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1
Aslan, Serdar. "Nonlinear Estimation Techniques Applied To Econometric." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605649/index.pdf.
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This thesis considers the filtering and prediction problems of nonlinear noisy econometric systems. As a filter/predictor, the standard tool Extended Kalman Filter and new approaches Discrete Quantization Filter and Sequential Importance Resampling Filter are used. The algorithms are compared by using Monte Carlo Simulation technique. The advantages of the new algorithms over Extended Kalman Filter are shown.
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Paraskevopoulos, Ioannis. "Econometric models applied to production theory." Thesis, Queen Mary, University of London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.392498.
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Aslan, Serdar Supervisor :. Demirbaş Kerim. "Nonlinear estimation techniques applied to econometric problems." Ankara : METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605649/index.pdf.
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Rappaport, Neal J. (Neal Jeffrey). "Applied econometric essays on sales taxes and computer price indices." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11960.
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Fang, Fang, and Fang Fang. "Modern Econometric Techniques Applied To Three Essays In Spatial Economics." Diss., The University of Arizona, 2016. http://hdl.handle.net/10150/621359.
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For Chapter 1: This paper offers a meta-regression analysis of the controversial impact of EU structural funds on the growth of the recipient regions. It identifies the factors that explain the heterogeneity in the size of 323 estimates of their impact recorded in 17 econometric studies. Heterogeneity comes from the publication status, the period examined, controlling for endogeneity, from the presence of several regressors but not from differences in functional forms. For Chapter 2: Recent spatial econometric contributions call for theory-driven spatial models and W matrices capturing actual and time-varying interregional linkages. This paper answers this call by developing theoretically Griliches' well-known knowledge production function to add knowledge externalities to it. They capture how human and private capital originating from one region benefit the creation of innovation elsewhere. Furthermore, we measure interregional interaction based on the actual flows of patent creation-citation and of migration of the educated workers. They have the advantage of capturing clearly the direction of the knowledge transfers. Their presence in the theoretical model leads to a reduced-form spatial cross-regressive model which differentiates better the role of each type of externality - and displays a better goodness of fit - than the spatially lagged model where spillovers depend on geographical proximity only. Both models are estimated on spatial panel data covering the dynamics of innovation across US states over the 1986-1999 period. For Chapter 3: The Ricardian framework is increasingly used for the study of the impact of climate change on farmland values. While most of the Ricardian studies assume no interaction between the geographical units under study, the few that do rely on traditional proximity-based dependence. In this paper we argue that since the larger share of agricultural goods produced by a state is not for its own local market, including interregional trade in the Ricardian framework provides new perspectives, avoids a missing variable bias and prevents erroneous conclusions. Our new framework is applied to the system of the U.S. states over the four most recent censuses (1997-2012) and demonstrate that climate and socio-economic conditions experienced in a state's trade partners have a significant role on that state's local farmland values.
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Enzinger, Sharn Emma 1973. "The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis." Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.
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Vives, David Mendez. "Applied financial econometric analysis : the dynamics of swap spreads and the estimation of volatility." Thesis, London School of Economics and Political Science (University of London), 2003. http://etheses.lse.ac.uk/2655/.
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This Thesis contains an examination of the time-series properties of swap spreads, their relation with credit spreads and an estimation of the risk premium embedded in the swap spread curve. Chapter 2 introduces the main institutional aspects of swap markets, and studies the time-series properties of swap spreads. These are shown to be non-stationary and display a time-varying conditional volatility. Chapter 3 provides evidence of cointegration between corporate bond spreads and swap spreads. We estimate an error-correction model, including additional variables such as the level and slope of the yield curve, taking into account the exogenous structural break due to the crisis of August 1998. We find evidence that the relation between swap and credit spreads arises from the swap cash flows being indexed to Libor rates. Chapter 4 studies the risk premium in the term structure of the swap spreads, obtaining evidence that it is time-varying. The slope of the swap spread curve is shown to predict the changes in swap spreads. These results are relevant for the study of the risk premium in credit markets, and extend the existing literature on riskless Treasury securities. Chapter 6 develops the asymptotic properties of the quadratic variation estimator of the volatility of a continuous time diffusion process. We explore the case in which the number of observations tends to infinity, while the time between them remains fixed. For the case of a geometric Brownian motion, we show that the estimator is asymptotically biased, but the bias is a random variable that converges. We study the behaviour of this random variable via a simulation study, that shows that it typically has a "small" effect. We conclude by exploring some practical applications related the specification of the volatility for financial time series.
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Shimada, Hideki. "Econometric Analysis of Social Interactions and Economic Incentives in Conservation Schemes." Doctoral thesis, Kyoto University, 2021. http://hdl.handle.net/2433/263702.
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Armah, Mark Kojo. "Exchange rate, trade and poverty : applied general equilibrium and econometric analyses of the Ghanaian economy." Thesis, University of Hull, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.445280.
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Kummerow, Max F. "A paradigm of inquiry for applied real estate research : integrating econometric and simulation methods in time and space specific forecasting models : Australian office market case study." Thesis, Curtin University, 1997. http://hdl.handle.net/20.500.11937/1574.
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Office space oversupply cost Australia billions of dollars during the 1990-92 recession. Australia, the United States, Japan, the U.K., South Africa, China, Thailand, and many other countries have suffered office oversupply cycles. Illiquid untenanted office buildings impair investors capital and cash flows, with adverse effects on macroeconomics, financial institutions, and individuals. This study aims to develop improved methods for medium term forecasting of office market adjustments to inform individual project development decisions and thereby to mitigate office oversupply cycles. Methods combine qualitative research, econometric estimation, system dynamics simulation, and institutional economics. This research operationalises a problem solving research paradigm concept advocated by Ken Lusht. The research is also indebted to the late James Graaskamp, who was successful in linking industry and academic research through time and space specific feasibility studies to inform individual property development decisions. Qualitative research and literature provided a list of contributing causes of office oversupply including random shocks, faulty forecasting methods, fee driven deals, prisoners dilemma game, system dynamics (lags and adjustment times), land use regulation, and capital market issues. Rather than choosing among these, they are all considered to be causal to varying degrees. Moreover, there is synergy between combinations of these market imperfections. Office markets are complex evolving human designed systems (not time invariant) so each cycle has unique historical features. Data on Australian office markets were used to estimate office rent adjustment equations. Simulation models in spreadsheet and system dynamics software then integrate additional information with the statistical results to produce demand, supply, and rent forecasts. Results include models for rent forecasting and models for analysis related to policy and system redesign. The dissertation ends with two chapters on institutional reforms whereby better information might find application to improve market efficiency.Keywords. Office rents, rent adjustment, office market modelling, forecasting, system dynamics.
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Cohen, Jed Jacob. "Planning for the Future in the Face of Climate Change Uncertainty: Three Econometric Techniques Applied to the Challenges Facing Energy, Water, and Recreation Demand." Diss., Virginia Tech, 2016. http://hdl.handle.net/10919/72980.
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This dissertation consists of three separate research papers. Each paper uses a different econometric technique to analyze a problem relating to the social aspects of climate change. The first paper investigates a potential adaptive strategy to counteract warming stream waters through stream intervention projects. Using novel non-parametric matching estimation techniques it is shown that these intervention projects have positive effects on homeowners that are near to the stream but downstream of the project site. The second paper uses Bayesian econometric techniques to analyze survey data regarding the welfare losses experienced as a result of power outages across Europe. This paper shows how the severity and spatial distribution of these welfare losses will change as the climate warms, which enables the current electricity grid expansion taking place in Europe to account for these effects of climate change. The third paper uses Classical econometric techniques to estimate the effect of temperature on visitor recreation choices around Lake Tahoe. It is then shown that under climate scenarios the demand for beach and water access at Lake Tahoe will greatly increase, which suggests that lake managers begin to plan regulations and build infrastructure to account for this demand increase.Ph. D.
