of Economics*

We propose to estimate the number of communities in degree-corrected stochastic block models based on a pseudo likelihood ratio. For estimation, we consider a spectral clustering together with binary segmentation method. This approach guarantees an upper bound for the pseudo likelihood ratio statistic when the model is over-fitted. We also derive its limiting distribution when the model is under-fitted. Based on these properties, we establish the consistency of our estimator for the true number of communities. Developing these theoretical properties require a mild condition on the average degree: growing at a rate faster than log(n), where n is the ...

Return And Volatility Spillovers Between The Renminbi And Asian Currencies, 2018 Singapore Management University

#### Return And Volatility Spillovers Between The Renminbi And Asian Currencies, Hwee Kwan Chow-Tan

*Research Collection School Of Economics*

This paper examines the extent of interdependence between the Chinese Renminbi and Asian currenciesafter the global financial crisis. We combine the distinct influence of offshore Renminbi with the impact ofthe onshore rate on eight Asian currencies (including the Australian dollar). Diebold-Yilmaz spilloverindexes reveal Asian foreign exchange markets are subject to considerable cross-border transmissions. Interms of the US dollar bilateral exchange rates, cross-border transfers of daily return are strongercompared to daily volatility reflecting currency management by regional authorities to curb excessiveexchange rate volatility. Return spillovers from the Renminbi markets to individual Asian foreignexchange markets are generally on par with that from ...