Statistics and Probability Commons^™

Consumption Adjustment Under Time-Varying Income Uncertainty, Douglas Steigerwald, Joon-Ho Hahm

Douglas G. Steigerwald

We study the effect of income uncertainty on consumption in a model that includes precautionary saving. In contrast to previous studies, we focus on time-series variation in income uncertainty. Our time-series measure of income uncertainty is constructed from a panel of forecasts. We find evidence of precautionary saving in that increases in income uncertainty are related to increases in aggregate rates of saving. We also find evidence that anticipated income growth rates have less explanatory power for consumption growth rates after conditioning on income uncertainty. The evidence indicates the presence of forward-looking consumers who gradually adjust precautionary savings in response …

Assessing The Accuracy Of A New Diagnostic Test When A Gold Standard Does Not Exist, Todd A. Alonzo, Margaret S. Pepe

UW Biostatistics Working Paper Series

Often the accuracy of a new diagnostic test must be assessed when a perfect gold standard does not exist. Use of an imperfect test biases the accuracy estimates of the new test. This paper reviews existing approaches to this problem including discrepant resolution and latent class analysis. Deficiencies with these approaches are identified. A new approach is proposed that combines the results of several imperfect reference tests to define a better reference standard. We call this the composite reference standard (CRS). Using the CRS, accuracy can be assessed using multistage sampling designs. Maximum likelihood estimates of accuracy and expressions for …

Comparison Of Median Indicator Kriging With Full Indicator Kriging In The Analysis Of Spatial Data, Donna Hill

Theses : Honours

In the earth sciences, and particularly in the mining of precious metals, data distributions are often strongly positively skewed. When making decisions on the potential profitability of a gold mine, for example, the high values of the distribution are of particular importance. Indicator kriging provides estimates of cumulative distribution functions from which grade tonnage curves may be calculated. Multiple or full indicator kriging requires a semivariogram to be modelled and a kriging system of equations to be solved for each cut off. This can be time consuming and modelling indicator semivariograms at high cut-offs may be difficult because of the …

Measuring Hotel Service Quality: Tools For Gaining The Competitive Edge, Robert C. Ford, Susan A. Bach

Hospitality Review

As the hotel industry grows more competitive, quality guest service becomes an increasingly important part of managers' responsibility measuring the quality of service delivery is facilitated when managers know what types of assessment methods are available to them. The authors present and discuss the following available measurement techniques and describe the situations where they best meet the needs of hotel managers: management observation, employee feedback programs, comment cards, mailed surveys, personal and telephone interviews, focus groups, and mystery shopping.

Uniformly Adaptive Estimation For Models With Arma Errors, Douglas Steigerwald

Douglas G. Steigerwald

A semiparametric estimator based on an unknown density is uniformly adaptive if the expected loss of the estimator converges to the asymptotic expected loss of the maximum likelihood estimator based on the true density (MLE), and if convergence does not depend on either the parameter values or the form of the unknown density. Without uniform adaptivity, the asymptotic expected loss of the MLE need not approximate the expected loss of a semiparamteric estimator for any finite sample. I show that a two-step semiparametric estimator is uniformly adaptive for the parameters of nonlinear regression models with autoregressive moving average errors.

Econometric Estimation Of Foresight: Tax Policy And Investment In The U.S., Douglas G. Steigerwald, Charles Stuart

Douglas G. Steigerwald

We develop a method for measuring the foresight agents have. We first dichotomize an agent's information at current date t into knowledge up to date t+f and expectations after t+f. We then form a residual-based test statistic that allows us to compare prediction errors for econometric models based on different values of f. We illustrate the method, examining investment around tax reforms to measure the foresight firms have about tax policy. In this illustration, current investment appears to reflect currently available information but little foresight other than foresight of enacted policy changes.

Asymptotic Bias For Quasi-Maximum Likelihood Estimators In Models With Conditional Heteroskedasticity, Douglas G. Steigerwald, Whitney Newey

Douglas G. Steigerwald

Virtually all applications of time-varying conditional variance models use a quasi-maximum likelihood estimator (QMLE). Consistency of a QMLE requires an identification condition that the quasi-log-likelihood have a unique maximum at the true conditional mean and relative scale parameters. We show that the identification condition holds for a non-Gaussian QMLE if the conditional mean is identically zero or if a symmetry condition is satisfied. Without symmetry an additional parameter, for the location of the innovation density, must be added for consistency. We calculate the efficiency loss from adding such a parameter under symmetry, when the parameter is not needed. We also …

Testing For Absolute Purchaing Power Parity, Douglas G. Steigerwald, Collin Crownover, John Pippenger

Douglas G. Steigerwald

Purchasing power parity (PPP) is an equilibrium condition equating the nominal exchange rate between two countries with the relative price of an identical bundle of goods in each country. Previous time-series researchers use price indicies to study PPP, so they study relative PPP. We use new data that measures price levels, so we test absolute PPP. Price levels provide a test of absolute PPP because, unlike price indicies, do not contain a base period in which the nominal exchange rate equals the price ratio by construction. We find support for absolute PPP.

