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Full-Text Articles in Social and Behavioral Sciences

High-Dimensional Vars With Common Factors, Ke Miao, Peter C. B. Phillips, Liangjun Su Mar 2023

High-Dimensional Vars With Common Factors, Ke Miao, Peter C. B. Phillips, Liangjun Su

Research Collection School Of Economics

This paper studies high-dimensional vector autoregressions (VARs) augmented with common factors that allow for strong cross-sectional dependence. Models of this type provide a convenient mechanism for accommodating the interconnectedness and temporal co-variability that are often present in large dimensional systems. We propose an ℓ1-nuclear-norm regularized estimator and derive the non-asymptotic upper bounds for the estimation errors as well as large sample asymptotics for the estimates. A singular value thresholding procedure is used to determine the correct number of factors with probability approaching one. Both the LASSO estimator and the conservative LASSO estimator are employed to improve estimation precision. The conservative …


Investment And Risk Management With Online News And Heterogeneous Networks, Meng Kiat Gary Ang, Ee-Peng Lim Mar 2023

Investment And Risk Management With Online News And Heterogeneous Networks, Meng Kiat Gary Ang, Ee-Peng Lim

Research Collection School Of Computing and Information Systems

Stock price movements in financial markets are influenced by large volumes of news from diverse sources on the web, e.g., online news outlets, blogs, social media. Extracting useful information from online news for financial tasks, e.g., forecasting stock returns or risks, is, however, challenging due to the low signal-to-noise ratios of such online information. Assessing the relevance of each news article to the price movements of individual stocks is also difficult, even for human experts. In this article, we propose the Guided Global-Local Attention-based Multimodal Heterogeneous Network (GLAM) model, which comprises novel attention-based mechanisms for multimodal sequential and graph encoding, …


The Doctrine Of Unilateral Severance And Its Potential Development In Singapore, Zhi Jia Koh Mar 2023

The Doctrine Of Unilateral Severance And Its Potential Development In Singapore, Zhi Jia Koh

Research Collection Yong Pung How School Of Law

Co-ownership of land is commonplace in Singapore, and the manner of holding among co-owners has important practical implications. Joint tenants are subject to the rule of survivorship, but what if a joint tenant does not wish to be locked into the survivorship wheel of fortune? A joint tenant may unilaterally sever the joint tenancy by an act operating upon his or her share of the land, but questions remain as to when that occurs and the consequent duration of severance. This article attempts to address these questions with the current alienation-based approach and suggest the possibility of an intention-based approach.


Service Out Under The New Rules Of Court, Ian Mah, Aaron Yoong Mar 2023

Service Out Under The New Rules Of Court, Ian Mah, Aaron Yoong

Research Collection Yong Pung How School Of Law

The new Rules of Court 2021 seek to provide a more accessible and efficient justice system. The extensiveness of the overhaul, however, brings with it as much unfamiliarity as excitement. This legislation comment examines the changes in the provisions governing service out of jurisdiction and argues that the textual changes also effect substantive changes to how the law is applied. This comment also explores the related issues on the grant of Mareva injunctions in aid of foreign proceedings under the new Rules of Court 2021.


Falsehoods, Foreign Interference, And Compelled Speech In Singapore, Kenny Chng Mar 2023

Falsehoods, Foreign Interference, And Compelled Speech In Singapore, Kenny Chng

Research Collection Yong Pung How School Of Law

Online misinformation endangers the infrastructure of fact essential to public discourse and presents an even greater threat where it is being utilised as a weapon by hostile state actors. In recognition of these dangers, Singapore has implemented legal measures to combat online misinformation, enacting in quick succession the Protection from Online Falsehoods and Manipulation Act (POFMA) and the Foreign Interference (Countermeasures) Act (FICA). These statutes open up novel frontiers of development for Singapore's free speech jurisprudence. Indeed, these statutes confer upon government authorities the power to compel the authors of certain material to display notices stating that the material contains …


Are Markets Interested In Adapting To Climate? Insights From Singapore, Stella Whittaker, Tran Bao Phuong Nguyen Feb 2023

Are Markets Interested In Adapting To Climate? Insights From Singapore, Stella Whittaker, Tran Bao Phuong Nguyen

Sim Kee Boon Institute for Financial Economics

We have collected the views of leading practitioners and academics in Singapore involved in funding and financing urban climate change adaptation1 (thereon referred to as urban adaptation). Throughout this paper we discuss several vital perspectives on adaptation financing, namely responsibility for adaptation investment, the extent of government adaptation investment, private sector adaptation investment appetite and prospects for experimentation in adaptation financing. We also attempt to shed light on the existence or not of an adaptation financing gap2 in Singapore.


Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez Feb 2023

Assessing The Odds Of A Us Recession, Thomas Lam, David Fernandez

Sim Kee Boon Institute for Financial Economics

In this commentary, SMU Sim Kee Boon Institute for Financial Economics (SKBI) Principal Researcher Thomas Lam and SKBI Director SMU Professor of Finance (Practice) Dave Fernandez offer their perspectives on the current multifaceted and highly charged US recession debate. While America is currently not in a downturn, the near-term odds of one have edged up, according to models based on key monthly and weekly indicators.


Modeling And Forecasting Realized Volatility With The Fractional Ornstein-Uhlenbeck Process, Xiaohu Wang, Weilin Xiao, Jun Yu Feb 2023

Modeling And Forecasting Realized Volatility With The Fractional Ornstein-Uhlenbeck Process, Xiaohu Wang, Weilin Xiao, Jun Yu

Research Collection School Of Economics

This paper proposes to model and forecast realized volatility (RV) using the fractional Ornstein-Uhlenbeck (fO-U) process with a general Hurst parameter, H. A two-stage method is introduced for estimating parameters in the fO-U process based on discrete-sampled observations. In the first stage, H is estimated based on the ratio of two second-order differences of observations from different frequencies. In the second stage, with the estimated , the other parameters of the model are estimated by the method of moments. All estimators have closed-form expressions and are easy to implement. A large sample theory of the proposed estimators is derived. Extensive …


Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Ong Feb 2023

Impact Of Geographical Diversification And Limited Attention On Private Equity Fund Returns, Victor Ong

Research Collection Lee Kong Chian School Of Business

This article analyzes the effect of geographical diversification on global private equity (PE) fund returns. We find that there is a negative correlation between geographical diversification and PE fund returns. To establish the causality between geographical diversification and PE fund returns, we employ an instrumental variable analysis where the instrument used is the stock market capitalization of the host country where the PE fund is based. Our results apply to Net IRR, TVPI and DPI as dependent variables used to proxy for PE fund returns in the main regression model. A one standard deviation increase in geographical diversification results in …


The Study Of Followers In Leadership Research: A Systematic And Critical Review, Burak Oc, Kraivin Chintakananda, Michael R. Bashshur, David V. Day Feb 2023

The Study Of Followers In Leadership Research: A Systematic And Critical Review, Burak Oc, Kraivin Chintakananda, Michael R. Bashshur, David V. Day

Research Collection Lee Kong Chian School Of Business

Despite the significant amount of existing research examining the relationship of follower-related factors with leadership outcomes, there is no systematic, critical review that integrates and helps leadership scholars make sense of this rapidly growing body of research. To address this gap in the literature, we first briefly discuss the leading perspectives explaining the role of followers in leadership. Next, we identify and discuss the most frequently studied theoretical narratives explaining the relationship between follower-related predictors and leadership outcomes. Because theoretical arguments generally make causal claims, we identify and examine how methodological concerns including power analysis, multicollinearity, and endogeneity might prevent …


Boosting Persuasion: The Attention Benefits Of Multiple Narrating Voices, Hannah H. Chang, Anirban Mukherjee, Amitava Chattopadhyay Feb 2023

Boosting Persuasion: The Attention Benefits Of Multiple Narrating Voices, Hannah H. Chang, Anirban Mukherjee, Amitava Chattopadhyay

Research Collection Lee Kong Chian School Of Business

The "Voice Numerosity Effect”: When hearing different voices narrating a marketing video facilitates persuasion. In a forthcoming paper in the Journal of Marketing Research, we investigate the role of voice (narrator) numerosity in marketing videos (Chang, Mukherjee, and Chattopadhyay 2022). For example, consider the following two real-life examples: a product video introducing Apple’s AirPods Max had two narrating voices while a product video introducing Apple’s new Macbook Pro had a single narrating voice. Does the difference in the number of narrating voices influence consumers’ attention and subsequent behaviour?