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Kummerow, Max F. "A paradigm of inquiry for applied real estate research : integrating econometric and simulation methods in time and space specific forecasting models : Australian office market case study." Curtin University of Technology, School of Economics and Finance, 1997. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=11274.
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Office space oversupply cost Australia billions of dollars during the 1990-92 recession. Australia, the United States, Japan, the U.K., South Africa, China, Thailand, and many other countries have suffered office oversupply cycles. Illiquid untenanted office buildings impair investors capital and cash flows, with adverse effects on macroeconomics, financial institutions, and individuals. This study aims to develop improved methods for medium term forecasting of office market adjustments to inform individual project development decisions and thereby to mitigate office oversupply cycles. Methods combine qualitative research, econometric estimation, system dynamics simulation, and institutional economics. This research operationalises a problem solving research paradigm concept advocated by Ken Lusht. The research is also indebted to the late James Graaskamp, who was successful in linking industry and academic research through time and space specific feasibility studies to inform individual property development decisions. Qualitative research and literature provided a list of contributing causes of office oversupply including random shocks, faulty forecasting methods, fee driven deals, prisoners dilemma game, system dynamics (lags and adjustment times), land use regulation, and capital market issues. Rather than choosing among these, they are all considered to be causal to varying degrees. Moreover, there is synergy between combinations of these market imperfections. Office markets are complex evolving human designed systems (not time invariant) so each cycle has unique historical features. Data on Australian office markets were used to estimate office rent adjustment equations. Simulation models in spreadsheet and system dynamics software then integrate additional information with the statistical results to produce demand, supply, and rent forecasts. Results include ++models for rent forecasting and models for analysis related to policy and system redesign. The dissertation ends with two chapters on institutional reforms whereby better information might find application to improve market efficiency.Keywords. Office rents, rent adjustment, office market modelling, forecasting, system dynamics.
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Santos, Ana Flávia Soares dos. "Essays in applied econometrics and monetary policy." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24622.
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This thesis contains three independent chapters. The first one is about central bank credibility, where we measure people’s beliefs using survey data on inflation expectations and focus on the 12-month-ahead horizon since it is widely used in the literature. Beliefs are measured by employing the panel-data setup of Gaglianone and Issler (2015), who show that optimal individual forecasts are an affine function of one factor alone – the conditional expectation of inflation. This allows the identification and estimation of the common factor, our measure of people’s beliefs. Second, we compare beliefs with explicit (or tacit) targets by constructing Heteroskedasticity and Autocorrelation Consistent (HAC) 95% asymptotic confidence intervals for our estimates of the conditional expectation of inflation, which is an original contribution of this paper. Whenever the target falls into this interval we consider the central bank credible. We consider it not credible otherwise. This approach is applied to the issue of credibility of the Central Bank of Brazil (BCB) by using the now well-known Focus Survey of forecasts, kept by the BCB on inflation expectations, from January 2007 until April 2017. Results show that the BCB was credible 65% of the time, with the exception of a few months in the beginning of 2007 and during the interval between mid-2013 throughout mid-2016. We also constructed a credibility index for this period and compared it with alternative measures of credibility. In the second chapter, we show that it is possible to conciliate individual and consensus rationality tests, by developing a new framework to test for rational expectations hypothesis. We propose a methodology that verifies the consistency of the above mentioned expectation formation rule, where we explicitly allow for the possibility of heterogeneous expectations at the individual level, but also keeping individual and consensus expectations at the same system. We advance with respect to Keane and Runkle (1990)’s previous work, which argued that almost all existing tests in the literature so far were either incorrect or inadequate. In the third chapter, we propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we backcast several individual country series which were not available in a long time-series span. We also establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individualcountry composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board – TCB) of the U.S. economy. We find that the U.S. indicator Granger-causes the Latin American indicator in statistical tests.
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Bouton, Laurent. "Essays in game theory applied to political and market institutions." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210325.
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My thesis contains essays on voting theory, market structures and fiscal federalism: (i) One Person, Many Votes: Divided Majority and Information Aggregation, (ii) Runoff Elections and the Condorcet Loser, (iii) On the Influence of Rankings when Product Quality Depends on Buyer Characteristics, and (iv) Redistributing Income under Fiscal Vertical Imbalance.(i) One Person, Many Votes: Divided Majority and Information Aggregation (joint with Micael Castanheira)
In elections, majority divisions pave the way to focal manipulations and coordination failures, which can lead to the victory of the wrong candidate. This paper shows how this flaw can be addressed if voter preferences over candidates are sensitive to information. We consider two potential sources of divisions: majority voters may have similar preferences but opposite information about the candidates, or opposite preferences. We show that when information is the source of majority divisions, Approval Voting features a unique equilibrium with full information and coordination equivalence. That is, it produces the same outcome as if both information and coordination problems could be resolved. Other electoral systems, such as Plurality and Two-Round elections, do not satisfy this equivalence. The second source of division is opposite preferences. Whenever the fraction of voters with such preferences is not too large, Approval Voting still satisfies full information and coordination equivalence.
(ii) Runoff Elections and the Condorcet Loser
A crucial component of Runoff electoral systems is the threshold fraction of votes above which a candidate wins outright in the first round. I analyze the influence of this threshold on the voting equilibria in three-candidate Runoff elections. I demonstrate the existence of an Ortega Effect which may unduly favor dominated candidates and thus lead to the election of the Condorcet Loser in equilibrium. The reason is that, contrarily to commonly held beliefs, lowering the threshold for first-round victory may actually induce voters to express their preferences excessively. I also extend Duverger's Law to Runoff elections with any threshold below, equal or above 50%. Therefore, Runoff elections are plagued with inferior equilibria that induce either too high or too low expression of preferences.
(iii) On the Influence of Rankings when Product Quality Depends on Buyer Characteristics
Information on product quality is crucial for buyers to make sound choices. For "experience products", this information is not available at the time of the purchase: it is only acquired through consumption. For much experience products, there exist institutions that provide buyers with information about quality. It is commonly believed that such institutions help consumers to make better choices and are thus welfare improving.
The quality of various experience products depends on the characteristics of buyers. For instance, conversely to the quality of cars, business school quality depends on buyers (i.e. students) characteristics. Indeed, one of the main inputs of a business school is enrolled students. The choice of buyers for such products has then some features of a coordination problem: ceteris paribus, a buyer prefers to buy a product consumed by buyers with "good" characteristics. This coordination dimension leads to inefficiencies when buyers coordinate on products of lower "intrinsic" quality. When the quality of products depends on buyer characteristics, information about product quality can reinforce such a coordination problem. Indeed, even though information of high quality need not mean high intrinsic quality, rational buyers pay attention to this information because they prefer high quality products, no matter the reason of the high quality. Information about product quality may then induce buyers to coordinate on products of low intrinsic quality.
In this paper, I show that, for experience products which quality depends on the characteristics of buyers, more information is not necessarily better. More precisely, I prove that more information about product quality may lead to a Pareto deterioration, i.e. all buyers may be worse off due.
(iv) Redistributing Income under Fiscal Vertical Imbalance (joint with Marjorie Gassner and Vincenzo Verardi)
From the literature on decentralization, it appears that the fiscal vertical imbalance (i.e. the dependence of subnational governments on national government revenues to support their expenditures) is somehow inherent to multi-level governments. Using a stylized model we show that this leads to a reduction of the extent of redistributive fiscal policies if the maximal size of government has been reached. To test for this empirically, we use some high quality data from the LIS dataset on individual incomes. The results are highly significant and point in the direction of our theoretical predictions.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
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Erdogdu, Erkan. "Essays on electricity market reforms : a cross-country applied approach." Thesis, University of Cambridge, 2013. https://www.repository.cam.ac.uk/handle/1810/244713.
