共查询到20条相似文献,搜索用时 78 毫秒
1.
Guangyu Mao 《Econometric Reviews》2018,37(5):491-506
This article is concerned with sphericity test for the two-way error components panel data model. It is found that the John statistic and the bias-corrected LM statistic recently developed by Baltagi et al. (2011)Baltagi et al. (2012, which are based on the within residuals, are not helpful under the present circumstances even though they are in the one-way fixed effects model. However, we prove that when the within residuals are properly transformed, the resulting residuals can serve to construct useful statistics that are similar to those of Baltagi et al. (2011)Baltagi et al. (2012). Simulation results show that the newly proposed statistics perform well under the null hypothesis and several typical alternatives. 相似文献
2.
Siti Haslinda Mohd Din Marek Molas Jolanda Luime Emmanuel Lesaffre 《Journal of applied statistics》2014,41(8):1627-1644
A variety of statistical approaches have been suggested in the literature for the analysis of bounded outcome scores (BOS). In this paper, we suggest a statistical approach when BOSs are repeatedly measured over time and used as predictors in a regression model. Instead of directly using the BOS as a predictor, we propose to extend the approaches suggested in [16,21,28] to a joint modeling setting. Our approach is illustrated on longitudinal profiles of multiple patients’ reported outcomes to predict the current clinical status of rheumatoid arthritis patients by a disease activities score of 28 joints (DAS28). Both a maximum likelihood as well as a Bayesian approach is developed. 相似文献
3.
Biao Zhang 《Econometric Reviews》2016,35(2):201-231
This paper discusses the estimation of average treatment effects in observational causal inferences. By employing a working propensity score and two working regression models for treatment and control groups, Robins et al. (1994, 1995) introduced the augmented inverse probability weighting (AIPW) method for estimation of average treatment effects, which extends the inverse probability weighting (IPW) method of Horvitz and Thompson (1952); the AIPW estimators are locally efficient and doubly robust. In this paper, we study a hybrid of the empirical likelihood method and the method of moments by employing three estimating functions, which can generate estimators for average treatment effects that are locally efficient and doubly robust. The proposed estimators of average treatment effects are efficient for the given choice of three estimating functions when the working propensity score is correctly specified, and thus are more efficient than the AIPW estimators. In addition, we consider a regression method for estimation of the average treatment effects when working regression models for both the treatment and control groups are correctly specified; the asymptotic variance of the resulting estimator is no greater than the semiparametric variance bound characterized by the theory of Robins et al. (1994, 1995). Finally, we present a simulation study to compare the finite-sample performance of various methods with respect to bias, efficiency, and robustness to model misspecification. 相似文献
4.
In this article, a generalized Lévy model is proposed and its parameters are estimated in high-frequency data settings. An infinitesimal generator of Lévy processes is used to study the asymptotic properties of the drift and volatility estimators. They are consistent asymptotically and are independent of other parameters making them better than those in Chen et al. (2010). The estimators proposed here also have fast convergence rates and are simple to implement. 相似文献
5.
Artūras Juodis 《Econometric Reviews》2018,37(6):650-693
This article considers estimation of Panel Vector Autoregressive Models of order 1 (PVAR(1)) with focus on fixed T consistent estimation methods in First Differences (FD) with additional strictly exogenous regressors. Additional results for the Panel FD ordinary least squares (OLS) estimator and the FDLS type estimator of Han and Phillips (2010) are provided. Furthermore, we simplify the analysis of Binder et al. (2005) by providing additional analytical results and extend the original model by taking into account possible cross-sectional heteroscedasticity and presence of strictly exogenous regressors. We show that in the three wave panel the log-likelihood function of the unrestricted Transformed Maximum Likelihood (TML) estimator might violate the global identification assumption. The finite-sample performance of the analyzed methods is investigated in a Monte Carlo study. 相似文献
6.
Trias Wahyuni Rakhmawati Geert Molenberghs Geert Verbeke Christel Faes 《Journal of applied statistics》2017,44(4):620-641
Since the seminal paper by Cook and Weisberg [9], local influence, next to case deletion, has gained popularity as a tool to detect influential subjects and measurements for a variety of statistical models. For the linear mixed model the approach leads to easily interpretable and computationally convenient expressions, not only highlighting influential subjects, but also which aspect of their profile leads to undue influence on the model's fit [17]. Ouwens et al. [24] applied the method to the Poisson-normal generalized linear mixed model (GLMM). Given the model's nonlinear structure, these authors did not derive interpretable components but rather focused on a graphical depiction of influence. In this paper, we consider GLMMs for binary, count, and time-to-event data, with the additional feature of accommodating overdispersion whenever necessary. For each situation, three approaches are considered, based on: (1) purely numerical derivations; (2) using a closed-form expression of the marginal likelihood function; and (3) using an integral representation of this likelihood. Unlike when case deletion is used, this leads to interpretable components, allowing not only to identify influential subjects, but also to study the cause thereof. The methodology is illustrated in case studies that range over the three data types mentioned. 相似文献
7.