Natural Disasters And Corporate Philanthropy: A Double Movement Perspective, Guoguang Wan, Heli Wang, Xuesong Geng, Kenneth G. Huang Feb 2023

Natural Disasters And Corporate Philanthropy: A Double Movement Perspective, Guoguang Wan, Heli Wang, Xuesong Geng, Kenneth G. Huang

Research Collection Lee Kong Chian School Of Business

This study examines Chinese corporations’ responses to a sudden natural disaster in terms of their philanthropic donations. We apply Polanyi’s double movement perspective to argue that rapid market expansion in an emerging economy causes social problems such as large-income disparities and environmental degradation. This calls forth counterforces advocating social responsibility and sustainability. Such countermovements can be strengthened by a major disaster, especially in the domain of corporate philanthropy. The resulting increase in corporate philanthropy persists long after the disaster, especially for those firms with large intra-firm pay disparities, operating in socially contested industries and located in regions with more social …


School Committee Composition: Exploring The Role Of Parental And Female Representation In India, Panchali Guha Feb 2023

School Committee Composition: Exploring The Role Of Parental And Female Representation In India, Panchali Guha

Research Collection Lee Kong Chian School Of Business

Motivation: The adoption of school-based management (SBM) reforms has led to the formation of local-level school committees in many low- and middle-income countries. These committees are usually created with the stated aim of giving parents or local community members a greater say in school management. Various studies have, however, highlighted difficulties with parental and female participation, casting doubt on the extent to which greater community representation improves school management. Purpose: The article examines empirically whether greater parental and female representation in Indian school management committees (SMCs) is associated with school improvement as measured by increases in the school-level provision of …


How And Why Is Context Important In Leadership?, Burak Oc, Joseph A. Carpini Feb 2023

How And Why Is Context Important In Leadership?, Burak Oc, Joseph A. Carpini

Research Collection Lee Kong Chian School Of Business

Leadership can be defined as a goal-influence process that occurs between a leader and a follower, groups of followers, or institutions that directs effort towards the achievement of a shared objective (Antonakis & Day, 2018, p. 5). From this definition, we can distil four key elements of leadership: a) leaders, b) followers, c) influence and d) goals, motivation and performance. While leaders and followers are the main actors of leadership processes, how they influence each other has implications for group goals. However, most leadership research focuses on leaders, largely treating them as the sole driver of organisation success or failure …


The Financialization Of Cryptocurrencies, Lei Huang, Tse-Chun Lin, Fangzhou Lu, Jian Sun Feb 2023

The Financialization Of Cryptocurrencies, Lei Huang, Tse-Chun Lin, Fangzhou Lu, Jian Sun

Research Collection Lee Kong Chian School Of Business

We show that change in Grayscale Bitcoin Trust premium is the single most significant predictor of Bitcoin daily return. This sentiment measure is similar to the closed-end fund discount measure as in Baker and Wurgler (2006), but more likely to reflect the excess demand from traditional investors than from blockchain specialists. Although there is a substantial variation in Bitcoin price quotes worldwide, this Grayscale premium and discount predict Bitcoin daily return for the most liquid Bitcoin exchanges. Using K-means clustering and LDA analysis, we find that this predictability is especially significant when there is a large variation in bullish and …


Empirical Study Of Esg Ratings In China’S A-Share Market: A Focus On The Csi 800 Stocks, Wenqing Tan Feb 2023

Empirical Study Of Esg Ratings In China’S A-Share Market: A Focus On The Csi 800 Stocks, Wenqing Tan

Dissertations and Theses Collection (Open Access)

In this study, we focus on the Chinese A-share market, and particularly on the CSI 800 stocks. Our aim is to conduct a comparison analysis of the prominent environmental, social, and governance (ESG) rating agencies in an effort to reflect the growing importance of ESG investment, social responsibility, and sustainable development. We mainly use three mainstream rating agencies’ rating data (i.e., the China Securities Index [CSI], Wind, and SynTao Green Finance) to conduct descriptive statistics and comparative analysis. Furthermore, we conduct grouping tests on the ESG scores in the CSI 800 and across various sectors to explore their effectiveness in …


Smu Launches Master’S Programme With A Practical Focus On Entrepreneurship And Venture Building, Singapore Management University Feb 2023

Smu Launches Master’S Programme With A Practical Focus On Entrepreneurship And Venture Building, Singapore Management University

