共查询到20条相似文献,搜索用时 281 毫秒
1.
Yan Fan 《Journal of applied statistics》2016,43(14):2595-2607
Competing models arise naturally in many research fields, such as survival analysis and economics, when the same phenomenon of interest is explained by different researcher using different theories or according to different experiences. The model selection problem is therefore remarkably important because of its great importance to the subsequent inference; Inference under a misspecified or inappropriate model will be risky. Existing model selection tests such as Vuong's tests [26] and Shi's non-degenerate tests [21] suffer from the variance estimation and the departure of the normality of the likelihood ratios. To circumvent these dilemmas, we propose in this paper an empirical likelihood ratio (ELR) tests for model selection. Following Shi [21], a bias correction method is proposed for the ELR tests to enhance its performance. A simulation study and a real-data analysis are provided to illustrate the performance of the proposed ELR tests. 相似文献
2.
Marshall and Olkin (1997) introduced a new method of adding parameter to expand a family of distributions. Using this concept, in this article, the Marshall–Olkin extended Pareto distribution is introduced and some recurrence relations for single and product moments of generalized order statistics are studied. Also the results are deduced for record values and order statistics. 相似文献
3.
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
4.
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
5.
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
6.
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
7.
Pao-Sheng Shen 《统计学通讯:理论与方法》2017,46(4):1916-1926
The complication in analyzing tumor data is that the tumors detected in a screening program tend to be slowly progressive tumors, which is the so-called left-truncated sampling that is inherent in screening studies. Under the assumption that all subjects have the same tumor growth function, Ghosh (2008) developed estimation procedures for the Cox proportional hazards model. Shen (2011a) demonstrated that Ghosh (2008)'s approach can be extended to the case when each subject has a specific growth function. In this article, under linear transformation model, we present a general framework to the analysis of data from cancer screening studies. We developed estimation procedures under linear transformation model, which includes Cox's model as a special case. A simulation study is conducted to demonstrate the potential usefulness of the proposed estimators. 相似文献
8.
Two-period crossover design is one of the commonly used designs in clinical trials. But, the estimation of treatment effect is complicated by the possible presence of carryover effect. It is known that ignoring the carryover effect when it exists can lead to poor estimates of the treatment effect. The classical approach by Grizzle (1965) consists of two stages. First, a preliminary test is conducted on carryover effect. If the carryover effect is significant, analysis is based only on data from period one; otherwise, analysis is based on data from both periods. A Bayesian approach with improper priors was proposed by Grieve (1985) which uses a mixture of two models: a model with carryover effect and another without. The indeterminacy of the Bayes factor due to the arbitrary constant in the improper prior was addressed by assigning a minimally discriminatory value to the constant. In this article, we present an objective Bayesian estimation approach to the two-period crossover design which is also based on a mixture model, but using the commonly recommended Zellner–Siow g-prior. We provide simulation studies and a real data example and compare the numerical results with Grizzle (1965)’s and Grieve (1985)’s approaches. 相似文献
9.
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
10.
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
11.
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
12.
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
13.
Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case the test statistic proposed by Herwartz and Siedenburg (2008) is asymptotically standard Gaussian. By means of a simulation study we illustrate the performance of first and second generation panel unit root tests and undertake a more detailed comparison of the test in Herwartz and Siedenburg (2008) and its heteroskedasticity consistent Cauchy counterpart introduced in Demetrescu and Hanck (2012a). As an empirical illustration, we reassess evidence on the Fisher hypothesis with data from nine countries over the period 1961Q2–2011Q2. Empirical evidence supports panel stationarity of the real interest rate for the entire subperiod. With regard to the most recent two decades, the test results cast doubts on market integration, since the real interest rate is diagnosed nonstationary. 相似文献
14.
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
15.
