Social and Behavioral Sciences Commons^™

Fiducial Predictive Densities And Econometric Duration Analysis, Zhenlin Yang

Research Collection School Of Economics

In this article, we propose using fiducial predictive density (FPD) as a density estimate, which leads naturally to estimators of survivor and hazard functions and provides a simple way of constructing shortest prediction intervals. This approach is studied in detail in the context of two flexible duration models proposed in this paper, namely the trans-normal and trans-exponential families, by presenting the FPDs, their basic properties, their Bayesian correspondence and their applications in econometric duration analysis. Empirical evidences show that the FPD method provides better estimates of survivor and hazard functions, particularly the latter, than does the usual maximum likelihood method. …

Score Tests For Inverse Gaussian Mixture, Zhenlin Yang

Research Collection School Of Economics

The mixed inverse Gaussian given by Whitmore (Scand. J. Statist., 13, 1986, 211–220) provides a convenient way for testing the goodness-of-fit of a pure inverse Gaussian distribution. The test is a one-sided score test with the null hypothesis being the pure inverse Gaussian (i.e. the mixing parameter is zero) and the alternative a mixture. We devise a simple score test and study its finite sample properties. Monte Carlo results show that it compares favourably with the smooth test of Ducharme (Test, 10, 2001, 271-290). In practical applications, when the pure inverse Gaussian distribution is rejected, one is interested in making …

Information Recovery In A Study With Surrogate Endpoints, Song Xi Chen, Denis H. Y. Leung, Jing Qin

Research Collection School Of Economics

Recently, there has been a lot of interest in statistical methods for analyzing data with surrogate endpoints. In this article, we consider parameter estimation from a model that relates a variable Y to a set of covariates, X, in the presence of a surrogate, S. We assume that the data are made up of two random samples from the population, a validation set where (Y, X, S) are observed on every subject and a nonvalidation set where only (X, S) are measured. We show how information from the nonvalidation set can be incorporated to improve upon estimation of a parameter …

Tests Of Functional Form And Heteroscedasticity, Zhenlin Yang, Yiu Kuen Tse

Research Collection School Of Economics

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing heteroscedasticity in the presence of data transformation. We present LM statistics based on the expected information matrix. For cases (i) and (ii), this is done assuming the Box-Cox transformation. For case (iii), the test does not depend on whether the functional form is estimated or pre-specified. Small-sample properties of the tests are assessed by Monte Carlo simulation, and comparisons are made with the …

Micro-Level Estimation Of The Prevalence Of Stunting And Underweight Among Children In Cambodia, Tomoki Fujii, Livia Montana

Research Collection School Of Economics

We are pleased to share this copy of the preliminary report on "Micro-Level Estimation of the Prevalence of Stunting and Underweight Among Children in Cambodia." This study is the result of a collaboration between the Ministry of Planning, the United Nations World Food Programme and the MEASURE DHS+ project, with in-kind assistance from The World Bank. We also would like to express our acknowledgement to Italian Cooperation and International Fund for Agricultural Development for supporting in publication and distribution.

A Formal Test Of Density Forecast Evaluation, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

Recent econometricians have shifted their attention from point and interval forecasts of the probability density functions (PDF) of various market variables. One of the main problems in this area has been evaluation of the density forecasts. In this papers, we propose a formal test for density forecast evaluation using Neyman (1937) smooth test procedure. Apart from giving indications of acceptance or rejection of the tested model, this approach provides specific sources (such as the mean, variance, skewness and kurtosis or the location, scale and shape of the distribution) or rejections, thereby helping in deciding possible modifications of the assumed model. …

An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse

Research Collection School Of Economics

Research in the literature shows that initial public offerings (IPOs) of common stocks are systematically priced at a discount to their subsequent initial trading price. The large underpricing magnitude in the Chinese IPO market has attracted much attention. We consider three hypotheses that may explain the IPO underpricing in China. These are the winner's curse hypothesis, the ex ante uncertainty hypothesis and the signaling hypothesis. Among these hypotheses, the winner's curse hypothesis has not been tested in the Chinese market. Using IPO data for online fixed-price offerings from November 1995 to December 1998, our results show that the winner's curse …

Analysis Of Private Transfers With Panel Fixed Effect Censored Model Estimator, Sung Jin Kang, Myoung-Jae Lee

Research Collection School Of Economics

Understanding private transfer is important for safety-net policies because private transfer provides economic benefits similar to those of public programs such as unemployment insurance and pension. Applying Honoré’s [Econometrica 60 (1992) 533] panel fixed-effect censored model estimator to Korean data, we show that private transfer is altruistically motivated and there is a strong crowding-out effect of public transfer on private transfer. We also find that low-income people suffered to different degrees during the financial crisis period of 1997 to 1998. This finding and the crowding-out effect may be taken as failures of the Korean public transfer programs during the period.

