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  • Articles  (323)
  • Articles: DFG German National Licenses  (323)
  • Berkeley Electronic Press (now: De Gruyter)  (323)
  • Mathematics  (257)
  • Process Engineering, Biotechnology, Nutrition Technology  (66)
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  • Articles  (323)
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  • Articles: DFG German National Licenses  (323)
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  • 1
    Electronic Resource
    Electronic Resource
    Robust Temperature Stabilization for Fluid Catalytic Cracking Units Using Extended Kalman-Type Estimators (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 1 (2006), S. 3 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Fluidised-bed Catalytic Cracking (FCC) units, are one of the most complex and interactive processes in the refining industry, hence they are difficult to operate and to control; on the other hand they are one of the main producers of gasoline, which is an incentive to improve operation policies. This work deals with the design of regulative control law for stabilisation of reactor and regenerator temperatures considering that kinetics terms are poorly known, which is the industrial case. This control law uses on-line estimates of the heat of reaction, obtained from Kalman-like filtering of measured temperatures. The controllers designed are similar to standard input-output linearising controllers and can be tuned by standard techniques. Performance of the estimation technique under closed-loop operation is analysed by numerical simulations, considering noisy measurements and time delay in the regenerator control input.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol1/iss1/3
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  • 2
    Electronic Resource
    Electronic Resource
    A Multi-Level Methodology for Conceptual Reaction-Separation Process Design (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 2 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Generic technology is presented for the optimal screening of reaction and separation process interactions. The proposed scheme enables the use of particularly rich superstructure formulations that are comprised of two types of generic synthesis units with flexible representation modes. A reaction unit enables a detailed representation of the reaction and a conceptual representation of separation systems is facilitated through separation task units. Possible process design interactions are embedded in the superstructure formulations as combinations of generic units. The design options are explored using stochastic optimisation techniques suitable for this class of problems. The synthesis scheme supports the decision making process in early process design stages and prepares problem definitions for later stages. Conceptual screening functionalities reveal design insights into the performance of complex reaction-separation systems based on the limited modelling information available early in design. This enables the identification and inclusion of the relevant design information into the superstructure formulations employed in the subsequent design stages.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/2
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  • 3
    Electronic Resource
    Electronic Resource
    Learning to Control pH Processes at Multiple Time Scales: Performance Assessment in a Laboratory Plant (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 7 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: This article presents a solution to pH control based on model-free learning control (MFLC). The MFLC technique is proposed because the algorithm gives a general solution for acid-base systems, yet is simple enough for implementation in existing control hardware. MFLC is based on reinforcement learning (RL), which is learning by direct interaction with the environment. The MFLC algorithm is model free and satisfying incremental control, input and output constraints. A novel solution of MFLC using multi-step actions (MSA) is presented: actions on multiple time scales consist of several identical primitive actions. This solves the problem of determining a suitable fixed time scale to select control actions so as to trade off accuracy in control against learning complexity. An application of MFLC to a pH process at laboratory scale is presented, showing that the proposed MFLC learns to control adequately the neutralization process, and maintain the process in the goal band. Also, the MFLC controller smoothly manipulates the control signal.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss1/7
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  • 4
    Electronic Resource
    Electronic Resource
    Inference of Chemical Reaction Networks Using Hybrid S-system Models (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 10 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: This article demonstrates, using simulations, the potential of the S-system formalism for the inference of unknown chemical reaction networks from simple experimental data, such as that typically obtained from laboratory scale reaction vessels. Virtually no prior knowledge of the products and reactants is assumed. S-systems are a power law formalism for the canonical approximate representation of dynamic non-linear systems. This formalism has the useful property that the structure of a network is dictated only by the values of the power law parameters. This means that network inference problems (e.g. inference of the topology of a chemical reaction network) can be recast as parameter estimation problems. The use of S-systems for network inference from data has been reported in a number of biological fields, including metabolic pathway analysis and the inference of gene regulatory networks. Here, the methodology is adapted for use as a hybrid modelling tool to facilitate the reverse engineering of chemical reaction networks using time series concentration data from fed-batch reactor experiments. The principle of the approach is demonstrated with noisy simulated data from fed-batch reactor experiments using a hypothetical reaction network comprising 5 chemical species involved in 4 parallel reactions. A co-evolutionary algorithm is employed to evolve the structure and the parameter values of the S-system equations concurrently. The S-system equations are then interpreted in order to construct a network diagram that accurately reflects the underlying chemical reaction network.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss1/10
