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Econometric causality (2008)

Heckman, James J.

Econometric causality (2008)

Heckman, James J.

Abstract:

This paper presents the econometric approach to causal modeling. It is motivated by policy problems. New causal parameters are defined and identified to address specific policy problems. Economists embrace a scientific approach to causality and model the preferences and choices of agents to infer subjective (agent) evaluations as well as objective outcomes. Anticipated and realized subjective and objective outcomes are distinguished. Models for simultaneous causality are developed. The paper contrasts the Neyman–Rubin model of causality with the econometric approach.

http://hdl.handle.net/10197/1880

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Efficent Estimation of the Non-linear Volatility and Growth Model (2009)

Byrne, Julie; Conniffe, Denis

Efficent Estimation of the Non-linear Volatility and Growth Model (2009)

Byrne, Julie; Conniffe, Denis

Abstract:

Ramey and Ramey (1995) introduced a non-linear model relating volatility to growth. The solution of this model by generalised computer algorithms for non-linear maximum likelihood estimation encounters the usual difficulties and is, at best, tedious. We propose an algebraic solution for the model that provides fully efficient estimators and is elementary to implement as a standard ordinary least squares procedure. This eliminates issues such as the ‘guesstimation’ of initial values and multiple runs. Our approach also facilitates testing the validity of the Ramey and Ramey (1995) model. We illustrate our approach by reanalysing the R&R data, demonstrating virtually identical results.

http://eprints.maynoothuniversity.ie/1522/

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Ireland and the Global Financial Crisis: Growth, Volatility and Financial Development (2010)

Byrne, Julie

Ireland and the Global Financial Crisis: Growth, Volatility and Financial Development (2010)

Byrne, Julie

Abstract:

I examine the impact that a decline in financial development could have on Ireland.s growth performance in light of the current credit crisis. A Markov-switching model with time-varying transition probabilities is applied to Irish data to examine the link between financial development and growth. In the model, the growth rate moves discretely between two regimes; one characterised by high average growth and low volatility, the other a more volatile low growth regime. Inferences are then made by estimating how long the country can be expected to remain in a slow growth regime, at given levels of financial development. The results show that higher levels of financial development correspond to spending more time in the higher growth regime. Furthermore, it is shown that the expected duration of remaining in the slow growth regime increases as financial development falls. This analysis takes into account the fact that the dynamics of output following a shock such as a financial crisis d...

http://hdl.handle.net/2262/41137

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Measuring Irish capital (2007)

Keeney, Mary J.

Measuring Irish capital (2007)

Keeney, Mary J.

Abstract:

Irish National Income and Expenditure Accounts do not contain information on capital stocks or capital services estimation. Estimates of the national capital stock and the depreciation of its fixed assets are basic macroeconomic aggregates and are integral components for many modelling exercises. This paper presents a detailed asset-level analysis of the stocks and depreciation of Irish fixed assets and the capital formation flows used to derive them. It applies an improved perpetual inventory methodology for calculating depreciation based on best practice employed for the US National Income and Product Accounts (NIPA). The paper shows how the three basic capital variables ? the net capital stock, consumption of fixed capital and capital services ? are linked through a standard equation for the value of an asset. The paper then presents estimates of the volume of capital services for the Irish economy as well as by asset type. The volume index of capital services (VICS) weights toge...

http://hdl.handle.net/2262/59018

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Moral Sentiment: Investigating the Roles of Ethics and Affect in Determining Asset Returns (2017)

Cook, Jason

Moral Sentiment: Investigating the Roles of Ethics and Affect in Determining Asset Returns (2017)

Cook, Jason

Abstract:

Research in behavioural finance claims that markets are inefficient, in the sense that market prices can deviate from their fundamental value. Proponents of this theory suggest that investors succumb to emotional and psychological biases that can sometimes cause them to make irrational decisions. This irrational behaviour can lead them to overvalue or undervalue an asset beyond its fundamental value. Work in sentiment analysis suggests that an insight into investors' thought processes can be gleaned by analysing the texts they typically read. It is believed that affective language functions as a proxy for investor sentiment, and that affective news contains information that has not been incorporated into market prices. Typically the categories of positive or negative affect are used, describing the bullishness or bearishness of a market at a particular point in time. However, a great deal of this negative and positive language tends to be rooted in ethical judgements. Words lik...

http://hdl.handle.net/2262/81875

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Occupational endogeneity and gender wage differentials for young workers: An empirical analysis using Irish data (1990)

Reilly, Barry

Occupational endogeneity and gender wage differentials for young workers: An empirical analysis using Irish data (1990)

Reilly, Barry

Abstract:

This paper presents estimates of the unexplained gender wage gap for young workers controlling for occupational endogeneity. Two contrasting econometric techniques are employed to control for occupational endogeneity. One is the Heckman two step procedure while the other is an IV estimator based on the work of Duncan and Leigh (1985). Statistical tests for the endogeneity hypothesis are provided for both estimators and mildly conflicting results are obtained.

http://hdl.handle.net/2262/66549

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Science of econometrics any use for short-term forecasting - enquiry based mainly on irish educational statistics 1947-1967 (1969)

Geary, R.C.

