Esfandiar Maasoumi

Esfandiar Maasoumi
Emory University | EU · Department of Economics

Ph.D (econometrics)

About

131
Publications
15,797
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2,949
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Introduction
Esfandiar Maasoumi currently works at the Department of Economics, Emory University. Esfandiar does research in Econometrics, Financial Economics and Welfare Economics. Their current project is 'Inference with Misspecified Models'.
Skills and Expertise
Additional affiliations
August 2008 - present
Emory University
Position
  • Professor (Full)
Education
August 1973 - August 1977
The London School of Economics and Political Science
Field of study
  • Econometrics and mathematical economics

Publications

Publications (131)
Article
This paper considers improved forecasting in possibly nonlinear dynamic settings, with high-dimension predictors (“big data” environments). To overcome the curse of dimensionality and manage data and model complexity, we examine shrinkage estimation of a back-propagation algorithm of a neural net with skip-layer connections. We expressly include bo...
Article
We investigate any similarity and dependence based on the full distributions of cryptocurrency assets, stock indices and industry groups. We characterize full distributions with entropies to account for higher moments and non-Gaussianity of returns. Divergence and distance between distributions are measured by metric entropies, and are rigorously t...
Article
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a give...
Article
Full-text available
We examine the impact of regulation and policies on green patent generation and evolution of renewable energy technologies in the OECD countries. Public and private investment, investment in education, research and development, and environmental regulation are considered. There is considerable variation in innovation systems and investments in rene...
Article
We propose a generalized aggregation approach for model averaging. The entropy-based optimal criterion is a natural choice for aggregating information from many “globally” misspecified models as it adapts better to the underlying model uncertainty and obtains more robust approximations. Unlike almost all other approaches in the existing literature,...
Article
Full-text available
This article examines the determinants of household income among urban and rural areas in India and evaluates households’ performance with different characteristics in terms of poverty. It uses four rounds of data from the consumer expenditure survey (50th, 1993/1994; 55th, 1999/2000; 61st, 2004/2005; and 66th, 2009/2010) by the National Sample Sur...
Preprint
Full-text available
This paper considers improved forecasting in possibly nonlinear dynamic settings, with high-dimension predictors (big data environments). To overcome the curse of dimensionality and manage data and model complexity, we examine shrinkage estimation of a back-propagation algorithm of deep neural nets with skip-layer connections. We expressly include...
Preprint
Full-text available
This paper considers improved forecasting in possibly nonlinear dynamic settings, with high-dimension predictors ("big data" environments). To overcome the curse of dimensionality and manage data and model complexity, we examine shrinkage estimation of a back-propagation algorithm of a deep neural net with skip-layer connections. We expressly inclu...
Article
Full-text available
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric dependence and examine its finite‐sample performance. We show that our test has better power than competing tests with alternative dependence measures. Using the new test, we...
Article
Full-text available
Model averaging for forecasting and mixed estimation is a recognized improved statistical approach. This paper is a first report on: (1). aggregate information from different conditional quantiles within a given model and, (2). model averaging with quantile averaging. Based on a subset of possible methods, we show that aggregating information over...
Article
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We examine the distance and relations between the distributions of wages for two exogenously identified groups (black and white women here). The literature commonly employs decomposition methods for the conditional means, to propose explanations for observed wage differentials, as “structural” components, attributable to difference in market struct...
Article
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Peter Schmidt has been one of its best-known and most respected econometricians in the profession for four decades. He has brought his talents to many scholarly outlets and societies, and has played a foundational and constructive role in the development of the field of econometrics. Peter Schmidt has also served and led the development of Economet...
Chapter
Full-text available
We examine the potential effect of naturalization on the U.S. immigrants’ earnings. We find the earning gap between naturalized citizens and noncitizens is positive over many years, with a tent shape across the wage distribution. We focus on a normalized metric entropy measure of the gap between distributions, and compare with conventional measures...
Article
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We compare three moment selection approaches, followed by post-selection estimation strategies. The first is adaptive least absolute shrinkage and selection operator (ALASSO) of Zou (2006), recently extended by Liao (2013) to possibly invalid moments in GMM. In this method, we select the valid instruments with ALASSO. The second method is based on...
Article
Full-text available
We propose tests for nonlinear serial dependence in time series under the null hypothesis of general linear dependence, in contrast to the more widely studied null hypothesis of independence. The approach is based on combining an entropy dependence metric, which possesses many desirable properties and is used as a test statistic, with a suitable ex...
Article
Full-text available
Purpose – The purpose of this paper is to combine multidimensional welfare analysis and entropy metrics to derive not only the best relative weights but also substitution degree among different attributes to construct multidimensional indices of well-being with Chinese Household Income Project Survey 2002 data. Design/methodology/approach – The au...
Article
We examine the potential effect of naturalization on the U.S. immigrants's earnings. We find the earning gap between naturalized citizens and non-citizens is positive and a generally stable tent shape. We report a new entropy measure of the entire distribution gap, and conventional measures at the mean, median and other quantile. In addition, natur...
Article
Full-text available
We examine the cardinal gap between wage distributions of the incumbents and newly hired workers based on entropic distances which are well-defined welfare theoretic measures. Decomposition of several effects is achieved by identifying several counterfactual distributions of different groups. These go beyond the usual Oaxaca Blinder decompositions...
Article
We examine the cardinal gap between wage distributions of the incumbents and newly hired workers based on entropic distances that are well-defined welfare theoretic measures. Decomposition of several effects is achieved by identifying several counterfactual distributions of different groups. These go beyond the usual Oaxaca-Blinder decompositions a...
Article
In this paper the Financial Development Index (FDI) is used to rank 57 of the world's leading financial systems. Its calculation is based on the following 7 economic pillars: (1) Institutional environment, (2) Business environment, (3) Financial stability, (4) Banking financial services, (5) Non-banking financial services, (6) Financial markets, an...
Chapter
Full-text available
We examine a class of popular structural models of exchange rate determination and compare them to a random walk with and without drift. Given almost any set of conditioning variables, we find parametric specifications fail. Our findings are based on a broad entropy function of the whole distribution of vari-ables and forecasts. We also find signif...
Article
This paper examines a robust nonparametric methodology for decomposition of change in poverty into growth and redistribution components. The decomposition is exact, symmetric and free of residual terms. It is equivalent to the Shapley value decomposition in this two-component case. We avoid parametric assumptions about the underlying distributions...
Chapter
Full-text available
We examine a class of popular structural models of exchange rate determination and compare them to a random walk with and without drift. Given almost any set of conditioning variables, we …nd para-metric speci…cations fail. Our …ndings are based on a broad entropy functional of the whole distribution of variables and forecasts. We also …nd signi…ca...
Article
Statistical Learning refers to statistical aspects of automated extraction of regularities (structure) in datasets. It is a broad area which includes neural networks, regression-trees, nonparametric statistics and sieve approximation, boosting, mixtures of models, computational complexity, computational statistics, and nonlinear models in general....
Article
Full-text available
Structural change can be considered by breaking up a sample into subsets and asking if these can be aggregated or pooled. Strategies for constructing tests for aggregation and structural change in this setting have not received sufficient attention in the literature. Our methodology for testing generalizes to multiple regimes a discussion of Pesara...
Article
In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation. The test statistics are shown to have (asymptotic) norm...
Article
Full-text available
The phenomenon that married men earn higher average wages than unmarried men - the marriage premium - is well known. However, the robustness of the premium across the wage distribution and the underlying causes of the marriage premium are unclear. Focusing on the entire wage distribution and employing recently developed semi-non-parametric tests fo...
Article
Full-text available
We consider a metric entropy capable of detecting deviations from symmetry that is suitable for both discrete and continuous processes. A test statistic is constructed from an integrated normed difference between nonparametric estimates of two density functions. The null distribution (symmetry) is obtained by resampling from an artificially lengthe...
Article
Full-text available
Measures of multivariate well-being, such as poverty or inequality, are scalar functions of matrices of several attributes, m, associated with a number of individual or households, N. This entails inevitable “aggregation” and summarization over individuals as well as attributes. There is no escape from this. Such aggregation, in turn, implies a set...
Chapter
Full-text available
The modern theory of income distribution and welfare has experienced radical progress toward a more objective and systematic analysis of welfare and inequality. Value judgements that are implicit in any particular index of inequality or poverty have been made explicit and are better understood. We have a better understanding of the limitations of b...
Article
Full-text available
This paper proposes to use an information theory approach to the design of multidimensional poverty indices. Traditional monetary approaches to poverty rely on the strong assumption that all relevant attributes of well-being are perfectly substitutable. Based on the idea of the essentiality of some attributes, scholars have recently suggested multi...
Chapter
INTRODUCTIONTHE GENERAL MULTIVARIATE PARAMETRIC PROBLEMNONLINEAR MODELS AND NONLINEAR INEQUALITY RESTRICTIONSNONPARAMETRIC TESTS OF INEQUALITY RESTRICTIONSCONCLUSION
Article
We examine the performance of a metric entropy statistic as a robust test for time-reversibility (TR), symmetry, and serial dependence. It also serves as a measure of goodness-of-fit. The statistic provides a consistent and unified basis in model search, and is a powerful diagnostic measure with surprising ability to pinpoint areas of model failure...
Article
In this paper we focus primarily on the dynamic evolution of the world distribution of growth rates in per capita GDP. We propose new concepts and measures of “convergence,” or “divergence” that are based on entropy distances and dominance relations between groups of countries over time.We update the sample period to include the most recent decade...
Article
Full-text available
This paper examines the foundations for comparing individuals and treatment subjects in experimental and other program evaluation contexts. We raise the question of multiattribute "characterization" of individuals both theoretically and statistically. The paper examines the information basis of characterizing individuals and offers alternatives mot...
Article
Full-text available
Measures of multivariate well-being, such as poverty or inequality, are scalar functions of matrices of several attributes, m, associated with a number of individual or households, N. This entails inevitable “aggregation” and summarization over individuals as well as attributes. There is no escape from this. Such aggregation, in turn, implies a set...
Article
Full-text available
The phenomenon that married men earn a higher wage on average than unmarried men, the so-called marriage premium, is rather well established. However, the robustness of the marriage premium across the wage distribution and the underlying cause of the marriage premium are not well known. Focusing on the entire wage distribution and employing recentl...
Article
Full-text available
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance in the general K -prospect case. We allow for the observations to be serially dependent and, for the …rst time, we can accom-modate general dependence amongst the prospects which are to be ranked. Also, t...
Article
Full-text available
The impact of class size on student achievement remains an open question despite hundreds of empirical studies and the perception among parents, teachers, and policymakers that larger classes are a significant detriment to student development. This study sheds new light on this ambiguity by utilizing nonparametric tests for stochastic dominance to...
Article
Full-text available
We examine the dynamic evolution of incomes, both disposable and gross, for several groups in the PSID panel data at several points from 1968 to 1997. We employ the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance (SD) as implemented by Maasoumi and Heshmati (2000). They do not impose the Least Favorable Case (LFC) o...
Article
Full-text available
The phenomenon that married men earn a higher wage on average than unmarried men, the so-called marriage premium, is rather well established. However, the robustness of the marriage premium across the wage distribution and the underlying cause of the marriage premium are less well known. Focusing on the entire wage distribution, we employ recently...
Article
Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons of unconditional or conditional mean pollution levels. However, reaching unambiguous conclusions on the basis of only the first moment of the (unconditional or conditional)...
