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Articles 2671 - 2700 of 2834

Full-Text Articles in Econometrics

Rhode Island Current Conditions Index -- April 2004, Leonard Lardaro Apr 2004

Rhode Island Current Conditions Index -- April 2004, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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On Leverage In A Stochastic Volatility Model, Jun Yu Apr 2004

On Leverage In A Stochastic Volatility Model, Jun Yu

Research Collection School Of Economics

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier, Polson and Rossi (2004, Journal of Econometrics, forthcoming). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain the leverage effect …

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A Semi-Parametric Two-Component Compound Mixture Model And Its Application To Estimating Malaria Attributable Fractions, Jing Qin, Denis H. Y. Leung Apr 2004

A Semi-Parametric Two-Component Compound Mixture Model And Its Application To Estimating Malaria Attributable Fractions, Jing Qin, Denis H. Y. Leung

Research Collection School Of Economics

Malaria remains a major epidemiologic problem in many developing countries. Malaria is defined as the presence of parasites and symptoms (usually fever) due to the parasites. In endemic areas, an individual may have symptoms attributable either to malaria or to other causes. From a clinical viewpoint, it is important to correctly diagnose an individual who has developed symptoms so that the appropriate treatments can be given. From an epidemiologic and economic viewpoint, it is important to determine the proportion of malaria-affected cases in individuals who have symptoms so that policies on intervention program can be developed. Once symptoms have developed …

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Rhode Island Current Conditions Index -- March 2004, Leonard Lardaro Mar 2004

Rhode Island Current Conditions Index -- March 2004, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse Mar 2004

Modeling The Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Zhenlin Yang, Yiu Kuen Tse

Research Collection School Of Economics

Using the Box-Cox regression model with heteroscedasticity (BCHR), we re‐examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata (2000) using the Box-Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic. Furthermore, confidence intervals of the regression quantiles are easy to compute, and the estimation of the Box-Cox heteroscedastic regression is straight forward.

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Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka Mar 2004

Transaction-Data Analysis Of Marked Durations And Their Implications For Market Microstructure, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitchell Warachka

Research Collection Lee Kong Chian School Of Business

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and size on price dynamics, volatility and the permanent and transitory price impacts of trade. We also apply the ACMD model to analyze trade-direction data and estimate the probability of informed trading (PIN). We find that trade frequency has a critical role in price …

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Rhode Island Current Conditions Index -- February 2004, Leonard Lardaro Feb 2004

Rhode Island Current Conditions Index -- February 2004, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Rhode Island Current Conditions Index -- January 2004, Leonard Lardaro Jan 2004

Rhode Island Current Conditions Index -- January 2004, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. Gao, Yiu Kuen Tse Jan 2004

Market Segmentation And Information Values Of Earnings Announcements: Some Empirical Evidence From An Event Study On The Chinese Stock Market, Y. 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- and B-share markets, respectively. We conduct an event study on the annual earnings announcements based on two different accounting standards: International accounting standards (IAS) and PRC generally accepted accounting principles (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 …

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A Small-Sample Overlapping Variance-Ratio Test, Yiu Kuen Tse, K. W. Ng, Xibin Zhang Jan 2004

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 , the test under-rejects the null on the left tail seriously when the sample size is small. This 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 statistic using a beta …

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Empirical Characteristic Function Estimation And Its Applications, Jun Yu Jan 2004

Empirical Characteristic Function Estimation And Its Applications, Jun Yu

Research Collection School Of Economics

This paper reviews the method of model-fitting via the empirical characteristic function. The advantage of using this procedure is that one can avoid difficulties inherent in calculating or maximizing the likelihood function. Thus it is a desirable estimation method when the maximum likelihood approach encounters difficulties but the characteristic function has a tractable expression. The basic idea of the empirical characteristic function method is to match the characteristic function derived from the model and the empirical characteristic function obtained from data. Ideas are illustrated by using the methodology to estimate a diffusion model that includes a self-exciting jump component. A …

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Deviance Information Criterion For Comparing Stochastic Volatility Models, Andreas Berg, Renate Meyer, Jun Yu Jan 2004

Deviance Information Criterion For Comparing Stochastic Volatility Models, Andreas Berg, Renate Meyer, Jun Yu

