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Essays on nonparametric and applied ...

Ergun, Ahmet Tolga.

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Essays on nonparametric and applied econometrics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on nonparametric and applied econometrics./
作者:	Ergun, Ahmet Tolga.
面頁冊數:	91 p.
附註:	Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3510.
Contained By:	Dissertation Abstracts International65-09A.
標題:	Economics, Theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3145065
ISBN:	0496036246

Essays on nonparametric and applied econometrics.
Ergun, Ahmet Tolga.

Essays on nonparametric and applied econometrics. - 91 p.

Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3510.

Thesis (Ph.D.)--The University of Arizona, 2004.

This dissertation focuses on econometric methodology and its applications in insurance and the stock market.

ISBN: 0496036246Subjects--Topical Terms:

1017575
Economics, Theory.

Essays on nonparametric and applied econometrics.
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245 1 0 $a Essays on nonparametric and applied econometrics.
300 $a 91 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3510.
500 $a Director: Alan P. Ker.
502 $a Thesis (Ph.D.)--The University of Arizona, 2004.
520 $a This dissertation focuses on econometric methodology and its applications in insurance and the stock market.
520 $a The second chapter proposes a new semiparametric estimator for binary-choice single-index models. The estimator makes use of a "parametric start" idea from the statistics literature and applies it to econometric model estimation. Even though the chapter only focuses on binary-choice models, it is expected that the introduction of this idea to the econometrics literature is going to contribute to semiparametric estimation of econometric models in general, especially when one has (only) a rough initial guess about the shape of the unknown function. Consistency of the estimator is shown and the simulation results indicate that even though the parametric start is not correct in any of the simulation designs, the estimator's performance is very promising in the estimation of coefficients and probabilities.
520 $a The third chapter successfully applies this proposed estimator along with competing parametric and semiparametric estimators and is expected to expand our understanding of private insurance company involvement in the U.S. crop insurance program. This chapter stands almost alone in the literature as an overwhelming majority of other studies examine the involvement of producers in the program. Although preliminary, the results of this chapter show that the insurance company involvement in this program may be too costly to justify and that the program may not be as efficient in terms of premium rates and rating practices of the federal government.
520 $a The fourth chapter examines market volatility taking into account the New York Stock Exchange trading collar. The trading collar restricts certain forms of trade in component stocks of the S&P500 stock price index when there is "excess" volatility in the market. This important feature of the market has been ignored in the large volatility modeling literature and it is expected that this chapter contributes to this literature by showing that after some data manipulation it is straightforward to incorporate this feature into standard econometric models. Another contribution of this chapter is the successful use of a polynomial specification to capture the well documented U-shaped pattern of intraday market volatility instead of a computationally more difficult two-step procedure.
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650 4 $a Economics, Agricultural. $3 626648
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