Simulation Estimation of Dynamic Panel Discrete Choice Models Using the t Distributions

In this paper a practical robust simulation estimator is proposed for the dynamic panel data discrete choice models using the $t$ distribution. The maximum simulated likelihood estimators are obtained through a recursive algorithm formulated by Geweke–Hajivassiliou–Keane simulators. Monte Carlo experiments indicate that the proposed robust simulation estimators perform well under the errors with longer than normal tails for a small simulation size, even with the initial conditions problem.     

A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity

Statistical tests routinely adopted for detecting nonlinear components in time series rely on the auxiliary regression of ARMA lagged residuals, and the Lagrange multiplier test to detect ARCH components is an example. The size distortion of such test suggests adopting a weighted test, where the weights are computed through a forward search algorithm. Simulations show that the forward weighted robust test is preferable to the classical Lagrange test and to existing robust tests, which are based on backward weighted regression or on estimated autocorrelation function. The forward weighted robust test is applied to daily financial and quarterly macroeconomic time series, showing its usefulness in detecting ARCH effects, even when outliers are present.     

销售电价与用电需求的面板数据协整建模

提出基于面板数据协整的销售电价与用电需求的关系分析方法,该方法同时利用时间和截面数据,改善小样本问题,解决变量内生性和序列相关所导致的伪回归问题,从而准确描述不同地区不同时间上销售电价和用电需求之间的协整关系。通过对1990到2005年美国各州销售电价与用电需求的面板单位根检验和面板协整检验,发现销售电价和用电需求是非平稳的面板数据,并且它们之间存在着显著的面板协整关系。在此基础上,提出基于截面加权回归的固定效应模型,用以准确描述销售电价和用电需求面板数据的长期均衡关系。     

Testing for Unit Roots in Panel Data Using a Wavelet Ratio Method

For testing unit root in single time series, most tests concentrate on the time domain. Recently, Fan and Gençay (Econom Theory 26:1305–1331, 2010) proposed a wavelet ratio test which took advantage of the information from the frequency domain by using a wavelet spectrum methodology. This test shows a better power than many time domain based unit root tests including the Dickey–Fuller (J Am Stat Assoc 74:427–431, 1979) type of test in the univariate time series case. On the other hand, various unit root tests in multivariate time series have appeared since the pioneering work of Levin and Lin (Unit root test in panel data: new results, University of California at San Diego, Discussion Paper, 1993). Among them, the Im–Pesaran–Shin (IPS) (J Econ 115(1):53–74, 1997) test is widely used for its straightforward implementation and robustness to heterogeneity. The IPS test is a group mean test which uses the average of the test statistics for each single series. As the test statistics in each series can be flexible, this paper will apply the wavelet ratio statistic to give a comparison with the test by using Dickey–Fuller t statistic in the single series. Simulation results show a gain in power by employing the wavelet ratio test instead of the Dickey–Fuller t statistic in the panel data case. As the IPS test is sensitive to cross sectional dependence, we further compare the robustness of both test statistics when there exists cross correctional dependence among the units in the panel data. Finally we apply a residual based wavestrapping methodology to reduce the over biased size problem brought up by the cross correlation for both test statistics.     

Measuring similarity of individuals in description logics over the refinement space of conjunctive queries

Sensor networks, communication and financial networks, web and social networks are becoming increasingly important in our day-to-day life. They contain entities which may interact with one another. These interactions are often characterized by a form of autocorrelation, where the value of an attribute at a given entity depends on the values at the entities it is interacting with. In this situation, the collective inference paradigm offers a unique opportunity to improve the performance of predictive models on network data, as interacting instances are labeled simultaneously by dealing with autocorrelation. Several recent works have shown that collective inference is a powerful paradigm, but it is mainly developed with a fully-labeled training network. In contrast, while it may be cheap to acquire the network topology, it may be costly to acquire node labels for training. In this paper, we examine how to explicitly consider autocorrelation when performing regression inference within network data. In particular, we study the transduction of collective regression when a sparsely labeled network is a common situation. We present an algorithm, called CORENA (COllective REgression in Network dAta), to assign a numeric label to each instance in the network. In particular, we iteratively augment the representation of each instance with instances sharing correlated representations across the network. In this way, the proposed learning model is able to capture autocorrelations of labels over a group of related instances and feed-back the more reliable labels predicted by the transduction in the labeled network. Empirical studies demonstrate that the proposed approach can boost regression performances in several spatial and social tasks.     