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  • 5
    Electronic Resource
    Electronic Resource
    Spatial and Temporal Resolution in Data-Driven Process Modeling of an Integrated Newsprint Mill (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 13 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Like many globalized industries, the pulp and paper sector finds itself with an increasingly demanding clientele, who continually expect a better and cheaper product. An important design strategy being employed to address this objective is through an analysis of the vast quantity of process and product data accumulated in plant-wide data historians, in order to improve operations. Mill processes are multivariate, meaning that the interactions between the variables are as important as the variables themselves. Process relationships must therefore be modeled as a group, using an appropriate simulation technique like Multivariate Analysis (MVA), with suitable data pre-processing to account for process upsets and other disturbances. In a previous paper, using an Eastern Canadian newsprint mill as an industrial case study, we showed that it was possible to find statistically significant correlations between wood chip refiner operation, intermediate pulp quality, and final paper quality using data-driven models. This was true even though some important process parameters went unmeasured, process lags changed with time, and the operation of key equipment items changed gradually with use. The present study compares the use of different timescales and combinations of unit operations to determine which ones yield the best MVA simulations. Because plant operating data were used, and experimental design was not practical, it is possible that some of the correlations found could be attributable to coincidence. We therefore added and removed variables and time periods to explore the validity of the models. The best MVA models were obtained by using a shorter (1-hour) data timescale, although use of a weighted-average filter helped to bridge the gap between these faster readings and the slower paper quality trends.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss1/13
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  • 6
    Electronic Resource
    Electronic Resource
    Optimization of the Variable Reflux Ratio in a Batch Distillation Column through a Heuristic Method (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 12 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: The manuscript is focused on the optimization of a batch distillation column that is actually formulated in terms of control problem. The final objective is finding the optimal time-dependent reflux profile. In order to fulfill the call for simplicity and functionality from the industries, the reflux profile was approximated by means of a piece-wise function with three time intervals. A first-principles model, derived from the literature, proved to be a good trade-off between computational effort and accuracy. The capacity factor (CAP), defined as the on-specification products produced per time unit, is the performance index that must be maximized. The optimization problem was solved by a specifically modified Simplex method that demonstrated a good behavior in case of discontinuous objective function. Finally, a graphical analysis of the capacity factor was performed to show the irregularities of such a function.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss1/12
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  • 7
    Electronic Resource
    Electronic Resource
    Sliding-mode Observer for Uncertainty Estimation in a Class of Chemical Reactor: A Differential-Algebraic Approach (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 10 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: The problem of the on-line estimation of the reaction heat in a continuous stirred tank reactor from temperature measurements is addressed in this paper. The proposed uncertainty observer is based on differential algebraic techniques, such that the algebraic observability condition of the uncertainty from noisy temperature measurements is easily verified and the observer structure is very simple, which lead to feasible implementation. The observer proposed is robust against noisy measurements and sustained disturbances. The good performance of the observer is shown by means of numerical simulations and is compared with a nonlinear Luenberger-type observer.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/10
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  • 8
    Electronic Resource
    Electronic Resource
    Passivity Based Dynamic Controllability Analysis for Multi-Unit Processes (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 7 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: In this paper, a simple dynamic controllability analysis is developed to analyze the achievable control performance of different control structures for multi-unit processes. Based on the concept of passive systems, this approach extends the concepts of Decentralized Integral Controllability (DIC) and Block-Decentralized Integral Controllability (BDIC) so that process dynamics are considered. By using particular multipliers that represent different control structures, the frequency ranges in which perfect control may be achieved by multi-loop, multi-unit (block diagonal) and multivariable controllers are estimated. This bandwidth indicates the swiftness of the feedback control systems (e.g., the time the control systems take to reject a disturbance).
