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Parametric And Semi Parametric Efficient Tests For Parameter Instability
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Book Synopsis Parametric and Semi-Parametric Efficient Tests for Parameter Instability by : Dong Jin Lee
Download or read book Parametric and Semi-Parametric Efficient Tests for Parameter Instability written by Dong Jin Lee and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines asymptotically point optimal tests for parameter instability in realistic circumstances when little information about the unstable parameter process and error distribution is available. We first show that, under a correctly specified error distribution, if the unstable parameter processes converge weakly to a Wiener process, then any asymptotic optimal tests for structural breaks and time-varying parameters are asymptotically equivalent. Our finding is then extended to a semi-parametric set-up in which the error distribution is treated as an unknown infinite-dimensional nuisance parameter. We find that semi-parametric tests can be adaptive without further restrictive conditions on the error distribution.
Book Synopsis Essays on Optimal Tests for Parameter Instability by : Dong Jin Lee
Download or read book Essays on Optimal Tests for Parameter Instability written by Dong Jin Lee and published by . This book was released on 2008 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are a large number of tests for parameter instability designed for specific types of unstable parameter processes and error distributions. However, it is difficult to identify those types in practice based on a priori knowledge. My dissertation studies methods and conditions under which asymptotically efficient tests are obtained without the knowledge of the unstable parameter process and the error distribution. First, I examine asymptotically optimal tests for parameter instability in which the difficulty in identifying the unstable process is explicitly considered. Elliott and Muller (2006) provide conditions under which a large class of breaking processes lead to asymptotically equivalent optimal tests. Their finding, however, is restricted to linear Gaussian models. I improve upon their work in two ways. First, I show that the asymptotic equivalency of the efficient tests for parameter instability holds even in a broader set of parametric models which includes nonlinear models with non-Gaussian error distributions. It implies that the knowledge of the unstable parameter process is asymptotically irrelevant for testing purposes. Second, I suggest a test statistic that is asymptotically optimal for a broad set of unstable parameter processes. Second, I study asymptotically efficient tests for parameter instability in general semiparametric models in which the error distribution is unknown but treated as an infinite dimensional nuisance parameter. I first derive the asymptotic power envelope with unknown density and suggest conditions under which a semiparametric model would have the same asymptotic power envelope with known error distribution. The conditions are weak enough to cover a wide range of error distributions by relaxing the twice differentiability and allowing for skewness. An efficient test statistic is then suggested, which is adaptive in the sense that allowing unknown error distribution gives no loss of asymptotic power. This implies that the knowledge of the error distribution is asymptotically irrelevant under mild conditions. Finally, the suggested parameter instability tests are applied to various quantile models for U.S. inflation process such as Phillips curve, P- star model, and AR models. The tests result shows a strong evidence of parameter instability in most quantile levels of all models.
Book Synopsis Semiparametric Testing of Statistical Functionals Revisited by : Vladimir Ostrovski
Download or read book Semiparametric Testing of Statistical Functionals Revisited written by Vladimir Ostrovski and published by . This book was released on 2013 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract Along the lines of Janssen's and Pfanzagl's work the testing theory for statistical functionals is further developed for non-parametric one-sample problems. Efficient tests for the one-sided and two-sided problems are derived for nonparametric statistical functionals. The asymptotic power function is calculated under implicit alternatives and hypotheses, which are given by the functional itself, for the one-sided and two-sided cases. Under mild regularity assumptions is shown that these tests are asymptotic most powerful. The combination of the modern theory of Le Cam and approximation in limit experiments provide a deep insight into the upper bounds for asymptotic power functions tests for the one-sided and two-sided problems of hypothesis testing. As example tests concerning the von Mises functional are treated in nonparametric context.
Book Synopsis Efficient and Adaptive Estimation for Semiparametric Models by : Peter J. Bickel
Download or read book Efficient and Adaptive Estimation for Semiparametric Models written by Peter J. Bickel and published by Springer. This book was released on 1998-06-01 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with estimation in situations in which there is believed to be enough information to model parametrically some, but not all of the features of a data set. Such models have arisen in a wide context in recent years, and involve new nonlinear estimation procedures. Statistical models of this type are directly applicable to fields such as economics, epidemiology, and astronomy.
Book Synopsis On Goodness-of-fit Tests of Semiparametric Models by : Bo Li
Download or read book On Goodness-of-fit Tests of Semiparametric Models written by Bo Li and published by . This book was released on 2006 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonparametric Tests for Complete Data by : Vilijandas Bagdonavicius
Download or read book Nonparametric Tests for Complete Data written by Vilijandas Bagdonavicius and published by John Wiley & Sons. This book was released on 2013-02-04 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concerns testing hypotheses in non-parametric models. Classical non-parametric tests (goodness-of-fit, homogeneity, randomness, independence) of complete data are considered. Most of the test results are proved and real applications are illustrated using examples. Theories and exercises are provided. The incorrect use of many tests applying most statistical software is highlighted and discussed.
