...Tool 3. Demand Analysis Economic Analysis of Tobacco Demand Nick Wilkins, Ayda Yurekli, and Teh-wei Hu DRAFT USERS : PLEASE PROVIDE FEEDBACK AND COMMENTS TO Joy de Beyer ( jdebeyer@worldbank.org) and Ayda Yurekli (ayurekli@worldbank.org) World Bank, MSN G7-702 1818 H Street NW Washington DC, 20433 USA Fax : (202) 522-3234 Contents I. Introduction 1 Purpose of this Tool 1 Who Should Use this Tool 2 How to Use this Tool 2 II. Define the Objectives of the Analysis 4 The Reason for Analysis of Demand 4 The Economic Case for Demand Intervention 4 Analysis of Demand for the Policy Maker 5 Design an Analysis of Demand Study 6 Components of a Study 6 The Nature of Econometric Analysis 7 Resources Required 7 Summary 8 References and Additional Information 8 III. Conduct Background Research 9 IV. Build the Data Set 11 Choose the Variables 11 Data Availability 11 Data Types 12 Prepare the Data 13 Data Cleaning and Preliminary Examination 14 Preparing the Data Variables 14 References and Additional...
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...International Conference On Applied Economics – ICOAE 2010 299 DOES STOCK MARKET DEVELOPMENT CAUSE ECONOMIC GROWTH? A TIME SERIES ANALYSIS FOR BANGLADESH ECONOMY MD. SHARIF HOSSAIN (PH. D.)1 - KHND. MD. MOSTAFA KAMAL2 Abstract In this paper the principal purpose has been made to investigate the causal relationship between stock market development and economic growth in Bangladesh. To investigate long-run causal linkages between stock market development and economic growth the Engle-Granger causality and ML tests are applied. In this paper another attempt has been made to investigate the non-stationarity in the series of stock market development and economic growth by using modern econometric techniques. The co-integrated tests are applied to know whether this pair of variables shares the same stochastic trend or not. From our analysis it has been found that the stock market development strongly influences the economic growth in Bangladesh economy, but there is no causation from economic growth to stock market development. Thus unidirectional causality has prevailed between stock market development and economic growth in the Bangladesh economy. Also it has been found that all the variables are integrated of order 1, and both the variables stock market development and economic growth share the same stochastic trend in Bangladesh economy. JEL Code: C010 Key Words: Stock Market Development, Causal Relationship, Non-stationarity, Unit Root Test, Co-integrated Tests 1 ...
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...YOUR ECONOMETRICS PAPER BASIC TIPS There are a couple of websites that you can browse to give you some ideas for topics and data. Think about what you want to do with this paper. Econometrics is a great tool to market when looking for jobs. A well-written econometrics paper and your presentation can be a nice addition to your resume. You are not expected to do original research here. REPLICATION of prior results is perfectly acceptable. Read Studenmund's Chapter 11. One of the most frustrating things in doing an econometrics paper is finding the data. Do not spend a lot of time on a topic before determining whether there is data available that will allow you to answer your question. It is a good idea to write down your ideal data set that would allow you to address your topic. If you find that the available data is not even close to what you had originally desired, you might want to change your topic. Also, remember that knowing the location of your data – website, reference book, etc – is not the same as having your data available to use. It may take a LONG time to get the data in a format that EVIEWS can read. Do not leave this till the last minute. For most data, I enter the data into Excel first. I save the Excel sheet in the oldest version, namely MS Excel Worksheet 2.1 . The reason is that format can be read by most programs whereas newer formats may or may not be read. Eviews easily reads an Excel sheet 2.1 version. You should use the...
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...e YOUR ECONOMETRICS PAPER BASIC TIPS There are a couple of websites that you can browse to give you some ideas for topics and data. Think about what you want to do with this paper. Econometrics is a great tool to market when looking for jobs. A well-written econometrics paper and your presentation can be a nice addition to your resume. You are not expected to do original research here. REPLICATION of prior results is perfectly acceptable. Read Studenmund's Chapter 11. One of the most frustrating things in doing an econometrics paper is finding the data. Do not spend a lot of time on a topic before determining whether there is data available that will allow you to answer your question. It is a good idea to write down your ideal data set that would allow you to address your topic. If you find that the available data is not even close to what you had originally desired, you might want to change your topic. Also, remember that knowing the location of your data – website, reference book, etc – is not the same as having your data available to use. It may take a LONG time to get the data in a format that EVIEWS can read. Do not leave this till the last minute. For most data, I enter the data into Excel first. I save the Excel sheet in the oldest version, namely MS Excel Worksheet 2.1 . The reason is that format can be read by most programs whereas newer formats may or may not be read. Eviews easily reads an Excel sheet 2.1 version. You should use...
