Article
Engineering, Civil
Changrang Zhou, Ronald van Nooijen, Alla Kolechkina
Summary: The representation of uncertainty in hydrology and climatology is crucial, and traditional statistical techniques like hypothesis tests and point estimates are not ideal for this purpose. In this study, three parametric methods are analyzed to construct confidence curves for detecting sudden changes in time series, considering three distributions. The confidence curves provide a better way to represent uncertainty. Additionally, a new statistic is introduced to assess the likelihood of the null hypothesis, and it is compared to the Pettitt test. The results show that all methods perform well in terms of coverage and confidence set size.
JOURNAL OF HYDROLOGY
(2023)
Article
Business, Finance
Yaacov Kopeliovich, Kevin Shea
Summary: We derive a formula to compute confidence intervals for stress testing predictions and compare it with a hypothetical scenario bootstrap methodology through numerical examples.
FINANCE RESEARCH LETTERS
(2023)
Article
Computer Science, Software Engineering
Hongyan Xu, Ayten Yigiter, Jie Chen
Summary: In this paper, a new R package called onlineBcp is introduced, which is based on an online Bayesian change point detection algorithm. This package provides convenient output of probability, location, and statistics for multiple change points, as well as functions for missing value pre-treatment and normality assumption checking. Furthermore, it allows fast detection of new change points in a data stream.
Article
Economics
Timothy B. Armstrong, Michal Kolesar, Mikkel Plagborg-Moller
Summary: This study constructs robust empirical Bayes confidence intervals for normal means problem, which are not affected by the means distribution and have an average coverage guarantee.
Article
Environmental Sciences
Imran Khan, Hongdou Lei, Ihsan Muhammad, Ahmad Khan, Mingyu Lei
Summary: Land use activities, such as urban expansion and agricultural practice, have significantly impacted natural ecosystems, food production, and environmental quality. This study examines the asymmetric impacts of land-use and land-cover changes on environmental quality in Pakistan. The results show that built-up land and grazing land have a symmetric unidirectional causation with carbon dioxide emissions, while cropland has no significant effect. The findings provide valuable insights for land-use policies and environmental protection in Pakistan.
JOURNAL OF ENVIRONMENTAL MANAGEMENT
(2023)
Article
Multidisciplinary Sciences
Tolga Omay, Nuri Ucar
Summary: In this study, a new unit root test for cross-sectionally dependent heterogeneous panels is proposed to investigate the validity of the purchasing power parity (PPP) proposition for 34 European and selected global countries. The test allows for gradual structural breaks and symmetric nonlinear adjustment toward the equilibrium level. The alternative hypothesis stationary is characterized by symmetric adjustment due to exponential smooth transition autoregression (ESTAR) around a nonlinear trend. The study also provides small sample properties extensively for the newly proposed test, and derives the approximate asymptotic distribution of the proposed tests using new techniques.
Article
Multidisciplinary Sciences
Xin Gao, Frank Konietschke, Qiong Li
Summary: Simultaneous confidence intervals are proposed based on the percentile bootstrap approach, with demonstrated admissibility and correct coverage probability for both normal and non-normal distributions. Efron's nonparametric delta method is extended for constructing nonparametric simultaneous confidence intervals for LASSO regression estimates.
Article
Economics
Tolga Omay, Furkan Emirmahmutoglu, Syed Jawad Hussain Shahzad
Summary: This study compares the performance of different algorithms in unit root tests with flexible Fourier trends, finding that derivative-free methods outperform hill-climbing methods in providing accurate fractional frequencies. Additionally, in the alternative hypothesis of the FFFFF unit root test, grid search and derivative-free methods offer unbiased and efficient estimations.
Article
Acoustics
N. Totaro, J. L. Guyader
Summary: MODENA is a method developed within the framework of Statistical Energy Analysis (SEA) and Statistical modal Energy distribution Analysis (SmEdA) to deal with energy exchanges between weakly coupled subsystems in vibro-acoustics. Unlike SEA, MODENA is not statistical but based on deterministic structures, while it is capable of handling larger matrices than SmEdA at a higher computation cost. It takes into account couplings between non resonant modes and retains information about resonance peaks, providing confidence intervals for the predicted energies.
JOURNAL OF SOUND AND VIBRATION
(2021)
Article
Economics
Ying-Shu Hung, Chingnun Lee, Pei-Fen Chen
Summary: This research empirically examines the cross-border influences of China's emergence and its monetary policy on global stock markets. By adopting a new approach, the evidence shows that China's monetary policy delivers international policy transmission to the stock markets of emerging economies, but has limited impact on the stock markets of major advanced economies.
