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Articles 781 - 810 of 828

Full-Text Articles in Econometrics

Exchange-Rate Systems And Interest-Rate Behavior: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip Jul 2002

Exchange-Rate Systems And Interest-Rate Behavior: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip

Research Collection School Of Economics

In this paper we consider the implications of the two different exchange-rate systems in Hong Kong (HK) and Singapore (SP) on the economic performance of these two economies. While HK has a pegged exchange-rate regime under a currency board system (CBS), SP has a managed-float system with monitoring band. We examine whether the managed-float system of SP provides an advantage over the rigid CBS of HK in mitigating the recession caused by the Asian Financial Crisis (AFC), and the implications of the differences in the exchange-rate systems on interest-rate behaviour. Our empirical results show that the monitoring band system in …


Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang Jun 2002

Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang

Research Collection School of Economics

In this paper we adopt a nonparametric genetic programming approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the “normal” period in sample size, the lead-lag relationship identified in the spot-futures system based on conventional methods such as test for Granger causality pertains to the normal period and may not be applicable in the “extreme” period. Using genetic programming we identify the lead-lag relationship based on the chronological ordering of the structural changes in the spot and futures markets. Our results show that in recent periods, major market changes originated …


How Should We Interpret Evidence Of Time Varying Conditional Skewness?, Gamini Premaratne, Anthony S. Tay Jun 2002

How Should We Interpret Evidence Of Time Varying Conditional Skewness?, Gamini Premaratne, Anthony S. Tay

Research Collection School Of Economics

Several recent articles report evidence of predictability in the skewness of equity returns, raising hopes that predictability in third moments will be useful for forecasting the probability of tail events. The evidence is unfortunately difficult to interpret, partly because they were obtained mainly from parametric models of time-varying conditional skewness, and because little is known about the behavior of such models, for instance, when there are outliers. We investigate a non-parametric approach to testing for predictability in skewness. Specifically, we explore the size and power of a Runs tests, and compare this approach with other tests. A re-examination of daily …


A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa Apr 2002

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 indicator such as real GPD. 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.


Isotonic Designs For Phase I Trials, Denis H. Y. Leung, You-Gan Wang Feb 2002

Isotonic Designs For Phase I Trials, Denis H. Y. Leung, You-Gan Wang

Research Collection School Of Economics

The purpose of a phase I trial in cancer is to determine the level (dose) of the treatment under study that has an acceptable level of adverse effects. Although substantial progress has recently been made in this area using parametric approaches, the method that is widely used is based on treating small cohorts of patients at escalating doses until the frequency of toxicities seen at a dose exceeds a predefined tolerable toxicity rate. This method is popular because of its simplicity and freedom from parametric assumptions. In this paper, we consider cases in which it is undesirable to assume a …


A Gaussian Approach For Continuous Time Models Of Short Term Interest Rates, Jun Yu, Peter C. B. Phillips Jan 2002

A Gaussian Approach For Continuous Time Models Of Short Term Interest Rates, Jun Yu, Peter C. B. Phillips

Research Collection School Of Economics

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite-sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to US and British interest rates is given.


Forecasting Volatility In The New Zealand Stock Market, Jun Yu Jan 2002

Forecasting Volatility In The New Zealand Stock Market, Jun Yu

Research Collection School Of Economics

This study evaluates the performance of nine alternative models for predicting stock price volatility using daily New Zealand data. The competing models contain both simple models such as the random walk and smoothing models and complex models such as ARCH-type models and a stochastic volatility model. Four different measures are used to evaluate the forecasting accuracy. The main results are the following: (1) the stochastic volatility model provides the best performance among all the candidates; (2) ARCH-type models can perform well or badly depending on the form chosen: the performance of the GARCH(3,2) model, the best model within the ARCH …


Clinical Significance Of Molecular Expression Profiles Of Hürthle Cell Tumors Of The Thyroid Gland Analyzed Via Tissue Microarrays, A. Hoos, A. Stojadinovic, B. Singh, M. Dudas, Denis H. Y. Leung, A. Shaha Jan 2002

