by Ma Chun Ho Eric. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 102-105). / Abstracts in English and Chinese. / INTERNET ROUTING AND PRICING --- p.1 / ABSTRACT --- p.I / ACKNOWLEDGEMENTS --- p.III / LIST OF FIGURES --- p.IV / LIST OF TABLES --- p.VI / CONTENTS --- p.VII / Chapter CHAPTER1 --- Introduction --- p.1 / Chapter 1.1 --- What is Internet? --- p.1 / Chapter 1.2 --- Internet Routing and Pricing --- p.3 / Chapter 1.3 --- Overview of QoS Routing --- p.4 / Chapter 1.3.1 --- Classification of Routing --- p.6 / Chapter 1.3.2 --- Optimal Routing --- p.7 / Chapter 1.4 --- An Introduction to Internet Economics --- p.8 / Chapter 1.4.1 --- Internet Externality --- p.9 / Chapter 1.4.2 --- Current Pricing Practice --- p.10 / Chapter 1.4.3 --- Network Interconnection --- p.14 / Chapter 1.4 --- Organization of Thesis --- p.16 / Chapter CHAPTER2 --- Economic Theory for Interconnection Model --- p.18 / Chapter 2.1 --- Introduction --- p.18 / Chapter 2.2 --- Demand and Supply --- p.20 / Chapter 2.2.1 --- Consumer Behavior --- p.20 / Chapter 2.2.2 --- Demand Curve --- p.25 / Chapter 2.2.3 --- Price Elasticity --- p.30 / Chapter 2.2.4 --- Estimation of Market Demand --- p.32 / Chapter 2.3 --- Market Structure --- p.33 / Chapter 2.3.1 --- Competitive Firm --- p.34 / Chapter 2.3.2 --- Monopoly --- p.35 / Chapter 2.3.3 --- Oligopoly --- p.35 / Chapter 2.4 --- Game Theory --- p.35 / Chapter 2.4.1 --- The Payoff Matrix of a game --- p.36 / Chapter 2.4.2 --- Nash Equilibrium --- p.37 / Chapter 2.4.3 --- Mixed Strategies --- p.38 / Chapter 2.4.4 --- Existence of Nash Equilibrium --- p.39 / Chapter 2.5 --- Summary --- p.39 / Chapter CHAPTER3 --- Problem Formulation Interconnection Network for Pricing and Routing in Internet --- p.40 / Chapter 3.1 --- Introduction --- p.40 / Chapter 3.2 --- Problem Formulation --- p.41 / Chapter 3.2 --- Existence of NEP Interconnection Network --- p.46 / Chapter 3.3 --- "A ""Cookbook"" Procedure" --- p.53 / Chapter 3.4 --- Cookbook Examples --- p.54 / Chapter 3.5 --- Summary --- p.65 / Chapter CHAPTER4 --- Price Competition for Interconnection Models --- p.66 / Chapter 4.1 --- Introduction --- p.66 / Chapter 4.2 --- Competitive Pricing of Parallel Networks --- p.66 / Chapter 4.2.1 --- Model and Problem Formulation --- p.67 / Chapter 4.2.2 --- Existence of Nash Equilibrium Point --- p.68 / Chapter 4.2.3 --- Numerical Example and Properties --- p.71 / Chapter 4.3 --- Price Collusion for Serial Networks --- p.75 / Chapter 4.3.1 --- Model and Problem Formulation --- p.75 / Chapter 4.3.2 --- Existence of Nash Equilibrium Point --- p.77 / Chapter 4.3.3 --- Numerical Example and Properties --- p.79 / Chapter 4.4 --- Summary --- p.83 / Chapter CHAPTER5 --- Price Distortion for Series-Parallel Networks with Dominant Carriers --- p.85 / Chapter 5.1 --- Problem Motivation and Formulation --- p.85 / Chapter 5.2 --- Properties under NEP --- p.90 / Chapter 5.3 --- A Simple Simulation --- p.95 / Chapter 5.5 --- Summary --- p.98 / Chapter CHAPTER6 --- Conclusion --- p.99 / BIBLIOGRAPHY --- p.102

Kwong, Wai Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 34-35). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese.