Book Synopsis Nonparametric Tests for Censored Data by : Vilijandas Bagdonavicius
Download or read book Nonparametric Tests for Censored Data written by Vilijandas Bagdonavicius and published by John Wiley & Sons. This book was released on 2013-02-07 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concerns testing hypotheses in non-parametric models. Generalizations of many non-parametric tests to the case of censored and truncated data are considered. Most of the test results are proved and real applications are illustrated using examples. Theories and exercises are provided. The incorrect use of many tests applying most statistical software is highlighted and discussed.
Book Synopsis Nonparametric Econometrics by : Qi Li
Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2011-10-09 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Book Synopsis Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks by : Fabrizio Iacone
Download or read book Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks written by Fabrizio Iacone and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for any weak autocorrelation present in the series. We extend this approach in two distinct ways. First, we show that it can be generalised to allow for testing of the null hypothesis that a series is I(ffi) for any ffi lying in the usual stationary and invertible region of the parameter space. Second, it is well known in the literature that long memory and level breaks can be mistaken for one another, with unmodelled level breaks rendering fractional integration tests highly unreliable. We therefore extend the Lobato and Robinson (1998) approach to allow for the possibility of changes in level at unknown points in the series. We show that the resulting statistics have standard limiting null distributions, and that the tests based on these statistics attain the same asymptotic local power functions as infeasible tests based on the unobserved errors, and hence there is no loss in asymptotic local power from allowing for level breaks, even where none is present. We report results from a Monte Carlo study into the finite-sample behaviour of our proposed tests, as well as several empirical examples.
Book Synopsis Semiparametric Efficient Estimation for a Class of Generalized Proportional Odds Cure Models and an Extended Hazard Model with Longitudinal Covariates by : Meng Mao
Download or read book Semiparametric Efficient Estimation for a Class of Generalized Proportional Odds Cure Models and an Extended Hazard Model with Longitudinal Covariates written by Meng Mao and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, we present a mixture cure model with the survival time of the "uncured" group coming from a class of linear transformation models, which is an extension of the proportional odds model. This class of model, first proposed by Dabrowska and Doksum (1988), which we term "generalized proportional odds model", is well suited for the mixture cure model setting -- due to a clear separation between long-term and short-term effects. A standard expectation-maximization algorithm can be employed to locate the nonparametric maximum likelihood estimators, which are shown to be consistent and semiparametric efficient. However, there are difficulties in the M-step -- due to the nonparametric component. We overcome these difficulties by proposing two different algorithms. The first is to employ an majorize-minimize(MM) algorithm in the M-step instead of the usual Newton-Raphson method, and the other is based on an alternative form to express the model as a proportional hazards frailty model. The two new algorithms are compared in a simulation study with an existing estimating equation approach by Lu and Ying (2004). The MMalgorithm provides both computational stability and efficiency. A case study of leukemia data is conducted to illustrate the proposed procedures. In the second chapter, our interest is in data which has both event time and longitudinal covariates observed simultaneously. In the literature, joint modelling approaches have been employed to analyze both survival and longitudinal processes and to investigate their association. Early attention has mostly been placed on developing adaptive and flexible longitudinal processes based on a prespecified survival model, most commonly chosen asthe Cox proportional model. In this chapter, we propose a general class of semi-parametric hazard regression models, termed "extended hazard model" for the survival component, which includes two popular survival models, the Cox proportional hazards model and the accelerated failure time model, as special cases. The proposed model is flexible for modelling event data, and its nested structure facilitates model selection for the survival component through likelihood ratio tests. A pseudo joint likelihood approach is proposed to estimate the unknown parameters and components through a Monte Carlo EM algorithm. Asymptotic theory for the estimators is developed together with theory for the semiparamtric likelihood ratio tests. The performance of the procedure is demonstrated through simulation studies. A case study featuring data from a Taiwan HIV/AIDS cohort study further illustrates the usefulness of the extend hazard model.
