共查询到20条相似文献,搜索用时 953 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.
This paper presents a new variable weight method, called the singular value decomposition (SVD) approach, for Kohonen competitive learning (KCL) algorithms based on the concept of Varshavsky et al. [18]. Integrating the weighted fuzzy c-means (FCM) algorithm with KCL, in this paper, we propose a weighted fuzzy KCL (WFKCL) algorithm. The goal of the proposed WFKCL algorithm is to reduce the clustering error rate when data contain some noise variables. Compared with the k-means, FCM and KCL with existing variable-weight methods, the proposed WFKCL algorithm with the proposed SVD's weight method provides a better clustering performance based on the error rate criterion. Furthermore, the complexity of the proposed SVD's approach is less than Pal et al. [17], Wang et al. [19] and Hung et al. [9]. 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 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
5.
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
6.
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
7.
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
8.
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
9.
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
10.
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
11.
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
12.
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
13.
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2015), can capture the buffering phenomena of time series in both the conditional mean and variance. Thus, it provides us a new way to study the nonlinearity of time series. Compared with the existing AR-GARCH and threshold AR-GARCH models, an application to several exchange rates highlights the importance of the BAR-GARCH model. 相似文献
14.
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
15.
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
16.
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
17.
This article describes how diagnostic procedures were derived for symmetrical nonlinear regression models, continuing the work carried out by Cysneiros and Vanegas (2008) and Vanegas and Cysneiros (2010), who showed that the parameters estimates in nonlinear models are more robust with heavy-tailed than with normal errors. In this article, we focus on assessing if the robustness of this kind of models is also observed in the inference process (i.e., partial F-test). Symmetrical nonlinear regression models includes all symmetric continuous distributions for errors covering both light- and heavy-tailed distributions such as Student-t, logistic-I and -II, power exponential, generalized Student-t, generalized logistic, and contaminated normal. Firstly, a statistical test is shown to evaluating the assumption that the error terms all have equal variance. The results of simulation studies which describe the behavior of the test for heteroscedasticity proposed in the presence of outliers are then given. To assess the robustness of inference process, we present the results of a simulation study which described the behavior of partial F-test in the presence of outliers. Also, some diagnostic procedures are derived to identify influential observations on the partial F-test. As ilustration, a dataset described in Venables and Ripley (2002), is also analyzed. 相似文献
18.
Analysis of discrete lifetime data under middle-censoring and in the presence of covariates 总被引:1,自引:0,他引:1
S. Rao Jammalamadaka 《Journal of applied statistics》2015,42(4):905-913
‘Middle censoring’ is a very general censoring scheme where the actual value of an observation in the data becomes unobservable if it falls inside a random interval (L, R) and includes both left and right censoring. In this paper, we consider discrete lifetime data that follow a geometric distribution that is subject to middle censoring. Two major innovations in this paper, compared to the earlier work of Davarzani and Parsian [3], include (i) an extension and generalization to the case where covariates are present along with the data and (ii) an alternate approach and proofs which exploit the simple relationship between the geometric and the exponential distributions, so that the theory is more in line with the work of Iyer et al. [6]. It is also demonstrated that this kind of discretization of life times gives results that are close to the original data involving exponential life times. Maximum likelihood estimation of the parameters is studied for this middle-censoring scheme with covariates and their large sample distributions discussed. Simulation results indicate how well the proposed estimation methods work and an illustrative example using time-to-pregnancy data from Baird and Wilcox [1] is included. 相似文献
19.
I. Ardoino E. M. Biganzoli C. Bajdik P. J. Lisboa P. Boracchi F. Ambrogi 《Journal of applied statistics》2012,39(7):1409-1421
In cancer research, study of the hazard function provides useful insights into disease dynamics, as it describes the way in which the (conditional) probability of death changes with time. The widely utilized Cox proportional hazard model uses a stepwise nonparametric estimator for the baseline hazard function, and therefore has a limited utility. The use of parametric models and/or other approaches that enables direct estimation of the hazard function is often invoked. A recent work by Cox et al. [6] has stimulated the use of the flexible parametric model based on the Generalized Gamma (GG) distribution, supported by the development of optimization software. The GG distribution allows estimation of different hazard shapes in a single framework. We use the GG model to investigate the shape of the hazard function in early breast cancer patients. The flexible approach based on a piecewise exponential model and the nonparametric additive hazards model are also considered. 相似文献
20.
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