Recursive estimation is an essential procedure in econometrics which appears in many applications when the underlying dataset or model is modi ed. Data arrive consecutively and thus already estimated models will have to be updated with new available information. Moreover, in many cases, data will have to be deleted from a model in order to remove their effect, either because they are old (obsolete) or because they have been detected to be outliers or extreme values and further investigation is required. The aim of this thesis is to develop numerically stable and computationally efficient methods for the recursive estimation of large-scale linear econometric models. Estimation of multivariate linear models is a computationally costly procedure even for moderate-sized models. In particular, when the model needs to be estimated recursively, its estimation will be even more computationally demanding. Moreover, conventional methods yield often, misleading results. The aim is to derive new methods which effectively utilise previous computations, in order to reduce the high computational cost, and which provide accurate results as well. Novel numerical methods for the recursive estimation of the general linear, the seemingly unrelated regressions, the simultaneous equations, the univariate and multivariate timevarying parameters models are developed. The proposed methods are based on numerically stable strategies which provide accurate and precise results. Moreover, the new methods estimate the unknown parameters of the modi ed model even when the variance covariance matrix is singular.

Cette thèse propose trois essais sur les perturbations tout au long de la chaîne de distribution des produits alimentaires à haute valeur nutritionnelle. Elle contribue à notre compréhension des menaces liées à la réalisation des objectifs de sécurité alimentaire dans les pays émergents. Contribuant à l'analyse économique de la chaîne de distribution et des questions agricoles, la thèse est fondée sur différents éléments théoriques relatifs à la chaîne de valeur, la croissance du marché, la transmission des prix et met en œuvre des techniques d'économétrie appliquée (économétrie des données de panel, économétrie des séries temporelles) à partir de base de données originales. L'objectif est d'analyser les sources et l'ampleur des perturbations dans la chaîne de distribution des produits à haute valeur nutritionnelle.La première partie de la thèse analyse les perturbations sur les marchés des produits alimentaires à haute valeur non-transformés et moins transformés. Le Chapitre 2 examine les perturbations en amont et en aval de la chaîne de distribution de ces produits. Le Chapitre 3 étend l’analyse du Chapitre 2 en prenant en compte les perturbations relatives aux produits ayant subi un niveau de transformation élevé. Dans les deux chapitres, les perturbations sont analysées en termes de changement de prix et de quantité, à la fois en amont et en aval. Le changement de quantité est considéré comme une perturbation préliminaire alors que celui de prix est secondaire. Utilisant le marché de São Paulo comme sujet d'étude, le Chapitre 4 analyse les effets du prix du diesel sur les différents segments de la chaîne de distribution des produits alimentaires à haute valeur nutritionnelle. Un modèle à correction d’erreur (MCE) qui prend en considération les effets des prix entre les différents produits est estimé pour vérifier si les chocs provenant du prix du diesel sont plus élevés en amont qu'en aval. Ce chapitre est analytiquement fondé sur la théorie de la transmission des prix.Les résultats des Chapitres 2 et 3 montrent que les désastres climatiques sont des sources dominantes de perturbation de la chaîne de distribution des produits alimentaires à haute valeur nutritionnelle. Leur effet est négatif pour tous les produits analysés, bien que l'ampleur de perturbation varie d’un produit à l’autre. Les résultats du modèle à correction d’erreur (MCE) du Chapitre 4 montrent que les effets du prix du diesel sur les prix des produits alimentaires à haute valeur nutritionnelle sont positifs et significatifs, alors que les effets en aval sont plus élevés que ceux en amont. Les résultats de la thèse ont des implications importantes pour le développement et la mise en œuvre des politiques d’alimentation dans les pays émergents. Le Chapitre 1, introduction générale, justifie l'étude des différences entre l'ampleur de perturbation en amont et celle en aval, et situe la thèse dans les littératures existantes. Une conclusion générale est proposée en Chapitre 5 avec des propositions pour de futurs travaux de recherche. / This dissertation presents three essays on disruptions along nutritional high-value food supply chains in emerging countries. It extends our understanding of threats to the attainment of food security in emerging countries. With a contribution to agricultural economics, the dissertation relies on value chain, market growth and price transmission theories and applies both panel data and time series econometric techniques to analyse the sources and magnitudes of the disruption of nutritional high-value food chains.The first part of the dissertation examines disruptions in unprocessed and minimally processed nutritional high-value food markets. Chapter 2 examines upstream and downstream disruptions along these food chains. Chapter 3 extends the analysis in Chapter 2 by assessing how disruptions change when nutritional high-value foods are highly processed. For each of the two chapters, disruptions are studied in terms of changes in upstream and downstream quantities and prices, with the disruption of quantity considered primary while that of prices is secondary.Using the São Paulo food market as a case study, Chapter 4 analyses the effect of diesel price shocks on different segments of the nutritional high-value food supply chain. A Vector Error Correction Model (VECM) that takes into account upstream and downstream cross-price effects is estimated to ascertain if diesel price shocks are higher downstream based on price transmission theory.The results of Chapters 2 and 3 show that climatological disasters are the most dominant source of disruption of nutritional high-value food supply chains and the direction of impact is negative for all foods under study. The magnitude of disruption, however, varies by food. From the VECM results in Chapter 4, we see that the price of diesel has a positive and significant effect on food prices, while the effects downstream are lower than those upstream. These results have significant implications for the design and implementation of food policies in emerging countries.As a general introduction, Chapter 1 justifies the need to study upstream and downstream differences in the magnitude of supply chain disruption, by situating the dissertation in the existing supply chain and food price transmission literature. Chapter 5 concludes the study and offers suggestions for future research.

