ASU Electronic Theses and Dissertations
This collection includes most of the ASU Theses and Dissertations from 2011 to present. ASU Theses and Dissertations are available in downloadable PDF format; however, a small percentage of items are under embargo. Information about the dissertations/theses includes degree information, committee members, an abstract, supporting data or media.
In addition to the electronic theses found in the ASU Digital Repository, ASU Theses and Dissertations can be found in the ASU Library Catalog.
Dissertations and Theses granted by Arizona State University are archived and made available through a joint effort of the ASU Graduate College and the ASU Libraries. For more information or questions about this collection contact or visit the Digital Repository ETD Library Guide or contact the ASU Graduate College at gradformat@asu.edu.
Displaying 1 - 3 of 3
Filtering by
- All Subjects: Economics
Description
Schennach (2007) has shown that the Empirical Likelihood (EL) estimator may not be asymptotically normal when a misspecified model is estimated. This problem occurs because the empirical probabilities of individual observations are restricted to be positive. I find that even the EL estimator computed without the restriction can fail to be asymptotically normal for misspecified models if the sample moments weighted by unrestricted empirical probabilities do not have finite population moments. As a remedy for this problem, I propose a group of alternative estimators which I refer to as modified EL (MEL) estimators. For correctly specified models, these estimators have the same higher order asymptotic properties as the EL estimator. The MEL estimators are obtained by the Generalized Method of Moments (GMM) applied to an exactly identified model. The simulation results provide promising evidence for these estimators. In the second chapter, I introduce an alternative group of estimators to the Generalized Empirical Likelihood (GEL) family. The new group is constructed by employing demeaned moment functions in the objective function while using the original moment functions in the constraints. This designation modifies the higher-order properties of estimators. I refer to these new estimators as Demeaned Generalized Empirical Likelihood (DGEL) estimators. Although Newey and Smith (2004) show that the EL estimator in the GEL family has fewer sources of bias and is higher-order efficient after bias-correction, the demeaned exponential tilting (DET) estimator in the DGEL group has those superior properties. In addition, if data are symmetrically distributed, every estimator in the DGEL family shares the same higher-order properties as the best member.
ContributorsXiang, Jin (Author) / Ahn, Seung (Thesis advisor) / Wahal, Sunil (Thesis advisor) / Bharath, Sreedhar (Committee member) / Mehra, Rajnish (Committee member) / Tserlukevich, Yuri (Committee member) / Arizona State University (Publisher)
Created2013
Description
This dissertation applies the Bayesian approach as a method to improve the estimation efficiency of existing econometric tools. The first chapter suggests the Continuous Choice Bayesian (CCB) estimator which combines the Bayesian approach with the Continuous Choice (CC) estimator suggested by Imai and Keane (2004). Using simulation study, I provide two important findings. First, the CC estimator clearly has better finite sample properties compared to a frequently used Discrete Choice (DC) estimator. Second, the CCB estimator has better estimation efficiency when data size is relatively small and it still retains the advantage of the CC estimator over the DC estimator. The second chapter estimates baseball's managerial efficiency using a stochastic frontier function with the Bayesian approach. When I apply a stochastic frontier model to baseball panel data, the difficult part is that dataset often has a small number of periods, which result in large estimation variance. To overcome this problem, I apply the Bayesian approach to a stochastic frontier analysis. I compare the confidence interval of efficiencies from the Bayesian estimator with the classical frequentist confidence interval. Simulation results show that when I use the Bayesian approach, I achieve smaller estimation variance while I do not lose any reliability in a point estimation. Then, I apply the Bayesian stochastic frontier analysis to answer some interesting questions in baseball.
ContributorsChoi, Kwang-shin (Author) / Ahn, Seung (Thesis advisor) / Mehra, Rajnish (Committee member) / Park, Sungho (Committee member) / Arizona State University (Publisher)
Created2014
Description
This dissertation consists of two essays related to dynamic debt contracting and financial economics. The first chapter studies key determinants of inclusion of a financial covenant in corporate loans from theoretical and empirical angles. Using a novel manually collected loan dataset of small to medium-sized publicly-listed U.S. firms, I find that firms that issue loans without financial covenants tend to have (i) lower accounting quality, (ii) lower assets, and (iii) are experiencing faster growth in profitability relative to firms that issue loans with financial covenants. I build a theoretical model of project financing in which there is noisy public information about the project’s profitability, and the lender can privately monitor to improve the information quality. I show that if the signal precision without monitoring is sufficiently low (high), the equilibrium contract does not include (includes) a covenant. Covenant inclusion plays a key role in providing incentives to the lender to monitor. I show that the lender monitors less often relative to the first best. Insufficient monitoring leads to “excessive risk-taking,” namely, bad quality firms continuing with the project too often. Relatedly, I also show that covenants are used less often in equilibrium relative to the first best. The second chapter examines equilibrium consequences of litigation by holdout creditors in sovereign debt renegotiation. I show that given a sufficiently high probability of winning the litigation case against the borrowing country and/or a high enough defaulted sovereign debt, the presence of the holdout creditors increases the expected debt recovery rate, which makes the default option less attractive, and decreases the country’s default probability and the interest rate on the country’s debt. The country responds by borrowing more but defaults less often along the equilibrium path as it wants to avoid default and facing holdout creditors. Having a non-zero probability of successful litigation is welfare improving for the country as it sustains higher debt and defaults less frequently.
ContributorsKim, Yong (Author) / Kovrijnykh, Natalia (Thesis advisor) / Mehra, Rajnish (Committee member) / Tserlukevich, Yuri (Committee member) / Arizona State University (Publisher)
Created2021