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss2/7
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  • 9
    Electronic Resource
    Electronic Resource
    Mathematical Modelling of the Self-Heating Process in Compost Piles (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 8 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: We model the increase in temperature in compost piles or landfill sites due to micro-organisms undergoing exothermic reactions. The model incorporates the heat release due to biological activity within the pile and the heat release due to the oxidation of cellulosic materials. The heat release rate due to biological activity is modelled by a function which is a monotonic increasing function of temperature over a particular range and followed by a monotone decreasing function of temperature. This functionality represents the fact that micro-organisms die or become dormant at high temperatures. The heat release due to the oxidation reaction is modelled by the usual manner using Arrhenius kinetics. The bifurcation behaviour is investigated for two-dimensional slab geometries to determine the critical sizes of the compost piles.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss2/8
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  • 10
    Electronic Resource
    Electronic Resource
    A MINLP Solution for Pellet Reactor Modeling (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 7 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: A fluidized bed reactor for phosphate precipitation and removal from wastewater is modeled according to a two-step procedure. The first modeling phase, based on the development of a thermodynamic model for the computation of phosphate conversion, previously presented elsewhere is not reported here. The second step is related to the reactor modeling in the core of this paper. The pellet reactor is modeled as a reactor network involving a set of elementary cells representing ideal flow patterns. All the potential solutions are imbedded into a superstructure and the modeling problem is expressed as a MINLP problem. The MINLP problem is solved by means of the GAMS package, first for two flow rate values corresponding to two experimental fluidized bed behaviours, and then for the two flow rates considered simultaneously. In each case, the problem consists in finding an output concentration as close as possible to the experimental output concentration. Three objective functions are studied. The results are compared with those of Montastruc et al. (2004) who used a different numerical procedure. Whatever the considered case, the solutions found are structurally simpler than the ones of Montastruc et al. (2004). A major assessment of this study is that the reactor efficiency can easily be deduced, without any precise knowledge of some key parameters such as the density and thickness of the calcium phosphate layer. Finally a last numerical study concerning the superstructure definition shows that too complex a superstructure does not provide significant refinements on the solution.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/7
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  • 11
    Electronic Resource
    Electronic Resource
    Molecular Simulation Study of Vapor-Liquid Equilibrium of Morse Fluids (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 8 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: The Morse potential energy function (PEF) is considered regarding the characterization of interaction forces of particles with tuning parameters. Phase coexistence of Morse fluids is predicted for different steepness and range of the PEF parameters using the grand-canonical transition matrix Monte Carlo (GC-TMMC) method, with quantification of the parameter S, which is the product of a constant with a unit of reciprocal length and the equilibrium distance between two molecules. We found that a lower limit of S exists bounded by infinite critical temperature. The critical properties of the vapor-liquid equilibrium curves are estimated using a rectilinear diameter method and a scaling law approach. A Clausius-Clayperon type relation of S and critical temperature is derived in this work. Vapor-liquid surface tension of Morse fluids by finite size scaling and GC-TMMC is also reported. Surface tensions are found to be higher at lower S.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/8
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  • 12
    Electronic Resource
    Electronic Resource
    Simulation of the Coke Calcining Processes in Rotary Kilns (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 20 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: The objective of this study is to simulate the green petroleum coke calcining processes using the simulation program HYSYS and using actual industrial data. Because counter-current mass flow is not allowed in the HYSYS program, the kiln was described by using fictive streams and unit operations. By the simulation, it is possible to predict the operating conditions that control the contents of undesirable impurities in the calcined petroleum coke, namely, sulfur, volatile matter and moisture contents. It also gives the desirable calcined petroleum coke properties such as density. Apart from the metal contents, the simulation allows the coke calciner to utilize any type of green coke regardless of the undesirable impurities. This is done without resorting to the costly blend from different types of green cokes. Simulation is also effective in controlling and optimizing calcination processes' variables. From the simulation it was found that it is possible to process any type of green coke for varying sulfur, volatile matter and water content by adjusting the amount of tertiary air and/or fuel. Two simulation cases were studied for low and high volatile matter contents of 8.5 and 14.7 wt% in the feed. Mass flow rates of fuel and tertiary air were both increased in the first case, while no fuel was required in the second case. The benefit from this is to reduce the operating costs.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/20