Complex nonlinear dynamic models with an intractable likelihood or moments are increasingly common in economics. A popular approach to estimating these models is to match informative sample moments with simulated moments from a fully parameterized model using SMM or Indirect Inference. This dissertation consists of three chapters exploring different aspects of such simulation-based estimation methods. The following chapters are presented in the order in which they were written during my thesis. Chapter 1, written with Serena Ng, provides an overview of existing frequentist and Bayesian simulation-based estimators. These estimators are seemingly computationally similar in the sense that they all make use of simulations from the model in order to do the estimation. To better understand the relationship between these estimators, this chapters introduces a Reverse Sampler which expresses the Bayesian posterior moments as a weighted average of frequentist estimates. As such, it highlights a deeper connection between the two class of estimators beyond the simulation aspect. This Reverse Sampler also allows us to compare the higher-order bias properties of these estimators. We find that while all estimators have an automatic bias correction property (Gourieroux et al., 1993) the Bayesian estimator introduces two additional biases. The first is due to computing a posterior mean rather than the mode. The second is due to the prior, which penalizes the estimates in a particular direction. Chapter 2, also written with Serena Ng, proves that the Reverse Sampler described above targets the desired Approximate Bayesian Computation (ABC) posterior distribution. The idea relies on a change of variable argument: the frequentist optimization step implies a non-linear transformation. As a result, the unweighted draws follow a distribution that depends on the likelihood that comes from the simulations, and a Jacobian term that arises from the non-linear transformation. Hence, solving the frequentist estimation problem multiple times, with different numerical seeds, leads to an optimization-based importance sampler where the weights depend on the prior and the volume of the Jacobian of the non-linear transformation. In models where optimization is relatively fast, this Reverse Sampler is shown to compare favourably to existing ABC-MCMC or ABC-SMC sampling methods. Chapter 3, relaxes the parametric assumptions on the distribution of the shocks in simulation-based estimation. It extends the existing SMM literature, where even though the choice of moments is flexible and potentially nonparametric, the model itself is assumed to be fully parametric. The large sample theory in this chapter allows for both time-series and short-panels which are the two most common data types found in empirical applications. Using a flexible sieve density reduces the sensitivity of estimates and counterfactuals to an ad hoc choice of distribution such as the Gaussian density. Compared to existing work on sieve estimation, the Sieve-SMM estimator involves dynamically generated data which implies non-standard bias and dependence properties. First, the dynamics imply an accumulation of the bias resulting in a larger nonparametric approximation error than in static models. To ensure that it does not accumulate too much, a set decay conditions on the data generating process are given and the resulting bias is derived. Second, by construction, the dependence properties of the simulated data vary with the parameter values so that standard empirical process results, which rely on a coupling argument, do not apply in this setting. This non-standard dependent empirical process is handled through an inequality built by adapting results from the existing literature. The results hold for bounded empirical processes under a geometric ergodicity condition. This is illustrated in the paper with Monte-Carlo simulations and two empirical applications.