Clinical Significance Of Molecular Expression Profiles Of Hürthle Cell Tumors Of The Thyroid Gland Analyzed Via Tissue Microarrays, A. Hoos, A. Stojadinovic, B. Singh, M. Dudas, Denis H. Y. Leung, A. Shaha

Research Collection School Of Economics

Hürthle cell tumors are rare thyroid neoplasms for which disease biology is poorly understood and diagnosis of carcinoma can be challenging. The aim of the study was to characterize molecular expression profiles of Hürthle cell tumors and to determine the clinical significance of identified phenotypes. Paraffin-embedded tissue cores of normal thyroid (n = 18), and histopathologically well-defined Hürthle cell adenomas (n = 27), Hürthle cell tumors of unknown malignant behavior (n = 7), and minimally (n = 14) and widely (n = 21) invasive Hürthle cell carcinomas were arrayed in triplicate on tissue microarrays. Expression profiles of p53, mdm-2, p21, …


Monitoring Process Variability With Symmetric Control Limits, Zhenlin Yang Jan 2002

Monitoring Process Variability With Symmetric Control Limits, Zhenlin Yang

Research Collection School Of Economics

Control charts for monitoring process variability, such as the R-chart and S-chart, do not have symmetric probability limits as the distribution of the sample variability is not normal. Hence, the usual zone rules can not be applied although it is still desirable to be able to use the information from more than one point in decision making. In this paper, a modified S-chart based on an optimal normalizing transformation of the sample variance is first introduced. The new chart is shown to have approximate symmetric probability limits and hence can be interpreted in the same way as that of a …


Empirical Characteristic Function In Time Series Estimation, J. Knight, Jun Yu Jan 2002

Empirical Characteristic Function In Time Series Estimation, J. Knight, Jun Yu

Research Collection School Of Economics

Policymakers seeking to design efficient and smoothly functioning pension systems for their aging workforces are beginning to acknowledge the key importance of administrative expenses when formulating rules for pension plan structure and fee disclosure requirements. This study explores the links between retirement plan offerings and pension expenses for a wide range of private and public sector pension plan types, using an invaluable new data set on two thousand Australian pension funds. Our analysis indicates how pension plan design can strongly influence plan expenses and consequently eventual retirement security.


A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, Yiu Kuen Tse, Albert K.C. Tsui Jan 2002

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, Yiu Kuen Tse, Albert K.C. Tsui

Research Collection School Of Economics

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. Whereas each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analog. Our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and Baba-Engle-Kraft-Kroner models We report some Monte Carlo results on the finite-sample distributions of the maximum likelihood estimate of …


Neyman's Smooth Test And Its Applications In Econometrics, Anil K. Bera, Aurobindo Ghosh Jan 2002

Neyman's Smooth Test And Its Applications In Econometrics, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

No abstract provided.


A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang Jan 2002

A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang

Research Collection School Of Economics

The null distribution of the overlapping variance-ratio (OVR) test of the random-walk hypothesis is known to be downward biased and skewed to the right in small samples. As shown by Lo and MacKinlay (1989), the test under-rejects the null on the left tail seriously when the sample size is small. This unfortunate property adversely affects the applicability of the OVR test to macroeconomic time series, which usually have rather small samples. In this paper we propose a modified overlapping variance-ratio statistic and derive its exact mean under the normality assumption. We propose to approximate the small-sample distribution of the modified …


Prognostic Impact Of P53 Status, Tls-Chop Fusion Transcript Structure, And Histological Grade In Myxoid Liposarcoma: A Molecular And Clinicopathologic Study Of 82 Cases, C. R. Antonescu, S. J. Tschernyavsky, R. Decuseara, Denis H. Y. Leung, J. M. Woodruff, M. F. Brennan, J. A. Bridge, J. R. Neff, J. R. Goldblum, M. Ladanyi Dec 2001

Prognostic Impact Of P53 Status, Tls-Chop Fusion Transcript Structure, And Histological Grade In Myxoid Liposarcoma: A Molecular And Clinicopathologic Study Of 82 Cases, C. R. Antonescu, S. J. Tschernyavsky, R. Decuseara, Denis H. Y. Leung, J. M. Woodruff, M. F. Brennan, J. A. Bridge, J. R. Neff, J. R. Goldblum, M. Ladanyi

