Econometrics Commons^™

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

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

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.

An Analysis Of Option Pricing Under Systematic Consumption Risk Using Garch, Alex Georgievski

Theses : Honours

We aim to test two things. Firstly, whether accounting for the persistence in volatility decreases the errors between the option prices implied from our models and the observed option prices and secondly, whether the pricing errors are reduced when you allow for the fact that consumption is correlated with returns on the underlying asset. Three option pricing models are developed and tested. 1-The Black and Scholes option pricing model, 2-The GARCH (1,1) model under risk neutrality and 3- The GARCH (1,1) model under systematic consumption risk, using recent daily data on traded options on the FTSE 100 share price index. …

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

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% …

A Study On The Behaviour Of Selected Macroeconomic Indicators For Malaysia Prior To The Currency Crisis In 1997, Sena Herath Vijitha

Student Works (2000-2009)

This paper attempts to develop an early warning system to predict currency crises that will allow managers not to be caught off-guard when a currency crisis hits the country. It is hoped that with an effective early warning system, managers will have adequate time to construct appropriate marketing and business strategies to counter the negative impact of a currency crisis. This research project examines the macroeconomic data generated by Bank Negara and the Ministry of Finance to see if correlations exist between macroeconomic measures and devaluation prospects as cited in the literature and whether these can be used in the …

The Applicability Of The Dividend-Yield Investment Strategy At The Kuala Lumpur Stock Exchange, Allan, Kim Hon. Ngam

Student Works (2000-2009)

Many theories, techniques and strategies have been developed over the years on how to outperform the stock market. The objective of this research is to apply the "Dividend-Yield" strategy on the Kuala Lumpur Stock Exchange ("KLSE") to ascertain whether using such a strategy would provide superior investment return. Research findings using this strategy on the New York Stock Exchange ("NYSE") have shown favourable results. The data used in this research were sourced primarily from the KLSE, covering a period of 10 years from 1988 to 1997. This research is based on the premise that the investment universe comprises the component …

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

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

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. © …

The Challenge Of Administration By Regulation: Preliminary Findings Regarding The U.S. Government's Venture Capital Funds, Jonathan G.S. Koppell

Publications from President Jonathan G.S. Koppell

This article assesses the ability of elected officials to control public policy as implemented by public/private hybrid organizations, specifically, government venture capital funds. The study reveals greater control over OPIC investment funds than Enterprise Funds despite the existence of more traditional administrative tools of control for Enterprise Funds. This finding suggests that the regulatory infrastructure for hybrid organizations is more determinative of control than the existence (or lack) of traditional administrative control tools. Thus the challenge of hybrid government centers on the development of regulation as a substitute for administration.

How Useful Are Forecasts Of Corporate Profits, Dean D. Croushore

Economics Faculty Publications

If forecasters predict higher earnings for corporations, the stock market will rise. Stock prices will drop with a forecast of lower earnings. But are such forecasts on the money? Dean Croushore uses data from the Survey of Professional Forecasters to check the accuracy of forecasts of corporate profits. The results show that, despite the volatility of corporate profits, the forecasts are rational.

Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller

Publications and Research

Forecasters often make judgmental adjustments to exponential smoothing forecasts to account for the effects of a future planned change. While this approach may produce sound initial forecasts, it can result in diminished accuracy for forecast updates. A proposed technique lets the forecaster include policy change adjustments within an exponential smoothing model. For 20 real data series representing Virginia Medicaid expenses, initial forecasts and forecast updates are developed using the proposed technique and several alternatives, and they are updated through various simulated level shifts. The proposed technique was more accurate than the alternatives in updating forecasts when a shift in level …

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

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

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

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

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.

An Examination Of The Relationship Between Stock Index Cash And Futures Markets: A Cointegration Approach, Michael A. Pizzi, Andrew J. Economopoulos, Heather M. O'Neill

Business and Economics Faculty Publications

The existence of price discovery, market efficiency and market stability associated with spot and futures markets continues as a prominent discussion among academics, practitioners and regulators. Numerous papers examine the role of price discovery in the futures markets for various types of commodities and financial assets. Generally, the studies by Garbade and Silber (1983), Herbst, McCormack and West (1987), Kawaller, Koch and Koch (1987) and Schroeder and Goodwin (1991) indicate that price discovery occurs more significantly in the futures market compared to the cash market.

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 …

The Determinants Of Agriculture Growth In China, 1978-89, Jiefei Qiu

Masters Theses

Agriculture growth in China during the first dozen years of the economic reform could be attributed to an increase in inputs, technological progress, and institutional innovation. This paper introduces a couple of measurements for technological change and institutional reform, which include the imported capital for advanced technology, the number of high school graduates for improved human capital and the size of the free market for price reform. The study examines the effects of education, foreign capital, and price reform in rural China using data for both agriculture and farming over the period of 1978-89. Descriptions are made regarding the changes …

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 …

Uelectric (Foss Cap Utiliz Index), Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (1987, March). Velectric (Foss cap utiliz index) [Folder cover with handwritten notes]. Unpublished manuscript.

• Shaikh, A. (1987, February 23). U1mh, ue2: Further research [Handwritten notes]. Unpublished manuscript.

• Shaikh, A. (1987, February). Uelec2, frbcu, new McGH cu: Alternate measures of cap utiliz (File: invest1.wk1; file: invest1.wk1; graph for invest1.wk1) [Graph]. Unpublished manuscript.

• Shaikh, A. (1987, February). Ratios u1mh/ue2 and u1mh/ufrb: Alternate measures of cap utiliz (File: invest1.wk1; ratiosu) [Graph]. Unpublished manuscript.

• Shaikh, A. (1987, March 1). U1mh vs. MH operating rate: Alternate measures of cap utiliz (File: invest1.wk1; mhurates) [Graph]. Unpublished …

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

Research Collection School Of Economics

No abstract provided.

Robert Gordon, The Measurement Of Durable Goods Prices, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Anwar Shaikh. Notes on the measurement of durable goods prices. Unpublished manuscript.
• Robert J. Gordon. 1990. The measurement of durable goods prices. University of Chicago Press.
• Reg Ward. 1992. Book review of The measurement of durable goods prices. The Economic Journal, Royal Economic Society.
• Jack E. Triplett. 1993. Book review of The measurement of durable goods prices. Journal of Economic Literature, American Economic Association.
• Robert J. Gordon. 1995. Measurement errors in the CPI: causes and consequences. Daily Labor Report, The Bureau of National Affairs, Inc.

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

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.

Inflation Capacity Utilization, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes,

• Garner, C. A. (1994, Fourth Quarter). Capacity utilization and U.S. inflation. Economic Review (Federal Reserve Bank of Kansas City), 79(4), 5–21.