Science of econometrics any use for short-term forecasting - enquiry based mainly on irish educational statistics 1947-1967 (1969)

Geary, R.C.

Abstract:

As his title indicates, the writer, wisely or unwisely, proposes to hang a very general and important question on the highly specialized inquiry with which this paper mainly deals: in fact to make a prima facie case for a full-scale inquiry into the measure of success, or otherwise, of econometricians the world over, attained in recent years, using orthodox or unorthodox methods.

http://hdl.handle.net/2262/68787

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Simple logit and probit marginal effects in R (2011)

Fernihough, Alan

Simple logit and probit marginal effects in R (2011)

Fernihough, Alan

Abstract:

This paper outlines a simple routine to calculate the marginal effects of logit and probit regressions using the popular statistical software package R. I compare results obtained using this procedure with those produced using Stata. An extension of this routine to the generalized linear mixed effects regression is also presented.

http://hdl.handle.net/10197/3404

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The Irish market services sector: an econometric investigation (1991)

Bradley, John; Fitzgerald, John; Kearney, Ida

The Irish market services sector: an econometric investigation (1991)

Bradley, John; Fitzgerald, John; Kearney, Ida

Abstract:

Using new time series data a structural econometric model of a three way disaggregation of the market services sector is constructed. The elasticities of demand for the factors of production (capital and labour) in two of the sub-sectors were found to be moderate in size with elasticities proving rather small in transport and communications. While prices, in the long run, are set as a mark-up on costs, in two of the sub-sectors short-term pricing decisions were found to be significantly affected by capacity utilisation.

http://hdl.handle.net/2262/66558

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Three essays on the impact of the Common Agricultural Policy on Irish farms (2014)

O'Neill, Stephen

Three essays on the impact of the Common Agricultural Policy on Irish farms (2014)

O'Neill, Stephen

Abstract:

Since its establishment by the Treaty of Rome in 1958, the Common Agricultural Policy (CAP) has had a huge impact on the agricultural sector in Europe and more widely. The original CAP altered production incentives, distorting input and output markets. The CAP has undergone a number of reforms, most recently the Fischler reform in 2003 which sought to remove the link between production and farm income support payments. Chapter 1 of this thesis offers some background on the Common Agricultural Policy and outlines the thesis. The move to `decoupled' payments, and its impact on land rental markets, is the focus of Chapters 2 and 3 of this thesis. In October 2011, the European Commission published proposals for further CAP reform (European Commission, 2011). At the heart of the proposals were reforms to the way in which Pillar I income support subsidies were distributed (both between Member States and between farmers within each Member State) and the linking of Pillar I direct inc...

http://hdl.handle.net/10379/4480

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Unemployment inflows and outflows in the UK: a micro economometric analysis (2016)

Pierse, Tom

Unemployment inflows and outflows in the UK: a micro economometric analysis (2016)

Pierse, Tom

Abstract:

The unemployment rate is a function of both the inflows to unemployment and the outflows from unemployment. Understanding the unemployment rate requires an understanding of the flows that drive the rate. This thesis contributes to the literature by using micro economic data to look carefully at a selection of factors that affect the heterogeneity of flows into and out of unemployment. In particular, I examine (i) how balance sheet factors affect decisions to reduce employment and other operating costs following a revenue shock; (ii) how unionisation affects redundancies and other involuntary job endings with particular attention to the interaction between unionisation and tenure; and (iii) how local labour demand conditions affects the duration of individual unemployment spells. I find that (i) the state of a firms balance sheet is not related to how it cuts employment numbers and operating costs; (ii) unionised firms have lower redundancy rates for low tenure employees; and (iii...

http://hdl.handle.net/10379/5902

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When do Probit residuals sum to zero? (2010)

Conniffe, Denis

When do Probit residuals sum to zero? (2010)

Conniffe, Denis

Abstract:

Probit residuals need not sum to zero in general. However, if explanatory variables are qualitative the sum can be shown to be zero for many models. Indeed this remains true for binary dependent variable models other than Probit and Logit. Even if some explanatory variables are quantitative, residuals can sum to almost zero more often than might at first seem plausible.

http://hdl.handle.net/2262/58724

Displaying Results 1 - 12 of 12 on page 1 of 1