SMU Press Releases

Entrepreneurship is important for Singapore as a key driver of innovation and source of economic renewal. The Singapore government is actively encouraging entrepreneurship, with policies such as Startup SG Equity Initiative, Global Ready Talent Programme and Startup SG Founder, to name a few. In response to such industry needs and demand, Singapore Management University (SMU) has revamped its Master of Science in Innovation programme to the Master of Science in Entrepreneurship and Innovation (MEI) programme, to nurture purpose-driven talents who will pioneer new growth opportunities for Singapore and beyond and solve pressing, real-world problems. The full-time MEI programme offers students …


The Effects Of Ses, Social Support, And Resilience On Older Adults’ Well-Being During Covid-19: Evidence From Singapore, Mindy Eiko Tadai, Paulin Tay Straughan, Grace Cheong, Rachel Ngu Wen Yi, Yan Er Tan Feb 2023

The Effects Of Ses, Social Support, And Resilience On Older Adults’ Well-Being During Covid-19: Evidence From Singapore, Mindy Eiko Tadai, Paulin Tay Straughan, Grace Cheong, Rachel Ngu Wen Yi, Yan Er Tan

Research Collection School of Social Sciences

The COVID-19 pandemic has rendered visible many socioeconomic inequalities and the lengthy period of dis- ruption to everyday life had disproportionate effects on the most vulnerable groups in Singapore and across the world. Utilizing data from the Singapore Life Panel ® (SLP) collected in September 2021, this study examined a sample of 6667 older adults to assess the effects of socioeconomic status (SES) on well-being, and the mechanisms through which social support and resilience may mediate its influence. Overall, our results suggest significant direct and indirect effects of SES on well-being and provide evidence for the pivotal role that social …


A Review Of The 2021/22 International Moots Season, Siyuan Chen Feb 2023

A Review Of The 2021/22 International Moots Season, Siyuan Chen

Research Collection Yong Pung How School Of Law

This is the eighth1 annual review of Singapore’s performance in international moot court competitions.2 An overview of the results for this season is presented at Table #1 below, while Tables #2 and #3 provide a snapshot of the results of the past 10 seasons. Despite the substantial lifting of travel restrictions throughout the world, the 2021/22 international moots season remained a virtually conducted one for many competitions, though competitions such as IP, Stetson, PAX, and WTO saw a much-welcomed return to in-person hearings, allowing students to compete and interact with teams and judges from around the world at places such …


Using Virtual Simulations Of Future Extreme Weather Events To Communicate Climate Change Risk, Terry Van Gevelt, Brian G. Mcadoo, Jie Yang, Linlin Li, Fiona Williamson, Alex Scollay, Aileen Lam, Kwan Nok Chan, Adam D. Switzer Feb 2023

Using Virtual Simulations Of Future Extreme Weather Events To Communicate Climate Change Risk, Terry Van Gevelt, Brian G. Mcadoo, Jie Yang, Linlin Li, Fiona Williamson, Alex Scollay, Aileen Lam, Kwan Nok Chan, Adam D. Switzer

Research Collection College of Integrative Studies

Virtual simulations of future extreme weather events may prove an effective vehicle for climate change risk communication. To test this, we created a 3D virtual simulation of a future tropical cyclone amplified by climate change. Using an experimental framework, we isolated the effect of our simulation on risk perceptions and individual mitigation behaviour for a representative sample (n = 1507) of the general public in Hong Kong. We find that exposure to our simulation is systematically associated with a relatively small decrease in risk perceptions and individual mitigation behaviour. We suggest that this is likely due to climate change scepticism, …


Disentangling The Effects Of Smartphone Screen Time, Checking Frequency, And Problematic Use On Executive Function: A Structural Equation Modelling Analysis, Wei Xing Toh, Wee Qin Ng, Hwajin Yang, Sujin Yang Feb 2023

Disentangling The Effects Of Smartphone Screen Time, Checking Frequency, And Problematic Use On Executive Function: A Structural Equation Modelling Analysis, Wei Xing Toh, Wee Qin Ng, Hwajin Yang, Sujin Yang

Research Collection School of Social Sciences

The pervasiveness of smartphone engagement among young adults has attracted growing interest regarding its impact on cognitive processes. However, research on the relation between smartphone use and executive function (EF)—a set of adaptive, goal-directed control processes—remains inconclusive due to imprecise estimation of EF dimensions and inconsistent operationalisation of smartphone use in past studies. Therefore, we examined how two indices of smartphone use—screen time and checking frequency—would predict EF (common EF, shifting-specific-, and working-memory-specific components), using a latent-variable approach based on a comprehensive battery of EF tasks. We also examined the moderating role of problematic smartphone use in the link between …


