Score Tests For Inverse Gaussian Mixtures,
2011
University of Guelph
Score Tests For Inverse Gaussian Mixtures, A. F. Desmond, 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 …
Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations,
2011
Singapore Management University
Singapore Consumer’S Inflation Expectations And Creation Of Singapore Index Of Inflation Expectations, Aurobindo Ghosh, Jun Yu
Research Collection School Of Economics
The aim of this report is to highlight a broad spectrum of issues that brings about the measurement of the disagreement and the uncertainity and the formation of inflation expectations among economic agents in Singapore.
Uniform Asymptotic Normality In Stationary And Unit Root Autoregression,
2011
Korea University - Korea
Uniform Asymptotic Normality In Stationary And Unit Root Autoregression, Chirok Han, Peter C. B. Phillips, Donggyu Sul
Research Collection School Of Economics
While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly mechanism for preserving information and signal strength in autoregressions with some very desirable properties. In first order autoregression, a partially aggregated estimator based on moment conditions in differences is shown to have a limiting normal distribution that holds uniformly in the autoregressive coefficient rho, including stationary and unit root cases. The rate of convergence is root n when vertical bar rho vertical bar < 1 and the limit distribution is the same as the Gaussian maximum likelihood estimator (MLE), but when rho = 1 the rate of convergence to the normal distribution is within a slowly varying factor of n. A fully aggregated estimator (FAE) is shown to have the same limit behavior in the stationary case and to have nonstandard limit distributions in unit root and near integrated cases, which reduce both the bias and the variance of the MLE. This result shows that it is possible to improve on the asymptotic behavior of the MLE without using an artificial shrinkage technique or otherwise accelerating convergence at unity at the cost of performance in the neighborhood of unity. Confidence intervals constructed from the FAE using local asymptotic theory around unity also lead to improvements over the MLE.
Power Maximization And Size Control Of Heteroscedasticity And Autocorrelation Robust Tests With Exponentiated Kernels,
2011
University of California - San Diego
Power Maximization And Size Control Of Heteroscedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C. B. Phillips, Sainan Jin
Research Collection School Of Economics
Using the power kernels of Phillips, Sun, and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (ρ). We show that the nonstandard fixed-ρ limit distributions of the t-statistic provide more accurate approximations to the finite sample distributions than the conventional large-ρ limit distribution. We prove that the second-order corrected critical value based on an asymptotic expansion of the nonstandard limit distribution is also second-order correct under the large-ρ asymptotics. As a further contribution, we propose a new practical procedure for selecting the test-optimal power parameter that addresses the central …
A Simple And Robust Method Of Inference For Spatial Lag Dependence,
2011
Singapore Management University
A Simple And Robust Method Of Inference For Spatial Lag Dependence, Zhenlin Yang, Yan Shen
Research Collection School Of Economics
A simple and reliable method of inference for the spatial parameter in spatial autoregressive models is introduced, based on a statistic obtained by centering and rescaling the numerator of the concentrated Gaussian score function. The resulted tests and confidence intervals are robust against the distributional misspecifications and are insensitive to the spatial layouts and the error standard deviation. In contrast, the standard methods based on Gaussian score and information matrix may lead to inconsistent inference when errors are non normal, and can be quite sensitive to the spatial layouts and the error standard deviation even when errors are normally distributed. …
The Science Of Public Health Delivery: Evidence, Uncertainties & Research Needs,
2011
University of Kentucky
The Science Of Public Health Delivery: Evidence, Uncertainties & Research Needs, Glen P. Mays
Health Management and Policy Presentations
Policy initiatives to reform the nation's health system increasingly recognize the need to incorporate public health and prevention strategies. The nation's delivery system for public health, however, varies widely across states and communities in its structure, authority, and capabilities. This session examines research from the growing field of public health services and systems research to identify directions for improving public health delivery.
Estimating The Value Of Public Health Services & Systems: Evidence, Uncertainties, And Research Needs,
2011
University of Kentucky
Estimating The Value Of Public Health Services & Systems: Evidence, Uncertainties, And Research Needs, Glen P. Mays
Health Management and Policy Presentations
The Affordable Care Act authorized the largest expansion in federal funding for public health services and delivery systems in decades. These provisions, designed to support programs and services that promote health and prevent disease and injury on a population-wide basis, remain controversial because of uncertainties regarding their effectiveness in improving health and constraining medical cost growth. This session examines a series of recent studies to shed light on the health and economic value of spending on public health.
Disparities Research In Public Health Pbrns,
2011
University of Kentucky
Disparities Research In Public Health Pbrns, Glen P. Mays
Health Management and Policy Presentations
Public health agencies are well positioned within the health system to play key roles in addressing oral health issues on a population-wide basis, However, current evidence reveals wide geographic variation in the delivery of public health interventions for oral health promotion. This session explores the factors contributing to this variation, and it highlights studies underway through the Public Health Practice-Based Research Networks (PBRNs) to produce more and better evidence about public health delivery and impact.
