Econometrics Commons^™

Residual-Based Diagnostics For Conditional Heteroscedasticity Models, Yiu Kuen Tse

Research Collection School Of Economics

We examine the residual–based diagnostics for univariate and multivariate conditional heteroscedasticity models. The tests are based on the parameter estimates of an autoregression with the squared standardized residuals or the cross products of the standardized residuals as dependent variables. As the regression involves estimated regressors the standard distribution theories of the ordinary least squares estimates do not apply. We provide the asymptotic variance of the regression estimates. Diagnostic statistics, which are asymptotically distributed as ?[sup 2], are constructed. A Monte Carlo experiment is conducted to investigate the finite–sample properties of the residual–based tests for both univariate and multivariate models. The …

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 …

The Kpss Test With Seasonal Dummies, Sainan Jin, Sainan Jin

Research Collection School Of Economics

It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.

On The Performance Of Geometric Chart With Estimated Control Limits, Zhenlin Yang, Min Xie, Vellaisamy Kuralmani, Kwok-Leung Tsui

Research Collection School Of Economics

The control chart based on the geometric distribution (geometric chart) has been shown to be competitive with p- or np-charts for monitoring the proportion nonconforming, especially for applications in high quality manufacturing environments. However, implementing a geometric chart is often based on the assumption that the in-control proportion nonconforming is known or accurately estimated for a high quality process, an accurate parameter estimate may require a very large sample size that is seldom available. In this paper we investigate the sample size effect when the proportion nonconforming is estimated. An analytical approximation is derived to compute shift detection probabilities and …

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 …

Estimation Of Hyperbolic Diffusion Using Mcmc Method, Yiu Kuen Tse, Jun Yu, X. B. Chang

Research Collection School of Economics

In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as a slowly declining autocorrelation function of absolute returns. We demonstrate that the MCMC method provides a useful tool to analyze hyperbolic diffusions. In particular, quantities of posterior distributions obtained from MCMC outputs can be used for statistical inferences

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

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

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

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

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

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

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

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 …

Labor And Globalization Conference, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Shaikh, A., PhD. (n.d.). Import share and terms of trade in OECD countries [Graphs].

• Shaikh, A., PhD. (2000, November 22). Estimating import equations [Document].

• Shaikh, A., PhD. (2001, October 12). Thirwall project [Document].

• Conti, A. (2001, October 12). Log of import share and log of relative prices (Pm/Py) [Graphs and handwritten notes].

• Conti, A. (2001, October 12). Testing for structural break via dummies [Graphs and handwritten notes].

• Shaikh, A., PhD. (2001, August). Regression outputs for import functions with dummies for Austria, France, and Japan [Regression outputs].

• Conti, A. (2001, March …

Capacity Utiliz + Shape Of Ac Curve, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). Capacity utilization CD: File list [List of files].

• Betancourt, R. R. (n.d.). Review of work patterns and capital utilization: An international comparative study [Review].

• Shaikh, A. (n.d.). S-shaped (nonlinear) ULC curve between shifts 1 and 2 [Handwritten notes].

• Shaikh, A. (2002, October 21). Simulated data to see if our cointegration capacity utilization equation is biased by relative price movements [Handwritten notes].

• Shaikh, A. (2002, October 23). Eco capacity, capital-capacity ratio, and scale of plant [Handwritten notes].

• Shaikh, A. (2002, October 23). Trend of cointegration capacity utilization measure vs. …

Capacity Utilization, Cointegratoin, Kalman Filter, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Tsaliki, P., & Tsoulfidis, L. (1999). Capacity utilization in Greek manufacturing. [Journal], volume, [page range]. [Publisher].

• Shaikh, A. (2002, August 11). Path of capacity under roughly steady growth and technical change [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (2002, July 17). Capacity utilization, cointegration, and the Kalman filter [Unpublished manuscript].

• Godley, W., & Cripps, F. (1983). Macroeconomics. Fontana.