ECONOMIC ANALYSIS AND POLICY
(2022)
Article
Business, Finance
Marilena Furno
Summary: A cointegration test for quantile regressions using Italian data was proposed and implemented, relying on auxiliary quantile regression to verify the stationarity of residuals. The test can determine cointegration with or without a structural break in the cointegrating equation. Two real data case studies and a Monte Carlo experiment were used to complete the analysis.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
(2021)
Article
Statistics & Probability
Luis A. Gil-Alana, OlaOluwa S. Yaya
Summary: This paper introduces a testing procedure for fractional orders of integration in the context of non-linear terms approximated by Fourier functions. The test statistic shows asymptotic standard normal distribution and performs well in finite samples as demonstrated by Monte Carlo experiments. Various applications using real life time series data are presented, such as US unemployment rates, US GNP, and Purchasing Power Parity (PPP) of G7 countries.
JOURNAL OF APPLIED STATISTICS
(2021)
Article
Economics
P. E. T. E. R. C. B. PHILLIPS
Summary: New methods are developed to accurately identify, estimate, and infer nonstationary time series with autoregressive roots close to unity. The approach encompasses various specifications and consistently estimates a new parameterization characterizing departures from unity. The simulations demonstrate the advantages of this alternative formulation for nonstationary time series. The housing market application in Australian state capital cities over the past decade distinguishes different forms of house price behavior.
ECONOMETRIC THEORY
(2023)
Article
Audiology & Speech-Language Pathology
Robert H. Margolis, Richard H. Wilson, George L. Saly
Summary: Confidence levels were established to determine if a word-recognition score is within the expected range for a hearing loss group or significantly below or above. Percentiles representing scores below and above the expected range were established. These confidence levels and expected ranges may be helpful for interpreting word-recognition scores obtained with widely used test materials.
Article
Mathematical & Computational Biology
Damon M. Bayer, Michael P. Fay, Barry I. Graubard
Summary: We have developed and studied a new method for estimating disease prevalence in complex surveys with imperfect assays. Our method combines gamma intervals and sensitivity/specificity estimates to improve coverage rates. Comparisons with established methods show that our approach performs well, particularly in low prevalence scenarios.
STATISTICS IN MEDICINE
(2023)
Article
Economics
Zhongjian Lin, Yingyao Hu
Summary: This paper proposes a binary choice model with misclassification and social interactions to address the misclassification problems in social interactions studies. The identification of the conditional choice probability of the latent dependent variable is achieved using repeated measurements and a monotonicity condition. The complete likelihood function is constructed from the two repeated measurements, and a nested pseudo likelihood algorithm is proposed for estimation. Consistency and asymptotic normality results are shown for the proposed estimation method.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Ji Hyung Lee, Yuya Sasaki, Alexis Akira Toda, Yulong Wang
Summary: Administrative data, often presented as tabulated summaries for confidentiality reasons, can be more easily accessed in this form. In this study, the authors propose a novel nonparametric density estimation method based on maximum entropy and demonstrate its consistent results. The method does not require tuning parameters and provides a closed-form density for further analysis. The authors apply this method to estimate the income distribution using tabulated summary data from U.S. tax returns.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Di Wang, Yao Zheng, Guodong Li
Summary: This paper proposes a new modeling framework for modeling and forecasting high-dimensional tensor-valued time series using the autoregression method. By considering a low-rank Tucker decomposition, this method can flexibly capture the underlying low-dimensional tensor dynamics, achieving dimension reduction and multidimensional dynamic factor interpretations. The paper also studies different estimation methods and their non-asymptotic properties under different low-rank settings.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Hongfei Wang, Binghui Liu, Long Feng, Yanyuan Ma
Summary: This study addresses the problem of testing mutual independence of high-dimensional random vectors and proposes a series of high-dimensional rank-based max-sum tests. Through extensive simulations and real data analysis, the superiority of these tests is demonstrated.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Julian Martinez-Iriarte, Gabriel Montes-Rojas, Yixiao Sun
Summary: This paper analyzes the unconditional effects of a general policy intervention, including location-scale shifts and simultaneous shifts. The study finds that failing to account for these shifts may lead to incorrect assessment of the potential policy effects on the outcome variable of interest.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Karim Chalak
Summary: This paper generalizes the Gini-Frisch bounds to accommodate nonparametric heterogeneous effects and provides suitable conditions for their application in nonparametric nonseparable equations.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Koki Fusejima
