Parametric bootstrap inferences for panel data models

This article presents parametric bootstrap (PB) approaches for hypothesis testing and interval estimation for the regression coefficients and the variance components of panel data regression models with complete panels. The PB pivot variables are proposed based on sufficient statistics of the parameters. On the other hand, we also derive generalized inferences and improved generalized inferences for variance components in this article. Some simulation results are presented to compare the performance of the PB approaches with the generalized inferences. Our studies show that the PB approaches perform satisfactorily for various sample sizes and parameter configurations, and the performance of PB approaches is mostly the same as that of generalized inferences with respect to the expected lengths and powers. The PB inferences have almost exact coverage probabilities and Type I error rates. Furthermore, the PB procedure can be simply carried out by a few simulation steps, and the derivation is easier to understand and to be extended to the incomplete panels. Finally, the proposed approaches are illustrated by using a real data example.     

Weighted adaptive multivariate CUSUM charts with variable sampling intervals

The adaptive multivariate CUSUM (AMCUSUM) chart has received considerable attention because of its superior sensitivity against a range of mean shift sizes than that of the conventional non-adaptive multivariate CUSUM (MCUSUM) chart. Recently, weighted AMCUSUM (WAMCUSUM) charts with a fixed sampling interval (FSI) have been proposed, called the WAMCUSUM-FSI charts, which provide more sensitivity than the AMCUSUM-FSI charts. In this paper, we extend this work and propose WAMCUSUM charts with variable sampling interval (VSI), named the WAMCUSUM-VSI charts, for efficiently monitoring the mean of a multivariate normally distributed process. The Monte Carlo simulation method is used to compute the average time to signal (ATS) and the adjusted ATS (AATS) profiles of the existing and proposed charts. It is found that the WAMCUSUM-VSI charts perform substantially and nearly uniformly better than the WAMCUSUM-FSI charts in terms of the ATS and AATS performance criterion. An example is given to explain the implementation of the WAMCUSUM charts with fixed and VSIs.     

Multi-level models can benefit from minimizing higher-order variations: an illustration using child malnutrition data

ABSTRACT

This study aims to measure the robustness of multi-level models designed for three anthropometric indices – height-for-age (HAZ), weight-for-age (WAZ) and weight-for-height (WHZ) Z-scores for estimating the childhood malnutrition indicators stunting, underweight and wasting in Bangladesh. The 2011 BDHS child malnutrition data have been used in developing multi-level models with and without incorporating specific contextual variables relating to lower administrative units extracted from the 2011 Bangladesh Population and Housing Census. The robustness of the models is examined through (i) testing significance of random effects corresponding to lower administrative units through selection criteria including conditional AIC, R-squared, and LRT; (ii) comparing multi-level model-based estimators to design-based estimators of child malnutrition indicators with their precision at division, district and sub-district levels; and (iii) assessing the impact of contextual variables in capturing higher-order administrative level variations. Findings reveal that the inclusion of important contextual variables helps capture variations at higher-level administrative units, and consequently assists in the selection of robust multi-level models which ultimately provide improved accuracy of estimated parameters. The findings support the application of lower administrative census information in developing a simpler multi-level model by minimizing higher-order variation.     

Admissibility intervals for linear correlation coefficients

The correlation coefficient is widely used to quantify the degree of association between two quantitative variables. By resorting to the geometric representation of the linear correlation coefficient, it is possible to calculate the upper and lower bounds of the correlation coefficient between two variables x ₁,x ₂ when the correlation coefficients with a third variable x ₃ are available. Implications in observational studies, where x ₃ could be a proxy of a target variable x ₂, whose direct measurement is too expensive or impractical, are discussed.     

Asymptotic Properties of Weighted M-estimators for variable probability samples

I provide a systematic treatment of the asymptotic properties of weighted M-estimators under variable probability stratified sampling. The characterization of the sampling scheme and representation of the objective function allow for a straightforward analysis. Simple, consistent asymptotic variance matrix estimators are proposed for a large class of problems. When stratification is based on exogenous variables, I show that the unweighted M-estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. When population frequencies are known, a more efficient weighting is possible. I also show how the results carry over to multinomial sampling.     

双线性分式交叉规划的等价形式

考虑双线性分式交叉规划,将双线性分式交叉规划转化为线性交叉规划,再借助同参规划组转化为多目标规划,讨论交叉规划的均衡解与多目标规划的最优解的关系。     

Bayesian Model Selection and Averaging in Additive and Proportional Hazards Models

Although Cox proportional hazards regression is the default analysis for time to event data, there is typically uncertainty about whether the effects of a predictor are more appropriately characterized by a multiplicative or additive model. To accommodate this uncertainty, we place a model selection prior on the coefficients in an additive-multiplicative hazards model. This prior assigns positive probability, not only to the model that has both additive and multiplicative effects for each predictor, but also to sub-models corresponding to no association, to only additive effects, and to only proportional effects. The additive component of the model is constrained to ensure non-negative hazards, a condition often violated by current methods. After augmenting the data with Poisson latent variables, the prior is conditionally conjugate, and posterior computation can proceed via an efficient Gibbs sampling algorithm. Simulation study results are presented, and the methodology is illustrated using data from the Framingham heart study.     

Generators for asymmetrical factorial experiments

The paper lists generators for asymmetrical factorial experiments consisting of 200 or fewer treatment combinations and up to 7 factors each having 7 or fewer levels. The generators define fractional or confounded single replicate factorial designs.     

Benefits and limitations of panel data

Observations for a number of cross-sectional units over time have become increasingly available. The new data sources enable econometricians to construct and test more complicated behavioral models than a single cross sectional or time series data set would allow. The availability of new data sources, however, also raises new issues. In this paper we review some basic econo- metric methods that have been used to analyze such data sets. We also indicate areas of research where panel data may be useful.     

关于(0—1)序列的性质及其应用

本文侧重研究(0—1)随机变量序列一些性质及其应用.