• Kurz, H. D. (1986). “Normal” positions and capital utilisation. Political Economy, volume, [page range]. [Publisher].

• Shaikh, A. (1983, September 28). Capacity utilization: Notes on Gordon C. Winston [Handwritten notes]. …

Aggregate Production Functions Paper, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Folder titled “Aggregate production function paper CEEA, March 15–17, 2002”. (2002, March 15–17). [Unpublished folder]. File folder.

• Shaikh, A. (2002, February 6). Goodwin variables dynamics in actual data (printout with charts and notes) [Unpublished computer printout]. Data output and notes.

• Berglund, P. G. (2002, January 20). Comment on Jesus Felipe and Franklin Fisher’s paper entitled “Aggregation in production functions: What applied economists should know” [Unpublished manuscript].

• Shaikh, A., PhD. (2002, February 28). Handwritten notes on simulated data and Fourier series [Unpublished handwritten notes]. Manuscript.

• Documentation for eviews file USACTUALANDSIMULATEDDATA.WF1: Variables and …

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.

Apr Paper, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Folder cover labeled “APF paper, EEA March 15–17, 2002 Boston: non linear dynamics and the pseudo-production function notes, workfiles, EViews programs.” (2002, March 15–17). Unpublished folder cover [File folder].

• McCombie, J. (2002, March 25). Email to Anwar Shaikh regarding a conference and a possible publication. Unpublished email correspondence.

• Handwritten notes titled “perfect fitting aggregate prod. functions.” (2002, March 16). Unpublished handwritten notes [Manuscript]. (A. Shaikh, PhD, author).

• Handwritten notes titled “an approximation problem.” (2002, March 21). Unpublished handwritten notes [Manuscript]. (A. Shaikh, PhD, author).

• Handwritten notes reflecting on McCombie and Fisher’s views …

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

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

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

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

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

Research Collection School Of Economics

No abstract provided.

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 …

The Relationship Between Stock Returns And Inflation In Malaysia, Soke Ling Mau

Student Works (2000-2009)

This study starts out with an introductory chapter covering the relationship between nominal and real stock returns with inflation in a general view. Economists are still puzzled on the positive and negative relationship between stock returns and inflation as many empirical results suggest varied conclusions. The second chapter is the literature review, which consists of a few well-known authors with their own theories and hypotheses. The core 3 discussion in this chapter refers to the classical view on stock returns and inflation in 1930 and post -Keynesian view on stock returns and inflation from 1970 till 2001. Chapter Three focuses …

Granger-Causality Between Monetary Aggregates And Sectoral Production In Malaysia, Kay Choy Wan

Student Works (2000-2009)

The main purpose of this study is to empirically assess the distributional impact of financial variables using Malaysian quarterly data. The rationale for pursuing this objective is to identify the possible transmission channels of the financial variables with respect to the sectoral production and its underlying causal. The study employing the methodology of Azali and Habibullah (2000) in using the MWALD test for testing Granger non-causality (Toda Yamamoto, 199 5) was constructed using Seemingly Unrelated Regressions (SUR). The Augmented Dickey­Fuller (ADF) and Phillip-Perron (PP) unit root test procedures Johansen and Juselius (1990) cointegration test and the Toda and Yamamoto (1995) …

The Impact Of Bond Ratings On Equity Market : Malaysian Experience, P. Raman Ponnusamy

Student Works (2000-2009)

This research will examine the impact of bond ratings on market efficiency and stock returns. The study covered rating announcements from 1996 to 2001. Four types of rating announcements were covered namely initial announcement, reaffirmation, upgrades and downgrades. Each rating is categorized into investment grade and speculative grade. The mean adjusted model was used to determine the abnormal returns. The findings showed insignificant movement in abnormal returns for all type of ratings and also the sub-category of speculative and investment grades. The result also revealed that the market is efficient in semi-strong form as far as Malaysian market is concerned. …