Research Collection School Of Economics

Purpose: A specific TLS-CHOP fusion gene resulting from the t(12;16) is present in at least 95% of myxoid liposarcomas (MLS). Three common forms of the TLS-CHOP fusion have been described, differing by the presence or absence of TLS exons 6-8 in the fusion product. Type 5-2 (also known as type II) consists of TLS exons 1-5 fused to CHOP exon 2; type 7-2 (also known as type I) also includes TLS exons 6 and 7 in the fusion, whereas type 8-2 (also known as type III) fuses TLS exons 1-8 to CHOP exon 2. We sought to determine the impact …


Gaussian Estimation Of Continuous Time Models Of The Short Term Interest Rate, Jun Yu, Peter C. B. Phillips Jul 2001

Gaussian Estimation Of Continuous Time Models Of The Short Term Interest Rate, Jun Yu, Peter C. B. Phillips

Research Collection School Of Economics

This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given.


Neyman's Smooth Test And Its Use In Econometrics, Anil K. Bera, Aurobindo Ghosh Jun 2001

Neyman's Smooth Test And Its Use In Econometrics, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

The following essay is a reappraisal of the role of the smooth test proposed by Neyman (1937) in the context of current applications in econometrics. We revisit the derivation of the smooth test and put it into the perspective of the existing literature on tests based on probability integral transforms suggested by early pioneers such as R.A.Fisher (1930, 1932) and Karl Pearson (1933, 1934) and the other tests for goodness-of-fit. Our discussion touches data-driven and other methods of testing and inference on the order of the smooth test and the motivation and choice of orthogonal polynomials used by Neyman and …


Validation Of Tissue Microarrays For Immunohistochemical Profiling Of Cancer Specimens Using The Example Of Human Fibroblastic Tumors, Axel Hoos, M. J. Urist, A. Stojadinovic, S. Mastorides, M. Dudas, Denis H. Y. Leung Apr 2001

Validation Of Tissue Microarrays For Immunohistochemical Profiling Of Cancer Specimens Using The Example Of Human Fibroblastic Tumors, Axel Hoos, M. J. Urist, A. Stojadinovic, S. Mastorides, M. Dudas, Denis H. Y. Leung

Research Collection School Of Economics

Tissue microarrays allow high-throughput molecular profiling of cancer specimens by immunohistochemistry. Phenotype information of sections from arrayed biopsies on a multitissue block needs to be representative of full sections, as protein expression varies throughout the entire tumor specimen. To validate the use of tissue microarrays for immunophenotyping, we studied a group of 59 fibroblastic tumors with variable protein expression patterns by immunohistochemistry for Ki-67, p53, and the retinoblastoma protein (pRB). Data on full tissue sections were compared to the results of one, two, and three 0.6-mm core biopsies per tumor on a tissue array. Ki-67 and p53 staining was read …


Mapping The Discipline Of The Olympic Games: An Author Cocitation Analysis, Peter Warning, Rosie Ching, Kristine Toohey Apr 2001

Mapping The Discipline Of The Olympic Games: An Author Cocitation Analysis, Peter Warning, Rosie Ching, Kristine Toohey

Research Collection School Of Economics

The authors conducted an author cocitation analysis on prominent authors writing about the Olympics during the 1990s. Author cocitation is an established bibliometric technique that can be used to measure the relative similarities of topics written about by the cited authors. This enables a visual representation of the “intellectual space” of the discipline, in this case the Olympics, to be created for the period under review. So core and peripheral research areas are identified, along with their major contributors. The representation appears as a two-dimensional cluster-enhanced map. Subject expertise was then applied to the results to place labels on the …


Optimal Designs For Evaluating A Series Of Treatments, Denis H. Y. Leung, You Gan Wang Mar 2001

Optimal Designs For Evaluating A Series Of Treatments, Denis H. Y. Leung, You Gan Wang

