Three essays in econometrics
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2008
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University of Hawaii at Manoa
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This dissertation has three essays on econometrics. Essay one is about the gravity model, which is one of the most popular applied econometric models in trade literature. The existing theory predicts that the coefficients of the national income variables should be unity. In the empirical application, either export or import flow are often used as the dependent variable. However, their estimated coefficients are different from unity. This essay shows that the conflicting results could be caused by misspecifications, which are the results of improper choice of dependent variables and simultaneous equation bias. Essay two considers an alternative cointegration test when the error term consists of two independent components, a white noise and a random walk. Such a dual composition of the error term is known as the adaptive regression model, which is a special case of the stochastic parameter variation model. This essay develops alternative test statistics and show they are distributed asymptotically as chi-square. Essay three introduces the nested AR (1) model which synthesizes two types of specifications of the residual term, the first-order autocorrelation and the adaptive regression model. The nested AR(l) model introduced in this essay has never been considered in econometric literature. In addition to exploring the theoretical properties of this specification, this essay also derives the critical values of the test statistics.
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Theses for the degree of Doctor of Philosophy (University of Hawaii at Manoa). Economics; no. 5095
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