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  • 13
    Electronic Resource
    Electronic Resource
    Determining the Optimized Controller Parameters Using a Hybrid GA-SQP Technique (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 30 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Dynamic simulation and optimization of a hydrogenation reactor system were developed and investigated in the present work. The process mainly consists of three adiabatic fixed bed hydrogenation reactors in series in addition to one heater before the first reactor and three coolers after each reactor for interstage cooling. The feed flow rate to the unit, the feed temperature or the carbon monoxide content of the feed may change and cause variations of the outlet temperature of reactors. Therefore, it is essential to control the inlet temperature of each reactor. There is a temperature controller before each reactor and also one after the third reactor. The tuning parameters of the controllers were optimized in three different cases, taking into account the process constraints. In each case, a special disturbance was forced to the process. Because of catalyst deactivation, the inlet temperature of reactors must be increased during the running period in order to have the desired conversion. Therefore, the optimal inlet temperature profile was determined based on SOR, MOR and EOR data. Optimization of the process was done by the use of a hybrid GA-SQP method. The new hybrid method was developed to overcome the difficulties of both methods. The genetic algorithm (GA) which is a stochastic method, is relatively slow, but is not sensitive to the initial point. In contrast, sequential quadratic programming (SQP) method is a deterministic method which is fast, but very sensitive to the initial point and gets trapped in local optima. In the newly developed hybrid method, the SQP method speeds the solving procedure, while the GA enables the algorithm to escape from local optima. An industrial acetylene hydrogenation system was used to provide the necessary data to adjust kinetics and to validate the approach.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/30
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  • 14
    Electronic Resource
    Electronic Resource
    The Equilibrium Network: A New Approach for Simulation and Visualization of Aqueous Electrolyte Systems (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 22 
    Details
    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: A new simulation method for investigating mixed aqueous electrolyte systems at thermodynamic equilibrium is presented. Based on the commercial simulation package IPSEpro, a graphical procedure for assembling equilibrium systems followed by simultaneous solution of the underlying equation system was developed. At graphical setup, species and reactions objects are connected by the information of activity and stoichiometry in a network-like manner. Consequently, the resulting equations of mass action, the electro-neutrality and balance conditions are solved incorporating the Pitzer activity coefficient model and equilibrium constants from thermodynamic standard data. The method developed allows fast and flexible application of the complex thermodynamic principles to engineering tasks. The modeling approach and all basic models for graphical input and simultaneous solution of coupled equilibrium conditions are explained. For demonstration of the simulation method, example simulations for the systems of H2SO4-H2O, CaSO4-H2SO4-H2O and NaCl-CaSO4-CO2-H2O are described and evaluated successfully.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/22
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  • 15
    Electronic Resource
    Electronic Resource
    Development of Web Based Computer Package for the Simulation of Thermal Desalination Processes (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 14 
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    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: A computer package based on visual basic code is developed for single and multiple effect evaporation desalination systems (SEE and MEE). The package features design calculations of heat transfer area, power consumption, and costing. The package is user-friendly and is equipped with interactive menus for report and form printing, file saving and retrieving, help files, and tutorial. The computer code is designed to run a default design case and also allows the user to change variables within pre-specified practical ranges. A rigorous process model is used in the package, which is based on detailed fundamental material and energy balance equations, well-proven correlations for the heat transfer coefficients, physical properties, and thermodynamic losses. Illustrations of the package displays are presented together with a number of case studies. Model predictions generated from the code are validated against actual field data and they showed a very good agreement. Future plans involve development of design simulator for the multistage flash desalination (MSF) and reverse osmosis (RO).
