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Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan JIN, Liangjun SU 2010 Singapore Management University

Nonparametric Tests For Poolability In Panel Data Models With Cross Section Dependence, Sainan Jin, Liangjun Su

Research Collection School Of Economics

In this paper we propose a nonparametric test for poolability in large dimensional semiparametric panel data models with cross-section dependence based on the sieve estimation technique. To construct the test statistic, we only need to estimate the model under the alternative. We establish the asymptotic normal distributions of our test statistic under the null hypothesis of poolability and a sequence of local alternatives, and prove the consistency of our test. We also suggest a bootstrap method as an alternative way to obtain the critical values and justify its validity. A small set of Monte Carlo simulations indicate the test performs ...


Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland KLEPPE, Jun YU, Hans J. SKAUG 2010 University of Bergen

Simulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug

Research Collection School Of Economics

In this chapter we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach does not require observations on option prices, nor volatility. To integrate out latent volatility from the joint density of return and volatility, a modified efficient importance sampling technique is used after the continuous time model is approximated using the Euler–Maruyama scheme. The Monte Carlo studies show that the method works well and the empirical applications illustrate usefulness of the method. Empirical results provide strong evidence against the Heston model.


Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki FUJII, Larry KARP 2010 Singapore Management University

Numerical Analysis Of Non-Constant Pure Rate Of Time Preference: A Model Of Climate Policy, Tomoki Fujii, Larry Karp

Research Collection School Of Economics

When current decisions affect welfare in the far-distant future, as with climate change, the use of a declining pure rate of time preference (PRTP) provides potentially important modeling flexibility. The difficulty of analyzing models with non-constant PRTP limits their application. We describe and provide software (available online) to implement an algorithm to numerically obtain a Markov perfect equilibrium for an optimal control problem with non-constant PRTP. We apply this software to a simplified version of the numerical climate change model used in the Stern Review. For our calibration, the policy recommendations are less sensitive to the PRTP than widely believed.


Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun YU 2010 Singapore Management University

Forecasting Realized Volatility Using A Nonnegative Semiparametric Time Series Model, A. Eriksson, D. Preve, Jun Yu

Research Collection School Of Economics

This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003) by way of a power transformation. It is semiparametric in the sense that the distributional form of its error component is left unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Asymptotic properties are established for the new estimation method. Simulation studies validate the new estimation method. The out-of-sample performance of the proposed model is evaluated against a number of standard ...


Economies Of Scope For Microfinance: Differences Across Output Measures, Valentina Hartarska, christopher parmeter, Denis Nadolynak, Beibei Zhu 2009 Auburn University Main Campus

Economies Of Scope For Microfinance: Differences Across Output Measures, Valentina Hartarska, Christopher Parmeter, Denis Nadolynak, Beibei Zhu

Christopher F. Parmeter

In banking, scope economies of mobilizing deposits and lending are often estimated, while consideration of the same measures for microfinance institutions (MFI) is still in its infancy. An open issue remains regarding what characterizes an output of an MFI. Moreover, depending on the output used, do estimated scope economies differ? We use a novel data set for over 800 MFI across more than 70 countries to estimate economies of scope. Our findings suggest that statistical differences arise between estimates of scope economies. However, our qualitative findings indicate that both of these measures provide similar overviews of the landscape of scope ...


Market Power, Eu Integration And Privatization: The Case Of Romania, Gabriel Asaftei, christopher parmeter 2009 University of Miami

Market Power, Eu Integration And Privatization: The Case Of Romania, Gabriel Asaftei, Christopher Parmeter

Christopher F. Parmeter

This paper investigates the effects on pricing behavior of firms in a transition economy resulting from integration into the European Union’s Common Market and changes in ownership. We use a semiparametric model with a rich panel of manufacturing firms in Romania from 1995 to 2003 to estimate firm-level markups. We find that markups are higher in more concentrated industries and less exposed to foreign competition. Trade integration appears to generally increase competitive pressure on markups. Industries exposed to more international competition experience a larger change in markups following integration into the European Union’s Common Market. However, as the ...


