This thesis is concerned with hypothesis testing in models where data exhibits
time dependence. The focus is on two cases where the dependence of observations
across time leads to non-standard hypothesis testing techniques.
This thesis first considers models estimated by Generalized Method of Moments
(GMM, Hansen (1982)) and the approach to inference. The main problem with
standard tests are size distortions in the test statistics. An innovative resampling
method, which we label Empirical Likelihood Block Bootstrapping, is proposed. The
first-order asymptotic validity of the proposed procedure is proven, and a series of
Monte Carlo experiments show it may improve test sizes over conventional block
bootstrapping. Also staying in the context of GMM this thesis shows that the testcorrection
given in Hall (2000) which improves power, can distort size with time
dependent data. In this case it is of even greater importance to use a bootstrap that
can have good size in finite samples.
The empirical likelihood is applied to a multifactor model of U.S. bank risk estimated
by GMM. The approach to inference is found to be important to the overall
conclusion about bank risk. The results suggest U.S. bank stock returns are sensitive
to movements in market and liquidity risk.
In the context of panel data, this thesis is the first to my knowledge to consider
the estimation of cost-functions as well as conduct inference taking into account the
strong dependence of data across time. This thesis shows that standard approaches
to estimating cost-functions for a set of Canadian banks lead to a downward bias in
the estimated coefficients and therefore an upward bias in the measure of economies
of scale. When non-stationary panel techniques are applied results suggest economies
of scale of around 6 per cent in Canadian banking as well as cost-efficiency differences
across banks that are correlated with size. / Thesis (Ph.D, Economics) -- Queen's University, 2007-09-24 17:25:22.212
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:OKQ.1974/709 |
| Date | 26 September 2007 |
| Creators | Allen, Jason, 1974- |
| Contributors | Queen's University (Kingston, Ont.). Theses (Queen's University (Kingston, Ont.)) |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English, English |
| Detected Language | English |
| Type | Thesis |
| Format | 518853 bytes, application/pdf |
| Rights | This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner. |
| Relation | Canadian theses |
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