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/cppm/vol2/iss3/14
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  • 16
    Electronic Resource
    Electronic Resource
    Mathematical Modeling of Supercritical Fluid Extraction of Fatty Acids from Trout Powder: Correlation of Mass Transfer Parameters (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 17 
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    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Supercritical fluid extraction (SCFE) has been introduced as an excellent method especially for food and pharmaceutical industries. Trout powder was selected as a source of high amount of valuable materials such as essential fatty acids (FAs). In this work, a mathematical model is introduced to simulate the transitional behavior of the extraction process. This model is able to explain the variation of FAs concentration profile in the bulk and solid phases versus the time of extraction. Effects of main operational parameters such as pressure (280 to 340 bar) and temperature (310 to 326 K) on the extraction yields were investigated in the supercritical fluid extraction system of laboratory scale and the results were compared with that information obtained from the solution of the model. In order to describe solid-solvent interactions, a linear equilibrium relationship was used in the model. Partial differential mass balance equations for the solid and fluid phases were solved numerically using an implicit method. The effective diffusivity into the particle pores and mass transfer coefficient to the bulk phase were the model parameters and they were correlated at different temperatures and pressures by fitting the results of the model to the experiments. The axial diffusivity and equilibrium coefficient of solid-solvent were kept constant in whole range of the operational conditions and they were estimated as the model constants.
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    URL: http://www.bepress.com/cppm/vol2/iss3/17
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  • 17
    Electronic Resource
    Electronic Resource
    Extended Modeling Framework for Heat and Power Integration in Batch and Semi-continuous Processes (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 24 
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    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Flexible manufacturing and processing, which are becoming crucial for companies that wish to remain competitive in today's changing market environment, require the detailed modeling of process operations, as well as the incorporation of utility consumption modeling and energy integration strategies. In this paper, a comprehensive modeling environment for heat and power integration in batch and semi-continuous processes is presented. Moreover, a general procedure concerning utility generation and utility system design optimization is described. This framework has been tested and evaluated as part of an industrial case study. The results obtained indicate that the general design methodology developed is effective for process integration of time-dependent processes with combined heat and power.
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    URL: http://www.bepress.com/cppm/vol2/iss3/24
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  • 18
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    Multiple Imputation and Random Forests (MIRF) for Unobservable, High-Dimensional Data (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 12 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Understanding the genetic underpinnings to complex diseases requires consideration of sophisticated analytical methods designed to uncover intricate associations across multiple predictor variables. At the same time, knowledge of whether single nucleotide polymorphisms within a gene are on the same (in cis) or on different (in trans) chromosomal copies, may provide crucial information about measures of disease progression. In association studies of unrelated individuals, allelic phase is generally unobservable, generating an additional analytical challenge. In this manuscript, we describe a novel approach that combines multiple imputation and random forests for this high-dimensional, unobservable data setting. An application to a cohort of HIV-1 infected individuals receiving anti-retroviral therapies is presented. A simulation study is also presented to characterize method performance.
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    URL: http://www.bepress.com/ijb/vol3/iss1/12
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  • 19
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    Two-Sample Tests of Area-Under-the-Curve in the Presence of Missing Data (2008)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 4 (2008), S. 1 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: The commonly used two-sample tests of equal area-under-the-curve (AUC), where AUC is based on the linear trapezoidal rule, may have poor properties when observations are missing, even if they are missing completely at random (MCAR). We propose two tests: one that has good properties when data are MCAR and another that has good properties when the data are missing at random (MAR), provided that the pattern of missingness is monotonic. In addition, we discuss other non-parametric tests of hypotheses that are similar, but not identical, to the hypothesis of equal AUCs, but that often have better statistical properties than do AUC tests and may be more scientifically appropriate for many settings.
