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Full-Text Articles in Social and Behavioral Sciences
Nonlinear Cointegrating Power Function Regression With Endogeneity, Zhishui Hu, Peter C.B. Phillips, Qiying Wang
Nonlinear Cointegrating Power Function Regression With Endogeneity, Zhishui Hu, Peter C.B. Phillips, Qiying Wang
Cowles Foundation Discussion Papers
This paper develops an asymptotic theory for nonlinear cointegrating power function regression. The framework extends earlier work on the deterministic trend case and allows for both endogeneity and heteroskedasticity, which makes the models and inferential methods relevant to many empirical economic and financial applications, including predictive regression. Accompanying the asymptotic theory of nonlinear regression, the paper establishes some new results on weak convergence to stochastic integrals that go beyond the usual semi-martingale structure and considerably extend existing limit theory, complementing other recent findings on stochastic integral asymptotics. The paper also provides a general framework for extremum estimation limit theory that …
Accounting For Locational, Temporal, And Physical Similarity Of Residential Sales In Mass Appraisal Modeling: The Development And Application Of Geographically, Temporally, And Characteristically Weighted Regression, Paul E. Bidanset, Michael Mccord, John R. Lombard, Peadar Davis, William J. Mccluskey
Accounting For Locational, Temporal, And Physical Similarity Of Residential Sales In Mass Appraisal Modeling: The Development And Application Of Geographically, Temporally, And Characteristically Weighted Regression, Paul E. Bidanset, Michael Mccord, John R. Lombard, Peadar Davis, William J. Mccluskey
School of Public Service Faculty Publications
Geographically weighted regression (GWR) has been recognized in the assessment community as a viable automated valuation model (AVM) to help overcome, at least in part, modeling hurdles associated with location, such as spatial heterogeneity and spatial autocorrelation of error terms. Although previous researchers have adjusted the GWR weights matrix to also weight by time of sale or by structural similarity of properties in AVMs, the research described in this paper is the first that has done so by all three dimensions (i.e., location, structural similarity, and time of sale) simultaneously. Using 24 years of single-family residential sales in Fairfax, Virginia, …
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Lm Tests Of Spatial Dependence Based On Bootstrap Critical Values, Zhenlin Yang
Research Collection School Of Economics
To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical values of the LM statistics. Conditions for their validity are clearly laid out and formal justifications are given in general, and in details under several popular spatial LM …
A Corrected Plug-In Method For Quantile Interval Construction Through A Transformed Regression, Zhenlin Yang, Yiu Kuen Tse
A Corrected Plug-In Method For Quantile Interval Construction Through A Transformed Regression, Zhenlin Yang, Yiu Kuen Tse
Research Collection School Of Economics
We propose a corrected plug-in method for constructing confidence intervals of the conditional quantiles of an original response variable through a transformed regression with heteroscedastic errors. The interval is easy to compute. Factors affecting the magnitude of the correction are examined analytically through the special case of Box-Cox regression. Monte Carlo simulations show that the new method works well in general and is superior over the commonly used delta method and the quantile regression method. An empirical application is presented. [PUBLICATION ABSTRACT]
Tests Of Functional Form And Heteroscedasticity, Zhenlin Yang, Yiu Kuen Tse
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 …
A Corrected Plug-In Method For The Quantile Confidence Interval Of A Transformed Regression, Zhenlin Yang, Yiu Kuen Tse
A Corrected Plug-In Method For The Quantile Confidence Interval Of A Transformed Regression, Zhenlin Yang, Yiu Kuen Tse
Research Collection School Of Economics
In this paper we propose an analytically corrected plug-in method for constructing confidence intervals of the conditional quantiles of a response variable with data transformation. The method can be applied to (i) a general conditional regression quantile, (ii) a general monotonic transformation, and (iii) a transformation model with heteroscedastic errors. Our results extend those in Yang (2002a), in which the median of a response variable under the Box-Cox transformation with homoscedastic errors was considered. A Monte Carlo experiment is conducted to compare the performance of the corrected plug-in method, the plug-in method and the delta method. The corrected plug-in method …
On The Proper Use Of Box-Cox Transformation Method: A Note On A Taguchi Case Study, Zhenlin Yang
On The Proper Use Of Box-Cox Transformation Method: A Note On A Taguchi Case Study, Zhenlin Yang
Research Collection School Of Economics
In studying the role of transformation in the Taguchi method, Logothetis (1990) analyzed the data from a plasma etching process and concluded that the Box-Cox method can induce a mean bias in the variability performance measure which can inhibit the production of clearcut results. This paper points out that the above conclusion is in part due to an inappmpriate application of the Box-Cox method where the transformation parameter is determined from one model but the analysis is done on the other. Further, it may not be appropriate to state that Box-Cox method induces a mean bias, but rather that there …
Share-Price-Changes-Volume Relation On The Singapore Equity Market, David K. C. Lee, Mohamed Ariff
Share-Price-Changes-Volume Relation On The Singapore Equity Market, David K. C. Lee, Mohamed Ariff
Research Collection Lee Kong Chian School Of Business
A critical review of the literature on security-price-changes-volume research suggests that the published studies in the United States and one each in Hong Kong and Japan have largely ignored the impacts on the results from autocorrelation, non-normality of distributions, heteroscedasticity and non-linear functional forms. Therefore, the reported findings are not robust. In testing for this relation from a small sample of continuously traded shares in the Singapore share market, we find that consistent results may not be obtained because of violations of basic test conditions. A task that remains is an application of alternative test models with data transformation using …