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Languages : en
Pages : 0
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The dissertation consists of two parts. Chapters 1 and 2 concern the econometrics of social networks and chapter 3 concerns robust control. Chapter 1 develops new social interactions identification methods and develops a framework that includes some important existing results as special cases, such as the identification results in Bramoulle, Djebbari, and Fortin (2009, J. Econometrics) (except their proposition 3), the section 4.ii of Blume, Brock, Durlauf, and Ioannides (2011, Handbook of Social Economics) (except their theorems 3 and 5), and Graham (2008, Econometrica). This chapter discovers that diameter is a key network property closely related to identification. The proposed methods are based on the matrix spectral decompositions; they address three canonical identification problems. First, this chapter offers a method of disentangling endogenous and exogenous interactions by the matrix spectral decompositions. Second, this chapter offers a detailed analysis of differencing methods, which solve the endogeneity problem arising from the presence of unobservable group-level heterogeneity (or fixed effects), and provides a method of minimizing the information loss from differencing. Third, this chapter develops an identification method based on the spectral decompositions of covariance matrices for the problem arising from the absence of observable individual-level heterogeneity; Graham's variance contrast method is a special case of this method. Chapter 2 considers linear regression models where individuals interact in a social network so that the disturbances are correlated. A sufficient condition under which the covariance matrices can be consistently estimated is derived. The theory is based on the ideas in White (1984, 2001, Asymptotic Theory for Econometricians). Chapter 3 develops a robust control theory under implementation lag uncertainty. The theory is applied to a Ramsey taxation problem. Implementation lags refer to the lag polynomials of the control variables. The policy maker has estimates of the implementation lag polynomials. He applies the robust control concept of Hansen and Sargent (2008, Robustness) and assumes that there is an adversarial agent minimizes the welfare by choosing implementation lag polynomials that are close to the estimates. The inter-temporal correlations between the control variables and the exogenous state variables are the sources for the adversarial agent to minimize welfare.
Author:
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Languages : en
Pages : 0
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Book Description
The dissertation consists of two parts. Chapters 1 and 2 concern the econometrics of social networks and chapter 3 concerns robust control. Chapter 1 develops new social interactions identification methods and develops a framework that includes some important existing results as special cases, such as the identification results in Bramoulle, Djebbari, and Fortin (2009, J. Econometrics) (except their proposition 3), the section 4.ii of Blume, Brock, Durlauf, and Ioannides (2011, Handbook of Social Economics) (except their theorems 3 and 5), and Graham (2008, Econometrica). This chapter discovers that diameter is a key network property closely related to identification. The proposed methods are based on the matrix spectral decompositions; they address three canonical identification problems. First, this chapter offers a method of disentangling endogenous and exogenous interactions by the matrix spectral decompositions. Second, this chapter offers a detailed analysis of differencing methods, which solve the endogeneity problem arising from the presence of unobservable group-level heterogeneity (or fixed effects), and provides a method of minimizing the information loss from differencing. Third, this chapter develops an identification method based on the spectral decompositions of covariance matrices for the problem arising from the absence of observable individual-level heterogeneity; Graham's variance contrast method is a special case of this method. Chapter 2 considers linear regression models where individuals interact in a social network so that the disturbances are correlated. A sufficient condition under which the covariance matrices can be consistently estimated is derived. The theory is based on the ideas in White (1984, 2001, Asymptotic Theory for Econometricians). Chapter 3 develops a robust control theory under implementation lag uncertainty. The theory is applied to a Ramsey taxation problem. Implementation lags refer to the lag polynomials of the control variables. The policy maker has estimates of the implementation lag polynomials. He applies the robust control concept of Hansen and Sargent (2008, Robustness) and assumes that there is an adversarial agent minimizes the welfare by choosing implementation lag polynomials that are close to the estimates. The inter-temporal correlations between the control variables and the exogenous state variables are the sources for the adversarial agent to minimize welfare.
Author: Benjamin William Deaner
Publisher:
ISBN:
Category :
Languages : en
Pages : 212
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Heterogeneity and my key identifying assumptions follow from restrictions on the serial dependence structure.
Author: Liyang Sun
Publisher:
ISBN:
Category :
Languages : en
Pages : 183
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Book Description
In the first chapter, I focus on the important problem of efficient allocation of an intervention when it is infeasible to reach everyone due to limited resources. An overlooked aspect of the existing approach is that the cost of the intervention can also be heterogeneous and requires estimation. I find the direct extension to the existing approach does not account for the uncertainty of the estimated cost, and can lead to infeasible allocations. I provide policymakers with new approaches to allocations that account for imperfect information about feasibility.