Adrenocortical Adenoma And Carcinoma: Histopathological And Molecular Comparative Analysis, A. Stojadinovic, M. F. Brennan, A. Hoos, A. Omeroglu, Denis H. Y. Leung, M. Dudas, A. Nissan, C. Cordon-Cardo, R.A. Ghossein

Research Collection School Of Economics

We compared histomorphological features and molecular expression profiles of adrenocortical adenomas (ACAd) and carcinomas (ACCa). A critical histopathological review (mean, 11 slides per patient) was conducted of 37 ACAd and 67 ACCa. Paraffin-embedded tissue cores of ACAd (n = 33) and ACCa (n = 38) were arrayed in triplicate on tissue microarrays. Expression profiles of p53, mdm-2, p21, Bcl-2, cyclin D1, p27, and Ki-67 were investigated by immunohistochemistry and correlated with histopathology and patient outcome using standard statistical methodology. Median follow-up period was 5 years. Tumor necrosis, atypical mitoses, and >1 mitosis per 50 high-power fields were factors that were …

Open Versus Sealed-Bid Auctions: Testing For Revenue Equivalence Under Singapore's Vehicle Quota System, Winston T. H. Koh, Roberto S. Mariano, Yiu Kuen Tse

Research Collection School Of Economics

Using data from the auction of vehicle quota licenses in Singapore, we study if revenue equivalence holds when the auction format was switched from a sealed-bid format (May 1990 to June 2001) to an open bidding format since July 2001. Our econometric analysis indicates the change in auction format led to a change in bidding behavior. On average, the quota license premium under the open bidding format is about US$1,000 (about 7.5% of the Category E license price in June 2001) lower, compared to the forecast level that would have prevailed if there had been no change in the auction …

Transformation Approaches For The Construction Of Weibull Prediction Interval, Zhenlin Yang, Stanley P. See, Min Xie

Research Collection School Of Economics

Two methods of transforming the Weibull data to near normality, namely the Box-Cox method and Kullback-Leibler (KL) information method, are discussed and contrasted. A simple prediction interval (PI) based on the better KL information method is proposed. The asymptotic property of this interval is established. Its small sample behavior is investigated using Monte Carlo simulation. Simulation results show that this simple interval is close to the existing complicated PI where the percentage points of the reference distribution have to be either simulated or approximated.

A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa

Research Collection School Of Economics

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. [PUBLICATION ABSTRACT]

On The Asymptotic Effect Of Substituting Estimators For Nuisance Parameters In Inferential Statistics, Zhenlin Yang, Yiu Kuen Tse, Zhidong Bai

Research Collection School Of Economics

This paper studies the general problem of making inferences for a set of parameters ? in the presence of another set of (nuisance) parameters λ, based on the statistic T(y; ˆλ, θ), where y = {y1, y2, · · · , yn} represents the data, ˆλ is an estimator of λ and the limiting distribution of T(y; λ, θ) is known. We provide general methods for finding the limiting distributions of T(y; ˆλ, θ) when ˆλ is either a constrained estimator (given θ) or an unconstrained estimator. The methods will facilitate hypothesis testing as well as confidence-interval construction. We also …

The Shapley-Shubik Index, The Donation Paradox And Ternary Games, Vincent C. H. Chua, H. C. Huang

Research Collection School Of Economics

In this paper, we show that although the Shapley-Shubik index is immune to the donation paradox in weighted binary games, extension of the index to ternary games along the direction suggested in Felsenthal and Machover (1996, 1997) will cause it to be vulnerable to the paradox and this is the case as long as the number of players in the game exceeds three. This undermines the attractiveness of the Shapley-Shubik index as a measure of a priori voting power.

Determinants Of Voluntary Job-To-Job Mobility, Xiaolin Xing, Zhenlin Yang

Research Collection School Of Economics

This paper explores both observable and unobservable variables that would affect employed workers’ decisions on job change. A survey was conducted through one-to-one interviews, and the sample consists of 965 full-time employed workers. The logistic regression models are employed to analyze the two binary measures of job-to-job mobility: i) whether an individual is considering a job change, and ii) whether an individual is actively looking for another job. We find that age, job satisfaction, satisfaction with working environment or job security, and firm size are among the major factors determining workers’ job-to-job mobility. Younger workers and workers in smaller firms …

Factors Influencing Treatment Patterns In Breast Cancer Patients Age 75 And Over, Arti Hurria, Denis H. Y. Leung, Kathleen Trainor, Patrick Borgen, Larry Norton, Clifford Hudis

Research Collection School Of Economics

To retrospectively determine the factors influencing treatment decisions in older breast cancer patients at a single center. Experimental Design: 216 patients age > or = 75 seen in post-treatment follow-up between January, 1997 and June, 2000 were identified in the Memorial Sloan-Kettering breast cancer database. Eligible patients were > or = 75 years old at diagnosis, had a diagnosis of stage I, II, or III breast cancer, and received their follow-up care at Memorial Sloan Kettering Cancer Center. A retrospective chart review was performed. Patients were stratified by: (1) prognostic factors (age (75-79 or > or = 80), Charlson comorbidity score, tumor size, …