Research Collection School Of Economics

Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed distributions. However, a formal model comparison via Bayes factors remains difficult. The main objective of this article is to demonstrate that model selection is more easily performed using the deviance information criterion (DIC). It combines a Bayesian measure of fit with a measure of model complexity. We illustrate the performance of DIC in discriminating between various different stochastic volatility models using simulated …

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Selection Correction And Sensitivity Analysis For Ordered Treatment Effect On Count Response, Myoung-Jae Lee Jan 2004

Selection Correction And Sensitivity Analysis For Ordered Treatment Effect On Count Response, Myoung-Jae Lee

Research Collection School Of Economics

In estimating the effect of an ordered treatment [tau] on a count response y with an observational data where [tau] is self-selected (not randomized), observed variables x and unobserved variables [epsilon] can be unbalanced across the control group ([tau] = 0) and the treatment groups ([tau] = 1, . . . , J). While the imbalance in x causes 'overt bias' which can be removed by controlling for x, the imbalance in [epsilon] causes 'covert (hidden or selection) bias' which cannot be easily removed. This paper makes three contributions. First, a proper counter-factual causal framework for ordered treatment effect on …

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Rhode Island Current Conditions Index -- December 2003, Leonard Lardaro Dec 2003

Rhode Island Current Conditions Index -- December 2003, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Fiducial Predictive Densities And Econometric Duration Analysis, Zhenlin Yang Dec 2003

Fiducial Predictive Densities And Econometric Duration Analysis, Zhenlin Yang

Research Collection School Of Economics

In this article, we propose using fiducial predictive density (FPD) as a density estimate, which leads naturally to estimators of survivor and hazard functions and provides a simple way of constructing shortest prediction intervals. This approach is studied in detail in the context of two flexible duration models proposed in this paper, namely the trans-normal and trans-exponential families, by presenting the FPDs, their basic properties, their Bayesian correspondence and their applications in econometric duration analysis. Empirical evidences show that the FPD method provides better estimates of survivor and hazard functions, particularly the latter, than does the usual maximum likelihood method. …

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Information Recovery In A Study With Surrogate Endpoints, Song Xi Chen, Denis H. Y. Leung, Jing Qin Dec 2003

Information Recovery In A Study With Surrogate Endpoints, Song Xi Chen, Denis H. Y. Leung, Jing Qin

Research Collection School Of Economics

Recently, there has been a lot of interest in statistical methods for analyzing data with surrogate endpoints. In this article, we consider parameter estimation from a model that relates a variable Y to a set of covariates, X, in the presence of a surrogate, S. We assume that the data are made up of two random samples from the population, a validation set where (Y, X, S) are observed on every subject and a nonvalidation set where only (X, S) are measured. We show how information from the nonvalidation set can be incorporated to improve upon estimation of a parameter …

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Score Tests For Inverse Gaussian Mixture, Zhenlin Yang Dec 2003

Score Tests For Inverse Gaussian Mixture, Zhenlin Yang

Research Collection School Of Economics

The mixed inverse Gaussian given by Whitmore (Scand. J. Statist., 13, 1986, 211–220) provides a convenient way for testing the goodness-of-fit of a pure inverse Gaussian distribution. The test is a one-sided score test with the null hypothesis being the pure inverse Gaussian (i.e. the mixing parameter is zero) and the alternative a mixture. We devise a simple score test and study its finite sample properties. Monte Carlo results show that it compares favourably with the smooth test of Ducharme (Test, 10, 2001, 271-290). In practical applications, when the pure inverse Gaussian distribution is rejected, one is interested in making …

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Rhode Island Current Conditions Index -- November 2003, Leonard Lardaro Nov 2003

Rhode Island Current Conditions Index -- November 2003, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

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Tests Of Functional Form And Heteroscedasticity, Zhenlin Yang, Yiu Kuen Tse Nov 2003

Tests Of Functional Form And Heteroscedasticity, Zhenlin Yang, Yiu Kuen Tse

Research Collection School Of Economics

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing heteroscedasticity in the presence of data transformation. We present LM statistics based on the expected information matrix. For cases (i) and (ii), this is done assuming the Box-Cox transformation. For case (iii), the test does not depend on whether the functional form is estimated or pre-specified. Small-sample properties of the tests are assessed by Monte Carlo simulation, and comparisons are made with the …

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Micro-Level Estimation Of The Prevalence Of Stunting And Underweight Among Children In Cambodia, Tomoki Fujii, Livia Montana Oct 2003

Micro-Level Estimation Of The Prevalence Of Stunting And Underweight Among Children In Cambodia, Tomoki Fujii, Livia Montana

Research Collection School Of Economics

We are pleased to share this copy of the preliminary report on "Micro-Level Estimation of the Prevalence of Stunting and Underweight Among Children in Cambodia." This study is the result of a collaboration between the Ministry of Planning, the United Nations World Food Programme and the MEASURE DHS+ project, with in-kind assistance from The World Bank. We also would like to express our acknowledgement to Italian Cooperation and International Fund for Agricultural Development for supporting in publication and distribution.

