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Articles 751 - 771 of 771
Full-Text Articles in Econometrics
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 …
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
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
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. …
Dynamic Regressions With Variables Observed At Different Frequencies, Tilak Abeysinghe, Anthony S. Tay
Dynamic Regressions With Variables Observed At Different Frequencies, Tilak Abeysinghe, Anthony S. Tay
Research Collection School Of Economics
We consider the problem of formulating and estimating dynamic regression models with variables observed at different frequencies. The strategy adopted is to define the dynamics of the model in terms of the highest available frequency, and to apply certain lag polynomials to transform the dynamics so that the model is expressed solely in terms of observed variables. A general solution is provided for models with monthly and quarterly observations. We also show how the methods can be extended to models with quarterly and annual observations, and models combining monthly and annual observations.
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay
Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange, Francis X. Diebold, Jinyong Hahn, Anthony S. Tay
Research Collection School Of Economics
We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast calibration can be used to improve deficient density forecasts, and we show how the calibration method can be used to generate good density forecasts from econometric models, even when the conditional density is unknown. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. © …
Estimating A Transformation And Its Effect On Box-Cox T-Ratio, Zhenlin Yang
Estimating A Transformation And Its Effect On Box-Cox T-Ratio, Zhenlin Yang
Research Collection School Of Economics
This article concerns i) the stochastic behavior of the Box-Cox transformation estimator and ii) the effect of estimating a transformation on the Box-CoxT-ratio used for the post-transformation analysis. It is shown that the transformation estimator depends on three factors: the model structure, the mean-spread and the error standard deviation σ0. In general, a structured model is able to estimate the transformation very well; an unstructured model can do well also unless the mean-spread and σ0 are both small; and a one-mean mode can give a poor-estimate if σ0 is small. When the sample is not large, it is shown that …
Evaluating Density Forecasts Of Inflation: The Survey Of Professional Forecasters, Francis X. Diebold, Anthony S. Tay, Kenneth F. Wallis
Evaluating Density Forecasts Of Inflation: The Survey Of Professional Forecasters, Francis X. Diebold, Anthony S. Tay, Kenneth F. Wallis
Research Collection School Of Economics
Since 1968, the Survey of Professional Forecasters has asked respondents to provide a complete probability distribution of expected future inflation. We evaluate the adequacy of those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis reveals several interesting features of the density forecasts in relation to realized inflation including several deficiencies of the forecasts. The probability of a large negative inflation shock is generally overestimated, and in more recent years the probability of a large shock of either sign is overestimated. Inflation surprises are serially correlated eventually adapt. Expectations of low inflation are associated with reduced …
New Tools For Understanding Spurious Regressions, Peter C. B. Phillips
New Tools For Understanding Spurious Regressions, Peter C. B. Phillips
Research Collection School Of Economics
Some new tools for analyzing spurious regressions are presented. The theory utilizes the general representation of a stochastic process in tenns of an orthononnal system and provides an extension of tile Weierstrass theorem to include the approximation of continuous functions and stochastic processes by Wiener processes. The theory is applied to two classic examples of spurious regressions: regression of stochastic trends on time polynomials, and regressions among independent random walks. It is shown that such regressions reproduce in part and in whole the underlying orthonormal representations.
Evaluating Density Forecasts With Applications To Financial Risk Management, Francis X. Diebold, Todd A. Gunther, Anthony S. Tay
Evaluating Density Forecasts With Applications To Financial Risk Management, Francis X. Diebold, Todd A. Gunther, Anthony S. Tay
Research Collection School Of Economics
We propose methods for evaluating density forecasts. We focus primarily on methods that are applicable regardless of the particular user’s loss function. We illustrate the methods with a detailed simulation example, and then we present an application to density forecasting of daily stock market returns. We discuss extensions for improving suboptimal density forecasts, multi-step-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.
Persistent Alterations Of The Autonomic Nervous System After Noncardiac Surgery, David Amar, Martin Fleisher, Carol B Pantuck, Harry Shamoon, Hao Zhang, Nancy Roistacher, Denis H. Y. Leung, Ilana Ginsburg, Richard M. Smiley
Persistent Alterations Of The Autonomic Nervous System After Noncardiac Surgery, David Amar, Martin Fleisher, Carol B Pantuck, Harry Shamoon, Hao Zhang, Nancy Roistacher, Denis H. Y. Leung, Ilana Ginsburg, Richard M. Smiley
Research Collection School Of Economics
IN some patients undergoing noncardiac surgery, important cardiovascular events such as myocardial ischemia or dysrhythmias occur, most commonly on postoperative days 1–5. These early perioperative events have been associated with poor outcome at 18–24 months. Sympathetic neural or hormonal mechanisms have been implicated as causative factors for these complications. In the study of possible effects of surgical stress on these mechanisms, the ability to assess autonomic outflow to target organs such as the heart would be important.