Purchasing Power Parity, Unit Roots And Dynamic Structure, Douglas G. Steigerwald

Douglas G. Steigerwald

Recent studies of puchasing power parity (PPP) account for the possible presence of unit roots in nominal exchange rates and relative price indicies by applying standard unit-root tests to real exchange rates, which are ratios of nominal exchange rates and relative price indicies. These studies occasionally find evidence of PPP but, as a whole, the evidence is not definitive. Standard unit-root tests impose a restrictive dynamic structure between nominal exchange rates and relative price indicies. I specify and estimate a generalized dynamic structure. I reject the dynamic restrictions implicit in standard unit-root tests of PPP, and find stronger evidence of …

Applications Of Extended Thermodynamics ...Part I., Sergey Sobolev

Sergey Sobolev

No abstract provided.

Modeling Volatility Dynamics, Douglas Steigerwald

Douglas G. Steigerwald

No abstract provided.

Volatility, Douglas G. Steigerwald, Stephen Leroy

Douglas G. Steigerwald

How should one determine if capital markets are efficient? We examine the statistical foundations of tests of efficiency.

Adaptive Estimation In Timeseries Regression Models, Douglas Steigerwald

Douglas G. Steigerwald

I develop adaptive estimators for linear regression with serially correlated errors. The efficiency results hold even when the serial correlation structure is unknown. Simulations indicate that efficiency gains can be substantial with samples of only 50 observations. We apply the method to a study of forward exchange rates.

On The Finite Sample Behavior Of Adaptive Estimators, Douglas Steigerwald

Douglas G. Steigerwald

With only 50 observations, the adaptive estimator produces confidence intervals that are 20 to 50 percent shorter than those produced by GLS procedures. The key feature is that the underlying error density is symmetric. Under asymmetry the interval length is shortened by a smaller amount.

A Course In Econometrics: A Review, Douglas G. Steigerwald

Douglas G. Steigerwald

No abstract provided.

Design And Statistical Analysis Of Plant Protection Experiment, J F. Wallace

All other publications

An Australian co-operation with the national agricultural research project Thailand.

This short course is intended to cover aspects of experimental design, sampling and statistical analysis for researchers in Entomology and Plant Pathology.

The basic principles of experimental design are the same for plant protection research as they are in other areas of research. Problems in plant protection arise from the variation of the data, the complexity of the systems and interactions with environmental factors. In many cases, standard designs are quite adequate.

Statistical Calibration Theory, James John Mckeon

Mathematics & Statistics Theses & Dissertations

A calibration method substitutes for measurements, X(,i), that are accurate but impractical or costly, a set of measurements, Y(,i), that are less accurate but simpler or less costly. There are two general types of calibration methods. The classical approach in which once the calibration sample is drawn, the estimates of the X values for a given unit is found without any consideration of the distribution of X values for the other units to be measured. This corresponds best to the literal meaning of the word "calibration". Maximum likelihood estimation is the statistical formulation of the classical approach.

The second approach …

Uncertainty And Policy Agressiveness, Douglas Steigerwald, Roger Craine

Douglas G. Steigerwald

How should a decision maker proceed with uncertain knowledge of the decision outcome? We use the unknown coefficient control problem to shed light on the issue.

A Computerized Demonstration Of The Central Limit Theorem In Statistics, Paul S. T. Lee

Publications

The Central Limit Theorem is one of the most important concepts in statistics. It provides a link between sample statistics and population parameters. It is a basic concept for understanding various hypothesis-testing techniques such as Student's t-distribution, x²-distribution and F-distribution.

Simulation Of Mathematical Models In Genetic Analysis, Dinesh Govindal Patel

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

In recent years a new field of statistics has become of importance in many branches of experimental science. This is the Monte Carlo Method, so called because it is based on simulation of stochastic processes. By stochastic process, it is meant some possible physical process in the real world that has some random or stochastic element in its structure. This is the subject which may appropriately be called the dynamic part of statistics or the statistics of "change," in contrast with the static statistical problems which have so far been the more systematically studied. Many obvious examples of such processes …