Keung Kam-Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 72-80). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Overview --- p.1 / Chapter Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Income growth and pollution --- p.5 / Chapter 2.2 --- Environmental regulations and comparative advantage --- p.6 / Chapter 2.3 --- Welfare implications : Optimal policy in a second-best world --- p.9 / Chapter 2.4 --- Unemployment and the Environment --- p.11 / Chapter 2.5 --- Labor Union and International Trade --- p.12 / Chapter Chapter 3 --- Tariffs and the Environment --- p.14 / Chapter 3.1 --- The model --- p.14 / Chapter 3.2 --- Resource Allocation -The effects of import tariffs --- p.19 / Chapter 3.3 --- National welfare --- p.23 / Chapter 3.4 --- Trade Liberalization --- p.26 / Chapter Chapter 4 --- Tariffs，Unemployment and the Environment --- p.28 / Chapter 4.1 --- The model --- p.30 / Chapter 4.2 --- Resource Allocation - The effects of import tariffs --- p.33 / Chapter 4.3 --- National Welfare --- p.37 / Chapter 4.4 --- Trade Liberalization --- p.40 / Chapter Chapter 5 --- "Tariffs, Labor Unions and the Environment" --- p.42 / Chapter 5.1 --- The model --- p.43 / Chapter 5.2 --- Resource Allocation - The effects of import tariffs --- p.48 / Chapter 5.3 --- National Welfare --- p.52 / Chapter 5.4 --- Trade Liberalization --- p.54 / Chapter Chapter 6 --- Concluding Remarks --- p.57 / Appendix I --- p.60 / Appendix II --- p.64 / Appendix III --- p.67 / References --- p.72

Chan Chung Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 57-59). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Table of Contents --- p.v / List of Figures --- p.vi / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- An Illustration with a Small Open Economy Model / Chapter 2.1 --- Review of Obstfeld (1990) --- p.4 / Chapter 2.2 --- A Model with Socially-Determined Time Preference --- p.6 / Chapter 3. --- Small Open Economy Models with Socially-Determined Time Preference --- p.15 / Chapter 3.1 --- The Laursen-Metzler Effect --- p.16 / Chapter 3.2 --- Exchange-Rate Dynamics --- p.21 / Chapter 3.3 --- Capital Mobility and Devaluation --- p.28 / Chapter 4. --- Dynamics of a Small Open Economy Model with Non-Flat Bond Curves --- p.35 / Chapter 4.1 --- Downward-Sloping Bond Curve --- p.38 / Chapter 4.2 --- Upward-Sloping Bond Curve --- p.38 / Chapter 5. --- Investment and Saving in a Small Open Economy Model with Capital Accumulation / Chapter 5.1 --- The Model --- p.41 / Chapter 5.2 --- Productivity Shocks --- p.46 / Chapter 6. --- Saddle-Path Stability of a Closed Economy Growth Model --- p.49 / Chapter 7. --- Conclusion --- p.54 / References --- p.57 / Appendix --- p.60

本文扩展了由Chari, Kehoe和McGrattan最初开创的Business Cycle Accounting 方法，利用两国开放经济模型研究中国经常账波动的根源。本文从模型得出的五个一阶条件方程和两个产出方程中，量化衡量了代表不同市场扭曲程度的7个变量。其中包括两国分别的生产力扭曲程度、劳动市场扭曲程度、资本市场扭曲程度，以及两国风险共担的程度。本文通过将得出的代表市场扭曲程度的变量逐一逆向回代入模型中，进一步分解了各个变量对中国经常账波动的贡献度。利用1978年至2010年中国和美国的数据，本文得出结论认为中国的经常账波动与劳动力市场扭曲具有最密切的关系，其次是资本市场扭曲。生产力的提高和中美两国的风险共担程度对中国经常账的影响甚微。同时结果表明，中美两国的真实利率差距也对中国经常账有显著影响，中国的真实利率相对美国而言较高。 / This paper extends the original Business Cycle Accounting exercise developed by Chari, Kehoe, and McGrattan to a two-country open economy model. To identify the sources of China’s current account fluctuations, I measure seven wedges from five first-order conditions and two productivity functions, including the productivity wedges, labor wedges, and investment wedges in both China and the US, as well as the risk sharing wedge between the two countries. Then I incorporate the measured wedges back into the model to decompose their contributions to the behavior of real current account. With the use of real data (beginning 1978) on China and the US, the accounting procedures suggest that the behavior of China’s current account is best explained by labor wedges, followed by investment wedges. The productivity wedges and risk sharing wedge between the two countries impose minor effects. Results also indicate that the spread of real interest rates in China and the US significantly influences China’s current account surplus, and that the real interest rates in China is relatively higher than those of the United States. / Detailed summary in vernacular field only. / Yuan, Xiaochuan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 71-76). / Abstracts also in Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgements --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature on the Current Account of China --- p.3 / Chapter 2.1 --- Saving and investment --- p.4 / Chapter 2.2 --- Financial imperfections --- p.5 / Chapter 2.3 --- Exchange rate --- p.7 / Chapter 2.4 --- Income and growth --- p.9 / Chapter 2.5 --- Multiple reasons --- p.10 / Chapter 2.6 --- Improvement policies --- p.11 / Chapter 3 --- Facts on China’s Current Account --- p.13 / Chapter 4 --- Two-Country Open Economy Model --- p.19 / Chapter 4.1 --- Household --- p.19 / Chapter 4.2 --- Firm --- p.20 / Chapter 4.3 --- Government --- p.21 / Chapter 4.4 --- Two-country problem --- p.21 / Chapter 4.5 --- Definitions of the wedges --- p.23 / Chapter 5 --- Measuring the Wedges --- p.25 / Chapter 6 --- Accounting Procedure --- p.32 / Chapter 7 --- Further Implications --- p.38 / Chapter 8 --- Conclusions --- p.41 / Chapter 9 --- Data Appendix --- p.46 / Chapter 9.1 --- Data source --- p.46 / Chapter 9.2 --- Variables --- p.46 / Chapter 9.3 --- Parameters --- p.49 / Chapter 9.4 --- Robust check --- p.50 / Chapter 10 --- References --- p.71