Summary: In this paper, sufficient conditions for identifying treatment effects on continuous outcomes are established in endogenous and multi-valued discrete treatment settings with unobserved heterogeneity. The monotonicity assumption for multi-valued discrete treatments and instruments is employed, and the identification condition has a clear economic interpretation. Additionally, the local treatment effects in multi-valued treatment settings are identified, and closed-form expressions of the identified treatment effects are derived.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Li Hou, Baisuo Jin, Yuehua Wu
Summary: The spatiotemporal modeling of networks is highly significant in epidemiology and social network analysis. This research proposes a method for estimating the parameters of spatial dynamic panel models effectively and efficiently. The study also introduces a complex orthogonal greedy algorithm for variable selection and incorporates fixed effects into the model. Extensive simulation studies and data examples demonstrate the effectiveness of the proposed method.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Weilun Zhou, Jiti Gao, David Harris, Hsein Kew
Summary: This paper discusses the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. The presence of cointegrated predictors balances the nonstationarity properties of the predictors with the stationarity properties of asset returns and avoids the curse of dimensionality. In an empirical application, it is found that using cointegrated predictors produces better out-of-sample forecasts.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Eric Beutner, Alexander Heinemann, Stephan Smeekes
Summary: This paper proposes a fixed-design residual bootstrap method for the two-step estimator associated with the conditional Value-at-Risk. The consistency of the bootstrap is proven for a general class of volatility models, and intervals are constructed for the conditional Value-at-Risk. Simulation results show that the reversed-tails bootstrap interval provides accurate coverage compared to the equal-tailed percentile bootstrap interval.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Federico M. Bandi, Davide Pirino, Roberto Reno
Summary: The article examines the staleness of asset prices, including systematic (market-wide) staleness and idiosyncratic (asset specific) staleness. The authors provide a limit theory based on joint asymptotics, utilizing increasingly-frequent observations and an increasing number of assets. They introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained solely from transaction prices, and assess the economic signal contained in these estimates using suitable metrics.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Vassilis Hajivassiliou, Frederique Savignac
Summary: The paper develops new methods for establishing coherency and completeness conditions in Static and Dynamic Limited Dependent Variables (LDV) Models. It characterizes the two distinct problems as empty-region incoherency and overlap-region incoherency or incompleteness and shows that the two properties can co-exist. The paper focuses on the class of models that can be Simultaneously Incomplete and Incoherent (SII) and proposes estimation strategies based on Conditional Maximum Likelihood Estimation (CMLE) for simultaneous dynamic LDV models.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Thomas Macurdy, David Glick, Sonam Sherpa, Sriniketh Nagavarapu
Summary: In a successful transition from youth to adulthood, individuals go through a series of roles in school, work, and family formation, culminating in becoming self-sufficient adults. However, some disconnected youth spend significant time outside of any role that leads to adult independence. Understanding the meaning of disconnection, the number of disconnected youth, their characteristics, and how the problem has evolved is essential in assisting these youth. Using comprehensive data, a study examined disconnection spells and found that in the early 2000s, approximately 19% of young men and 25% of young women experienced disconnection before the age of 23. These rates were even higher for certain sub-groups, reaching over 30% for some. The study also revealed that the majority of disconnected youth remained disconnected for more than a year, but once reconnected, they typically stayed connected for at least three years. The findings highlight the need for targeted interventions to prevent lengthy disconnection spells.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Jean-Jacques Forneron
Summary: This paper develops an approach to detect identification failure in moment condition models by introducing a quasi-Jacobian matrix. The quasi-Jacobian matrix is singular when local and/or global identification fails, and equivalent to the usual Jacobian matrix when the model is globally and locally identified. A simple test is introduced to conduct subvector inferences allowing for various levels of identification without prior knowledge about the underlying identification structure.
JOURNAL OF ECONOMETRICS
(2024)
Article
Economics
Zhao Chen, Vivian Xinyi Cheng, Xu Liu
Summary: This paper focuses on the testing problems of high-dimensional quantile regression and proposes a new test statistic based on the quantile regression score function. The paper investigates the limiting distributions of the proposed test statistic and shows through Monte Carlo simulations and empirical analysis that the proposed method outperforms existing methods in terms of controlling error rate and power.
JOURNAL OF ECONOMETRICS
(2024)