Book Synopsis Econometric Methods and Their Applications in Finance, Macro and Related Fields by : Kaddour Hadri
Download or read book Econometric Methods and Their Applications in Finance, Macro and Related Fields written by Kaddour Hadri and published by World Scientific. This book was released on 2014 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the OC chaptersOCO of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models'' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-Based Multivariate Approach (Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano); Financial Risk Management Using Asymmetric Heavy-Tailed Distribution and Nonlinear Dependence Structures of Asset Returns Under Discontinuous Dynamics (Alaa El-Shazly); Modeling Time-Varying Dependence in the Term Structure of Interest Rates (Diaa Noureldin); Nonlinear Filtering and Market Implied Rating for a Jump-Diffusion Structural Model of Credit Risk (Alaa El-Shazly); Time-Varying Optimal Weights for International Asset Allocation in African and South Asian Markets (Dalia El-Edel); Econometric Theory and Methods: Econometric Methods for Ordered Responses: Some Recent Developments (Franco Peracchi); Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression (Anil K Bera, Antonio F Galvao Jr., Gabriel V Montes-Rojas, Sung Y Park); The Experimetrics of Fairness (Anna Conte and Peter Moffatt); Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models (Pascal Lavergne and Pierre Nguimkeu); Joint LM Test for Homoscedasticity in a Two Way Error Components Model (Eugene Kouassi, Joel Sango, J M BossonBrou and Kern O Kymn); An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System (Ghazal Amer and William Mikhail); Monetary, Labor, Environmental and Other Econometric Applications: Monetary Policy and the Role of the Exchange Rate in Egypt (Tarek Morsi and Mai El-Mossallamy); International Migration, Remittances and Household Poverty Status in Egypt (Rania Roushdy, Ragui Assaad and Ali Rashed); Determinants of Job Quality and Wages of the Working Poor: Evidence From 1998OCo2006 Egypt Labor Market Panel Survey (Mona Said); A Contract-Theoretic Model of Conservation Agreements (Heidi Gjertsen, Theodore Groves, David A Miller, Eduard Niesten, Dale Squires and Joel Watson); Household Environment and Child Health in Egypt (Mahmoud Hailat and Franco Peracchi); Modeling the Relationship between Natural Resource Abundance, Economic Growth, and the Environment: A Cross-Country Study (Hala Abou-Ali and Yasmine M Abdelfattah); Global Cement Industry: Competitive and Institutional Frameworks (Tarek H Selim and Ahmed S Salem); On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default (Abdelkrim Seghir); Is Targeted Advertising Always Beneficial? (Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel). Readership: Graduate students and researchers in the fields of econometrics, economic theory, applied econometrics.
Book Synopsis Cowles Foundation Discussion Paper by : Yale University. Cowles Foundation for Research in Economics
Download or read book Cowles Foundation Discussion Paper written by Yale University. Cowles Foundation for Research in Economics and published by . This book was released on 1955 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stable Parametric Programming by : S. Zlobec
Download or read book Stable Parametric Programming written by S. Zlobec and published by Springer Science & Business Media. This book was released on 2013-11-21 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimality and stability are two important notions in applied mathematics. This book is a study of these notions and their relationship in linear and convex parametric programming models. It begins with a survey of basic optimality conditions in nonlinear programming. Then new results in convex programming, using LFS functions, for single-objective, multi-objective, differentiable and non-smooth programs are introduced. Parametric programming models are studied using basic tools of point-to-set topology. Stability of the models is introduced, essentially, as continuity of the feasible set of decision variables under continuous perturbations of the parameters. Perturbations that preserve this continuity are regions of stability. It is shown how these regions can be identified. The main results on stability are characterizations of locally and globally optimal parameters for stable and also for unstable perturbations. The results are straightened for linear models and bi-level programs. Some of the results are extended to abstract spaces after considering parameters as `controls'. Illustrations from diverse fields, such as data envelopment analysis, management, von Stackelberg games of market economy, and navigation problems are given and several case studies are solved by finding optimal parameters. The book has been written in an analytic spirit. Many results appear here for the first time in book form. Audience: The book is written at the level of a first-year graduate course in optimization for students with varied backgrounds interested in modeling of real-life problems. It is expected that the reader has been exposed to a prior elementary course in optimization, such as linear or non-linear programming. The last section of the book requires some knowledge of functional analysis.
Book Synopsis On a Class of Non-parametric Tests by : Joan Raup Rosenblatt
Download or read book On a Class of Non-parametric Tests written by Joan Raup Rosenblatt and published by . This book was released on 1955 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility and Time Series Econometrics by : Mark Watson
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Book Synopsis Efficient Semiparametric Detection of Changes in Trend by : Chuan Goh
Download or read book Efficient Semiparametric Detection of Changes in Trend written by Chuan Goh and published by . This book was released on 2009 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a test for the correct specification of a dynamic time-series model that is taken to be stationary about a deterministic linear trend function with no more than a finite number of discontinuities in the vector of trend coefficients. The test avoids the consideration of explicit alternatives to the null of trend stability. The proposal also does not involve the detailed modelling of the data-generating process of the stochastic component, which is simply assumed to satisfy a certain strong invariance principle for stationary causal processes taking a general form. As such, the resulting inference procedure is effectively an omnibus specification test for segmented linear trend stationarity. The test is of Wald-type, and is based on an asymptotically linear estimator of the vector of total-variation norms of the trend parameters whose influence function coincides with the efficient influence function. Simulations illustrate the utility of this procedure to detect discrete breaks or continuous variation in the trend parameter as well as alternatives where the trend coefficients change randomly each period. This paper also includes an application examining the adequacy of a linear trend-stationary specification with infrequent trend breaks for the historical evolution of U.S. real output.
Download or read book Nonlinear Time Series written by Jiti Gao and published by CRC Press. This book was released on 2007-03-22 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully
