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I have successfully defended my Dissertation Proposal entitled "Three Essays in Time Series and Personnel Economics" and I am currently a PhD Candidate in Economics. I will be attending the AEA/ASSA Conference in January 2008.
I am enrolled in my fourth year of the PhD program at the Department of Economics, Finance and Legal Studies. I expect to graduate with a PhD degree in Economics and M.S. degree in Finance in May 2008.
My Dissertation Committee is formed by:
Prof. Walter Enders (Chair)
Please find below the Abstracts of my Dissertation Essays:
1. Recruitment of Seemingly Overeducated Personnel: Insider-Outsider Effects on Fair Employee Selection Practices, by Oliver Fabel and Razvan Pascalau
Abstract
We analyze a standard employee selection model given two institutional constraints: First, professional experience perfectly substitutes insuficient formal education for insiders while this substitution is imperfect for outsiders. Second, in the latter case the respective substitution rate increases with the advertised minimum educational requirement. Optimal selection implies that the expected level of formal education is higher for outsider than for insider recruits. Moreover, this difference in educational attainments increases with lower optimal minimum educational job requirements. Investigating data of a large US public employer confirms both of the above theoretical implications. Generally, the econometric model exhibits a good fit.
2. Testing for a Unit Root in the Asymmetric Nonlinear Smooth Transition Framework, by Razvan Pascalau
Abstract
This paper proposes a simple testing procedure to detect the presence of nonlinear but global stationary logistic smooth transition autoregressive processes. This testing procedure nests the one developed by Kapetanios et al. (2003) that accommodates specifically the alternative of a global stationary ESTAR process. The present work makes a threefold contribution to the literature. First, it derives the limiting nonstandard distribution of the proposed test. Second, the paper finds via Monte Carlo simulations that under the alternative of a globally stationary LSTAR process, this new test has better power than a standard Dickey-Fuller test. Third, an empirical application of the test to real exchange data in OECD countries rejects the null of a unit root more often than a simple Dickey-Fuller. This finding provides more evidence in favor of nonlinear PPP mean-reversion.
3. A Comparison of Direct and Iterated Multistep Nonlinear Methods for Forecasting Macroeconomic Time Series, by Walter Enders and Razvan PascalauThis paper proposes a pre-testing for linearity approach to forecasting with non-linear models. The (non)linearity test of this paper extends the one proposed by Teräsvirta (1994) to various forecasting horizons. The empirical evidence shows that the OECD countries that joined the Euro zone display higher nonlinear dynamics of their exchange rate at various horizons than OECD countries outside the Euro area. Further, the evidence shows that the real e¤ective exchange rates are roughly linear relative to the bilateral ones which instead appear strongly nonlinear. Also, results in the paper show that when the test strongly rejects the null of linearity, then a nonlinear model clearly outperforms a linear one in terms of forecasting accuracy. However, when it fails to reject the null, a logistic and a simple autoregressive model display similar performance. Lastly, for nonlinear models it appears that the "direct" method of forecasting performs better than the bootstrap predictor at shorter forecast horizons, but the evidence is mixed at longer horizons.
I will be on the Job Market this academic year. Please find here a link to my resume. Hope you will enjoy this website.
Last update: August 25, 2008
