Econometrics Commons^™

Early Stopping By Using Stochastic Curtailment In A Three-Arm Sequential Trial, Denis H. Y. Leung, You-Gan Wang, David Amar

Research Collection School Of Economics

Interim analysis is important in a large clinical trial for ethical and cost considerations. Sometimes, an interim analysis needs to be performed at an earlier than planned time point. In that case, methods using stochastic curtailment are useful in examining the data for early stopping while controlling the inflation of type I and type II errors. We consider a three-arm randomized study of treatments to reduce perioperative blood loss following major surgery. Owing to slow accrual, an unplanned interim analysis was required by the study team to determine whether the study should be continued. We distinguish two different cases: when …

Determinants Of Voluntary Job-To-Job Mobility, Xiaolin Xing, Zhenlin Yang

Research Collection School Of Economics

This paper explores both observable and unobservable variables that would affect employed workers’ decisions on job change. A survey was conducted through one-to-one interviews, and the sample consists of 965 full-time employed workers. The logistic regression models are employed to analyze the two binary measures of job-to-job mobility: i) whether an individual is considering a job change, and ii) whether an individual is actively looking for another job. We find that age, job satisfaction, satisfaction with working environment or job security, and firm size are among the major factors determining workers’ job-to-job mobility. Younger workers and workers in smaller firms …

U.S. Coins: Forecasting Change, Dean D. Croushore

Economics Faculty Publications

Although the government annually produces about 70 new coins for every man, woman, and child, the economy’s need for coins can vary from year to year. So how do the U.S. Mint, which makes the coins, and the Federal Reserve, which distributes them, decide how many coins the economy needs? Dean Croushore highlights some facts about coins and describes how demand for change is forecast.

A Score Test For Box-Cox Functional Form, Zhenlin Yang, Tilak Abeysinghe

Research Collection School Of Economics

This paper presents two score tests to determine a value for the Box-Cox transformation parameter. The test based on expected information performs better in small samples and is computationally simpler than the one based on observed information; therefore, the former is recommended.

Commune-Level Poverty Estimates And Ground Truthing, Tomoki Fujii

Research Collection School Of Economics

The United Nations World Food Programme (WFP) Cambodia, in close collaboration with various government institutions, has been conducting poverty analysis and mapping refinement. The main objectives of the refinement have been (i) to refine core poor areas in Cambodia, (ii) to identify priority areas for social sector interventions such as those targeted to adult and child education, health and nutrition interventions, and (iii) to identify priority areas for assisting variable population groups such as those in flood and drought prone areas, forest and fishing concession areas.

Markov Switching Garch Models Of Currency Crises In Southeast Asia, Celso Brunetti, Roberto S. Mariano, Chiara Scotti, Augustine H. H. Tan

Research Collection School Of Economics

This paper develops a model which is able to forecast exchange rate turmoil. Our starting point relies on the empirical evidence that exchange rate volatility is not constant. In fact, the modeling strategy adopted refers to the vast literature of the GARCH class of models, where the variance process is explicitly modeled. Further empirical evidence shows that it is possible to distinguish between two different regimes: îordinaryî versus îturbulenceî. Low exchange rate changes are associated with low volatility (ordinary regime) and high exchange rate devaluations go together with high volatility. This calls for a regime switching approach. In our model …

Antifibrinolytic Therapy And Perioperative Blood Loss In Cancer Patients Undergoing Major Orthopedic Surgery, David Amar, Florence M. Grant, Hao Zhang, Patrick J. Boland, Denis H. Y. Leung, John A. Healey

Research Collection School Of Economics

Background: Aprotinin has been reported to reduce blood loss and transfusion requirements in patients having major orthopedic operations. Data on whether epsilon amino-caproic acid (EACA) is effective in this population are sparse.

Methods: Sixty-nine adults with malignancy scheduled for either pelvic, extremity or spine surgery during general anesthesia entered this randomized, double-blind, placebo-controlled trial, and received either intravenous aprotinin (n = 23), bolus of 2 x 10(6) kallikrein inactivator units (KIU), followed by an infusion of 5 x 10(5) KIU/h, or EACA (n = 22), bolus of 150 mg/kg, followed by a 15 mg/kg/h infusion or saline placebo (n = …

The Effect Of Trade On Wage Inequality : The Hong Kong Case, Lok Sang Ho, Xiangdong Wei, Wai Chung, Gary Wong

Centre for Public Policy Studies : CPPS Working Paper Series

The dramatic increase in the wage gap between skilled and unskilled workers observed in many developed countries has received much attention from economists in recent years. A similar rise of wage gap has now been observed for some newly developed economies, such as Hong Kong. However, few empirical studies have been carried out to explain the growing wage gap in these newly developed economies. This study uses the time series data to investigate the impact of increased outward processing trade with the Chinese Mainland on the wage inequality of Hong Kong. We found that there is a significant positive association …

Exclusion Bias In Sample-Selection Model Estimators, Myoung-Jae Lee

Research Collection School Of Economics

Exclusion restrictions are routinely used in sample-selection models with selection and outcome equations. A false restriction, however, can cause an exclusion bias for the outcome equation estimator. In this paper, the specific form of the exclusion bias is derived for various sample-selection model estimators. Furthermore, it is shown that the outcome equation parameters for regressors with zero coefficients in the selection equation are immune to exclusion bias if only one regressor is excluded. Exclusion bias, or a lack thereof, is verified through a simulation study with the regressors taken from Mroz (1987). JEL Classification Numbers: C24, C34. [ABSTRACT FROM AUTHOR]

Psuedo Production Functions, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes.

• Folder cover labeled “pseudo production functions”. (n.d.). [Unpublished folder cover].

• Shaikh, A., PhD. (n.d.). Handwritten notes with equations beginning “δK = δR(1 − u)” [Unpublished handwritten notes]. Manuscript.

• Shaikh, A., PhD, annotator. (2003, August 26). EViews regression output for actual data (with handwritten note titled “actual data: eliminating straight rates of change from regressions still does not make a [illegible] them”) [Unpublished regression output with handwritten annotations]. Computer output with annotations.

• Shaikh, A., PhD. (2003, July 13). Handwritten notes titled “picking up the pseudo production function via a general regression” [Unpublished handwritten …

Effects Of Electronic Trading On The Hang Seng Index Futures Market, Joseph Fung, Donald Lien, Yiuman Tse, Yiu Kuen Tse

Research Collection School Of Economics

This paper investigates the effects of the migration of the Hang Seng Index futures from open-outcry trading to electronic trading. Using trade data over a window of six months we find evidence that, after the migration, the bid-ask spread of the futures contract decreases and the contribution of the futures price in information transmission increases. Furthermore, the asymmetry in volatility spillover reduces and the open interests of the futures market become smaller. These results suggest that the anonymity in trading and the higher speed of order execution in the electronic trading system attract informed traders to the futures market and …

Competitiveness And Price Convergence On The Internet: Evidence From The Online Dvd Market, Xiaolin Xing, Fang Fang Tang, Zhenlin Yang

Research Collection School Of Economics

We compare the pricing behavior between online branches of traditional retailers (MCR) and pure Internet retailers (Dotcom) in the DVD market. Based on a set of panel data from July 5, 2000 to June 11, 2001, we find that the average price of the MCRs is about 11.2% higher than that of the Dotcoms. Further statistical analyses on the market dynamics of price trends show that the prices of the Dotcoms went up with time much faster than the prices of the MCRs, which points to a possibility that eventually both types of retailers may charge similar prices on average. …

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 …