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...What is Econometrics? Econometrics is a rapidly developing branch of economics which, broadly speaking, aims to give empirical content to economic relations. The term ‘econometrics’ appears to have been first used by Pawel Ciompa as early as 1910; although it is Ragnar Frisch, one of the founders of the Econometric Society, who should be given the credit for coining the term, and for establishing it as a subject in the sense in which it is known today (see Frisch, 1936, p. 95). Econometrics can be defined generally as ‘the application of mathematics and statistical methods to the analysis of economic data’, or more precisely in the words of Samuelson, Koopmans and Stone (1954), ... as the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference (p. 142). Other similar descriptions of what econometrics entails can be found in the preface or the introduction to most texts in econometrics. Malinvaud (1966), for example, interprets econometrics broadly to include ‘every application of mathematics or of statistical methods to the study of economic phenomena’. Christ (1966) takes the objective of econometrics to be ‘the production of quantitative economic statements that either explain the behaviour of variables we have already seen, or forecast (i.e. predict) behaviour that we have not yet seen, or both’. Chow (1983) in a more recent textbook succinctly defines econometrics ‘as the...
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...Econometric Analysis of the Daily Exchange Rate between the Dollar and the Yen By: Andrew Dupere Intro: The purpose of this model is to explain the variation in price of the USD/JPY currency pair by trying to understand how other financial markets such as stock indexes and other exchange rates affect the USD/JPY. I am personally interested in this study because I trade the USD/JPY along with many other individuals and institutions. An accurate model will provide insight how stock indexes affect the USD/JPY, opportunities to trade the USD/JPY and a foundation to do studies on other currency pairs. Literature Review: A similar study was done by a group of economists (Saeed, Ahmed; Rehmat Ullah Awan) from The University of Sargodha in Pakistan titled “An Econometric Analysis of Determinants of Exchange Rates in Pakistan”. For variables the study used the money supply in each country, the foreign exchange reserve of each country’s government, the government debt of each country and a dummy variable to account for news releases. To calculate each variable (without the coefficient) the respective United States value was subtracted from the Pakistani value and the variables represented the difference between the determinants in each country. Another study on exchange rates was done by A. D. Cohen, from The University of Witwatersrand called “An Econometric Model for Foreign Exchange Rate Forecasting”. For variables, Cohen used balance of payments, foreign exchange reserves...
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...h a p t e r One The Nature of Econometrics and Economic Data C hapter 1 discusses the scope of econometrics and raises general issues that result from the application of econometric methods. Section 1.3 examines the kinds of data sets that are used in business, economics, and other social sciences. Section 1.4 provides an intuitive discussion of the difficulties associated with the inference of causality in the social sciences. 1.1 WHAT IS ECONOMETRICS? Imagine that you are hired by your state government to evaluate the effectiveness of a publicly funded job training program. Suppose this program teaches workers various ways to use computers in the manufacturing process. The twenty-week program offers courses during nonworking hours. Any hourly manufacturing worker may participate, and enrollment in all or part of the program is voluntary. You are to determine what, if any, effect the training program has on each worker’s subsequent hourly wage. Now suppose you work for an investment bank. You are to study the returns on different investment strategies involving short-term U.S. treasury bills to decide whether they comply with implied economic theories. The task of answering such questions may seem daunting at first. At this point, you may only have a vague idea of the kind of data you would need to collect. By the end of this introductory econometrics course, you should know how to use econometric methods to formally evaluate a job training program...