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In the last two decades, more than half of the countries in the world have introduced a reform process in their power industries and billions of dollars have been spent on liberalizing electricity markets around the world. This thesis presents a doctoral research concerned with the cross-country empirical analysis of the electricity market reforms. The thesis is in three-paper format; that is, we present three independent but related stand-alone papers. The first paper focuses on the impact of power market reforms on electricity price-cost margins and industrial/residential price ratios. It investigates this issue by looking at the impact of the electricity industry reforms on residential and industrial electricity price-cost margins and their effect on industrial/residential price ratios. Using panel data from 63 developed and developing countries covering the period 1982–2009, empirical models are developed and analysed. The results suggest that each individual reform step has different impact on price-cost margins and industrial/residential price ratios for each consumer and country group. That is to say, our findings imply that similar reform steps may have different impacts in different countries, which supports the idea that reform prescription for a specific country cannot easily be transferred to another one with similar success. The second paper explores whether the question of why some countries are able to implement more extensive reforms is closely related to the question of why some countries have better institutions than others. It analyses this question by using an empirical econometric model based on Poisson regression with cross-section data covering 51 states in US, 13 provinces in Canada and 51 other countries. The study concludes that both the background of the chairperson and the minister/governor and institutional endowments of a country are important determinants of how far reforms have gone in a country. Considering the fact that ideological considerations, political composition of governments and educational/professional background of leaders have played and will play a crucial role throughout the reform process; the third paper attempts to discover the impact of political economic variables on the liberalization process in electricity markets. It develops and analyses empirical models using panel data from 55 developed and developing countries covering the period 1975–2010. The results suggest that a portion of the differences in the reform experiences of reforming countries in the past three decades can be explained by differences in the political structure, in the ideology of the government and in the professional and educational backgrounds of the political leaders.
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Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.
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Farsi, Mehdi. "Applied microeconomics and econometrics." Zurich : ETH, Eidgenössische Technische Hochschule Zürich, Centre for Energy Policy and Economics (CEPE), 2008. http://e-collection.ethbib.ethz.ch/show?type=habil&nr=31.
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Hou, J. Mark (Jie Mark), Eric Sodomka, and Moses Nicolás E. Stier. "Topics in applied econometrics." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107319.
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Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, 2016.Cataloged from PDF version of thesis. "with Eric Sodomka and Nicolas E. Stier-Moses"--Page 6 [Below title of Chapter 1].
Includes bibliographical references.
Chapter 1 focuses on the problem of predicting equilibrium outcomes in large online auction markets. For online retailers, content publishers, and search engines, predicting how the behavior of their auction markets might respond to policy changes is an important business problem. However, this problem is challenging due to both the size and the complexity of such real-world markets. We introduce a method for predicting how various statistics of such markets adjust to changes in supply and demand by: (1) modeling the auction market mechanism as a Walrasian mechanism, (2) coarsening the resulting Walrasian market via a stochastic block model, (3) computing the Walrasian equilibrium of this coarsened market through sampling, and (4) using the resulting equilibrium, together with some reduced-form adjustments, to approximate the equilibrium of the initial auction market. We demonstrate the internal consistency of this method through formal proofs and synthetic experiments, and demonstrates its accuracy by comparison with the equilibrium outcomes of a more realistic pacing-based model of auction markets. Chapter 2 introduces a model of consumer choice in which consumers simplify their latent high-dimensional preference vector into a low-dimensional one used for choosing products. This assumption induces a particular population structure over consumers' simplified preferences, which allows for tractable estimation in high dimensional settings. Estimation is performed via a stochastic gradient descent-based algorithm, and we evaluate its performance through a variety synthetic benchmarks. We also estimate the model on consumer consideration data, finding that the average consumer uses only 6 of 16 product attributes when forming their consideration set, and that this leads to a utility of loss of 2 - 3% on average. Chapter 3 uses admissions data from the University of Bologna's medical school to analyze how students' entrance exam rankings affect their subsequent academic performance. We find that: (1) worse rankings lead to worse academic performance, (2) this impact is more negative for worse-ranked students, (3) this impact on academic performance operates mostly through courseload rather than through GPA, and (4) male and female students' academic performance do not respond differentially to rank.
by J. Mark Hou.
Ph. D.
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Showalter, Mark H. "Essays in applied econometrics." Thesis, Massachusetts Institute of Technology, 1991. http://hdl.handle.net/1721.1/13958.
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Huse, Cristian. "Essays in applied econometrics." Thesis, London School of Economics and Political Science (University of London), 2008. http://etheses.lse.ac.uk/2332/.
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This thesis is divided in three essays. The first essay examines the reactions by incumbent airhnes to the threat and actual entry of the low-cost carrier Gol in the Brazilian domestic air transport market. By estimating the reactions in prices, quantities and supply variables, it investigates the plausibility of theories of entry deterrence and accommodation. The second essay proposes and implements a parsimonious three-factor model of the term structure whose dynamics is driven uniquely by observable state variables. The method allows comparing alternative views on the way state variables - macroeconomic variables, in particular - influence the yield curve dynamics, avoids curse of dimensionality problems commonly appearing in traditional models, and provides more reliable inference by using both the cross-sectional and the time series dimension of the data. I conduct in- and out-of-sample studies using a comprehensive set of US data. I show that even a parsimonious model where the level, slope and curvature factors of the term structure are driven by, respectively, measures of inflation, monetary policy and economic activity consistently outperforms the (latent-variable) benchmark model out-of-sample, when considering the five NBER-dated recessions of the last three decades. In the third essay I empirically evaluate the incentives to tacitly collude in differentiated product markets. Tacit collusion plays an important role in merger policy: competition agencies sometimes block mergers on the grounds that they will generate 'coordinated effects', an increased likelihood of collusion. I thus propose an approach to coordinated effects merger simulation in markets where multi-product firms operate in differentiated product markets. To the best of my knowledge, this is the first full empirical implementation of a coordinated effects merger simulation model in a differentiated product market. I use the model to study the network server market and, specifically, examine the effect of the merger between HP and Compaq on their and their rivals' collective incentives and ability to sustain tacit collusion. The results suggest that the incentives to collude in the network server market are substantial, but actively decreased following the merger between HP and Compaq. In addition to exploring the incentives for collusion on one market I also examine the impact of (i) multi-market contact on firms' incentive and ability to sustain tacit coordination and (ii) a competitive fringe of smaller players who co-exist with a subset of the larger players in an industry who tacitly collude. By taking the economic theory of tacit collusion seriously in an empirical example, I show that the intuition many economists have for the effect of mergers on the incentives to tacitly collude is actually wrong.
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Reggio, Ojeda Iliana Gabriela. "Essays in applied econometrics." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1693063571&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Sam, Abdoul Gadiry. "ESSAYS IN APPLIED ECONOMETRICS." Diss., The University of Arizona, 2005. http://hdl.handle.net/10150/194539.
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The first essay of this dissertation studies the determinants and effects of firms' participation in a voluntary pollution reduction program (VPR) initiated by government regulators. This research presents empirical evidence in support of the "enforcement theory" for VPRs, which predicts that (1) participation is rewarded by relaxed regulatory scrutiny; (2) the anticipation of this reward spurs firms to participate in the program; and (3) the program rewards regulators with reduced pollution. The results also indicate that firms' VPR participation, and pollutant reductions themselves, were prompted by a firm's likelihood of becoming a boycott target and/or being subject to environmental interest group lobbying for tighter standards.In the second essay, a nonparametric regression estimator which can accommodate two empirically relevant data environments is proposed. The first data environment assumes that at least one of the explanatory variables is discrete. In such an environment, a "cell" approach which estimates a separate regression for each discrete cell, has generally been employed. The second data environment assumes that one needs to estimate a set of regression functions that belong to different individuals. In both environments the proposed estimator attempts to reduce estimation error by incorporating extraneous data from the other individuals or "cells" when estimating the regression function for a given individual or "cell". The simulation results for the proposed estimator demonstrate a strong potential in empirical applications.In the third essay, the nonparametric approach proposed in the second essay is used to estimate the parameters of the short-term interest rate diffusion. The nonparametric estimators of the drift of the short rate proposed by Stanton (1997) and Jiang (1998) can produce spurious nonlinearities due to the persistent dependence and limited sampling period of interest rates. The simulations show that the proposed estimator significantly attenuates the spurious nonlinearities of Stanton's nonparametric estimator. An empirical study of the US term structure of interest rates is presented based on the proposed estimator and two other competing models. The results suggest that the estimation of the short rate diffusion parameters using additional data from yields of different maturities has significant economic implications on the valuation interest rate derivatives.
