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Statistics and Probability

Selected Works

Heteroskedasticity

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Full-Text Articles in Social and Behavioral Sciences

Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith Nov 2017

Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith

Michael Stanley Smith

We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. The method is based on a variational approximation to a tractable augmented posterior, and is faster than previous likelihood-based approaches. We use it to estimate drawable vine copulas for univariate and multivariate Markov ordinal and mixed time series. These have dimension $rT$, where $T$ is the number of observations and $r$ is the number of series, and are difficult to estimate using previous methods. 
The vine pair-copulas are carefully selected to allow for heteroskedasticity, which is a feature of most ordinal …

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Asymptotic Behavior Of A T Test Robust To Cluster Heterogeneity, Douglas G. Steigerwald Dec 2012

Asymptotic Behavior Of A T Test Robust To Cluster Heterogeneity, Douglas G. Steigerwald

Douglas G. Steigerwald

We study the behavior of a cluster-robust t statistic and make two principle contributions. First, we relax the restriction of previous asymptotic theory that clusters have identical size, and establish that the cluster-robust t statistic continues to have a Gaussian asymptotic null distribution. Second, we determine how variation in cluster sizes, together with other sources of cluster heterogeneity, affect the behavior of the test statistic. To do so, we determine the sample specific measure of cluster heterogeneity that governs this behavior and show that the measure depends on how three quantities vary over clusters: cluster size, the cluster specific error …

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Accurately Sized Test Statistics With Misspecified Conditional Homoskedasticity, Douglas Steigerwald, Jack Erb Dec 2010

Accurately Sized Test Statistics With Misspecified Conditional Homoskedasticity, Douglas Steigerwald, Jack Erb

Douglas G. Steigerwald

We study the finite-sample performance of test statistics in linear regression models where the error dependence is of unknown form. With an unknown dependence structure there is traditionally a trade-off between the maximum lag over which the correlation is estimated (the bandwidth) and the amount of heterogeneity in the process. When allowing for heterogeneity, through conditional heteroskedasticity, the correlation at far lags is generally omitted and the resultant inflation of the empirical size of test statistics has long been recognized. To allow for correlation at far lags we study test statistics constructed under the possibly misspecified assumption of conditional homoskedasticity. …

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