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A Formal Test Of Density Forecast Evaluation, Anil K. Bera, Aurobindo Ghosh Oct 2003

A Formal Test Of Density Forecast Evaluation, Anil K. Bera, Aurobindo Ghosh

Research Collection School Of Economics

Recent econometricians have shifted their attention from point and interval forecasts of the probability density functions (PDF) of various market variables. One of the main problems in this area has been evaluation of the density forecasts. In this papers, we propose a formal test for density forecast evaluation using Neyman (1937) smooth test procedure. Apart from giving indications of acceptance or rejection of the tested model, this approach provides specific sources (such as the mean, variance, skewness and kurtosis or the location, scale and shape of the distribution) or rejections, thereby helping in deciding possible modifications of the assumed model. …

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An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse Sep 2003

An Empirical Examination Of Ipo Underpricing In The Chinese A-Share Market, Ting Yu, Yiu Kuen Tse

Research Collection School Of Economics

Research in the literature shows that initial public offerings (IPOs) of common stocks are systematically priced at a discount to their subsequent initial trading price. The large underpricing magnitude in the Chinese IPO market has attracted much attention. We consider three hypotheses that may explain the IPO underpricing in China. These are the winner's curse hypothesis, the ex ante uncertainty hypothesis and the signaling hypothesis. Among these hypotheses, the winner's curse hypothesis has not been tested in the Chinese market. Using IPO data for online fixed-price offerings from November 1995 to December 1998, our results show that the winner's curse …

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Adrenocortical Adenoma And Carcinoma: Histopathological And Molecular Comparative Analysis, A. Stojadinovic, M. F. Brennan, A. Hoos, A. Omeroglu, Denis H. Y. Leung, M. Dudas, A. Nissan, C. Cordon-Cardo, R.A. Ghossein Aug 2003

Adrenocortical Adenoma And Carcinoma: Histopathological And Molecular Comparative Analysis, A. Stojadinovic, M. F. Brennan, A. Hoos, A. Omeroglu, Denis H. Y. Leung, M. Dudas, A. Nissan, C. Cordon-Cardo, R.A. Ghossein

Research Collection School Of Economics

We compared histomorphological features and molecular expression profiles of adrenocortical adenomas (ACAd) and carcinomas (ACCa). A critical histopathological review (mean, 11 slides per patient) was conducted of 37 ACAd and 67 ACCa. Paraffin-embedded tissue cores of ACAd (n = 33) and ACCa (n = 38) were arrayed in triplicate on tissue microarrays. Expression profiles of p53, mdm-2, p21, Bcl-2, cyclin D1, p27, and Ki-67 were investigated by immunohistochemistry and correlated with histopathology and patient outcome using standard statistical methodology. Median follow-up period was 5 years. Tumor necrosis, atypical mitoses, and >1 mitosis per 50 high-power fields were factors that were …

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Analysis Of Private Transfers With Panel Fixed Effect Censored Model Estimator, Sung Jin Kang, Myoung-Jae Lee Aug 2003

Analysis Of Private Transfers With Panel Fixed Effect Censored Model Estimator, Sung Jin Kang, Myoung-Jae Lee

Research Collection School Of Economics

Understanding private transfer is important for safety-net policies because private transfer provides economic benefits similar to those of public programs such as unemployment insurance and pension. Applying Honoré’s [Econometrica 60 (1992) 533] panel fixed-effect censored model estimator to Korean data, we show that private transfer is altruistically motivated and there is a strong crowding-out effect of public transfer on private transfer. We also find that low-income people suffered to different degrees during the financial crisis period of 1997 to 1998. This finding and the crowding-out effect may be taken as failures of the Korean public transfer programs during the period.

