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Supplemental Appendix: Cluster Robust Covariance Matrix Estimation in Panel Quantile Regression with Individual Fixed Effects 补充附录:具有个体固定效应的面板分位数回归的聚类稳健协方差矩阵估计
Mathematics eJournal Pub Date : 2019-08-10 DOI: 10.2139/ssrn.3446973
Jungmo Yoon, A. Galvao
{"title":"Supplemental Appendix: Cluster Robust Covariance Matrix Estimation in Panel Quantile Regression with Individual Fixed Effects","authors":"Jungmo Yoon, A. Galvao","doi":"10.2139/ssrn.3446973","DOIUrl":"https://doi.org/10.2139/ssrn.3446973","url":null,"abstract":"This online appendix is structured as follows. Section S.1 contains some auxiliary lemmas and proofs for Section 4. Section S.2 develop supporting theoretical results for Section 5. Section S.3 reports additional simulation results. Some tables appear at the end.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121421607","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Ambiguity Matters If You Invest in Many Assets 如果你投资多种资产，模糊性很重要
Mathematics eJournal Pub Date : 2019-08-07 DOI: 10.2139/ssrn.3110403
Yuki Shigeta
{"title":"Ambiguity Matters If You Invest in Many Assets","authors":"Yuki Shigeta","doi":"10.2139/ssrn.3110403","DOIUrl":"https://doi.org/10.2139/ssrn.3110403","url":null,"abstract":"This study examines the practical performance of the multiple priors optimal portfolio based on the mean-variance preference. The multiple priors optimal portfolio is designed to be robust to model uncertainty, also known as ambiguity. A back test finds two properties: the multiple priors optimal portfolio tends to be efficient when the number of assets is large and it has fewer turnovers than the mean-variance-efficient portfolios. Furthermore, the presented simulation shows that the multiple priors optimal portfolio outperforms the others when the number of assets is large and number of observations to form a portfolio is small.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126075438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Use of Binary Choice Forests to Model and Estimate Discrete Choices 使用二元选择林对离散选择进行建模和估计
Mathematics eJournal Pub Date : 2019-08-02 DOI: 10.2139/ssrn.3430886
Ningyuan Chen, G. Gallego, Zhuodong Tang
{"title":"The Use of Binary Choice Forests to Model and Estimate Discrete Choices","authors":"Ningyuan Chen, G. Gallego, Zhuodong Tang","doi":"10.2139/ssrn.3430886","DOIUrl":"https://doi.org/10.2139/ssrn.3430886","url":null,"abstract":"We show the equivalence of discrete choice models and the class of binary choice forests, which are random forests based on binary choice trees. This suggests that standard machine learning techniques based on random forests can serve to estimate discrete choice models with an interpretable output. This is confirmed by our data-driven theoretical results which show that random forests can predict the choice probability of any discrete choice model consistently, with its splitting criterion capable of recovering preference rank lists. The framework has unique advantages: it can capture behavioral patterns such as irrationality or sequential searches; it handles nonstandard formats of training data that result from aggregation; it can measure product importance based on how frequently a random customer would make decisions depending on the presence of the product; it can also incorporate price information and customer features. Our numerical results show that using random forests to estimate customer choices represented by binary choice forests can outperform the best parametric models in synthetic and real datasets.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128710718","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
An Axiomatization of the Shapley-Shubik Index for Interval Decisions 区间决策的Shapley-Shubik指数的公理化
Mathematics eJournal Pub Date : 2019-06-30 DOI: 10.2139/ssrn.3412380
Sascha Kurz, Issofa Moyouwou, Hilaire Touyem
{"title":"An Axiomatization of the Shapley-Shubik Index for Interval Decisions","authors":"Sascha Kurz, Issofa Moyouwou, Hilaire Touyem","doi":"10.2139/ssrn.3412380","DOIUrl":"https://doi.org/10.2139/ssrn.3412380","url":null,"abstract":"The Shapley-Shubik index was designed to evaluate the power distribution in committee systems drawing binary decisions and is one of the most established power indices. It was generalized to decisions with more than two levels of approval in the input and output. In the limit we have a continuum of options. For these games with interval decisions we prove an axiomatization of a power measure and show that the Shapley-Shubik index for simple games, as well as for (j,k) simple games, occurs as a special discretization. This relation and the closeness of the stated axiomatization to the classical case suggests to speak of the Shapley-Shubik index for games with interval decisions, that can also be generalized to a value.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"228 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124188191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH( p, q) processes 样本分位数的二元FCLT和增广GARCH(p, q)过程的色散度量
Mathematics eJournal Pub Date : 2019-06-22 DOI: 10.2139/ssrn.3416442
M. Bräutigam, M. Kratz
{"title":"Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH( p, q) processes","authors":"M. Bräutigam, M. Kratz","doi":"10.2139/ssrn.3416442","DOIUrl":"https://doi.org/10.2139/ssrn.3416442","url":null,"abstract":"In this note, we build upon the asymptotic theory for GARCH processes, considering the general class of augmented GARCH(p, q) processes. Our contribution is to complement the well-known univariate asymptotics by providing a bivariate functional central limit theorem between the sample quantile and the r-th absolute centred sample moment. This extends existing results in the case of identically and independently distributed random variables. We show that the conditions for the convergence of the estimators in the univariate case suffice even for the joint bivariate asymptotics. We illustrate the general results with various specific examples from the class of augmented GARCH(p, q) processes and show explicitly under which conditions on the moments and parameters of the process the joint asymptotics hold.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121987913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Possibility for Short-Term Forecasting of Japanese Stocks Return by Randomly Distributed Embedding Theory 随机分布嵌入理论预测日本股票短期收益的可能性
Mathematics eJournal Pub Date : 2019-06-19 DOI: 10.4236/JMF.2019.93015
Seisuke Sugitomo, Keiichi Maeta