The enemy within: Autocorrelation bias in content analysis of narratives

Many content analysis studies involving temporal data are biased by some unknown dose of autocorrelation. The effect of autocorrelation is to inflate or deflate the significant differences that may exist among the different parts of texts being compared. The solution consists in removing effects due to autocorrelation, even if the latter is not statistically significant. Procedures such as Crosbie's (1993) ITSACORR remove the effect of at least first-order autocorrelations and can be used with small samples. The AREG procedure of SPSS (1994) and the AUTOREG procedure of SAS (1993) can be employed to detect and remove first-order autocorrelations, and higher-order ones too in the case of AUTOREG, while several methods specifically intended for small samples (Huitema and McKean, 1991, 1994) have been developed. Four examples of content analysis studies with and without autocorrelation are discussed.     

A New Approach to Unit Root Testing

A novel simulation based approach to unit root testing is proposed in this paper. The test is constructed from the distinct orders in probability of the OLS parameter estimates obtained from a spurious and an unbalanced regression, respectively. While the parameter estimate from a regression of two integrated and uncorrelated time series is of order O _p (1), the estimate is of order O _p (T ⁻¹) if the dependent variable is stationary. The test statistic is constructed as an interquantile range from the empirical distribution obtained from regressing the standardized data sufficiently often on controlled random walks. GLS detrending (Elliott et al., Econometrica 64(4):813–836, 1996) and spectral density variance estimators (Perron and Ng, Econom Theory 14(5):560–603, 1998) are applied to account for deterministic terms and residual autocorrelation in the data. A Monte Carlo study confirms that the proposed test has favorable empirical size properties and is powerful in local-to-unity neighborhoods. As an empirical illustration, we test the purchasing power parity hypothesis for a sample of G7 economies.     

基于小波变换多维时间序列最新变化点检测

现代数据科学中存在大量的多维时间序列数据,检测多维时间序列中的最新变化点对于短期预测很重要。一种改进的方法被提出,以检测此类多维时间序列数据中最新变化点。通过使用小波变换,将多维时间序列中的变化点检测问题转化为相对较容易的多维面板数据中的变化点检测问题。该方法旨在跨时间序列合并信息,以便优先推断多个序列中同一时间点的最...     

Testing the martingale difference hypothesis using integrated regression functions

An omnibus test for testing a generalized version of the martingale difference hypothesis (MDH) is proposed. This generalized hypothesis includes the usual MDH, testing for conditional moments constancy such as conditional homoscedasticity (ARCH effects) or testing for directional predictability. A unified approach for dealing with all of these testing problems is proposed. These hypotheses are long standing problems in econometric time series analysis, and typically have been tested using the sample autocorrelations or in the spectral domain using the periodogram. Since these hypotheses cover also nonlinear predictability, tests based on those second order statistics are inconsistent against uncorrelated processes in the alternative hypothesis. In order to circumvent this problem pairwise integrated regression functions are introduced as measures of linear and nonlinear dependence. The proposed test does not require to chose a lag order depending on sample size, to smooth the data or to formulate a parametric alternative model. Moreover, the test is robust to higher order dependence, in particular to conditional heteroskedasticity. Under general dependence the asymptotic null distribution depends on the data generating process, so a bootstrap procedure is considered and a Monte Carlo study examines its finite sample performance. Then, the martingale and conditional heteroskedasticity properties of the Pound/Dollar exchange rate are investigated.     

Analyzing survival curves at a fixed point in time for paired and clustered right-censored data

In clinical trials, information about certain time points may be of interest in making decisions about treatment effectiveness. Therefore, rather than comparing entire survival curves, researchers may wish to focus the comparison on fixed time points with potential clinical utility. For two independent samples of right-censored data, Klein et al. (2007) compared survival probabilities at a fixed time point by studying a number of tests based on transformations of the Kaplan-Meier estimators of the survival function. To compare the survival probabilities at a fixed time point for paired right-censored data or clustered right-censored data, however, their approach requires modification. In this paper, we extend the statistics to accommodate possible within-pair and within-cluster correlation. We use simulation studies to present comparative results. Finally, we illustrate the implementation of these methods using two real data sets.