Stephen G. Donald 《Econometric Reviews》2016,35(4):553-585
We extend Hansen's (2005) recentering method to a continuum of inequality constraints to construct new Kolmogorov–Smirnov tests for stochastic dominance of any pre-specified order. We show that our tests have correct size asymptotically, are consistent against fixed alternatives and are unbiased against some N?1/2 local alternatives. It is shown that by avoiding the use of the least favorable configuration, our tests are less conservative and more powerful than Barrett and Donald's (2003) and in some simulation examples we consider, we find that our tests can be more powerful than the subsampling test of Linton et al. (2005). We apply our method to test stochastic dominance relations between Canadian income distributions in 1978 and 1986 as considered in Barrett and Donald (2003) and find that some of the hypothesis testing results are different using the new method. 相似文献
16.
Karlis and Santourian [14] proposed a model-based clustering algorithm, the expectation–maximization (EM) algorithm, to fit the mixture of multivariate normal-inverse Gaussian (NIG) distribution. However, the EM algorithm for the mixture of multivariate NIG requires a set of initial values to begin the iterative process, and the number of components has to be given a priori. In this paper, we present a learning-based EM algorithm: its aim is to overcome the aforementioned weaknesses of Karlis and Santourian's EM algorithm [14]. The proposed learning-based EM algorithm was first inspired by Yang et al. [24]: the process of how they perform self-clustering was then simulated. Numerical experiments showed promising results compared to Karlis and Santourian's EM algorithm. Moreover, the methodology is applicable to the analysis of extrasolar planets. Our analysis provides an understanding of the clustering results in the ln?P?ln?M and ln?P?e spaces, where M is the planetary mass, P is the orbital period and e is orbital eccentricity. Our identified groups interpret two phenomena: (1) the characteristics of two clusters in ln?P?ln?M space might be related to the tidal and disc interactions (see [9]); and (2) there are two clusters in ln?P?e space. 相似文献
17.
Fernanda B. Rizzato Roseli A. Leandro Clarice G.B. Demétrio 《Journal of applied statistics》2016,43(11):2085-2109
In this paper, we consider a model for repeated count data, with within-subject correlation and/or overdispersion. It extends both the generalized linear mixed model and the negative-binomial model. This model, proposed in a likelihood context [17,18] is placed in a Bayesian inferential framework. An important contribution takes the form of Bayesian model assessment based on pivotal quantities, rather than the often less adequate DIC. By means of a real biological data set, we also discuss some Bayesian model selection aspects, using a pivotal quantity proposed by Johnson [12]. 相似文献
18.
Austin L. Hand John A. Scott James D. Stamey Dean M. Young 《Journal of applied statistics》2016,43(9):1625-1635
Adaptive clinical trial designs can often improve drug-study efficiency by utilizing data obtained during the course of the trial. We present a novel Bayesian two-stage adaptive design for Phase II clinical trials with Poisson-distributed outcomes that allows for person-observation-time adjustments for early termination due to either futility or efficacy. Our design is motivated by the adaptive trial from [9], which uses binomial data. Although many frequentist and Bayesian two-stage adaptive designs for count data have been proposed in the literature, many designs do not allow for person-time adjustments after the first stage. This restriction limits flexibility in the study design. However, our proposed design allows for such flexibility by basing the second-stage person-time on the first-stage observed-count data. We demonstrate the implementation of our Bayesian predictive adaptive two-stage design using a hypothetical Phase II trial of Immune Globulin (Intravenous). 相似文献
19.
Rameela Chandrasekhar 《统计学通讯:理论与方法》2014,43(14):2951-2957
Adaptive designs find an important application in the estimation of unknown percentiles for an underlying dose-response curve. A nonparametric adaptive design was suggested by Mugno et al. (2004) to simultaneously estimate multiple percentiles of an unknown dose-response curve via generalized Polya urns. In this article, we examine the properties of the design proposed by Mugno et al. (2004) when delays in observing responses are encountered. Using simulations, we evaluate a modification of the design under varying group sizes. Our results demonstrate unbiased estimation with minimal loss in efficiency when compared to the original compound urn design. 相似文献
20.
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