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    URL: http://www.bepress.com/ijb/vol4/iss1/1
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  • 20
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    Phase Variation in Child and Adolescent Growth (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 9 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Child growth is characterised by increases in height, and increases in maturational status. Functional data analysis provides a tool to separate these two sources of variation (registration) and differentiates between the variation in maturational tempo (temporal, or "phase" variation) and the variation in height (amplitude variation). We extended this concept by combining Principal Component Analysis (PCA) and the Maximum Likelihood Principle. Longitudinal data on height were obtained from two large growth studies from Lublin, Poland, and Zurich, Switzerland, with altogether 361 children. Variation in amplitude monotonically rises with age; variation in phase peaks during puberty. During mid-puberty, phase variation is large and explains up to 40 percent of total height variance in girls, and up to 50 percent in boys. Eight amplitude and 4 phase components appeared biologically significant. The largest amplitude component explained 91% of the amplitude variance and is characterised by an almost horizontal pattern. The largest phase component explained 66% (boys) and 63% (girls) of phase variance, rises throughout childhood and reaches up to 0.85 years in adolescent boys, and up to 0.75 years in adolescent girls. Phase components significantly correlated with the clinical signs of puberty. The combination of PCA and the Maximum Likelihood Principle provides a new, powerful and automatic tool for growth modelling that includes estimates of future growth, adult stature and developmental tempo. Preliminary results indicate that this approach can be used for automatised screening purposes.
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    URL: http://www.bepress.com/ijb/vol3/iss1/9
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    An Integrated Analysis of Individual and Aggregated Health Data Using Estimating Equations (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 10 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Analyses of individual disease-exposure data within a population are useful when exposure of interest varies sufficiently within the population. When the within-population variance of exposure is limited, however, power of the individual-data analysis is reduced. In such situations, aggregated-data analyses of disease data across populations, with a sample of individual exposure data from each population, can be powerful in estimating the exposure effect if between-population variation of exposure is large. In this paper, we consider a new analytical framework that is a combination of the individual- and aggregated-data analyses, based on an estimating equation approach. The proposed analysis utilizes strengths from individual data and aggregated data in the estimation of the exposure effect of interest, depending on which of the exposure variations (within- versus between-population) dominates. Simulation studies under various different scenarios were performed to show the strengths of the proposed approach in the estimation of the exposure effects of interest.
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    Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 1, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Let H be an infinite-dimensional real separable Hilbert space. Given an unknown mapping M:H (r)H that can only be observed with noise, we consider two modified Robbins-Monro procedures to estimate the zero point ?o ( H of M. These procedures work in appropriate finite dimensional sub-spaces of growing dimension. Almost-sure convergence, functional central limit theorem (hence asymptotic normality), law of iterated logarithm (hence almost-sure loglog rate of convergence), and mean rate of convergence are obtained for Hilbert space-valued mixingale, (-dependent error processes.
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    Tests for Serial Independence and Linearity Based on Correlation Integrals (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We propose information theoretic tests for serial independence and linearity in time series against nonlinear dependence on lagged variables, based on the conditional mutual information. The conditional mutual information, which is a general measure for dependence, is estimated using the correlation integral from chaos theory. The significance of the test statistics is determined by means of bootstrap methods. The size and power properties of the tests are examined by simulation and illustrated with applications to real US GNP data.
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    Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code (1996)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 1.1996, 1, algorithm1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This is documentation for a C++ implementation of the simulated maximum likelihood (SML) estimation method, where the SML algorithm is applied to the stochastic volatility (SV) model. The algorithm and code can easily be adapted to a richer class of SV models, as well as to more general dynamic latent-variable models.
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    A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes (1996)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 1.1996, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The random-walk (white-noise) model and the harmonic model are two polar models in linear systems. A model in between is color chaos, which generates irregular oscillations with a narrow frequency (color) band. Time-frequency analysis is introduced for evolutionary time-series analysis. The deterministic component from noisy data can be recovered by a time-variant filter in Gabor space. The characteristic frequency is calculated from the Wigner decomposed distribution series. It is found that about 70 percent of fluctuations in Standard & Poor stock price indexes, such as the FSPCOM and FSDXP monthly series, detrended by the Hodrick-Prescott (HP) filter, can be explained by deterministic color chaos. The characteristic period of persistent cycles is around three to four years. Their correlation dimension is about 2.5. The existence of persistent chaotic cycles reveals a new perspective of market resilience and new sources of economic uncertainties. The nonlinear pattern in the stock market may not be wiped out by market competition under nonequilibrium situations with trend evolution and frequency shifts. The color-chaos model of stock-market movements may establish a potential link between business-cycle theory and asset-pricing theory.