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Duarte, Rafael Burjack Farias. "Essays in applied econometrics." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/16591.
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Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises to the Brazilian interbank target rate on expected future nominal and real short rates, term premia, and inflation expectations. We find that positive surprises to target rates lead to higher expected nominal and real interest rates and reduced nominal and inflation term premia. We also find a strongly positive relation between both real and nominal term premia and measures of dispersion in survey forecasts. Uncertainty about future exchange rates is a particularly important driver of variations in Brazilian term premia.
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GRUENBERGER, KLAUS. "Essays on applied econometrics." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2014. http://hdl.handle.net/2108/201764.
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Scottini, Lucas Costa. "O que o Nome nos ensina? Padrões sociais e raciais de nomes e sobrenomes e performance escolar em São Paulo." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-30112011-192644/.
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Esta dissertação estuda padrões sociais e raciais de nomes e sobrenomes entre alunos paulistas e a correlação desses padrões com desempenho escolar. Para cada nome e sobrenome observados criamos índices que medem o quão distintamente rico (ou pobre) e o quão distintamente branco (ou afro) tais nomes e sobrenomes são. Os resultados são de que tanto nomes quanto sobrenomes dão sinais de status socioeconômico, enquanto sobrenomes e, em menor medida, nomes predizem raça. Nomes que indicam maior status são, em geral, de maior frequência estatística, de origem latina, formados por um só termo e com grafia condizente com a Língua Portuguesa formal. Nomes de menor frequência estatística, compostos por duas palavras, com influência do idioma inglês na grafia e na pronúncia e com grafias distintas do Português formal estão associados a baixo status. A evidência aponta ainda para uma relação mais forte entre primeiro nome e status do que entre primeiro nome e raça, revelando que, em São Paulo, o universo cultural que baseia a escolha de primeiros nomes é mais classe-específico que raça-específico. Pelo lado dos nomes de família, os dados mostram que sobrenomes tipicamente de alto status e tipicamente brancos são de menor frequência estatística e de origem não-portuguesa. Sobrenomes portugueses não apresentam padrão socioeconômico e racial, com exceção dos três sobrenomes mais frequentes, os quais são tipicamente pobres. Além disso, sobrenomes associados à religião católica são tipicamente pobres e afrodescendentes. Posteriormente, avaliamos a relação entre diversas medidas de performance escolar e nomes e sobrenomes. Os dados apontam para uma associação robusta entre ter um nome distintamente pobre (rico) e um sobrenome distintamente afro (branco) e piores (melhores) resultados escolares. Tal evidência é consistente com um cenário em que escolhas culturais dos pais e herança cultural familiar afetam a acumulação de capital humano de crianças e jovens adultos. Entre outras possibilidades está a existência de tratamento discriminatório nas escolas.This dissertation studies social and racial patterns of names and surnames for students in São Paulo and evaluates its contribution to academic performance. For each name and surname observed, we create indices to measure how distinctively rich (or poor) and how distinctively white (or black) they are. We find that both names and surnames are predictors of social status, while surnames and, to a lesser extent, names predict race. Names that indicate higher status present, generally, higher frequency, latin origin, only one term and spelling coherent to formal Portuguese language. Names that signal low status show lower frequency, two terms, English language influence on spelling and pronouncing and spelling different from formal Portuguese. The evidence also points to a stronger link between first names and social status than between first names and race, revealing that cultural determinants of name choice are mainly social rather than racial. When it comes to family names, data shows that distinctively high status and white surnames have low frequency and non-portuguese origin. Portuguese surnames do not present social or racial patterns, except for the three most common surnames, which are typically poor. Additionaly, catholic devotional surnames are distinctively poor and afro. Then we evaluate the correlation between names, surnames and a set of academic performance measures. The evidence indicates a robust link between having a distinctively poor (rich) name and a distinctively afro (white) family name and worse (better) grades. This is consistent with a scenario where parental cultural choices and familiar cultural heritage affect human capital accumulation of children. Discriminatory treatment in school is another possibility.
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Xu, Jinwen. "Three essays on applied econometrics." Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/50290.
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This dissertation consists of three chapters. Chapter 1 investigates how returns to education are related to occupation choices. Specifically, I investigate the returns to attending a two-year college and a four-year college and how these returns to education differ from a blue-collar occupation to a white-collar occupation. To address the endogenous education and occupation choices, I use a finite mixture model. I show how the finite mixture model can be nonparametrically identified by using test scores and variations in wages across occupations over time. Using data taken from the National Longitudinal Survey of Youth (NLSY) 1979, I estimate a parametrically specified model and find that returns to education are occupation specific. Specifically, a two-year college attendance enhances blue-collar wages by 24% and white-collar wages by 17% while a four-year college attendance increases blue-collar wages by 23% and white-collar wages by 30%.
Chapter 2 and Chapter 3 study how to perform econometric analysis with complex survey data, which is widely used in large scale surveys. Although it is attractive in terms of sampling costs, it introduces complication in statistical analysis, when compared with the simple random sampling method. In Chapter 2, I study the properties of M-estimators when they are used with complex survey data. To undo the over- and under-representation effects of the complex survey design, it is typically necessary to use the survey weight in M-estimation. I establish the consistency and asymptotic normality of the weighted M-estimators. I also discuss how to estimate the asymptotic covariance matrix of the M-estimators. Further, I demonstrate serious consequences of ignoring the survey design in M-estimation and inference based on it. In Chapter 3, I consider specification testing with complex survey data. Specifically, I modify the standard m-testing framework to propose a new method to test if a given model is correct for a subpopulation. The proposed test has advantages over the standard m-testing, taking
account of likely heterogeneity of subpopulation distributions. All of the three chapters deal with heterogeneity of subpopulation distributions, whether or not the subpopulation identity is known (Chapter 2 and Chapter 3) and unknown (Chapter 1).Arts, Faculty of
Vancouver School of Economics
Graduate
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Lin, Yanjun. "Three essays in applied econometrics." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:05ae39ab-8090-4405-8179-c775119d15fa.
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This thesis presents three essays in the field of applied econometrics. In the first essay, we use the establishment-level Annual Respondents Database (ARD) data and the sector-level Confederation of British Industry (CBI) Industrial Trends Survey data to identify the key determinants of U.K. manufacturing investment. We first examine the trends in the ARD microdata aggregates, the relative price of investment goods data, and the CBI survey data. Subsequently, we estimate a baseline dynamic error correction investment model which separates out short-run and long-run investment dynamics. When we introduce additional variables derived from the CBI survey data to the baseline model, the estimation results show that survey variables pertaining to financing constraints and demand uncertainty have negative effects on investment, while the survey variable related to the volume of total new orders has a positive effect on investment. In the second essay, we develop forecasting models for aggregate U.K. manufacturing investment. After assessing the CBI's forecasting record over the recent financial crisis, we conclude that CBI forecasters were slow in realizing the severe negative effect of the credit crisis on manufacturing investment. Subsequently, we develop our own baseline error-correction forecasting model, which conditions only on lagged explanatory variables, and apply the general-to-specific modeling approach to simplify the model. However, the selected baseline specification has poor out-of-sample forecast properties over the crisis period. When we include additional CBI survey variables in the baseline model, there is an improvement in the out-ofsample forecast performance in most cases. Survey measures of business optimism and expected future demand are found to be particularly useful in this context. Finally, in the third essay, we employ a Threshold Vector Autoregression (TVAR) model to examine the potentially nonlinear impact of fiscal stimulus on output under tight and loose credit supply conditions in the U.S. In our main specification, we choose the excess bond premium as the threshold variable to identify periods of tight credit and loose credit. The empirical results suggest that government spending increases are more effective at stimulating output than tax cuts, especially when credit conditions are loose.