Article
Full-text available
We examine the performance of a metric entropy statistic as a robust test for Time Re-versibility (TR), serial dependence, and goodness-of-fit. The statistic provides a consistent and unified basis in model search, and is a powerful diagnostic measure with surprising ability to pin point areas of model failure. We provide empirical evidence compari...
Article
A transformed metric entropy measure of dependence is studied which satisfies many desirable properties, including being a proper measure of distance. It is capable of good performance in identifying dependence even in possibly nonlinear time series, and is applicable for both continuous and discrete variables. A nonparametric kernel density implem...
Article
Full-text available
We consider a metric entropy capable of detecting deviations from symmetry. A consistent test statistic is constructed from an integrated normed di®erence between two density functions estimated using ker- nel methods. The null distribution (symmetry) is obtained by resam- pling from an arti¯cially lengthened series constructed from a rotation of t...
Article
Full-text available
The international comparison of market structure is complicated by a lack of adequate and comparable data. This paper addresses the issues encountered in the construction of international market data from financial reports, and provides a method for the comparison of market concentration and industry diversity. A firm-level data set is constructed...
Article
Full-text available
This paper describes a mode of economic analysis one can use to measure market power in the context of antitrust litigation in the steel plate industry. We describe our framework of analysis, our method of defining the relevant market and the indicia we examine to evaluate the degree of market power exercised by the Defendant in this market.
Article
Full-text available
Using ARIMA models and entropy, the dynamic evolution of several functions of aggregate income and other attributes of well-being is analysed for statistical 'similarity' in order to determine potentially distinct dimensions in multidimensional analysis of welfare and quality of life in the USA. The entropy metric compares entire distributions and...
Article
We examine the predictability of stock market returns by employing a new metric entropy measure of dependence with several desirable properties. We compare our results with a number of traditional measures. The metric entropy is capable of detecting nonlinear dependence within the returns series, and is also capable of detecting nonlinear “affinity...
Article
Full-text available
Based on a derivation of the asymptotic sampling distribution of the generalized entropy mobility measures, this paper provides a statistically rigorous analysis of income mobility in Germany and the United States using the panel data set PSID-SOEP equivalent data file. Several alternative measures of income aggregation, inequality measures, and gr...
Article
Using ARIMA models and entropy, the dynamic evolution of several functions of aggregate income and other attributes of well-being is analyzed for statistical "similarity" in order to determine potentially distinct dimensions in multidimensional analysis of welfare and quality of life in the US. The entropy metric compares entire distributions and i...
Article
Full-text available
The distribution of pollution is of just as much concern as the level of pollution, particularly if the areas located in the upper tail of the distribution are not randomly assigned. The literature on ‘environmental discrimination’ typically finds that even conditional on various locational attributes, areas concentrated with minorities experience...
Article
Full-text available
The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...
Article
This retrospective provides a biographical history of Denis Sargan’s career and reviews his contributions to econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography for Denis and a list of PhD theses that he supervised – students were a substantive facet of his professional...
Article
The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...
Article
Full-text available
A transformed metric entropy measure of dependence is studied which satisfies several desirable properties and is capable of impressive performance in identifying nonlinear dependence in time series. The measure is applicable for both continuous and discrete variables. A nonparametric kernel density implementation is considered here for ten models...
Article
The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...
Article
Full-text available
Measuring informativeness of data or news is particularly important as it quantifies the amount of “learning”. This is central to scientific progress as well as to assessing the direction and value of “information” and technologies. As is the case with all “indices”, the desirability of any measure of information depends on at least two considerati...
Chapter
A general survey of multidimensional approaches to the measurement and comparisons of welfare situations is provided. The survey covers some aspects of welfare representation, data availability and experience, axiomatic characterization of inequality measures, existing multidimensional indices, the stochastic dominance alternative for comparing wel...
Article
Full-text available
Sweden's income distribution for the whole population and for subgroups, including its immigrants, has been extensively studied. The interest in this area has grown with increasing availability of data, including panels. The previous studies are based on indices of inequality or mobility. While indices are useful for complete ordering and have an a...