Estimation and Inference for Linear Panel Data Models Under Misspecification When Both n and T are Large

This article considers fixed effects (FE) estimation for linear panel data models under possible model misspecification when both the number of individuals, n, and the number of time periods, T, are large. We first clarify the probability limit of the FE estimator and argue that this probability limit can be regarded as a pseudo-true parameter. We then establish the asymptotic distributional properties of the FE estimator around the pseudo-true parameter when n and T jointly go to infinity. Notably, we show that the FE estimator suffers from the incidental parameters bias of which the top order is O(T^{? 1}), and even after the incidental parameters bias is completely removed, the rate of convergence of the FE estimator depends on the degree of model misspecification and is either (nT)^{? 1/2} or n^{? 1/2}. Second, we establish asymptotically valid inference on the (pseudo-true) parameter. Specifically, we derive the asymptotic properties of the clustered covariance matrix (CCM) estimator and the cross-section bootstrap, and show that they are robust to model misspecification. This establishes a rigorous theoretical ground for the use of the CCM estimator and the cross-section bootstrap when model misspecification and the incidental parameters bias (in the coefficient estimate) are present. We conduct Monte Carlo simulations to evaluate the finite sample performance of the estimators and inference methods, together with a simple application to the unemployment dynamics in the U.S.     

基于可信性理论下的EPQ问题的期望值模型

基于可信性理论,本文给出了不允许缺货的经济生产量(EPQ)问题的期望值模型;研究了当单位生产准备费、单位储存费均为模糊变量且相互独立的情况下EPQ 问题的最佳期望单位存储费用、最佳期望单位生产批量及最佳期望生产周期,并得出了一些重要的结论;特殊情况下,讨论了当模型中的模糊参数分别为三角模糊变量、梯形模糊变量及正态模糊变量情况下的EPQ 问题的最优存储策略;最后,针对上述三种情况本文分别给出了一些数值例子验证了模型的有效性和合理性;本文所得到的结果为求解EPQ 问题设计算法提供了理论依据.     

An extension of bayesian measure of information to regression

This paper extends Lindley's measure of average information to the linear model, E(Y∣ß) = Xß. An expression which quantifies the average amount of information provided by the nxl vector of observations Y about the pxl vector of coefficient parameters ß will be derived. The effect of the structure of the regressor matrix, X, on the information measure is discussed. An information theoretic optimal design is characterized. Some applications are suggested.     

A Class of Sampling Two Units with Probability Proportional to Size

A class of sampling two units without replacement with inclusion probability proportional to size is proposed in this article. Many different well known probability proportional to size sampling designs are special cases from this class. The first and second inclusion probabilities of this class satisfy important properties and provide a non-negative variance estimator of the Horvitz and Thompson estimator for the population total. Suitable choice for the first and second inclusion probabilities from this class can be used to reduce the variance estimator of the Horvitz and Thompson estimator. Comparisons between different proportional to size sampling designs through real data and artificial examples are given. Examples show that the minimum variance of the Horvitz and Thompson estimator obtained from the proposed design is not attainable for the most cases at any of the well known designs.     

Maximum likelihood estimation of the bimodal failure rate for censored and tied observations

DIMITROV, RACHEV and YAKOVLEV ( 1985 ) have obtained the isotonic maximum likelihood estimator for the bimodal failure rate function. The authors considered only the complete failure time data. The generalization of this estimator for the case of censored and tied observations is now proposed.     

Using power transformations when approximating quantiles

Estimators are obtained tor quantiles of survival distributions. This is accomplished by approximating Lritr distribution of the transtorrneri data, where the transformation used is that of Box and Cox (1964). The normal approximation as in Box and Cox and, in addition, the extreme value approximation are considered. More generally, to use the methods given, the approximating distribution must come from a location-scale family. For some commonly used survival random variables T the performance of the above approximations are evaluated in terms of the ratio of the true quantiles of T to the estimated one, in the long run. This performance is also evaluated for lower quantiles using simulated lognormai, Weibull and gamma data. Several examples are given to illustrate the methodology herein, including one with actual data.     

An alternative approach to variable selection for prediction

A procedure for selecting a subset of predictor variables in regression analysis is suggested. The procedure is so designed that it leads to the selection of a subset of variables having an adequate degree of informativeness with a directly specified confidence coefficient. Some examples are considered to illustrate the application of the procedure.     

Use of several auxiliary variables in estimating the population mean in a two-occasion rotation pattern

ABSTRACT

This paper addresses the problem of estimation of the population mean on the current (second) occasion in two-occasion successive sampling. Utilizing the readily available information on several auxiliary variables on both occasions and the information on the study variable from the previous occasion, an estimation procedure of the population mean on the current occasion has been proposed. Theoretical properties of the proposed estimator have been investigated. Optimum replacement policy to the proposed estimator has been discussed. The proposed estimator has been compared empirically with the sample mean estimator, when there is no matching and the optimum estimator which is a linear combination of the means of the matched and unmatched portions of the sample at the current occasion. Appropriate recommendations have been made for practical applications.     

Umvu estimation for the cumulative hazard function in a pareto distribution of the first kind

The uniformly minimum variance unbiased estimator of the cumulative hazard function in the Pareto distribution of the first kind is derived. The variance of the estimator is also obtained in an analytic form, and for some cases its values are compared numerically with mean square errors of the maximum likelihood estimator.     

Robust williams trent test

To investigate the biological activities of a new compound or drug, experimenters usually compare a series of increasing doses to a control. Among other objectives, one may try to investigate any possible dose-response trend and to determine the minimum effective dose among all the experimental doses. Williams (1971, 1972) proposed a procedure to test the dose-response trend and also to identify the minimum effective dose based on the normally distributed data. In this paper, we propose a similar test procedure based on the robust estimate'of the average response to perform similar analysis. The proposed method is more resistant to the outliers and more powerful than the Williams procedure when the data distribution deviates from normality. We illustrate the use of this procedure with data arising from a recent study.