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Chen, Zhihong. "Three essays in applied econometrics." Thesis, Boston College, 2005. http://hdl.handle.net/2345/0.
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Thesis advisor: Arthur LewbelThis dissertation consists of three self-contained papers in applied econometrics. The frrst chapter, Testing Multivariate Distributions (joint with Jushan Bai), proposes a new method to test multivariate distributions with a focus on multivariate normality and multivariate t distribution, motivated in part by examination of financial market data. Using Khmaladze's martingale transformation to purge the effect of parameter estimation, our test generates a distribution-free statistic and can be easily applied to cases with complicated parameters. Simulation shows our test has good size and power. Finally, we apply our test procedure to a real multivariate financial time series. The result is consistent with the well-known fat tail property of financial data. The second chapter, Measuring the Poverty Line in China - An Equivalence Scale Method, is motivated by the current urban poverty issue in China. The fundamental question is: given the poverty threshold for an individual, how should that threshold vary across households with different demographic characteristics? This paper uses urban Household survey (uHS) data of China to estimate the equivalence scales for Chinese urban households. The results provide a quantitative reference to calculate the comparable poverty lines for households with different demographic compositions. It also can be used to determine appropriate subsidy levels for demographically different households. A useful byproduct of this exercise is the specification of a demand system for China. The third chapter, Dynamics of City Growth: Random or Deterministic? Evidence From China (joint with Shihe Fu), tests the random growth theory and the endogenous growth theory in urban economics using Chinese city size data from 1984-2002. We implement unit root and cointegration tests on pooled heterogeneous cities in the country. Since China is still in the period of rapid urbanization, we can only tentatively conclude that the overall Chinese city growth does not follow either random growth or parallel growth. However, we find that a small number of cities with certain common characteristics do grow parallel
Thesis (PhD) — Boston College, 2005
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
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Álvarez, Aranda Rocío. "Three essays on applied econometrics." Doctoral thesis, Universidad de Alicante, 2012. http://hdl.handle.net/10045/26697.
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Murphy, Anthony. "Essays in housing and applied econometrics." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.432162.
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Barrios, Thomas. "Essays in Applied Econometrics and Education." Thesis, Harvard University, 2014. http://dissertations.umi.com/gsas.harvard:11558.
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This dissertation consists of three essays. First, we explore the implications of correlations that do not vanishing for units in different clusters for the actual and estimated precision of least squares estimators.Economics
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Andrade, Isabel C. "Three essays in applied multivariate econometrics." Thesis, University of Southampton, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.241034.
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Kurniawan, Ferry. "Essays on applied time series econometrics." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/61711/.
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The thesis consists of three self-contained essays. These are Business Cycles in ASEAN-5 Countries (Chapter 1), Nowcasting Indonesian Economy (Chapter 2), and Data Revisions in Indonesia (Chapter 3). In the first chapter, I investigate the extent to which business cycles coincide in five ASEAN (Association of Southeast Asian Nations) countries. I employ unobserved component models to decompose output into its trend and cycle. I find that the business cycles co-movements are high for some pairs of countries. However, the magnitude of the business cycles and the source of output fluctuations are different. The findings suggest that these countries may not yet be ready to step further beyond the formation of ASEAN Economic Community (AEC) by 2015 to a monetary union. In the second chapter, I exploit monthly indicators to forecast the current quarter Indonesian output growth (nowcast). In particular, I employ three nowcasting approaches; mixed-frequency factor model, bridging equation and MIDAS (MIxed DAta Sampling) regression, and evaluate their performance. The nowcasts are computed and evaluated on the basis of real-time and latest available data. In general, the encompassing tests recommend that neither mixed-factor model nowcasts nor MIDAS nowcasts encompass the other. Hence, I adopt a nowcast combination approach and find that the combination increases the accuracy relative to individual nowcasts. The last chapter focuses on real-time data issues. I construct a real-time data set for Indonesia, investigate the nature of data revisions, and assess the impact of the revisions on real-time output gap estimates and through this, the effect on monetary policy. The results suggest that the preliminary data is not an efficient forecast of the revised (final) value. By comparing the output gap estimates, extracted using the Hodrick-Prescott filter to both preliminary and final data, I find that output gap revisions is mainly due to data revisions, rather than due to one-sided nature of the filter. Further, I find that the potential impact of data revisions on monetary policy, measured by the difference between policy rate recommendations based on first released and revised data, can be substantial. Finally, I show that by taking into account data revisions, the reliability of real-time output gap estimates can be improved, and hence policy regret may be reduced.
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Lé, Mathias. "Essays in Banking and Applied Econometrics." Paris, EHESS, 2015. http://www.theses.fr/2015EHES0005.
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Le capital d'une banque est un élément essentiel de leur solidité et dans cette thèse nous examinons sa dynamique. Le chapitre 2 montre que la mise en place d'une garantie des dépôts pousse les banques à accroitre leur levier. Cependant, les réponses des banques sont hétérogènes : l'effet décroît avec la taille, la systémicité et la capitalisation initiale de telle sorte que les plus grosses banques et les banques initialement les moins bien capitalisées ne réagissent pas à l'adoption d'une garantie des dépôts. Le chapitre 3 propose une nouvelle mesure pour quantifier la capitalisation agrégée des secteurs bancaires en considérant la discipline de marché et le cadre réglementaire. Cet indice permet d'étudier comment les déficits de capital par rapport à une cible de capital implicite propre à chaque banque induisent des fluctuations du crédit agrégées. L'indice de capitalisation est cohérent avec la Bank Lending Survey et il est corrélé de manière significative avec les fluctuations futures du crédit agrégé, particulièrement lors d'épisodes de sous-capitalisation. Le chapitre 4 ne concerne pas le capital des banques mais étudie l'impact de normes et conventions scientifiques (les seuils de significativité statistique) sur le comportement des chercheurs. Nous identifions des irrégularités dans la distribution des t-stat venant d'articles empiriques et nous interprétons celles-ci comme le résultat de la déformation d'incitations. Notre identification nous permet de séparer le biais de publication de ce que nous appelons un biais d'inflation : le fait que les chercheurs soient tentés de gonfler les tests marginalement rejetés en choisissant une spécification "significative"Bank capital is a crucial ingredient of bank soundness. In this thesis, we examine the dynamic o bank capital. The first chapter shows that introducing a deposit guarantee fund has a negative effect on banks' soundness by pushing them to increase their leverage. However, the banks' responses appear to be heterogenous. The magnitude of the change in bank leverage decreases with the size, the systemicity and the initial capitalisation of banks so that the most systemic and the most highly leveraged banks are unresponsive to deposit insurance. The second chapter proposes a new measure to quantify the aggregate capitalisation of banking sectors taking into account both market discipline and regulatory constraints. This index allows to study how micro capital shortfalls from an implicit bank specific capital target can induce fluctuations in the aggregate lending. The bank capitalisation index is consistent with the Bank Lending Survey and it correlates significantly with future fluctuations in aggregate lending, especially when a banking system is under-capitalised. The third chapter is not related to the dynamic of bank capital but it studies the impact of scientific norms and conventions (the use of statistical significance threshold) on researchers' behavior. We identify irregularities in the distribution of t-stat coming from empirical papers and we interpret them as the result of distorted incentives. Crucially, we have an identification strategy that allows to separate the well-known publication bias from what we called an inflation bias : the fact that researchers might be tempted to inflate the value of just-rejected tests by choosing a significant specification
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Ergun, Ahmet T. "Essays on nonparametric and applied econometrics." Diss., The University of Arizona, 2004. http://hdl.handle.net/10150/290109.