Early Stopping By Using Stochastic Curtailment In A Three-Arm Sequential Trial, Denis H. Y. Leung, You-Gan Wang, David Amar

Research Collection School Of Economics

Interim analysis is important in a large clinical trial for ethical and cost considerations. Sometimes, an interim analysis needs to be performed at an earlier than planned time point. In that case, methods using stochastic curtailment are useful in examining the data for early stopping while controlling the inflation of type I and type II errors. We consider a three-arm randomized study of treatments to reduce perioperative blood loss following major surgery. Owing to slow accrual, an unplanned interim analysis was required by the study team to determine whether the study should be continued. We distinguish two different cases: when …

A Score Test For Box-Cox Functional Form, Zhenlin Yang, Tilak Abeysinghe

Research Collection School Of Economics

This paper presents two score tests to determine a value for the Box-Cox transformation parameter. The test based on expected information performs better in small samples and is computationally simpler than the one based on observed information; therefore, the former is recommended.

Commune-Level Poverty Estimates And Ground Truthing, Tomoki Fujii

Research Collection School Of Economics

The United Nations World Food Programme (WFP) Cambodia, in close collaboration with various government institutions, has been conducting poverty analysis and mapping refinement. The main objectives of the refinement have been (i) to refine core poor areas in Cambodia, (ii) to identify priority areas for social sector interventions such as those targeted to adult and child education, health and nutrition interventions, and (iii) to identify priority areas for assisting variable population groups such as those in flood and drought prone areas, forest and fishing concession areas.

Markov Switching Garch Models Of Currency Crises In Southeast Asia, Celso Brunetti, Roberto S. Mariano, Chiara Scotti, Augustine H. H. Tan

Research Collection School Of Economics

This paper develops a model which is able to forecast exchange rate turmoil. Our starting point relies on the empirical evidence that exchange rate volatility is not constant. In fact, the modeling strategy adopted refers to the vast literature of the GARCH class of models, where the variance process is explicitly modeled. Further empirical evidence shows that it is possible to distinguish between two different regimes: îordinaryî versus îturbulenceî. Low exchange rate changes are associated with low volatility (ordinary regime) and high exchange rate devaluations go together with high volatility. This calls for a regime switching approach. In our model …

Antifibrinolytic Therapy And Perioperative Blood Loss In Cancer Patients Undergoing Major Orthopedic Surgery, David Amar, Florence M. Grant, Hao Zhang, Patrick J. Boland, Denis H. Y. Leung, John A. Healey

Research Collection School Of Economics

Background: Aprotinin has been reported to reduce blood loss and transfusion requirements in patients having major orthopedic operations. Data on whether epsilon amino-caproic acid (EACA) is effective in this population are sparse.

Methods: Sixty-nine adults with malignancy scheduled for either pelvic, extremity or spine surgery during general anesthesia entered this randomized, double-blind, placebo-controlled trial, and received either intravenous aprotinin (n = 23), bolus of 2 x 10(6) kallikrein inactivator units (KIU), followed by an infusion of 5 x 10(5) KIU/h, or EACA (n = 22), bolus of 150 mg/kg, followed by a 15 mg/kg/h infusion or saline placebo (n = …

Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates the effects of the migration of the Hang Seng Index futures from open-outcry trading to electronic trading. Using trade data over a window of six months we find evidence that, after the migration, the bid-ask spread of the futures contract decreases and the contribution of the futures price in information transmission increases. Furthermore, the asymmetry in volatility spillover reduces and the open interests of the futures market become smaller. These results suggest that the anonymity in trading and the higher speed of order execution in the electronic trading system attract informed traders to the futures market and …

Competitiveness And Price Convergence On The Internet: Evidence From The Online Dvd Market, Xiaolin Xing, Fang Fang Tang, Zhenlin Yang

Research Collection School Of Economics

We compare the pricing behavior between online branches of traditional retailers (MCR) and pure Internet retailers (Dotcom) in the DVD market. Based on a set of panel data from July 5, 2000 to June 11, 2001, we find that the average price of the MCRs is about 11.2% higher than that of the Dotcoms. Further statistical analyses on the market dynamics of price trends show that the prices of the Dotcoms went up with time much faster than the prices of the MCRs, which points to a possibility that eventually both types of retailers may charge similar prices on average. …

Exclusion Bias In Sample-Selection Model Estimators, Myoung-Jae Lee

Research Collection School Of Economics

Exclusion restrictions are routinely used in sample-selection models with selection and outcome equations. A false restriction, however, can cause an exclusion bias for the outcome equation estimator. In this paper, the specific form of the exclusion bias is derived for various sample-selection model estimators. Furthermore, it is shown that the outcome equation parameters for regressors with zero coefficients in the selection equation are immune to exclusion bias if only one regressor is excluded. Exclusion bias, or a lack thereof, is verified through a simulation study with the regressors taken from Mroz (1987). JEL Classification Numbers: C24, C34. [ABSTRACT FROM AUTHOR]