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...Research Department. Asteriou, D., & Monastiriotis, V. (2004). What do unions do at the large scale? Macro-economic evidence from a panel of OECD countries. Journal of Applied Economics, VII(I), pp. 27-46. Arellano, M. (2003): Panel Data Econometrics, Oxford University Press. Arellano, M., and O. Bover. (1995). Another Look at The Instrumental Variable Estimation of Error- Components Models. Journal of Econometrics, 68, 29-52. Arellano, M., & Bond, S. R. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies (new York), 58, 194, 277- 297. Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87, 1, 115-143. Baltagi, B. (2008). Econometric analysis of panel data, John Wiley and Sons, Chichester. Baltagi, Gri, and Xiong (2000). To Pool or Not To Pool: Homogeneous Versus Heterogeneous Estimators Applied to Cigarette Demand. Review of Economics and Statistics 82: 117. Barro, R.J. (1991). Economic Growth in a Cross Section of Countries. Homepage of National Bureau of Economic Research (online). Beck, T., (2008). The Econometrics of Finance and Growth, Palgrave Handbook of Econometrics, Vol. 2. Beck, T., Levine, R. and World Bank. Financial Sector Strategy and Policy Group (2000). New firm formation and industry growth : does having a market- or bank-based system matter? Washington, D.C.:...
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...ARTICLE IN PRESS Journal of Econometrics ] (]]]]) ]]]–]]] www.elsevier.com/locate/jeconom Modeling the diffusion of scientific publications Dennis Fok, Philip Hans Fransesà Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands Abstract This paper illustrates that salient features of a panel of time series of annual citations can be captured by a Bass type diffusion model. We put forward an extended version of this diffusion model, where we consider the relation between key characteristics of the diffusion process and features of the articles. More specifically, parameters measuring citations’ ceiling and the timing of peak citations are correlated with specific features of the articles like the number of pages and the number of authors. Our approach amounts to a multi-level non-linear regression for a panel of time series. We illustrate our model for citations to articles that were published in Econometrica and the Journal of Econometrics. Amongst other things, we find that more references lead to more citations and that for the Journal of Econometrics peak citations of more recent articles tend to occur later. r 2006 Elsevier B.V. All rights reserved. JEL classification: C33; M21 Keywords: Diffusion of innovations; Multi-level regression 1. Introduction Citations to scientific publications like journal articles often show characteristics that bear similarities with the diffusion of a new product. Shortly after publication...
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...Does Saving really matter for Growth in Developing Countries? The Case of a Small Open Economy Olajide S. Oladipo, PhD Department of Economics and Finance School of Business, Medgar Evers College 1637 Bedford Avenue, Brooklyn, NY 11225 Email: ooladipo@ mec.cuny.edu Abstract The study employed the Toda and Yamamoto (1995) and Dolado and Lutkepohl (1996) – TYDL- methodology to uncover the direction of causal relationship between savings and economic growth in Nigeria between 1970 and 2006. The empirical results suggest that savings and economic growth are positively cointegrated indicating a stable long run equilibrium relationship. Further, the findings revealed a unidirectional causality between savings and economic growth and the complementary role of FDI in growth. Keywords: Cointegration, FDI, Savings and Economic Growth JEL Classification: C32; E21;O11 Does Saving really matter for Growth in Developing Countries? The Case of a Small Open Economy Introduction The relationship between savings and economic growth has received increased attention in recent years especially in developed and emerging economies [see Bacha (1990), DeGregorio (1992), Levine and Renelt (1992), and Jappelli and Pagano (1994)]. This might not be unconnected to the central underpinning of Lewis’s (1955) traditional development theory that increasing savings would accelerate economic growth. Research efforts by Kaldor (1956) and Samuelson and Modigliani (1966) examined how different savings...
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...International Journal of Business and Society, Vol. 11 No. 2, 2010, 35 - 50 THE EFFECTS OF MACROECONOMIC EVILS ON PROPERTY AND VIOLENT CRIMES IN MALAYSIA Chor Foon Tang♣ University of Malaya ABSTRACT The main objective of this study is to investigate the effects of macroeconomic evils – unemployment and inflation on different categories of crime rates – property and violent crimes in Malaysia via the multivariate Johansen-Juselius and Granger causality techniques. This study used annual data from 1970 to 2006. Johansen-Juselius cointegration tests revealed that property and violent crimes are cointegrated with unemployment and inflation. Furthermore, the empirical evidence exhibit that unemployment and inflation are the driving factors for crimes in Malaysia. Therefore, supply-side economy may be an ideal choice of policy to reduce crime rates in Malaysia. Keywords: Crime, Inflation, Unemployment, Malaysia 1. INTRODUCTION Recent deliberation on whether “Malaysia is a safe haven for travel and investment?” was frequently asked by the international tourists and foreign investors owing to the increasing trend of crime rates in Malaysia. From the visual inspection in Figure 1, both property and violent crime rates in Malaysia has increased quite significantly between 1970 and 2006. Over a decade from 1970 to 1980, both property and violent crime rates in Malaysia increased more than two folds. The property crime rate increased drastically from 25 thousand...