A major objective of this thesis is to study the statistical inference problem for GARCH-type models, including fractionally-integrated (FI) GARCH, fractional (F) GARCH, long-memory (LM) GARCH, and non-stationary GARCH models. / Among various types of generalizations to the ARCH models, fractionally-integrated (FI) GARCH model proposed in Baillie et al. (1996) and Bollerslev and Mikkelson (1996) is one of the most interesting ones as it offered many challenging theretical problems. / Parameters in the ARCH-type models are commonly estimated using the quasi-maximum likelihood estimator (QMLE). To establish consistency and asymptotic normality of the QMLE, one usually has to impose stringent assumptions, see Robinson and Zaffaroni (2006) and Straumann (2005). They have to assume that a stationary solution to the true model exists and this solution has some finite moments. These two assumptions are too restrictive to be applied to FIGARCH models. Formal results of the asymptotic properties of the QMLE of the FIGARCH models are still not available. Progresses on asymptotic theory of QMLE have only been made on certain models that resemble the FIGARCH model, including the FGARCH model of Ding and Granger (1996) and Robinson and Zaffaroni (2006), the LM-GARCH model of Robinson and Zaffaroni (1997) and the non-stationary ARCH model, but not the FIGARCH model itself. / This study attempts to solve the FIGARCH problem and extend the current findings on FGARCH, LM-GARCH and non-stationary GARCH models. We show that if the fractional parameter d is known, the QMLE for the parameters are strongly consistent and asymptotically normal. The results of LM-GARCH (0, d, 0) model in Konlikov (2003a,b) will be generalized to encompass the LM-GARCH(p, d, q) models. We also furnish a general result for non-stationary GARCH (p, q) models, extending the results of Jensen and Rahbek (2004) on weak consistency and asymptotic normality of the QMLE of the non-stationary GARCH (1, 1) models. / Ng, Chi Tim. / "June 2007." / Adviser: Chan Ngai Hang. / Source: Dissertation Abstracts International, Volume: 69-01, Section: B, page: 0398. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

by Gilbert Chiu-sing Lui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 112-117). / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Models and Assumptions --- p.4 / Chapter 3. --- Asymptotics of FM-SEA Estimators --- p.15 / Chapter 3.1. --- Model without Determinstic Trends --- p.15 / Chapter 3.2. --- Model with Determinstic Trends --- p.27 / Chapter 4. --- Asymptotics of FM-SEA Estimators of VAR System --- p.33 / Chapter 4.1. --- General Model --- p.33 / Chapter 4.2. --- Model with d = 4 --- p.44 / Chapter 5. --- Monte Carlo Experimental Results --- p.49 / Chapter 6. --- Conclusion --- p.54 / Chapter 7. --- Mathematical Appendix --- p.56 / Chapter 8. --- References --- p.112