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Open Versus Sealed-Bid Auctions: Testing For Revenue Equivalence Under Singapore's Vehicle Quota System, Winston T. H. Koh, Roberto S. Mariano, Yiu Kuen Tse Aug 2003

Open Versus Sealed-Bid Auctions: Testing For Revenue Equivalence Under Singapore's Vehicle Quota System, Winston T. H. Koh, Roberto S. Mariano, Yiu Kuen Tse

Research Collection School Of Economics

Using data from the auction of vehicle quota licenses in Singapore, we study if revenue equivalence holds when the auction format was switched from a sealed-bid format (May 1990 to June 2001) to an open bidding format since July 2001. Our econometric analysis indicates the change in auction format led to a change in bidding behavior. On average, the quota license premium under the open bidding format is about US$1,000 (about 7.5% of the Category E license price in June 2001) lower, compared to the forecast level that would have prevailed if there had been no change in the auction …

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Transformation Approaches For The Construction Of Weibull Prediction Interval, Zhenlin Yang, Stanley P. See, Min Xie Jul 2003

Transformation Approaches For The Construction Of Weibull Prediction Interval, Zhenlin Yang, Stanley P. See, Min Xie

Research Collection School Of Economics

Two methods of transforming the Weibull data to near normality, namely the Box-Cox method and Kullback-Leibler (KL) information method, are discussed and contrasted. A simple prediction interval (PI) based on the better KL information method is proposed. The asymptotic property of this interval is established. Its small sample behavior is investigated using Monte Carlo simulation. Simulation results show that this simple interval is close to the existing complicated PI where the percentage points of the reference distribution have to be either simulated or approximated.

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A New Coincident Index Of Business Cycles Based On Monthly And Quarterly Series, Roberto S. Mariano, Yasutomo Murasawa Jul 2003

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 indicators such as real GDP. 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. [PUBLICATION ABSTRACT]

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The Shapley-Shubik Index, The Donation Paradox And Ternary Games, Vincent C. H. Chua, H. C. Huang Jun 2003

The Shapley-Shubik Index, The Donation Paradox And Ternary Games, Vincent C. H. Chua, H. C. Huang

Research Collection School Of Economics

In this paper, we show that although the Shapley-Shubik index is immune to the donation paradox in weighted binary games, extension of the index to ternary games along the direction suggested in Felsenthal and Machover (1996, 1997) will cause it to be vulnerable to the paradox and this is the case as long as the number of players in the game exceeds three. This undermines the attractiveness of the Shapley-Shubik index as a measure of a priori voting power.

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On The Asymptotic Effect Of Substituting Estimators For Nuisance Parameters In Inferential Statistics, Zhenlin Yang, Yiu Kuen Tse, Zhidong Bai Jun 2003

On The Asymptotic Effect Of Substituting Estimators For Nuisance Parameters In Inferential Statistics, Zhenlin Yang, Yiu Kuen Tse, Zhidong Bai

Research Collection School Of Economics

This paper studies the general problem of making inferences for a set of parameters ? in the presence of another set of (nuisance) parameters λ, based on the statistic T(y; ˆλ, θ), where y = {y1, y2, · · · , yn} represents the data, ˆλ is an estimator of λ and the limiting distribution of T(y; λ, θ) is known. We provide general methods for finding the limiting distributions of T(y; ˆλ, θ) when ˆλ is either a constrained estimator (given θ) or an unconstrained estimator. The methods will facilitate hypothesis testing as well as confidence-interval construction. We also …

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Factors Influencing Treatment Patterns In Breast Cancer Patients Age 75 And Over, Arti Hurria, Denis H. Y. Leung, Kathleen Trainor, Patrick Borgen, Larry Norton, Clifford Hudis May 2003

Factors Influencing Treatment Patterns In Breast Cancer Patients Age 75 And Over, Arti Hurria, Denis H. Y. Leung, Kathleen Trainor, Patrick Borgen, Larry Norton, Clifford Hudis

Research Collection School Of Economics

To retrospectively determine the factors influencing treatment decisions in older breast cancer patients at a single center. Experimental Design: 216 patients age > or = 75 seen in post-treatment follow-up between January, 1997 and June, 2000 were identified in the Memorial Sloan-Kettering breast cancer database. Eligible patients were > or = 75 years old at diagnosis, had a diagnosis of stage I, II, or III breast cancer, and received their follow-up care at Memorial Sloan Kettering Cancer Center. A retrospective chart review was performed. Patients were stratified by: (1) prognostic factors (age (75-79 or > or = 80), Charlson comorbidity score, tumor size, …

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