Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter

This note examines a new problem in the structural-change literature. A fractionally integrated model is assumed to experience a change in the differencing parameter at an unknown time. We develop consistent estimators of the change point and the pre- and post-shift differencing parameters.

Two-sided Matching, Who Marries Whom? And what Happens upon Divorce?

Conventional two-sided matching game is a one-period game. In this note, we contribute to the existing literature by examining a multi-period two-sided matching problem allowing for the possibility of a divorce. We assume that the matching game is played repeatedly and the payoff matrix changes over time. It is shown that the rule of divorce will affect the equilibrium of a marriage game. An empirical implication of our result is that a country with a well-developed financial market will have a better marital outcome as compared to a less-developed country.

Estimation of the Autoregressive Order in the Presence of Measurement Errors

Most of the existing autoregressive models presume that the observations are perfectly measured. In empirical studies, the variable of interest is unavoidably measured with various kinds of errors. Thus, misleading conclusions may be yielded due to the inconsistency of the parameter estimates caused by the measurement errors. Thus far, no theoretical result on the direction of bias of the lag order estimate is available in the literature. In this note, we will discuss the estimation an AR model in the presence of measurement errors. It is shown that the inclusion of measurement errors will drastically increase the complexity of the problem. We show that the lag lengths selected by the AIC and BIC are increasing with the sample size at a logarithmic rate.Autoregressive Process Measurement Error Akaike Information Criterion Bayesian Information Criterion

Profitability of the On-Balance Volume Indicator

In the literature, there is a lack of empirical studies documenting the profitability of volume-based technical indicators. This paper evaluates the profitability of the On-Balance Volume (OBV) trading rule. Our result shows that the OBV trading rule is increasingly profitable and rewards investors with notable returns in the stock markets of Greater China.On-Balance Volume, Moving Average, Market Efficiency.

Structural Changes and Regional Disparity in China's Inflation

The inflation problem in China has attracted a great deal of international attention in recent years. This paper examines the time series properties of China's CPI series. It is found that the overall inflation series and the inflation of food, tobacco, clothes, urban transport and urban housing are not persistent. Structural breaks in inflation are found in 2003 and 2004. The degree of rural-urban inflation disparity in China is also investigated. We find evidence that rural residents experience higher inflation than their urban counterparts.Structural Break, Unit Root, ADF Test, Rural and Urban Inflation.

Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors

We study the effects of ARCH errors on the performance of the commonly used lag length selection criteria. The most important finding of this study is that SIC, FPE, HQC and BIC perform considerably well in estimating the true autoregressive lag length, even in the presence of ARCH errors. Thus, we conclude that these criteria are applicable to empirical data such as stock market returns and exchange rate volatility that exhibit ARCH effects.

Who will win the Nobel Prize?

This paper identifies the determinants of the Nobel Prize Award. The analysis is analogous in spirit to Hamermesh and Schmidt (Econometrica, 2003) on the election of Econometric Society fellows. It is found that the number of citations, age and nationality have significant impacts on the odds of winning the Nobel. We provide the first statistical evidence that John Bates Clark medalists and individuals affiliated with the University of Chicago have a higher chance of winning the Prize.Nobel Prize; John Bates Clark Medal; Logit Model.

Search of Attention in Financial Market

This study employs correlation coefficients and the factor-augmented vector autoregressive (FAVAR) model to investigate the relationship between the stock market and investors’ sentiment measured by big data. The investors’ sentiment index is constructed from a pool of relative keyword series provided by the Baidu Index. We target two composite stock indices, namely the Hang Seng Index and the Shanghai Composite Index. We first compute the Pearson product-moment correlation coefficient to find the degree of correlation between keywords and composite stock price indices. Then, we apply the FAVAR model to obtain the impulse response of stock price to the investors’ sentiment index. Finally, we examine the leading effects of keywords on stock prices using lagged correlation coefficients. We obtain two main findings. First, a strong correlation exists between investors’ sentiment and composite stock price: Second, before and after the launch of the Shanghai-Hong Kong Stock Connect, the keywords affecting the fluctuation of the Hang Seng Index are different