Rhode Island Current Conditions Index — November 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — November 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Linear Programming-Based Estimators In Simple Linear Regression,
2011
Singapore Management University
Linear Programming-Based Estimators In Simple Linear Regression, Daniel P. A. Preve, Marcelo C. Medeiros
Research Collection School Of Economics
In this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The LPE is interesting because it can be superconsistent in the presence of an endogenous regressor and, hence, preferable to the ordinary least squares estimator (LSE). Two different cases are considered as we investigate the statistical properties of the LPE. In the first case, the regressor is assumed to be fixed in repeated samples. In the second, the regressor is stochastic and potentially endogenous. For both cases the strong consistency and exact finite-sample distribution of the …
Dating The Timeline Of Financial Bubbles During The Subprime Crisis,
2011
Singapore Management University
Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread …
Double Asymptotics For An Explosive Continuous Time Model,
2011
Singapore Management University
Double Asymptotics For An Explosive Continuous Time Model, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
This paper develops a double asymptotic limit theory for the persistent parameter (θ) in an explosive continuous time model with a large number of time span (N) and a small number of sampling interval (h). The limit theory allows for the joint limits where N → ∞ and h → 0 simultaneously, the sequential limits where N → ∞ is followed by h → 0, and the sequential limits where h → 0 is followed by N → ∞. All three asymptotic distributions are the same. The initial condition, either fixed or random, appears in the limiting distribution. The simultaneous …
Specification Sensitivity In Right-Tailed Unit Root Testing For Explosive Behavior,
2011
Singapore Management University
Specification Sensitivity In Right-Tailed Unit Root Testing For Explosive Behavior, Peter C. B. Phillips, Shu-Ping Shi, Jun Yu
Research Collection School Of Economics
Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF test under deferent hypotheses and model specifications. The …
Specification Testing For Nonparametric Structural Models With Monotonicity In Unobservables,
2011
Boston College
Specification Testing For Nonparametric Structural Models With Monotonicity In Unobservables, Stefan Hoderlein, Liangjun Su, Halbert White
Research Collection School Of Economics
Monotonicity in a scalar unobservable is a now common assumption in economic theory and applications. Among other things, it allows one to recover the underlying structural function from certain conditional quantiles of observables. Nevertheless, monotonicity is a strong assumption, and its failure can have substantive adverse consequences for structural inference. So far, there are no generally applicable nonparametric specification tests designed to detect monotonicity failure. This paper provides such a test for cross-section data. We show how to exploit an exclusion restriction together with a conditional independence assumption, plausible in a variety of applications, to construct a test. Our statistic …
Rhode Island Current Conditions Index — October 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — October 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Tilted Nonparametric Estimation Of Volatility Functions With Empirical Applications,
2011
Texas A&M University
Tilted Nonparametric Estimation Of Volatility Functions With Empirical Applications, Ke-Li Xu, Peter C. B. Phillips
Research Collection School Of Economics
This article proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local-level nonparametric regression applied to squared residuals of the mean regression. The estimator is shown to be asymptotically equivalent to the local linear estimator in the case of unbounded support but, unlike that estimator, is restricted to be nonnegative in finite samples. It is fully adaptive to the unknown conditional mean function. Simulations are conducted to evaluate the finite-sample performance of the estimator. Two empirical applications are reported. One …
Optimal Jackknife For Discrete Time And Continuous Time Unit Root Models,
2011
Singapore Management University
Optimal Jackknife For Discrete Time And Continuous Time Unit Root Models, Ye Chen, Jun Yu
Research Collection School Of Economics
Maximum likelihood estimation of the persistence parameter in the discrete time unit root model is known for su§ering from a downward bias. The bias is more pronounced in the continuous time unit root model. Recently Chambers and Kyriacou (2010) introduced a new jackknife method to remove the Örst order bias in the estimator of the persistence parameter in a discrete time unit root model. This paper proposes an improved jackknife estimator of the persistence parameter that works for both the discrete time unit root model and the continuous time unit root model. The proposed jackknife estimator is optimal in the …
Non-Parametric Regression Under Location Shifts,
2011
Singapore Management University
Non-Parametric Regression Under Location Shifts, Peter C. B. Phillips, Liangjun Su
Research Collection School Of Economics
Recent work by Wang and Phillips (2009b, 2011) has shown that ill-posed inverse problems do not arise in non-stationary non-parametric regression and there is no need for non-parametric instrumental variable estimation. Instead, simple Nadaraya–Watson non-parametric estimation of a cointegrating regression equation is consistent irrespective of the endogeneity in the regressor. The present paper shows that some closely related results apply in the case of structural non-parametric regression with independent data when there are continuous location shifts in the regressor. Some interesting cases are discovered where non-parametric regression is consistent, whereas parametric regression is inconsistent even when the true regression functional …
Improved Estimates Of St. Louis Metro Employment,
2011
Lindenwood University
Improved Estimates Of St. Louis Metro Employment, Howard Wall
Center for Applied Economics
Official employment data for the St. Louis metro area produced by the Bureau of Labor Statistics (BLS) are often unreliable and usually misleading. A major reason for this problem is that the BLS does not make full use of the data at its disposal. To address this, the Institute for the Study of Economics and the Environment (ISEE) at Lindenwood University has developed an alternative employment measure that makes better use of available data. More specifically, the ISEE employment series for the St. Louis MSA undergo rolling benchmark revisions four times a year as data become available. This is in …
Rhode Island Current Conditions Index — September 2011,
2011
University of Rhode Island
Rhode Island Current Conditions Index — September 2011, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
