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Articles 721 - 750 of 771
Full-Text Articles in Econometrics
Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Yu Gao, Yiu Kuen Tse
Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Yu Gao, Yiu Kuen Tse
Research Collection School Of Economics
This paper investigates the trading activities of two distinct classes of shareholders, namely, the Chinese domestic investors and the foreign investors in the segmented Chinese A-share and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: IAS and PRC GAAP. The earnings announcements based on IAS and PRC GAAP are value relevant. The investors in the B-share market react to both the IAS and PRC GAAP earnings announcements, while the investors in the A-share market pay more attention to the PRC GAAP earnings reports. In the B-share market, positive abnormal …
The General Dominance Of Lottery Over Waiting-Line Auction, Winston T. H. Koh, Zhenlin Yang, Lijing Zhu
The General Dominance Of Lottery Over Waiting-Line Auction, Winston T. H. Koh, Zhenlin Yang, Lijing Zhu
Research Collection School Of Economics
This paper examines the allocative efficiency of two popular non-price allocation mechanisms — the lottery (random allocation) and the waiting-line auction (queue system) — for the cases where consumers possess identical time costs (the homogeneous case), and where time costs are correlated with time valuations (the heterogeneous case). We show that the relative efficiency of the two mechanisms depends critically on the scarcity factor (measured by the ratio of the number of objects available for allocation over the number of participants) and on the shape of the distribution of valuations. We obtain a set of analytical results showing that the …
A Misspecification-Robust Impulse Response Estimator, Pao Li Chang, Shinichi Sakata
A Misspecification-Robust Impulse Response Estimator, Pao Li Chang, Shinichi Sakata
Research Collection School Of Economics
Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. The possible shape and persistence of the impulse response function implied by a parsimonious autoregression specification are very limited. This paper proposes an alternative approach to estimating impulse response function, which is asymptotically valid yet is less sensitive to model misspecifications in small samples. The small sample advantages of the proposed impulse response estimator over the conventional approach is demonstrated by Monte Carlo studies. The large sample validity of the proposed estimator is …
A Modified Family Of Power Transformations, Zhenlin Yang
A Modified Family Of Power Transformations, Zhenlin Yang
Research Collection School Of Economics
A modified family of power transformation, called the Dual Power Transformation, is proposed, which overcomes the truncation problem of the Box-Cox power transformation. The new transformation possesses properties similar to those of the Box-Cox power transformation. It generates a rich family of distributions that is seen to be very useful in modeling and analysis of economic durations and medical/engineering event-times. Further, it gives rise to transformed (regression) models such that all the standard asymptotic results of the maximum likelihood theory apply. Empirical results presented are more favorable to the new transformation than to the Box-Cox power transformation in terms of …
Exchange-Rate Systems And Interest-Rate Behavior: The Experience Of Hong Kong And Singapore, Yiu Kuen Tse, Paul S. L. Yip
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 …
How Should We Interpret Evidence Of Time Varying Conditional Skewness?, Gamini Premaratne, Anthony S. Tay
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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.