Anxiety Disorders And Executive Functions: A Three-Level Meta-Analysis Of Reaction Time And Accuracy, Nadyanna M. Majeed, Yi Jing Chua, Meenakshi Kothari, Manmeet Kaur, Frosch Y. X. Quek, Matthew H. S. Ng, Wee Qin Ng, Andree Hartanto Feb 2023

Anxiety Disorders And Executive Functions: A Three-Level Meta-Analysis Of Reaction Time And Accuracy, Nadyanna M. Majeed, Yi Jing Chua, Meenakshi Kothari, Manmeet Kaur, Frosch Y. X. Quek, Matthew H. S. Ng, Wee Qin Ng, Andree Hartanto

Research Collection School of Social Sciences

Anxiety disorders, one of the most common classes of psychological disorders, have been shown to result in a decreased quality of life. Although some research suggests that anxiety disorders are linked to impairments in executive functioning, the inconsistency in the current literature yields an unclear conclusion on the relationship between the two. The current meta-analysis systematically investigated 55 records (N = 4601; kReactionTime = 44, kAccuracy = 79) that compared various groups with anxiety disorders to healthy controls on executive function tasks. Overall, our meta-analysis showed that individuals with anxiety disorders exhibited significant deficits in performance efficiency (reaction times) on …


Untangling The Additive And Multiplicative Relations Between Natural Scenery Exposure And Human-Animal Interaction On Affective Well-Being: Evidence From Daily Diary Studies, Adalia Yin Hui Goh, Shu Min Chia, Nadyanna M. Majeed, Nicole R.Y. Chen, Andree Hartanto Feb 2023

Untangling The Additive And Multiplicative Relations Between Natural Scenery Exposure And Human-Animal Interaction On Affective Well-Being: Evidence From Daily Diary Studies, Adalia Yin Hui Goh, Shu Min Chia, Nadyanna M. Majeed, Nicole R.Y. Chen, Andree Hartanto

Research Collection School of Social Sciences

Built nature spaces have been increasingly integrated into our urban environments in recent years with the aim of reaping their psychological benefits. However, despite numerous works of research on the relationship between nature exposure and well-being, most studies have looked into the benefits of well-being from the lens of isolated elements of nature, such as natural scenery or animal exposure. This study aims to fill in the gaps by examining the additive and multiplicative relationships between natural scenery exposure and human–animal interaction on affective well-being (i.e., positive affect, negative affect, and stress) through a daily diary study. Over seven days, …


Effects Of Positive Reappraisal And Self-Distancing On The Meaningfulness Of Everyday Negative Events, Clement Yong Hao Lau, William Tov Feb 2023

Effects Of Positive Reappraisal And Self-Distancing On The Meaningfulness Of Everyday Negative Events, Clement Yong Hao Lau, William Tov

Research Collection School of Social Sciences

Current work on meaning-making has primarily focused on major negative life events such as trauma and loss, leaving common daily adversities unexplored. This study aimed to examine how utilizing meaning-making strategies such as positive reappraisal and self-distancing (in isolation or in combination) can facilitate an adaptive processing of these daily negative experiences. Overall meaning and facets of meaning (coherence, purpose, and significance/mattering) were assessed at both global and situational levels. Results suggested that positive reappraisal was generally effective for enhancing situational meaning but not under all conditions. Specifically, when negative experiences were high on emotional intensity, reflecting on the experience …


A Narrative Review Of Screen Time And Wellbeing Among Adolescents Before And During The Covid-19 Pandemic: Implications For The Future, Verity Yu Qing Lua, Terence B. K. Chua, Michael Y. H. Chia Feb 2023

A Narrative Review Of Screen Time And Wellbeing Among Adolescents Before And During The Covid-19 Pandemic: Implications For The Future, Verity Yu Qing Lua, Terence B. K. Chua, Michael Y. H. Chia

Research Collection School of Social Sciences

The COVID-19 pandemic has disrupted the lives of many. In particular, during the height of the pandemic, many experienced lockdowns, which in turn increased screen time drastically. While the pandemic has been declared an endemic and most activities have been reinstated, there appears to still be elevated screen time among adolescents due to poor habits formed during the pandemic lockdowns. This paper explores the factors by which screen time affects well-being among adolescents and how the pandemic may have influenced some of these factors. For example, beyond having greater screen time, many adolescents have also reduced their physical activities and …