The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rates, Yiu Kuen Tse
The Conditional Heteroscedasticity Of The Yen-Dollar Exchange Rates, Yiu Kuen Tse
Research Collection School Of Economics
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the appreciation and depreciation shocks of the yen against the dollar have similar effects on future volatilities. Although the results reject both the stable and the integrated models, our analysis of the response coefficients of the past shocks and the application of the models to the estimation of the capital requirements for trading the currencies show that there are no substantial …
Temporary Equililibrium Dynamics With Learning: The Stability Of Random Walk Beliefs, Shurojit Chatterji
Temporary Equililibrium Dynamics With Learning: The Stability Of Random Walk Beliefs, Shurojit Chatterji
Research Collection School Of Economics
This paper examines the stability of deterministic steady-states with a one dimensional state-variable and a smooth, recursive updating rule. It is shown that the only possibly stable steady states are those associated with random walk beliefs, provided there is motion on a center manifold, which is the case when a key parameter is non-zero; In the extant literature, there is no motion on the center manifold (the parameter is zero), a consequence of the specific assumption that the expected value of the state variable next period determines its current value. The stability properties are seen to be robust with respect …
Temporary Equilibrium Dynamics With Bayesian Learning, Shurojit Chatterji
Temporary Equilibrium Dynamics With Bayesian Learning, Shurojit Chatterji
Research Collection School Of Economics
This paper examines the stability of deterministic steady states in a class of economies where the state variable is one dimensional and where agents use Bayesian techniques to form expectations. The dynamics with learning are locally convergent if the prior mean is close to a stable perfect-foresight root having modulus less than 1 and if the prior beliefs are held with enough confidence. The dynamics are, however, divergent if the prior mean or the variance of the prior distribution is sufficiently large
Spurious Regression In Forecast-Encompassing Tests, Peter C. B. Phillips
Spurious Regression In Forecast-Encompassing Tests, Peter C. B. Phillips
Research Collection School Of Economics
No abstract provided.
Rearrangement Of The Bcl-6 Gene As A Prognostic Marker In Diffuse Large-Cell Lymphoma, K. Offit, D.C. Louie, N. Z. Parsa, Denis H. Y. Leung, C. Portlock, B.H. Ye, F. Lista, D.A. Filippa, A. Rosenbaum, M. Ladanyi, S. Jhanwar, R. Dalla-Favera, R.S.K. Changanti
Rearrangement Of The Bcl-6 Gene As A Prognostic Marker In Diffuse Large-Cell Lymphoma, K. Offit, D.C. Louie, N. Z. Parsa, Denis H. Y. Leung, C. Portlock, B.H. Ye, F. Lista, D.A. Filippa, A. Rosenbaum, M. Ladanyi, S. Jhanwar, R. Dalla-Favera, R.S.K. Changanti
Research Collection School Of Economics
Current therapy can induce a long-term remission in half the patients with diffuse lymphomas with a large-cell component (DLLC), but more intensive treatment has the potential to improve outcome. Rearrangement of a novel candidate proto-oncogene, bcl-6, correlates with a favorable clinical outcome in DLLC and may thus serve as a prognostic marker.
Prediction, Filtering, And Smoothing In Nonlinear And Nonnormal Cases Using Monte-Carlo Integration, Hisashi Tanizaki, Roberto S. Mariano
Prediction, Filtering, And Smoothing In Nonlinear And Nonnormal Cases Using Monte-Carlo Integration, Hisashi Tanizaki, Roberto S. Mariano
Research Collection School Of Economics
A simulation-based non-linear filter is developed for prediction and smoothing in non-linear and/or nonnormal structural time-series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a small number of random draws (or nodes) our simulation-based density estimator using Monte Carlo integration (SDE) performs better than Kitagawa's numerical integration procedure (KNI), and (2) SDE and KNI give less biased parameter estimates than the extended Kalman filter (EKF). Finally, an estimation of per capita final consumption data is taken as an application to the non-linear filtering problem.
Some Improvements On An Algorithm For Controlled Selection, Ting Kwong Lin
Some Improvements On An Algorithm For Controlled Selection, Ting Kwong Lin
Research Collection School Of Economics
The sampling technique called controlled selection was f'irst described by Goodman and Kish (1950). It was found to be a very useful sampling technique among practicing survey samplers, especially in selecting first-stage units in multi-stage sampling. Hess, Riedel and Fitzpatrick (1961, 1975) have given a simple illustration on how it can be implemented in the sampling of hospitals in the state of Michigan. In this paper, we show how the Groves-Hess algorithm can be improved and how further controls which are useful to survey practitioners can be built into the algorithm. Problems the old algorithm could not solve can now …
Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse
Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse
Research Collection School Of Economics
This paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH-M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model.
A Note On Sargan Densities, Yiu Kuen Tse
A Note On Sargan Densities, Yiu Kuen Tse
Research Collection School Of Economics
This note reexamines the general class of Sargan densities analyzed by Goldfeld and Quandt (1981), Kafei and Schmidt (1985), and others in the context of approximating normal densities in certain econometric models. It suggests a third-order Sargan density which complies with the Goldfeld and Quandt criteria, is unimodal, and is the best approximation to the normal for orders less than or equal to 3. Some errors in Goldfeld and Quandt paper are corrected.
Understanding Spurious Regressions In Econometrics, Peter C. B. Phillips
Understanding Spurious Regressions In Econometrics, Peter C. B. Phillips
Research Collection School Of Economics
This paper provides an analytical study of linear regressions involving the levels of economic time series. An asymptotic theory is developed for regressions that relate quite general integrated random processes. This includes the spurious regressions of Granger and Newbold (1974) and the recent cointegrating regressions of Granger and Engle (1985). An asymptotic theory is developed for the regression coefficients and for conventional significance tests. It is shown that the usual t- and F-ratio test statistics do not possess limiting distributions in this context but actually diverge as the sample size T ↑ ∞. The limiting behavior of regression diagnostics such …
A Physical Interpretation Of The Maximum Likelihood Estimation Of A Linear Functional Relationship Model, Y. V. Hui, Yiu Kuen Tse
A Physical Interpretation Of The Maximum Likelihood Estimation Of A Linear Functional Relationship Model, Y. V. Hui, Yiu Kuen Tse
Research Collection School Of Economics
This paper presents a physical interpretation of estimating the parameters of a linear functional relationship model. The estimates are determined from the stable equilibrium position of a mechanical system. It is found that the estimates obtained from the physical model coincide with the maximum likelihood estimates.