Author: Sam Stuart
Publisher: Elsevier
ISBN: 1483185753
Category : Business & Economics
Languages : en
Pages : 671
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Book Description
On Political Economy and Econometrics: Essays in Honor of Oskar Lange is a commemorative publication to celebrate the achievements of Polish economist and diplomat Oscar Lange. The book is a collection of papers that tackles various issues in economy. The coverage of the text includes articles that deal with economic problems and concerns, such as the problem of monetary liquidity; research on the measures of inequality and concentration; and consumer's sovereignty in a planned economy. The book also presents materials about various methods employed in managing economy, such as stochastic linear programming and its application to economic planning; the application of statistical and mathematical methods in studies of the allocation of productive powers; and on the control of production and investment in socialism. The text will be of great interest to economists, sociologists, political scientists, and game theorists.
Author: Xiaohong Chen
Publisher: Springer Science & Business Media
ISBN: 1461416531
Category : Business & Economics
Languages : en
Pages : 582
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Book Description
This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Author: SUNG-SHIN HAN
Publisher:
ISBN:
Category :
Languages : en
Pages : 201
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Author: Axel Leijonhufvud
Publisher: Edward Elgar Publishing
ISBN: 1848446020
Category : Business & Economics
Languages : en
Pages : 207
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Book Description
Roger Farmer is to be congratulated for editing this splendid set of essays in honour of Axel Leijonhufvud. . . I am sure that most of the readers of these essays will be excited and stimulated by their contents. Economic Record This book honors the work of the influential economist Axel Leijonhufvud. His work in macroeconomics, monetary theory and European economic history has spurred great discussion over many years, and the authors of this book comprise some of the very best economists active today. The broad influence of his work is evident in the variety of subjects his readers address. The topics range from Keynesian economics and the economics of high inflation to the micro-foundations of macroeconomics and economic history. The reader will find an intriguing compilation of ideas ranging from bankruptcy and collateral debt, the macroeconomics of broken promises, interest rate setting, growth patterns of macro models, innovation history to macroeconomics with intelligent autonomous agents. Scholars and students of economic history, Keynesian economics and alternative monetary theory will be delighted with the work inspired by this influential thinker.
Author: Byunguk Kang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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"This thesis contributes to finite-sample inference in econometrics. The first two essays develop identification-robust (IR) inference in dynamic structural models and measurement error models.The third essay extends the standard finite-sample distributional theory of test statistics in univariateand multivariate regression settings. The first essay considers dynamic structural models involving endogeneity and a lagged dependent variable. We start by observing that usual IR tests, such as Anderson and Rubin's (1949) test (AR), Kleibergen's (2002) Lagrange multiplier test (KLM), and Moreira's (2003) conditional likelihood ratio test (CLR), are unreliable when model variables are nonstationary or nearly nonstationary. We propose IR methods which are also robust to nonstationarity: two Anderson-Rubin type procedures and two split-sample procedures. Our procedures are also robust to missing instruments. For distributional theory, three different sets of assumptions are considered. First, on assuming Gaussian structural errors, we show that three of the proposed statistics follow the standard F distribution. Second, for more general cases, we assume that the distribution of errors is completely specified up to an unknown scale factor, allowing the Monte Carlo test method to be applied. This assumption enables one to deal with non-Gaussian error distributions. For example, even when errors follow heavy-tailed distribution, such as the Cauchy distribution or more generally the family of stable distributions - which may not have moments and thus make inference difficult - our procedures provide simple and exact solutions. Third, we establish the asymptotic validity of our procedures under quite general distributional assumptions. We present simulation results showing that our procedures control their level correctly and have good power properties. The methods are applied to an empirical example, the New Keynesian Phillips curve, in which both weak identification and nonstationarity present challenges. The results of this empirical study suggest forward-looking behavior of U.S. inflation. The second essay deals with measurement error models. In econometrics, measurement error problems are often interpreted as a special case of simultaneity, so instrumental variables (IVs) methods are widely used as solutions. The validity and the power of IV-based tests are sensitive to the quality of IVs. First, if the exogeneity of IVs is violated, test levels may not be controlled. Second, when IVs are weakly correlated with the mismeasured variables, the IR procedures guarantee correct level but power of the procedures may be arbitrarily low. To overcome these problems, we introduce an IV-free inference which exploits orthogonality properties between transformations of model variables: the "Reverse Anderson-Rubin" (RAR) method with both weak and strong instruments. When valid and informative IVs are available, the RAR procedure can be combined with the usual AR method, so the two approaches complement each to improve power properties. We call the hybrid procedure the "Combined RAR" (CRAR) method. In particular, this procedure can have power even when the instruments used do not allow one to identify model coefficients (totally weak instruments). After studying classical measurement error models - where measurement errors are independent of other model disturbances - we extend the proposed procedures to situations where measurement errors may be correlated with other model disturbances. Under a Gaussian distributional assumption, we show the proposed test statistics are pivotal or follow distributions which can be bounded in finite samples. Under more general assumptions, we establish their asymptotic validity. In a simulation study, we show that the new methods provide power improvements over standard IR procedures. " --
Author: Mark Watson
Publisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author: Tim Bollerslev
Publisher: OUP Oxford
ISBN: 0191572195
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
