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Essays on Bayesian Econometrics
This dissertation explores important macroeconomics issues based on Bayesian Econometrics tools developed. One goal of the first chapter of the dissertation is to develop an efficient Markov-Chain Monte Carlo (MCMC) algorithm for estimating an ARMA model with a regime-switching mean, based on a multi-move sampler. Unlike the ...
Essays on Applications of the Factor Model
Estimating the volatilities and correlations of asset returns plays an important role in portfolio and risk management. As of late, interest in the estimation of the covariance matrix of large dimensional portfolios has increased. Estimating large dimensional covariance poses a challenge in that the cross-sectional dimension ...
Essays on Water Resource Economics
A canonical example in economics of the difference between marginal and total value is the diamond-water paradox. The high price of diamonds is derived from their rarity; whereas the price of water is low due to its abundance, even though it is essential to sustain human life. Scarcity, rather than abundance, better ...
Essays on Traditional IRAs and Roth IRAs: Effects on Household Saving and the Participation Choice
This dissertation studies the effects of traditional IRAs and Roth IRAs on household saving and the participation choice between the two types of IRAs in the U.S. The first chapter summarizes the previous literature on Individual Retirement Accounts (IRAs) and household saving, which is still under debate with two competing ...