Browsing by Subject "skew-normal"
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Item Essays on Applied Economics and Econometrics: Decadal Climate Variability Impacts on Cropping and Sugar-sweetened Beverage Demand of Low-income(2014-12-10) Jithitikulchai, TheepakornThis dissertation examines the economic impacts of ocean-related climate variability on U.S. crops and the effect sweetened beverage taxes would have on beverage consumption among low income food assistance program participants. The first essay estimates the effect of decadal climate variability (DCV) on crop yield, output, and revenue distribution moments controlling for temporal and spatial heterogeneity. The second essay estimates a demand system for beverages and the consumption effects of taxes on sugar-sweetened beverages (SSB). The DCV analysis endeavors to advance the literature by econometrically estimating the impacts of these climate phenomena on crops. The estimation is done developing an empirical model that combines the direct and indirect effects of DCV. The direct DCV effects are estimated with skew-normal regression, allowing effects on skewness. The indirect DCV effects on crops are passed through regional hydro-meteorological variables such as temperature, precipitation, drought, and rainfall intensity. This study provides evidence that DCV phase combinations are related to the regional changes in temperature, precipitation, and extreme events and that this alters crop yields, output, and revenue across the United States. In turn adaptations are examined and we find DCV information could help farmers profitably alter crop mixes. For the sugar-sweetened beverage investigation this study examines the demand elasticities of beverage purchases among low-income households participating in federal food assistance programs. Using scanner data from a New England supermarket chain with 3.8 million product-level purchases by over 47,000 households, we aggregate them by store level and month. We estimate a demand system model for eleven non-alcoholic beverages for different payment types. Our results suggest that an excise tax would be an effective means to reduce SSB consumption and increase healthier beverage purchases among low-income households.Item Factor Analysis for Skewed Data and Skew-Normal Maximum Likelihood Factor Analysis(2013-04-04) Gaucher, Beverly JaneThis research explores factor analysis applied to data from skewed distributions for the general skew model, the selection-elliptical model, the selection-normal model, the skew-elliptical model and the skew-normal model for finite sample sizes. In terms of asymptotics, or large sample sizes, quasi-maximum likelihood methods are broached numerically. The skewed models are formed using selection distribution theory, which is based on Rao?s weighted distribution theory. The models assume the observed variable of the factor model is from a skewed distribution by defining the distribution of the unobserved common factors skewed and the unobserved unique factors symmetric. Numerical examples are provided using maximum likelihood selection skew-normal factor analysis. The numerical examples, such as maximum likelihood parameter estimation with the resolution of the ?sign switching? problem and model fitting using likelihood methods, illustrate that the selection skew-normal factor analysis model better fits skew-normal data than does the normal factor analysis model.Item Multivariate Skew-t Distributions in Econometrics and Environmetrics(2012-02-14) Marchenko, Yulia V.This dissertation is composed of three articles describing novel approaches for analysis and modeling using multivariate skew-normal and skew-t distributions in econometrics and environmetrics. In the first article we introduce the Heckman selection-t model. Sample selection arises often as a result of the partial observability of the outcome of interest in a study. In the presence of sample selection, the observed data do not represent a random sample from the population, even after controlling for explanatory variables. Heckman introduced a sample-selection model to analyze such data and proposed a full maximum likelihood estimation method under the assumption of normality. The method was criticized in the literature because of its sensitivity to the normality assumption. In practice, data, such as income or expenditure data, often violate the normality assumption because of heavier tails. We first establish a new link between sample-selection models and recently studied families of extended skew-elliptical distributions. This then allows us to introduce a selection-t model, which models the error distribution using a Student?s t distribution. We study its properties and investigate the finite-sample performance of the maximum likelihood estimators for this model. We compare the performance of the selection-t model to the Heckman selection model and apply it to analyze ambulatory expenditures. In the second article we introduce a family of multivariate log-skew-elliptical distributions, extending the list of multivariate distributions with positive support. We investigate their probabilistic properties such as stochastic representations, marginal and conditional distributions, and existence of moments, as well as inferential properties. We demonstrate, for example, that as for the log-t distribution, the positive moments of the log-skew-t distribution do not exist. Our emphasis is on two special cases, the log-skew-normal and log-skew-t distributions, which we use to analyze U.S. precipitation data. Many commonly used statistical methods assume that data are normally distributed. This assumption is often violated in practice which prompted the development of more flexible distributions. In the third article we describe two such multivariate distributions, the skew-normal and the skew-t, and present commands for fitting univariate and multivariate skew-normal and skew-t regressions in the statistical software package Stata.