Which Hedonic Models Can We Trust To Recover The Marginal Willingness To Pay For Environmental Amenities?, Nicolai Kuminoff, christopher parmeter, Jaren Pope 2009 Arizona State University

Which Hedonic Models Can We Trust To Recover The Marginal Willingness To Pay For Environmental Amenities?, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope

Christopher F. Parmeter

The hedonic property value model is among our foremost tools for evaluating the economic consequences of policies that target the supply of local public goods, environmental services, and urban amenities. We design a theoretically consistent and empirically realistic Monte Carlo study of whether omitted variables seriously undermine the method’s ability to accurately identify economic values. Our results suggest that large gains in accuracy can be realized by moving from the standard linear specifications for the price function to a more flexible framework that uses a combination of spatial fixed effects, quasi-experimental identification, and temporal controls for housing market adjustment


The Benefit Transfer Challenges, Kevin Boyle, Nicolai Kuminoff, christopher parmeter, Jaren Pope 2009 Virginia Polytechnic Institute and State University

The Benefit Transfer Challenges, Kevin Boyle, Nicolai Kuminoff, Christopher Parmeter, Jaren Pope

Christopher F. Parmeter

Presidential Executive Order 12,866 requires federal agencies to design “cost-effective” regulations and to assess “costs and benefits” of these regulations on the basis of “the best reasonably obtainable scientific, technical, economic, and other information.” Benefit transfers are one economic approach used to estimate these benefits and costs, and the use of existing economic information to predict the effects of new policies is well established. However, advancing the practice of benefit transfers is crucial if economists are to play a role in developing federal policies. We review contributions to the benefit-transfer literature and present a unified conceptual framework to guide ...


Estimation Of Hedonic Price Functions With Incomplete Information, Subal Kumbhakar, christopher parmeter 2009 University of Miami

Estimation Of Hedonic Price Functions With Incomplete Information, Subal Kumbhakar, Christopher Parmeter

Christopher F. Parmeter

Existence of persistent price dispersion suggests that some buyers find lower prices through search and information acquisition, while some sellers charge higher prices by gathering information on potential buyers. If buyers are not fully informed of the lowest price available in the market they end up paying a price higher than if they had full information. Similarly, if sellers are not fully informed about the highest price they could charge, they too suffer by receiving a price lower than had they had full information. This paper develops a hedonic price model that incorporates the effects of incomplete information on both ...


Female Political Leadership And The Prevalence Of Water Borne Diseases: Evidence From A Natural Experiment In India, Ambrish Dongre 2009 University of California- Santa Cruz

Female Political Leadership And The Prevalence Of Water Borne Diseases: Evidence From A Natural Experiment In India, Ambrish Dongre

Ambrish A Dongre

This paper examines the relationship between prevalence of water borne diseases and gender of the head of the village councils by exploiting a natural experiment in local governance in India. A constitutional amendment in early 1990s ensured that only women could contest the elections and be the head in at least one- third of the village councils selected through an exogenous process. Utilizing a unique sample survey, we show that having a woman as the council head seems to have no effect on the prevalence of water borne diseases. But if we look into the sub-categories of the female council ...


Trade Bans, Imperfect Competition, And Welfare: Bse And The U.S. Beef Industry, Dimitrios Pangiotou, Azzeddine Azzam 2009 University of Nebraska-Lincoln

Trade Bans, Imperfect Competition, And Welfare: Bse And The U.S. Beef Industry, Dimitrios Pangiotou, Azzeddine Azzam

Azzeddine Azzam

Between May 2003 and July 2005, the U.S. beef industry faced a total ban on Canadian cattle imports following the discovery of BSE in Canada in May 2003 and restrictions on U.S. beef exports following the discovery of BSE in the United States in December 2003. When the United States reopened its border to Canadian cattle in July 2005, shipments were restricted to cattle less than 30 months of age. The total ban on Canadian cattle imports and restrictions on U.S. beef exports overlapped between January 2004 and July 2005. The restrictions on Canadian cattle imports and ...


A Direct Monte Carlo Approach For Bayesian Analysis Of The Seemingly Unrelated Regression Model, Tomohiro Ando, Arnold Zellner 2009 Melbourne Business School

A Direct Monte Carlo Approach For Bayesian Analysis Of The Seemingly Unrelated Regression Model, Tomohiro Ando, Arnold Zellner

Tomohiro Ando

No abstract provided.