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This dissertation focuses on econometric methodology and its applications in insurance and the stock market. The second chapter proposes a new semiparametric estimator for binary-choice single-index models. The estimator makes use of a "parametric start" idea from the statistics literature and applies it to econometric model estimation. Even though the chapter only focuses on binary-choice models, it is expected that the introduction of this idea to the econometrics literature is going to contribute to semiparametric estimation of econometric models in general, especially when one has (only) a rough initial guess about the shape of the unknown function. Consistency of the estimator is shown and the simulation results indicate that even though the parametric start is not correct in any of the simulation designs, the estimator's performance is very promising in the estimation of coefficients and probabilities. The third chapter successfully applies this proposed estimator along with competing parametric and semiparametric estimators and is expected to expand our understanding of private insurance company involvement in the U.S. crop insurance program. This chapter stands almost alone in the literature as an overwhelming majority of other studies examine the involvement of producers in the program. Although preliminary, the results of this chapter show that the insurance company involvement in this program may be too costly to justify and that the program may not be as efficient in terms of premium rates and rating practices of the federal government. The fourth chapter examines market volatility taking into account the New York Stock Exchange trading collar. The trading collar restricts certain forms of trade in component stocks of the S&P500 stock price index when there is "excess" volatility in the market. This important feature of the market has been ignored in the large volatility modeling literature and it is expected that this chapter contributes to this literature by showing that after some data manipulation it is straightforward to incorporate this feature into standard econometric models. Another contribution of this chapter is the successful use of a polynomial specification to capture the well documented U-shaped pattern of intraday market volatility instead of a computationally more difficult two-step procedure.
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Gustavsson, Tingvall Patrik. "Essays on trade, growth and applied econometrics." Doctoral thesis, Handelshögskolan i Stockholm, Internationell Ekonomi och Geografi (IEG), 2001. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-606.
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This dissertation consists of five essays. Three of these study countries’ specialisation patterns combining the two classical paradigms of trade theory, namely the Ricardian (technology) and the Heckscher–Ohlin (factor endowments) framework. Of the remaining two essays, one studies convergence in per capita income among the Swedish counties and the other is methodological in that we investigate the issue of how seasonal unit roots and joint modelling may affect forecasts. In each of these essays, an empirical investigation is applied. Essay 1. Technical Progress, Capital Accumulation and Changing International Competitiveness.In this essay we studies how technology, measured by total factor productivity (TFP) and endowments, jointly determines countries’ specialisation patterns.The main findings are that endowments and technology jointly determine trade patterns. In analysing countries level of specialisation we find indications of scale effects at the firm level and that TFP turns out to be a poor determinant in explaining specialisation whereas endowments, and in particular natural resources are significant. When analysing changes in specialisation and trade patterns, TFP growth is found to be a significant explanatory variable. These contradictory results, i.e., that TFP is not significant when studying levels but is when studying changes, may to some extent be explained by potential time invariant measurement errors that are differenced out when analysing changes. There is also evidence for an increased specialisation of human capital intensive production in countries with a high growth rate in the national supply of skilled labour. Essay 2. Technology, Resource Endowments and International Competitiveness.In the second essay we takes the analysis one step further by going behind the black box of technology and relating this to its sources, where R&D is taken to be the new main object of the study. The analysis reveals that competitiveness is determined not only by R&D performance of the firm, but also that industry- and economy-wide stocks of knowledge are important, indicating the presence of local externalities in R&D. Further results point to scale effects in R&D at the firm level and that the impact of R&D is higher in high- and medium- than in low-tech industries. Essay 3. The Dynamics of European Industrial Structure.The third essay focus on changes in countries’ specialisation patterns. In the model building stage, we make the R&D process endogenous. Through domestic input-output linkages, we build in trade-transmitted technology transfers. Econometrically, we find indications of R&D at the firm level to be the main engine shaping technology and competitiveness. There is also evidence of scale effects in R&D at the firm level. Analysing capital accumulation, we find that countries with relatively high capital accumulation increase their specialisation in capital-intensive industries. We also find that capital abundant countries have the highest rate of capital accumulation. Together, this indicates an increased concentration of capital-intensive industries in capital abundant countries. Analysing human capital accumulation in an analogous manner, we find that countries with relatively high human capital accumulation increase their specialisation in human capital intensive industries. However, we find that countries with a relatively high human capital accumulation are those with initially small human capital stocks, indicating convergence in human capital abundance among the countries in the sample. How industries interact, and industrial interdependence, are analysed, and we find significant econometric evidence of interdependence between domestic industries with strong input-output linkages. Essay 4. Convergence, Prices and Geography: An empirical Study of the Swedish Counties 1911-1993.With Joakim Persson.In the fourth essay, we analyse convergence in per capita income among the Swedish counties during the period 1911-93. Some innovative features in this essay are that we explicitly introduce distance in the econometric analysis and construct regional price indices. In the econometric analysis, we find both absolute and conditional convergence in all ten year periods from 1911 to 1993 except in the 20s and 80s. We find no convergence whatsoever in the 20s and only conditional convergence in the 80s. Analysing counties’ interdependence, we find that counties are tied together such that growth in one county will have a significant impact on its neighbours. Further, we find that the regional cost of housing affects counties’ demographic composition and, through this mechanism, growth in per capita income. Essay 5. The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows.With Jonas Nordström.In the fifth and final essay we analyse how neglecting seasonal unit roots and vector ARMA modelling affect forecasts. We study the flow of monthly tourism flows into Sweden. The main conclusion is that the Box and Jenkins approach, taking a 12th difference to make the series stationary, is at least as good as the much more demanding route of analysing seasonal unit roots. In a second step, we investigate potential gains in using joint modelling techniques when making forecasts. We utilise other tourism series in order to improve the forecasts. The results are mixed. The results depend on what evaluation criteria we choose. In summary, find the Box and Jenkins approach to stand up well against more advanced techniques. Essay no 1 has been published as:Gustavsson, P., Hansson, P. and Lundberg, L., "Technical Progress, Capital Accumulation and Changing International Competitiveness" in Fagerberg, J. et al (eds.), Technology and International Trade, pp 20-37. Edward Elgar, 1997. Essay no 2 has been published as:Gustavsson, P., Hansson, P. and Lundberg, L.., "Technology, resource endowments and international competitiveness." in European Economic Review, Vol. 43, No. 8, 1999, pp 1501-1530.Diss. Stockholm : Handelshögsk., 2001
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Giordani, Paolo. "Essays in monetary economics and applied econometrics." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/581.htm.
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Gustavsson, Patrik. "Essays on trade, growth and applied econometrics /." Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/567.htm.
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Lautharte, Junior Ildo José. "Flourishing opportunities : four essays in applied econometrics." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/277898.
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This thesis comprehends four essays investigating strategies to fight against poverty. The first essay explores a series of police operations to pacify the slums of Rio de Janeiro to understand the impacts of intrauterine exposure to violence on birth outcomes. One argues that pregnancies starting before, but ending around the pacification dates are ‘quasirandomly’ exposed to exogenous shocks of violence during pregnancy. The results show that each month pregnant women are exposed to pacification increases birth weights by 4 grams and reduces the probability of low birth weight (< 2500 grams) by 1.2 percent compared to pregnancies ending just before pacifications. A second essay uses Brazilian legislative change making it mandatory for private hospitals to publicly disclose information about physicians’ performance. The results show a reduction in scheduled C-sections by 4.8 percent; which two-thirds originating from physicians anticipating to information disclosure. The third essay proposes an empirical strategy to estimate bullying effects on labour and schooling outcomes when "true" bullying is observed inaccurately. The estimates show that high-school bullying decreases University attendance by 3.4 percent and increases the probability of being not in education, employed or in training after high-school by 2.8 percent. Estimations neglecting misreport implicates in impacts two-thirds smaller. And finally, the fourth essay shows that poor households increase their participation in social groups after receiving Bolsa Família. The strategy explores households registered in Cadastro Único, and performs a propensity score difference-in-difference framework to minimize selection bias. Becoming a recipient of Bolsa Família increases .09 standard deviations the number of social affiliation and increase from 6.1 to 8.9 percent the probability of engaging in social groups. Altogether, this thesis implicates that investing in early stages of life harvest significant benefits to disadvantaged children, it also shows that victims of bullying need sustained support after high school, and that conditional cash transfers foster social engagement.