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...Abstract This study examines the determinants of household income diversification and its effect on food security status in rural Ethiopia. To accomplish this, we use household panel data from ERHS approximately 896 households for three years data with five years gaps. Analytical tool used were both descriptive statistics and econometric models. In descriptive analysis, from the sample households, the level of household income diversification in rural Ethiopia is 39%.Income diversification of households based on share of income from each sources show that, the share of crop income takes the highest share which accounts 45% of the total household income followed by livestock income which accounts 41% of the total income. The remaining 14% of the household income generates from off-farm activity. In econometrics model, we use fixed and random effects models to remove the effect of unobserved household characteristics that may be correlated with household income diversification behavior. We also employed instrumental variable in combination of 2SLS to address the possibility of endogenity of the level of income diversification in food security status equation. To examine the determinants of level of household income diversification we used random effect model based on the Hausman test result. The regression result suggests that number of adult household members, access to credit, farm size and livestock holding determines the level of income diversification of households. Positively...
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...EXECUTIVE SUMMARY. A case study seeks to associate with reward and employee motivation and identify association between employee motivation and employee motivation variables for instance gender, age, education, and income level and job experience in banking in Pakistan. The study should be based on primary data and sample size, by use of questionnaires. The partners are, therefore, in case of a business opportunity should apply relevant entrepreneurial skills in order to succeed especially by following the following path. Two hypotheses were developed for the present study and were tested by using Chi-square Test and binary Regression Test. The result of Chi-square shows that P- value is 0.048 of Chi-square its mean there is an association between salary and gender. The correlation between rewards and Employee Motivation is 0.546, which shows the positive relationship between compensation and employee motivation Payment structure is a crucial element in a business plan and should be carefully be looked into for instance the partners should make sure that they recruit a reasonable number of workers that they are able to manage. Objectives of this study (i).To determine if there is an association between rewards and employee motivation, biographical factors (Gender, age, education, qualification, and Income level). (ii).To identify the types of reward system in Pakistani Banks. (iii).To determine the impacts of rewards system on Banks employees’ biographical variables. (iv)...
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...On the Relationship between stock return and exchange rate: evidence on China Yaqiong Li a b , Lihong Huang b a b The Business School, Loughborough University ,UK College of Mathematics and Econometrics, Hunan University, Changsha ,Hunan ,China Abstract The purpose of this paper is to investigate the relationship between RMB exchange rate and A-share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle–Granger cointegration test is then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and RMB exchange rates at 5% significance level. However, there is strong evidence suggesting that there is a short-run uni-directional causality relationship from the nominal exchange rate to the stock returns. Keywords: cointegration; Granger causality; RMB exchange rate; stock return; unit root test. 1. Introduction The China’s exchange rate policy has recently emerged as one of major issues in the trade between the PR of China and the United States of America. The controversy is fuelled by China’s pegging of RMB to USD. Since a major devaluation of the RMB in 1994, the Chinese currency’s exchange rate vis-a-vis USD remained more or less unchanged until 21 July 2005, and has fluctuated from RMB 8.22 to 8.11 per dollar since then. The Chinese Authority has recently announced that “RMB will be no longer pegged to the US dollar”...
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...CHAPTER ONE 1.1 INTRODUCTION A casual look at the published empirical work in business and econometric will reveal that many economic relationships are of single –equation type. In such models, one variable (the dependent variable Y) is expressed as a linear function of one or more other variables (the explanatory variables, the X’s). An implicit assumption is that the cause and effect relationship, if any , between Y and X’s is unidirectional. The explanatory variables are the cause and the dependent variable is the effect . However, there are situations where there is a two- way or simultaneous relationships between Y and some of the X’s which makes the distinction between the dependent and the explanatory variables of dubious value. It is better to lump together a set of variables that can be determined simultaneously by the remaining set of variables- precisely what is done in simultaneous equation models. In such models, there is more than one equation - one for each of the mutually or jointly dependent or endogenous variables. And unlike the single equation models, in the simultaneous equation models, one may estimate the parameters of a single equation without taking into account information provided by the other equation in the system. In a simultaneous equation system, variables that appear only on the right – hand side of the equation are called exogenous or predetermined variables. They are truly independent or non-stochastic because they remain fixed. Variables...
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