Has The World Trade Organization Promoted Successful Regional Trade Agreements?, Jason Grant, christopher parmeter 2009 Virginia Polytechnic Institute and State University

Has The World Trade Organization Promoted Successful Regional Trade Agreements?, Jason Grant, Christopher Parmeter

Christopher F. Parmeter

The WTO’s Committee on Regional Trade Agreements (CRTA) is charged with monitoring, examining, and ensuring the compliance of RTAs. In this paper we ask whether oversight and examination has fostered successful RTAs using bilateral trade flows as our metric. We develop a comprehensive dataset covering 290 regional economic integration agreements that have entered into force since 1960. Remarkably, the data reveal that almost half (43%) of all agreements in existence (up to 2005) are neither notified nor accounted for in the RTA database published by the WTO. We then exploit variation in the notification status of an RTA to ...


Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton 2009 Syracuse University

Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton

A. Joseph Warburton

This paper studies the effects of organizational form on managerial behavior and firm performance, from an empirical perspective. Managers of trusts are subject to stricter fiduciary responsibilities than managers of corporations. This paper examines the ramifications empirically, by exploiting data generated by a change in British regulations in the 1990s that allowed mutual funds to organize as either a trust or a corporation. I find evidence that trust law is effective in curtailing opportunistic behavior, as trust managers charge significantly lower fees than their observationally equivalent corporate counterparts. Trust managers also incur lower risk. However, evidence suggests that trust managers ...


The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell 2009 DePaul University and Columbia College Chicago

The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell

Byron E. Bell

No abstract provided.


Technical Appendix To Supranational Agency: A Solution For Conflict In International Mergers?, Poonam Mehra 2009 NITIE

Technical Appendix To Supranational Agency: A Solution For Conflict In International Mergers?, Poonam Mehra

Poonam Singh Mehra

This note includes the general model and technical proofs of the paper titled “Supranational Agency: A Solution for Conflicts in International Mergers”. This paper develops a two Country three Firm model to compare the possibilities of conflict between competition authorities of different countries over the review of a merger under different welfare standards: national, consumer, and global. Use of transfer payment under the global welfare standard to ensure a conflict free efficient outcome is also explored.


Simulation And Inference For Stochastic Differential Equations: With R Examples, By Stefano M. Iacus, Suren Basov 2009 La Trobe University

Simulation And Inference For Stochastic Differential Equations: With R Examples, By Stefano M. Iacus, Suren Basov

Suren Basov

No abstract provided.


Trade Growth, Production Fragmentation And China's Environment, Judith M. Dean, Mary E. Lovely 2009 US International Trade Commission

Trade Growth, Production Fragmentation And China's Environment, Judith M. Dean, Mary E. Lovely

Mary E. Lovely

In recent years, China has experienced both rapidly growing trade and serious environmental degradation. The large literature on trade and environment lends some credence to the idea that these are causally related: trade growth for a relatively poor country is thought to shift the composition of industrial output towards dirtier products, aggravating environmental damage. However, much of China’s trade growth is attributable to the international fragmentation of production and the growing dominance of trade in parts and components. This kind of trade could lead to “cleaner” trade if fragmented production occurs in cleaner goods or China specializes in cleaner ...


Demutualization Of Stock Exchanges, Poonam Mehra 2009 NITIE

Demutualization Of Stock Exchanges, Poonam Mehra

Poonam Singh Mehra

No abstract provided.


Measuring Poverty And Human Capital Development In Sudan, Professor Issam A.W. Mohamed 2009 Department of Economics. Al Neelain University, Khartoum, Sudan

Measuring Poverty And Human Capital Development In Sudan, Professor Issam A.W. Mohamed

Professor Issam A.W. Mohamed

Catastrophes in Sudan are of many dimensions. Food security is a chronic and intrinsic problem in Sub Saharan Africa which is a fact recognized by the international society. Political instability, civil wars and finally recent secession of its Southern part is another fact which may be taken as a vivid example for other regions of that previously largest African country to be followed. The present paper introduces an analysis and assessment of measurements for human development indices in Sudan. It is empirically concluded that human welfare is invisible. The parameters are very low. Strategies are needed to provide for basic ...


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