In this article, we propose a weighted simulated integrated conditional moment (WSICM) test of the validity of parametric specifications of conditional distribution models for stationary time series data, by combining the weighted integrated conditional moment (ICM) test of Bierens (1984) for time series regression models with the simulated ICM test of Bierens and Wang (2012) of conditional distribution models for cross-section data. To the best of our knowledge, no other consistent test for parametric conditional time series distributions has been proposed yet in the literature, despite consistency claims made by some authors. 相似文献
8.
Many articles which have estimated models with forward looking expectations have reported that the magnitude of the coefficients of the expectations term is very large when compared with the effects coming from past dynamics. This has sometimes been regarded as implausible and led to the feeling that the expectations coefficient is biased upwards. A relatively general argument that has been advanced is that the bias could be due to structural changes in the means of the variables entering the structural equation. An alternative explanation is that the bias comes from weak instruments. In this article, we investigate the issue of upward bias in the estimated coefficients of the expectations variable based on a model where we can see what causes the breaks and how to control for them. We conclude that weak instruments are the most likely cause of any bias and note that structural change can affect the quality of instruments. We also look at some empirical work in Castle et al. (2014) on the new Kaynesian Phillips curve (NYPC) in the Euro Area and U.S. assessing whether the smaller coefficient on expectations that Castle et al. (2014) highlight is due to structural change. Our conclusion is that it is not. Instead it comes from their addition of variables to the NKPC. After allowing for the fact that there are weak instruments in the estimated re-specified model, it would seem that the forward coefficient estimate is actually quite high rather than low. 相似文献
9.
Coppi et al. [7] applied Yang and Wu's [20] idea to propose a possibilistic k-means (PkM) clustering algorithm for LR-type fuzzy numbers. The memberships in the objective function of PkM no longer need to satisfy the constraint in fuzzy k-means that of a data point across classes sum to one. However, the clustering performance of PkM depends on the initializations and weighting exponent. In this paper, we propose a robust clustering method based on a self-updating procedure. The proposed algorithm not only solves the initialization problems but also obtains a good clustering result. Several numerical examples also demonstrate the effectiveness and accuracy of the proposed clustering method, especially the robustness to initial values and noise. Finally, three real fuzzy data sets are used to illustrate the superiority of this proposed algorithm. 相似文献
10.
This article considers constructing confidence intervals for the date of a structural break in linear regression models. Using extensive simulations, we compare the performance of various procedures in terms of exact coverage rates and lengths of the confidence intervals. These include the procedures of Bai (1997) based on the asymptotic distribution under a shrinking shift framework, Elliott and Müller (2007) based on inverting a test locally invariant to the magnitude of break, Eo and Morley (2015) based on inverting a likelihood ratio test, and various bootstrap procedures. On the basis of achieving an exact coverage rate that is closest to the nominal level, Elliott and Müller's (2007) approach is by far the best one. However, this comes with a very high cost in terms of the length of the confidence intervals. When the errors are serially correlated and dealing with a change in intercept or a change in the coefficient of a stationary regressor with a high signal-to-noise ratio, the length of the confidence interval increases and approaches the whole sample as the magnitude of the change increases. The same problem occurs in models with a lagged dependent variable, a common case in practice. This drawback is not present for the other methods, which have similar properties. Theoretical results are provided to explain the drawbacks of Elliott and Müller's (2007) method. 相似文献
11.
Luis F. Martins 《Econometric Reviews》2018,37(5):466-483
This article proposes wild and the independent and identically distibuted (i.i.d.) parametric bootstrap implementations of the time-varying cointegration test of Bierens and Martins (2010). The bootstrap statistics and the original likelihood ratio test share the same first-order asymptotic null distribution. Monte Carlo results suggest that the bootstrap approximation to the finite-sample distribution is very accurate, in particular for the wild bootstrap case. The tests are applied to study the purchasing power parity hypothesis for twelve Organisation for Economic Cooperation and Development (OECD) countries and we only find evidence of a constant long-term equilibrium for the U.S.–U.K. relationship. 相似文献
12.
Abhik Ghosh 《Journal of applied statistics》2015,42(9):2056-2072
The density power divergence (DPD) measure, defined in terms of a single parameter α, has proved to be a popular tool in the area of robust estimation [1]. Recently, Ghosh and Basu [5] rigorously established the asymptotic properties of the MDPDEs in case of independent non-homogeneous observations. In this paper, we present an extensive numerical study to describe the performance of the method in the case of linear regression, the most common setup under the case of non-homogeneous data. In addition, we extend the existing methods for the selection of the optimal robustness tuning parameter from the case of independent and identically distributed (i.i.d.) data to the case of non-homogeneous observations. Proper selection of the tuning parameter is critical to the appropriateness of the resulting analysis. The selection of the optimal robustness tuning parameter is explored in the context of the linear regression problem with an extensive numerical study involving real and simulated data. 相似文献
13.