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Rakshit, Atanu. "Three Essays in Applied Time Series Econometrics." Diss., Virginia Tech, 2013. http://hdl.handle.net/10919/51233.
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This dissertation is comprised of four chapters. Chapter 1 provides an introduction toEconomic application of time series analysis and discusses the topics covered in each of the following chapters along with some main results therein.
In Chapter 2, I construct a measure of information asymmetry in the financial markets in U.S., by estimating an index of agency cost pertaining to U.S. manufacturing firms. The cyclical behavior of the unobservable agency cost is derived by a novel application of the Kalman filter within a Bayesian framework, using firm level data from 1984-2006. The preliminary results provide support to the financial accelerator mechanism in the business cycle literature.
In Chapter 3, I show that people\'s expectation of uncertainty in financial markets is a significant factor impacting short-term real exchange rate movements. Specifically, a sudden increase in expectation of stock market volatility in a low interest rate country tends to appreciate their currencies against high interest rate currencies. I construct a measure of conditional expected uncertainty from volatility of returns of the dominant portfolio (indices) of 7 industrialized countries. I identify uncertainty shocks and its impact on dollar real exchange rate, and explain my results in the context of currency carry trade.
Chapter 4 of my dissertation documents the presence of significant non-linearity in the deficit-interest rate relationship in the U.S. economy. Using an asymptotic threshold test as per Hansen (2000), I find strong evidence for threshold effects in the impact of expected deficit on future long-term interest rates. I find that a percentage point increase in expected deficit in a regime where the expected deficit/GDP ratio is above 1.8 percent (the estimated threshold value) increases future nominal long term interest rates by 29-30 basis point, and a "news shock" to expectation of future deficit increases future real long term interest rates by 12-18 basis points. When expected deficit/GDP ratio is below 1.8 percent, an increase in expected deficit has no impact on future long-term interest rates.
Ph. D.
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Torchiana, Adrian. "Essays in Applied Econometrics with Missing Data." Thesis, Toulouse 1, 2017. http://www.theses.fr/2017TOU10062.
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Dans le 1er chapitre, j’étudie les biais qui peuvent résulter de l’utilisation des chiffres de vente comme substitut aux chiffres de production, quand on cherche à estimer la fonction de production d’une entreprise ou d’un secteur industriel. Les chercheurs utilisent souvent les ventes plutôt que les chiffres de production, bien qu’ils diffèrent : les entreprises gérant leurs stocks dans le temps, les produits vendus au cours de tel ou tel exercice comptable n’ont pas nécessairement été produits durant la même période. J’utilise des simulations pour montrer que l’utilisation des ventes au lieu des chiffres de production peut causer des distorsions lorsque les entreprises gèrent leurs stocks de manière dynamique. J’étudie les données d’un site administratif français nommé FICUS, qui couvre la totalité des entreprises françaises de 1994 à 2007 et me donne accès aux chiffres de vente, de production, d’emploi et de capitalisation, par entreprise et par an. J’analyse les données au niveau de l’industrie (code NAF), et je montre que le biais résultant de l’utilisation des chiffres de vente au lieu des chiffres de production est faible dans la plupart des industries. Il semblerait donc que, dans la plupart des cas, les chercheurs qui se basent sur les ventes pour estimer des fonctions de production n’aient pas à craindre que leurs résultats soient erronés. Toutefois, dans certaines industries où les stocks varient de manière significative, le biais observé n’est pas négligeable. Dans le 2nd chapitre, qui présente des travaux effectués en collaboration avec Paul T. Scott, Ted Rosenbaum et Eduardo Souza-Rodrigues, nous montrons que les erreurs de classement dans les données sur les surfaces terrestres relevées à distance (ex : des classements qui distinguent les forêts des champs agricoles à partir de données satellites) conduisent à des estimations biaisées tant des surfaces que des taux de changement (ex : la probabilité de déforestation). Nous proposons une correction basée sur un modèle caché de Markov. En utilisant des simulations et un ensemble de données de validation de haute qualité, nous montrons que notre méthode produit des estimations cohérentes des probabilités de transition dans l’utilisation des terres, alors que les méthodes actuelles produisent des estimations de probabilités de changement qui sont trop élevées. L’implication générale de ces travaux est que les recherches appliquées devraient examiner attentivement et contrôler pour l’impact des erreurs dans la télédétection lors de l’étude des déterminants du changement d’utilisation des terres. Il est important de noter que notre méthode produit des estimations non-biaisées des probabilités de transition de la couverture terrestre sans nécessiter de données de validation au sol, qui sont généralement difficiles à obtenir. Ceci est pertinent pour la politique : par ex., le suivi des taux de déforestation est un point central des négociations sur le climat, et les ONG et d’autres organisations évaluant l’évolution des surfaces forestières pourraient vouloir appliquer notre méthode. Dans le 3ème chapitre (qui est un travail en commun avec les mêmes co-auteurs que le 2nd), nous appliquons notre méthode de modèle caché de Markov pour étudier la déforestation au Brésil. Nous développons un modèle de déforestation et de repousse amazonienne qui nous permet de prédire comment les niveaux de biomasse amazonienne et de terres agricoles répondent aux coûts de transport et aux prix des produits agricoles à court et à long terme. Les gestionnaires fonciers comparent le coût du défrichage avec les rendements futurs actualisés d’une éventuelle production agricole lorsqu’ils décident de défricher des terres. Notre stratégie empirique s’appuie sur les coûts de transport calculés en utilisant des données spatiales détaillées reflétant l’intégralité du réseau routier au Brésil, ainsi que sur les estimations des taux de déforestation dérivés des données des capteurs satellitesIn the first chapter, I consider the bias that might arise in production function estimation when sales are used as a stand-in for production. In practice, researchers typically observe sales and not production; the two are distinct because firms manage inventory through time, and items sold during an arbitrary accounting period were not necessarily produced contemporaneously. I show using simulations that using sales as a stand-in for production can bias production function regressions when firms manage inventory dynamically. I then go to the data: I study a French administrative dataset called FICUS, which covers the universe of French firms from 1994 to 2007, and allows me to observe sales, production, labor, and capital, at the firm-year level. I perform my analysis at the four-digit industry level, and show that the bias from using sales as a stand-in for production is small in most industries, suggesting that researchers who observe only sales generally need not worry that results derived from production function estimation are invalid. However, in certain industries where changes in inventory are common, the bias is non-negligible. In the second chapter, which is joint work with Paul T. Scott, Ted Rosenbaum, and Eduardo Souza-Rodrigues, we show that misclassification in remotely sensed land cover data leads to biased estimates of both land areas and land cover transition rates, and propose a correction based on a hidden Markov model. Using simulations and a high-quality validation dataset, we show that our method produces consistent estimates of land use transition probabilities, whereas naive estimates of transition rates are erroneously high. A broad implication is that applied researchers should carefully consider and control for the impact of errors in remote sensing when studying the determinants of land use change. Importantly, our method produces consistent estimates of land cover transition probabilities without requiring ground-truth validation data, which are typically difficult to obtain. This is relevant for policy: for example, monitoring land cover is a central point of climate negotiations, and NGOs and other organizations evaluating changes in countries’ deforestation rates may want to apply our method. In the third chapter (which is also joint work, with the same coauthors as the second), we apply our HMM method to study deforestation in Brazil. We develop a model of Amazonian deforestation and regrowth that allows us to predict how levels of Amazonian biomass and agricultural land respond to transportation costs and agricultural commodity prices in both the short- and long-run. In our model, land managers balance forest clearing costs against discounted future returns to agricultural production when deciding whether to clear a parcel of forest. Our empirical strategy relies on transportation costs computed using detailed spatial data describing Brazil’s paved and unpaved road network, as well as on estimates of deforestation rates derived from satellite sensor data, using the methodology in the second chapter. We plan to extend the model in future work
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Kiefer, Hua. "Essays on applied spatial econometrics and housing economics." Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1180467420.