Research Collection School Of Economics

Several articles in this journal have studied optimal designs for testing a series of treatments to identify promising ones for further study. These designs formulate testing as an ongoing process until a promising treatment is identified. This formulation is considered to be more realistic but substantially increases the computational complexity. In this article, we show that these new designs, which control the error rates for a series of treatments, can be reformulated as conventional designs that control the error rates for each individual treatment. This reformulation leads to a more meaningful interpretation of the error rates and hence easier specification …


A Bayesian Decision Approach For Sample Size Determination In Phase Ii Trials, Denis H. Y. Leung, You-Gan Wang Jan 2001

A Bayesian Decision Approach For Sample Size Determination In Phase Ii Trials, Denis H. Y. Leung, You-Gan Wang

Research Collection School Of Economics

Stallard (1998, Biometrics54, 279–294) recently used Bayesian decision theory for sample-size determination in phase II trials. His design maximizes the expected financial gains in the development of a new treatment. However, it results in a very high probability (0.65) of recommending an ineffective treatment for phase III testing. On the other hand, the expected gain using his design is more than 10 times that of a design that tightly controls the false positive error (Thall and Simon, 1994, Biometrics50, 337–349). Stallard's design maximizes the expected gain per phase II trial, but it does not maximize the rate of gain or …


Statistical Methods For Clinical Studies In The Presence Of Surrogate End Points, Denis H. Y. Leung Jan 2001

Statistical Methods For Clinical Studies In The Presence Of Surrogate End Points, Denis H. Y. Leung

Research Collection School Of Economics

The use of surrogate end points has become increasingly common in medical and biological research. This is primarily because, in many studies, the primary end point of interest is too expensive or too difficult to obtain. There is now a large volume of statistical methods for analysing studies with surrogate end point data. However, to our knowledge, there has not been a comprehensive review of these methods to date. This paper reviews some existing methods and summarizes the strengths and weaknesses of each method. It also discusses the assumptions that are made by each method and critiques how likely these …


How Accurate Are Confidence Intervals For Impulse Responses In Large Var Models?, Lutz Kilian, Pao-Li Chang Dec 2000

How Accurate Are Confidence Intervals For Impulse Responses In Large Var Models?, Lutz Kilian, Pao-Li Chang

Research Collection School Of Economics

We study the finite-sample accuracy and average length of pointwise confidence intervals for impulse responses in vector autoregressive models with many variables and many lags. Our results complement existing simulation evidence based on much simpler bivariate models.


Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu Dec 2000

Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu

Research Collection School Of Economics

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Bayesian inference using Gibbs sampling), a recently developed, user-friendly, and freely available software package. It is an ideal software tool for the exploratory phase of model building as any modifications of a model including changes of priors and sampling error distributions are readily realized with only minor changes of the code. However, due to the single move …


A Monte Carlo Investigation Of Some Tests For Stochastic Dominance, Yiu Kuen Tse, Xibin Zhang Dec 2000

A Monte Carlo Investigation Of Some Tests For Stochastic Dominance, Yiu Kuen Tse, Xibin Zhang

Research Collection School Of Economics

This paper compares the performance of several tests for stochastic dominance up to order three using Monte Carlo methods. The tests considered are the Davidson and Duclos (2000) test, the Anderson test (1996) and the Kaur, Rao and Singh (1994) test. We find that the Davidson-Duclos test appears to be the best. The Kaur-Rao-Singh test is overly conservative and does not compare favorably against the Davidson-Duclos and Anderson tests in terms of power.


Prognostic Impact Of P53 Status In Ewing Sarcoma, E. De Alava, C. Antonescu, A. Panizo, Denis H. Y. Leung, P. Meyers, A. Huvos, F. J. Pardo-Mindan, J. Healey, M. Ladanyi Aug 2000

Prognostic Impact Of P53 Status In Ewing Sarcoma, E. De Alava, C. Antonescu, A. Panizo, Denis H. Y. Leung, P. Meyers, A. Huvos, F. J. Pardo-Mindan, J. Healey, M. Ladanyi

