Joint tests of non-nested models and general error specifications

This paper is concerned with joint tests of non-nested models and simultaneous departures from homoskedasticity, serial independence and normality of the disturbance terms. Locally equivalent alternative models are used to construct joint tests since they provide a convenient way to incorporate more than one type of departure from the classical conditions. The joint tests represent a simple asymptotic solution to the “pre-testing” problem in the context of non-nested linear regression models. Our simulation results indicate that the proposed tests have good finite sample properties.     

人口红利、产业承接与农村劳动力就近转移——以成都城乡统筹试验区为背景

随着西部经济发展及中部地区的崛起。东部地区产业向中西部转移,中西部地区参与人口红利再分配成为必然。鉴于此。有必要及时调整农村就业政策,将农村劳动力就近转移作为一项主要的就业政策,以促进产业转移的顺利进行和人口红利的高效再分配。     

ON SOME OPTIMALITY PROPERTIES OF FISHER-RAO SCORE FUNCTION IN TESTING AND ESTIMATION

The score function is associated with some optimality features in statistical inference. This review article looks on the central role of the score in testing and estimation. The maximization of the power in testing and the quest for efficiency in estimation lead to score as a guiding principle. In hypothesis testing, the locally most powerful test statistic is the score test or a transformation of it. In estimation, the optimal estimating function is the score. The same link can be made in the case of nuisance parameters: the optimal test function should have maximum correlation with the score of the parameter of primary interest. We complement this result by showing that the same criterion should be satisfied in the estimation problem as well.     

Saddlepoint approximations for some models of circular data

In this article we provide saddlepoint approximations for some important models of circular data. The particularity of these saddlepoint approximations is that they do not require solving the saddlepoint equation iteratively, so their evaluation is immediate. We first give very accurate approximations to P-values, critical values and power functions for some optimal tests regarding the concentration parameter under wrapped symmetric α-stable and circular normal models. Then, we consider an approximation to the distribution of a projection of the two-dimensional Pearson random walk with exponential step sizes.     

The Scale Invariant Wigner Spectrum Estimation of Gaussian Locally Self-Similar Processes

We study locally self-similar processes (LSSPs) in Silverman’s sense. By deriving the minimum mean-square optimal kernel within Cohen’s class counterpart of time–frequency representations, we obtain an optimal estimation for the scale invariant Wigner spectrum (SIWS) of Gaussian LSSPs. The class of estimators is completely characterized in terms of kernels, so the optimal kernel minimizes the mean-square error of the estimation. We obtain the SIWS estimation for two cases: global and local, where in the local case, the kernel is allowed to vary with time and frequency. We also introduce two generalizations of LSSPs: the locally self-similar chirp process and the multicomponent LSSP, and obtain their optimal kernels. Finally, the performance and accuracy of the estimation is studied via simulation.     

On detection of outliers in symmetric normal models

Extensions of recent results for detection of mean slippage type outliers from i.i.d. multivariate normal and elliptically symmetric distributions are made to symmetric case, that is, when the observations are equicorrelated. The main tool used is Wijsman's (1967) representation theorem. The results obtained can be viewed as a robustness property of the use of Mardia's multivariate kurtosis as a locally optimal test statistic to detect outliers against equicorrelated distributions.     

A Locally Optimal Seasonal Unit-Root Test

This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.     

Locally optimal invariant tests for change in level

The classical change point problem is considered, from the invariance point of view. Locally optimal invariant tests are derived for the change in level, when the initial level and the common variance are assumed to be unknown. The tests derived by Chernoff and Zacks (1964) and Gardner (1969), for the change in level, when variance is known, are shown to be locally optimal invariant tests.     

An adaptive estimatcr frequently used in material fatigue testing

Small sample sizes in material fatigue tests give rise to an adaptive estimator of the 100(1-P)% normal percentile, which is the 100P% survival load. The mean squared relative efficiency of the best invariant estimator of normal percentiles to the adaptive estimator is dependent upon the unknown parameters only through the coefficient of variation. The adaptive estimator is shown to be more locally efficient than tl-:ebest invariant estimator over a subset of the parameter space. However, in the extreme values of P the coverage probabilities of the adaptive estimator provide little more protection than a traditional point estimator over the range of preference based on mean squared relative efficiency.     

Nonparametric causal effects based on marginal structural models

A parametric marginal structural model (PMSM) approach to Causal Inference has been favored since the introduction of MSMs by Robins [1998a. Marginal structural models. In: 1997 Proceedings of the American Statistical Association. American Statistical Association, Alexandria, VA, pp. 1–10]. We propose an alternative, nonparametric MSM (NPMSM) approach that extends the definition of causal parameters of interest and causal effects. This approach is appealing in practice as it does not require correct specification of a parametric model but instead relies on a working model which can be willingly misspecified. We propose a methodology for longitudinal data to generate and estimate so-called NPMSM parameters describing so-called nonparametric causal effects and provide insight on how to interpret these parameters causally in practice. Results are illustrated with a point treatment simulation study. The proposed NPMSM approach to Causal Inference is compared to the more typical PMSM approach and we contribute to the general understanding of PMSM estimation by addressing the issue of PMSM misspecification.