Joint Modelling of Survival and Longitudinal Data with Informative Observation Times

In this paper, we consider the joint modelling of survival and longitudinal data with informative observation time points. The survival model and the longitudinal model are linked via random effects, for which no distribution assumption is required under our estimation approach. The estimator is shown to be consistent and asymptotically normal. The proposed estimator and its estimated covariance matrix can be easily calculated. Simulation studies and an application to a primary biliary cirrhosis study are also provided.     

Estimation and simulation of conditional hazard function in the quasi-associated framework when the observations are linked via a functional single-index structure

We consider the estimation of the conditional hazard function of a scalar response variable Y given a Hilbertian random variable X when the observations are linked via a single-index structure in the quasi-associated framework. We establish the pointwise almost complete convergence and the uniform almost complete convergence (with the rate) of the estimate of this model. A simulation is given to illustrate the good behavior in the practice of our methodology.     

Likelihood ratio order of parallel systems under multiple-outlier models

This paper studies the likelihood ratio ordering of parallel systems under multiple-outlier models. We introduce a partial order, the so-called θ-order, and show that the θ-order between the parameter vectors of the parallel systems implies the likelihood ratio order between the systems.     

Fixed T dynamic panel data estimators with multifactor errors

This article analyzes a growing group of fixed T dynamic panel data estimators with a multifactor error structure. We use a unified notational approach to describe these estimators and discuss their properties in terms of deviations from an underlying set of basic assumptions. Furthermore, we consider the extendability of these estimators to practical situations that may frequently arise, such as their ability to accommodate unbalanced panels and common observed factors. Using a large-scale simulation exercise, we consider scenarios that remain largely unexplored in the literature, albeit being of great empirical relevance. In particular, we examine (i) the effect of the presence of weakly exogenous covariates, (ii) the effect of changing the magnitude of the correlation between the factor loadings of the dependent variable and those of the covariates, (iii) the impact of the number of moment conditions on bias and size for GMM estimators, and finally (iv) the effect of sample size. We apply each of these estimators to a crime application using a panel data set of local government authorities in New South Wales, Australia; we find that the results bear substantially different policy implications relative to those potentially derived from standard dynamic panel GMM estimators. Thus, our study may serve as a useful guide to practitioners who wish to allow for multiplicative sources of unobserved heterogeneity in their model.     

Social mobility and demand for redistribution in Europe: a comparative analysis

The literature on preferences for redistribution has paid little attention to the effect of social mobility on the demand for redistribution and no systematic test of the hypotheses connecting social mobility and preferences for redistribution has yet been done to date. We use the diagonal reference model to estimate the effect of origin and destination classes on preferences for redistribution in a large sample of European countries using data from the European Social Survey. Our findings are consistent with the logic of acculturation in the sense that newcomers tend to adapt their views to those of the destination class at early stages and that upward and downward mobility do not have distinctive effects on the formation of political preferences. However, even though social origins seem to have a limited impact on preferences for redistribution, the evidence does not support the hypothesis that mobile and non‐mobile individuals are alike. We also find that the effect of social origin on preferences varies largely across countries. The empirical evidence leads to the conclusion that the effect of social origin on preferences for redistribution increases in contexts of strong familism.     

Sexual Orientation as a Peripheral Cue in Advertising: Effects of Models’ Sexual Orientation,Argument Strength,and Involvement on Responses to Magazine Ads

This study examines how sexual orientation of couples featured in magazine advertisements affects heterosexual viewers’ responses using the elaboration likelihood model as a framework. A 3 × 2 × 2 × 3 experiment tested effects of sexual orientation, argument strength, involvement, and attitudes toward homosexuality on heterosexuals’ attitudes toward the couple, advertisement, brand, and product, purchase intentions, and recall. Results indicate that consumers were accepting of ads with lesbian portrayals. Participants showed more negative attitudes toward gay male portrayals, but attitudes toward heterosexual and lesbian ads were similar. This effect was moderated by participants’ attitudes toward homosexuals. Low-involvement consumers showed more negative attitudes toward homosexual portrayals than toward heterosexual portrayals, indicating that sexual orientation may have served as a peripheral cue negatively impacting attitudes toward the couple and ad under low elaboration. These effects were not observed for attitudes toward the brand and product, purchase intentions, or recall.     

A semiparametric approach for modelling multivariate nonlinear time series

In this article, a semiparametric time‐varying nonlinear vector autoregressive (NVAR) model is proposed to model nonlinear vector time series data. We consider a combination of parametric and nonparametric estimation approaches to estimate the NVAR function for both independent and dependent errors. We use the multivariate Taylor series expansion of the link function up to the second order which has a parametric framework as a representation of the nonlinear vector regression function. After the unknown parameters are estimated by the maximum likelihood estimation procedure, the obtained NVAR function is adjusted by a nonparametric diagonal matrix, where the proposed adjusted matrix is estimated by the nonparametric kernel estimator. The asymptotic consistency properties of the proposed estimators are established. Simulation studies are conducted to evaluate the performance of the proposed semiparametric method. A real data example on short‐run interest rates and long‐run interest rates of United States Treasury securities is analyzed to demonstrate the application of the proposed approach. The Canadian Journal of Statistics 47: 668–687; 2019 © 2019 Statistical Society of Canada     

Influence diagnostics for the structural sharpe model under normal/independent distributions

A method is proposed in this paper to assess the local influence of minor perturbations for the Sharpe model when the normal distribution is replaced by normal/independent (NI) distributions. The family of NI distributions is an attractive class of symmetric heavy-tailed densities that includes as special cases the normal, t-Student, slash, and the contaminated normal distributions. Since the returns of the market are not observable, the statistical analysis is carried out in the context of an errors-in-variables model. An influence analysis for detecting influential observations (atypical returns) is developed to investigate the sensitivity of the maximum likelihood estimators. Diagnostic measures are obtained based on the conditional expectation of the complete-data log-likelihood function. The results are illustrated by using a set of shares of companies traded in the Chilean stock market.     

Feature screening in ultrahigh-dimensional additive Cox model

The additive Cox model is flexible and powerful for modelling the dynamic changes of regression coefficients in the survival analysis. This paper is concerned with feature screening for the additive Cox model with ultrahigh-dimensional covariates. The proposed screening procedure can effectively identify active predictors. That is, with probability tending to one, the selected variable set includes the actual active predictors. In order to carry out the proposed procedure, we propose an effective algorithm and establish the ascent property of the proposed algorithm. We further prove that the proposed procedure possesses the sure screening property. Furthermore, we examine the finite sample performance of the proposed procedure via Monte Carlo simulations, and illustrate the proposed procedure by a real data example.     

Analysis of dependently truncated data in Cox framework

Truncation is a known feature of bone marrow transplant (BMT) registry data, for which the survival time of a leukemia patient is left truncated by the waiting time to transplant. It was recently noted that a longer waiting time was linked to poorer survival. A straightforward solution is a Cox model on the survival time with the waiting time as both truncation variable and covariate. The Cox model should also include other recognized risk factors as covariates. In this article, we focus on estimating the distribution function of waiting time and the probability of selection under the aforementioned Cox model.