{"title":"Possibility for Short-Term Forecasting of Japanese Stocks Return by Randomly Distributed Embedding Theory","authors":"Seisuke Sugitomo, Keiichi Maeta","doi":"10.4236/JMF.2019.93015","DOIUrl":"https://doi.org/10.4236/JMF.2019.93015","url":null,"abstract":"In this work, we use the model-free framework, named randomly distributed embedding, which is the method that randomly selects variables from the values of many observed variables at a certain time and estimates the state of the attractor at that time, to predict the future return of Japanese stocks and show that the prediction accuracy is improved compared to the conventional methods such as simple linear regression or least absolute shrinkage and selection operator (LASSO) regression. In addition, important points to be considered when applying the randomly distributed embedding method to financial markets, and specific future practical applications will be presented.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124476231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity 从平稳性到轻度非平稳性变化的顺序监测
Mathematics eJournal Pub Date : 2019-06-07 DOI: 10.2139/ssrn.3260824
Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang
{"title":"Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity","authors":"Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang","doi":"10.2139/ssrn.3260824","DOIUrl":"https://doi.org/10.2139/ssrn.3260824","url":null,"abstract":"Abstract We develop and study sequential testing procedures a la Chu et al. (1996) for on-line detection of changes in a time series from stationarity to mild forms of non-stationarity. The proposed tests are based on sequential CUSUM and KPSS-type detector processes, and are shown to provide consistent detection under a wide range of change point models, including changes in the parameters of ARMA and GARCH series from values within the model’s stationarity parameter region to values close (converging) to the stationarity boundary. Local asymptotic results are established giving precise descriptions of the time to detection under several of these models, which show that such procedures are powerful to detect a wide range of non-stationary characteristics, including changes in mean, volatility, and unit root behaviour. The proposed methods are investigated by means of a simulation study and in applications to monitoring for changes in trend and unit root behaviour in macroeconomic production series, and to detect changes in volatility of the S&P-500 stock market index.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"53 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128491756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Keynesian Taxation: How Differentiated Savings Rates Alter Optimal Income Tax Rates 凯恩斯税收:不同的储蓄率如何改变最优所得税率
Mathematics eJournal Pub Date : 2019-06-04 DOI: 10.2139/ssrn.3398945
Adrien Fabre
{"title":"Keynesian Taxation: How Differentiated Savings Rates Alter Optimal Income Tax Rates","authors":"Adrien Fabre","doi":"10.2139/ssrn.3398945","DOIUrl":"https://doi.org/10.2139/ssrn.3398945","url":null,"abstract":"I intend to include a consideration apparently omitted by the optimal tax theory, at least as exposed in the seminal paper [#Saez2001]: demand side. Indeed, according to Keynesianism, as the marginal propensity to save of rich households is significantly above that of poor ones, a redistribution would increase aggregate demand and have an expansionary effect on the economy. I will show how new terms appear in the formula of optimal income tax rates, firstly with an illustrative approach, and then with a fully rigorous derivation.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128957614","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Semi-Parametric Approach to the Oaxaca-Blinder Decomposition With Continuous Group Variable and Self-Selection 具有连续群变量和自选择的Oaxaca-Blinder分解的半参数方法
Mathematics eJournal Pub Date : 2019-05-21 DOI: 10.2139/ssrn.3392041
Fernando Rios Avila
{"title":"A Semi-Parametric Approach to the Oaxaca-Blinder Decomposition With Continuous Group Variable and Self-Selection","authors":"Fernando Rios Avila","doi":"10.2139/ssrn.3392041","DOIUrl":"https://doi.org/10.2139/ssrn.3392041","url":null,"abstract":"This paper describes the application of a semiparametric approach, known as a varying coefficients model (Hastie and Tibshirani 1993), to implement a Oaxaca-Blinder type of decomposition in the presence of self-selection into treatment groups for a continuum of comparison groups. The flexibility of this methodology may allow for detecting heterogeneity of the role of endowment and coefficient effects when analyzing endogenous dose treatments. The methodology is then used to revisit the impact of obesity on wages (Cawley 2004), using body mass index (BMI) as the continuous group variable. The results suggest that body weight does have a negative impact on wages for white women, but the impact decreases for higher BMI levels. For white men, the impact is also negative and significant, but positive for low levels of BMI, which explains why they are not significant in the linear instrumental variables approach.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133251818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Italian Outbound Tourists, Tourists’ Expenditure and Satisfaction 意大利出境游客，游客消费与满意度
Mathematics eJournal Pub Date : 2019-05-11 DOI: 10.2139/ssrn.3386599
C. Bernini, F. Galli
{"title":"Italian Outbound Tourists, Tourists’ Expenditure and Satisfaction","authors":"C. Bernini, F. Galli","doi":"10.2139/ssrn.3386599","DOIUrl":"https://doi.org/10.2139/ssrn.3386599","url":null,"abstract":"The paper aims at investigating the expenditure behavior of Italian tourists travelling abroad for personal purposes. In particular, we focus on the relationship between expenditure and satisfaction of Italian outbound tourists over the period 2007-2017, by using data provided by Bank of Italy. We suggest using the quantile approach in estimating the effect of satisfaction on the different quantiles of tourism expenditure. This feature enriches the understanding of what determines heterogeneity in tourists spending behavior, which is a relevant information for policy makers and destination managers. To control for endogeneity between satisfaction and expenditure, we take advantage from the instrumental quantile estimator (IVQR), which allows us to obtain consistent estimates of model’s parameters. Satisfaction with specific characteristics of the destination is found to be significant in affecting tourists’ expenditure behavior, and this effect differs among quantiles and expenditure categories.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116960344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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