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Kremer, Stephanie [Verfasser]. "Essays in applied panel data econometrics / Stephanie Kremer." Berlin : Freie Universität Berlin, 2011. http://d-nb.info/1025511123/34.
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Lopera, Maria Adelaida. "Three essays in labor economics and applied econometrics." Doctoral thesis, Université Laval, 2016. http://hdl.handle.net/20.500.11794/27134.
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Cette thèse recueille trois essais en économie du travail et économétrie appliquée. Les deux premiers essais traitent sur la productivité des travailleurs et leur effort. Le cadre théorique du principal-agent permet d'étudier les choix quotidiens de planteurs d'arbres dans une compagnie forestière en Colombie-Britannique. Le troisième essai étudie les choix de coopération des individus dans de petites communautés rurales au Mali lors d'une expérience de biens publics. Au-delà de l'approche expérimentale et des techniques économétriques communes aux trois articles, le point de convergence de cette thèse est la question de comment les agents intègrent l'environnement dans leurs choix individuels. Comment la fatigue au travail affecte la productivité, comment les chocs de productivité affectent l'effort des travailleurs et comment les interactions sociales affectent la coopération dans une communauté. Comprendre et mesurer la pertinence de ces facteurs externes est important pour concevoir des mesures incitatives qui mènent les individus à agir de la manière souhaitée. De manière générale, les incitatifs sont une excellente façon de modifier le comportement sans imposer des restrictions et des règles coûteuses qui peuvent créer des frictions sociales. Deux résultats intéressants ressortent des deux premiers chapitres sur la productivité des planteurs d'arbres. Tout d'abord, les gains des travailleurs peuvent être augmentés en réorganisant la semaine de travail. Au lieu de cinq jours consécutifs de travail et deux jours de repos à la fin de la semaine, des intervalles plus optimaux pourraient être utilisés comme un moyen peu coûteux d'accroître la productivité et le revenu des travailleurs dans certaines entreprises. Deuxièmement, les travailleurs adaptent leur effort optimal aux conditions de travail spécifiques même si elles sont imprévisibles. Les données suggèrent que lors que les travailleurs font face à un choc de productivité inattendu, ils reconsidèrent le compromis revenu - effort et font un nouveau choix optimal qui maximise leur bien-être. Cela signifie que les incitatifs à la productivité peuvent avoir des effets hétérogènes selon les chocs de productivité suivis par les travailleurs. Ces interactions entre les chocs et le choix d'effort doivent être prises en compte lors de la modélisation de la relation principal-agent. Quant au troisième chapitre, le résultat principal est que la présence des leaders communautaires dans un processus de décision individuel renforce la coopération dans le cadre des biens publics. La présence de dirigeants locaux déclenche un comportement coopératif qui est indépendant des actions des autres membres de la communauté.This thesis is a collection of three essays in labour economics and applied econometrics. The first two essays investigate workers productivity and their effort choice in a tree-planting firm. The third essay studies community cooperation in a public good experiment. Beyond the econometric techniques, the convergence point of this thesis is the question of how individuals incorporate external factors into their choices. How work fatigue affects productivity, how productivity shocks affect workers' choice of effort, and how social interactions affect community cooperation. Understanding and measuring the relevance of these external factors is important for designing incentives that influence individuals to act in a desired way. Appropriate incentives are the best way to regulate behaviour without imposing restrictions and rules that are costly to enforce and may create social frictions. From the first two chapters on productivity of tree planters two interesting findings stand out. First, workers' earnings can be increased by simply rearranging the working week in different work spells. This could be an inexpensive way for certain firms to increase their labour productivity. Second, planters' optimal choice of effort depends on productivity shocks. This means that effort incentives may have heterogenous effects due to the particular shocks experienced by each worker. From the third chapter, I find that involving community leaders in the decision of contributing or not to a public good enhance community cooperation. The presence of local leaders triggers cooperative behaviour that is unconditional and independent of the expected actions of other community members.
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Bae, Youngsoo. "Three essays on nonlinear nonstationary econometrics and applied macroeconomics." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1148577268.
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McCullough, Michael Paul. "Phase space reconstruction : methods in applied economics and econometrics /." Online access for everyone, 2008. http://www.dissertations.wsu.edu/Dissertations/Spring2008/M_McCullough_122707.pdf.
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Balabanova, Zlatina [Verfasser]. "Three Essays on Applied Time Series Econometrics / Zlatina Balabanova." Konstanz : Bibliothek der Universität Konstanz, 2013. http://d-nb.info/1045154164/34.
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Sharimakin, Akinsehinwa. "Three essays on applied energy econometrics with policy implications." Thesis, Loughborough University, 2018. https://dspace.lboro.ac.uk/2134/36227.
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This thesis examines the implications of econometric estimation of energy demand in three separate empirical chapters. In particular; the issues addressed are: (i) the extent in which inappropriate modelling techniques could impact energy demand estimates, (ii) the relationship between energy demand estimates and carbon emissions and (iii) the relationship between the decomposition of derived energy input and carbon emissions. The research begins with the estimation of industrial energy demand across 29 European countries over the period 1995 2009 using both the generalised method of moments (GMM) and the dynamic multilevel model (DMM) that accounts for the hierarchical structure of the data used. The main results indicate that the long run income and price elasticities of the standard dynamic model, that is, the GMM, which does not account for the hierarchical structure of the data used, are overestimated. The second empirical chapter carries out an exploratory investigation on the impact of energy demand elasticities on carbon emissions across Chinese sectors. The study allows for a structural change by dividing the period under consideration into period before (1995 2001) and after (2002 2009) China s accession to WTO. This chapter estimates/demonstrates how to compute a range of elasticities by estimating a translog model, and then examines the impact of these elasticities on industrial carbon intensity. Findings suggest that there is a moderately negative relationship between energy substitution and carbon emissions, more especially after the structural change. The third chapter combines the first two chapters into a single study by adopting a two-stage procedure to measure the implications of inappropriate energy modelling technique/energy demand estimates on carbon emissions. The study is based on industry level data across Europe over the period 1995 2007. Firstly, the study decomposed energy estimates into substitution and output effects with a multilevel model and iterated seemingly unrelated regression (iSUR). The second stage examines the impact of the decomposition effects with other competing forces on carbon emissions. Findings reveal that the substitution effect dominates the output effect and is inversely related to the carbon emissions. For the output effect, the results derived from both techniques differ, as the output effect from the iSUR show a positive sign; however, the output effects from the multilevel model show a negative relationship with carbon emissions, which is more consistent with the ideal practice of a cost minimising firm.
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Deckers, Thomas [Verfasser]. "Essays in Applied Econometrics and Behavioral Economics / Thomas Deckers." Bonn : Universitäts- und Landesbibliothek Bonn, 2014. http://d-nb.info/106009889X/34.
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Moura, Guilherme Valle [Verfasser]. "Efficient importance sampling in applied econometrics / Guilherme Valle Moura." Kiel : Universitätsbibliothek Kiel, 2010. http://d-nb.info/1019984880/34.
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