This article proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal and Droge (2014) (henceforth panel SL test) to dependent panels. The dependence is modelled by unobserved common factors which affect the variables in each cross-section through heterogeneous loadings. The data are defactored following the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai and Ng (2004) and the cointegrating rank of the defactored data is then tested by the panel SL test. A Monte Carlo study demonstrates that the proposed testing procedure has reasonable size and power properties in finite samples. 相似文献
14.
In this paper we propose a new lifetime model for multivariate survival data in presence of surviving fractions and examine some of its properties. Its genesis is based on situations in which there are m types of unobservable competing causes, where each cause is related to a time of occurrence of an event of interest. Our model is a multivariate extension of the univariate survival cure rate model proposed by Rodrigues et al. [37]. The inferential approach exploits the maximum likelihood tools. We perform a simulation study in order to verify the asymptotic properties of the maximum likelihood estimators. The simulation study also focus on size and power of the likelihood ratio test. The methodology is illustrated on a real data set on customer churn data. 相似文献
15.
Ye Li 《Econometric Reviews》2017,36(1-3):289-353
We consider issues related to inference about locally ordered breaks in a system of equations, as originally proposed by Qu and Perron (2007). These apply when break dates in different equations within the system are not separated by a positive fraction of the sample size. This allows constructing joint confidence intervals of all such locally ordered break dates. We extend the results of Qu and Perron (2007) in several directions. First, we allow the covariates to be any mix of trends and stationary or integrated regressors. Second, we allow for breaks in the variance-covariance matrix of the errors. Third, we allow for multiple locally ordered breaks, each occurring in a different equation within a subset of equations in the system. Via some simulation experiments, we show first that the limit distributions derived provide good approximations to the finite sample distributions. Second, we show that forming confidence intervals in such a joint fashion allows more precision (tighter intervals) compared to the standard approach of forming confidence intervals using the method of Bai and Perron (1998) applied to a single equation. Simulations also indicate that using the locally ordered break confidence intervals yields better coverage rates than using the framework for globally distinct breaks when the break dates are separated by roughly 10% of the total sample size. 相似文献
16.
The inverse Gaussian distribution is often suited for modeling positive and/or positively skewed data (see Chhikara and Folks, 1989) and presents an interesting alternative to the Gaussian model in such cases. We note here that overlap coefficients and their variants are widely studied in the literature for Gaussian populations (see Mulekar and Mishra, 1994, 2000, and references therein for further details). This article studies the properties and addresses point estimation for large samples of commonly used measures of overlap when the populations are described by inverse Gaussian distributions. The bias and mean square error properties of the estimators are studied through a simulation study. 相似文献
17.
This article suggests random and fixed effects spatial two-stage least squares estimators for the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi et al. (2013) by the inclusion of a spatial lag term. The estimation method utilizes the Generalized Moments method suggested by Kapoor et al. (2007) for a spatial autoregressive panel data model. We derive the asymptotic distributions of these estimators and suggest a Hausman test a la Mutl and Pfaffermayr (2011) based on the difference between these estimators. Monte Carlo experiments are performed to investigate the performance of these estimators as well as the corresponding Hausman test. 相似文献
18.
Sanaullah et al. (2014) have suggested generalized exponential chain ratio estimators under stratified two-phase sampling scheme for estimating the finite population mean. However, the bias and mean square error (MSE) expressions presented in that work need some corrections, and consequently the study based on efficiency comparison also requires corrections. In this article, we revisit Sanaullah et al. (2014) estimator and provide the correct bias and MSE expressions of their estimator. We also propose an estimator which is more efficient than several competing estimators including the classes of estimators in Sanaullah et al. (2014). Three real datasets are used for efficiency comparisons. 相似文献
19.
Soltani and Mohammadpour (2006) observed that in general the backward and forward moving average coefficients, correspondingly, for the multivariate stationary processes, unlike the univariate processes, are different. This has stimulated researches concerning derivations of forward moving average coefficients in terms of the backward moving average coefficients. In this article we develop a practical procedure whenever the underlying process is a multivariate moving average (or univariate periodically correlated) process of finite order. Our procedure is based on two key observations: order reduction (Li, 2005) and first-order analysis (Mohammadpour and Soltani, 2010). 相似文献
20.
AbstractIn this article, we improvise Singh and Grewal (2013) and Hussain et al. (2016) techniques by introducing a new two-stage randomization response process. Using the proposed new technique, we achieve better efficiency and increasing protection of privacy of respondents than the Kuk (1990), Singh and Grewal (2013) and Hussain et al. (2016) models. The relative efficiency and protection of the respondents of the proposed two-stage randomization device have been investigated through simulation study, and the situations are reported where the proposed estimator performs better than its competitors. The SAS code used to investigate the performance of the proposed strategy are also provided. 相似文献