Research Collection School Of Economics

Disease stage at the time of diagnosis and response to therapy are the main prognostic factors for patients with Ewing sarcoma or peripheral neuroectodermal tumor (ES/PNET). The primary genetic alteration in ES/PNET, the fusion of the EWS gene with FLI1 or ERG, is diagnostically highly specific for these tumors, and molecular variation in the structure of the EWS-FLI1 fusion gene also is of prognostic significance. In contrast, secondary genetic alterations, such as P53 alterations, are relatively uncommon in ES/PNET, and their prognostic impact has not been extensively studied. METHODS: Prechemotherapy, paraffin embedded, nondecalcified, primary tumor material in a well-characterized series …


Density Forecasting: A Survey, Anthony S. Tay, Kenneth F. Wallis Jul 2000

Density Forecasting: A Survey, Anthony S. Tay, Kenneth F. Wallis

Research Collection School Of Economics

A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerning the production, presentation, and evaluation of density forecasts are discussed.


A New Statistic For Regression Transformation, Zhenlin Yang Jun 2000

A New Statistic For Regression Transformation, Zhenlin Yang

Research Collection School Of Economics

A new statistic for testing a regression transformation is proposed based on a result of Yang (1999). This statistic is shown to be stable, having a null distribution almost independent of model type and parameter values, accurate and easy to implement. The statistic is of the Wald-type and thus is compared with the Wald statistic given by Lawrence (1987) in terms of size, null distribution and power using simulation. The simulation results show that the new statistic generally outperforms that of Lawrence.


On The Proper Use Of Box-Cox Transformation Method: A Note On A Taguchi Case Study, Zhenlin Yang Jan 2000

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 …


Two Hundred Gastrointestinal Stromal Tumors: Recurrence Patterns And Prognostic Factors For Survival, Ronald P. Dematteo, Jonathan J. Lewis, Denis H. Y. Leung, Salvinder S. Mudan, James M. Woodruff, Murray F. Brennan Jan 2000

Two Hundred Gastrointestinal Stromal Tumors: Recurrence Patterns And Prognostic Factors For Survival, Ronald P. Dematteo, Jonathan J. Lewis, Denis H. Y. Leung, Salvinder S. Mudan, James M. Woodruff, Murray F. Brennan

Research Collection School Of Economics

Objective: To analyze the outcome of 200 patients with gastrointestinal stromal tumor (GIST) who were treated at a single institution and followed up prospectively. Summary Background Data: A GIST is a visceral sarcoma that arises from the gastrointestinal tract. Surgical resection is the mainstay of treatment because adjuvant therapy is unproven. Methods: Two hundred patients with malignant GIST were admitted and treated at Memorial Hospital during the past 16 years. Patient, tumor, and treatment variables were analyzed to identify patterns of tumor recurrence and factors that predict survival. Results: Of the 200 patients, 46% had primary disease without metastasis, 47% …


The Long Term Effects Of Angiotensin Converting Enzyme Inhibition And Metabolic Control On Cardiovascular And Renal Outcomes In Hypertensive Type 2 Diabetic Patients, Julien C. N. Chan, Gary T. C. Ko, Denis H. Y. Leung Jan 2000

The Long Term Effects Of Angiotensin Converting Enzyme Inhibition And Metabolic Control On Cardiovascular And Renal Outcomes In Hypertensive Type 2 Diabetic Patients, Julien C. N. Chan, Gary T. C. Ko, Denis H. Y. Leung

Research Collection School Of Economics

Long-term effects of angiotensin-converting enzyme inhibition and metabolic control in hypertensive type 2 diabetic patients. Background. In hypertensive type 2 diabetic patients, treatment with angiotensin-converting enzyme (ACE) inhibitors is associated with a lower incidence of cardiovascular events than those treated with calcium channel-blocking agents. However, the long-term renal effects of ACE inhibitors in these patients remain inconclusive. In 1989, we commenced a placebo-controlled, double-blind, randomized study to examine the anti-albuminuric effects of enalapril versus nifedipine (slow release) in 102 hypertensive, type 2 diabetic patients. These patients have been followed up for a mean trial duration of 5.5 ± 2.2 years. …