The Health And Social Impacts Of An Ageing Population In Singapore, And Why It Matters, Paulin Tay Straughan, Chongsheng, Micah (Chen Chongsheng) Tan Feb 2023

The Health And Social Impacts Of An Ageing Population In Singapore, And Why It Matters, Paulin Tay Straughan, Chongsheng, Micah (Chen Chongsheng) Tan

Research Collection School of Social Sciences

Singapore’s population is ageing rapidly, with the National Population and Talent Division estimating that about one in four Singaporeans will be aged 65 and above by 2030 (National Population and Talent Division 2022). It is anticipated that these demographic changes will have wide-reaching implications for the country that will span all sectors and dimensions of society. In this article, we focus in on two specific dimensions of the impact that an ageing population will have for society; health and social impacts. Using data from the Singapore Life Panel® (SLP) that has been running for the past seven years at the …


Two Responsibilities To Protect, Patrick Quinton-Brown Feb 2023

Two Responsibilities To Protect, Patrick Quinton-Brown

Research Collection School of Social Sciences

The purpose of this paper is to re-theorize the evolution of the Responsibility to Protect (RtoP) in the UN through to 2011, the apogee of liberal interventionism in the post-Cold War period. Contrary to a common argument in existing literature, and notwithstanding the adoption of the concept as an annual agenda item of the General Assembly, international contestation is not about implementation as neatly separated from meaning, but rather definition or interpretation. To better understand the boundaries of intergovernmental understanding, we need to interrogate the language or terms of the debate, particularly the ways in which those terms have been …


Smartphone Use And Daily Cognitive Failures: A Critical Examination Using A Daily Diary Approach With Objective Smartphone Measures, Andree Hartanto, Kristine Y. X. Lee, Yi Jing Chua, Frosch Y. X. Quek, Nadyannam M. Majeed Feb 2023

Smartphone Use And Daily Cognitive Failures: A Critical Examination Using A Daily Diary Approach With Objective Smartphone Measures, Andree Hartanto, Kristine Y. X. Lee, Yi Jing Chua, Frosch Y. X. Quek, Nadyannam M. Majeed

Research Collection School of Social Sciences

While smartphones have brought many benefits and conveniences to users, there is continuing debate regarding their potential negative consequences on everyday cognition such as daily cognitive failures. A few cross-sectional studies have found positive associations between smartphone use and cognitive failures. However, several research gaps remain, such as the use of cross-sectional designs, confounds related to stable individual differences, the lack of validity in self-report measures of smartphone use, memory biases in retrospective self-reports, and the lack of differentiation between smartphone checking and smartphone screen time. To simultaneously address the aforementioned shortcomings, the current study examined the within-person associations between …


Marijuana Liberalization And Public Finance: A Capital Market Perspective On The Passage Of Medical Use Laws, Stephanie F. Cheng, Gus De Franco, Pengkai Lin Feb 2023

Marijuana Liberalization And Public Finance: A Capital Market Perspective On The Passage Of Medical Use Laws, Stephanie F. Cheng, Gus De Franco, Pengkai Lin

Research Collection School Of Accountancy

We find that the staggered passage of state-level laws that legalize marijuana for medical use increases states' borrowing costs by 7–9 basis points. Consistent with economic theory on substance use suggesting that marijuana legalization increases local consumption of the drug (by expanding its availability and reducing its perceived risks), we predict and find that increased consumption represents an important mechanism that explains the higher state bond spreads. We also show that following such laws’ passage, states incur higher marijuana-consumption-related expenditures, including for police, corrections, and public welfare.


Fully Modified Least Squares Cointegrating Parameter Estimation In Multicointegrated Systems, Igor L. Kheifets, Peter C. B. Phillips Feb 2023

Fully Modified Least Squares Cointegrating Parameter Estimation In Multicointegrated Systems, Igor L. Kheifets, Peter C. B. Phillips

Research Collection School Of Economics

Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrating links between these variables and partial sums of the equilibrium errors. This paper departs from the parametric model, using a semiparametric formulation that reveals the explicit role that singularity of the long run conditional covariance matrix plays in determining multicointegration. The semiparametric framework has the advantage that short run dynamics do not need to be modeled and estimation by standard techniques such as fully modified least squares (FM-OLS) on the original system is straightforward. The paper derives FM-OLS …