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    An Approximate Wavelet MLE of Short- and Long-Memory Parameters (1999)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 3.1999, 4, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: By design a wavelet's strength rests in its ability to localize a process simultaneously in time-scalespace. The wavelet's ability to localize a time series in time-scale space directly leads to the computationalefficiency of the wavelet representation of a N £ N matrix operator by allowing the N largest elements of thewavelet represented operator to represent the matrix operator [Devore, et al. (1992a) and (1992b)]. Thisproperty allows many dense matrices to have sparse representation when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to estimatesimultaneously the short and long-memory parameters. Using the sparse wavelet representation of a matrixoperator, we are able to approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this approximate likelihood function over the short and long-memoryparameter space results in the approximate wavelet maximum likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long-memory parameters andusing only the wavelet coefficient's variances, the approximate wavelet MLE provides a fast alternative to thefrequency-domain MLE. Furthermore, the simulation studies found herein reveal the approximate wavelet MLEto be robust over the invertible parameter region of the ARFIMA model's moving average parameter, whereas thefrequency-domain MLE dramatically deteriorates as the moving average parameter approaches the boundariesof invertibility.
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    Seasonal Adjustment and the Business Cycle in Unemployment (2000)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 4.2000, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Several recent studies show that seasonal variation and cyclical variation in unemployment are correlated. A common finding is that seasonality tends to differ across the business cycle stages of recessions and expansions. Since seasonal adjustment methods assume that the two sources of variation can somehow be separated, the present study examines the impact of seasonal adjustment on the analysis of cyclical patterns. Seasonally adjusted quarterly unemployment data for five G-7 countries are modeled by a Smooth Transition Autoregression (STAR), whereas the corresponding unadjusted data are modeled by a so-called Seasonal STAR (SEASTAR). A comparison of the implied estimated peaks and troughs shows that there is substantial agreement on the business cycle chronologies, albeit that for seasonally adjusted data, recessionary periods tend to last longer.
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    Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe (2000)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 4.2000, 2, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We investigate business cycle dynamics for 26 countries, estimating a set of nonlinear models for real GDP where appropriate. We find a great deal of heterogeneity in the dynamics of real output growth across countries. At the same time, a common feature is the asymmetric response of real GDP to shocks and the tendency for negative real GDP shocks to be less persistent than positive real GDP shocks.
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    p-Value Adjustments for Multiple Tests for Nonlinearity (2000)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 4.2000, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: When the hypothesis of linearity of a univariate time series model is tested using a battery of tests for neglected nonlinearity, the probability of one or more tests' leading to a false rejection increases with the number of tests being performed. This paper discusses how this undesirable effect of multiple testing may be controlled by means of some simple and easily implemented procedures. Monte Carlo experiments are used to demonstrate the finite-sample effectiveness of the various methods, and an analysis of the nonlinearity properties of GDP data from five OECD countries is presented as an illustration.
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    Efficient Estimation of Dynamical Systems (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 4.2001, 4, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely, an integral-type Cram´er-Rao inequality.
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    The Formation of Inflation Expectations under Changing Inflation Regimes (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 4.2001, 4, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The present article offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select among regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the impact on the formation of inflation expectations in the presence of multiple and recurrent changes in inflation regimes. Our empirical findings give a plausible explanation as to why the rational-expectations hypothesis based on direct measures of inflation expectations from survey series is typically rejected because of large systematic differences between actual and expected inflation rates. In particular, our results indicate that in the case of changing and not perfectly observed inflation regimes, inference about rationality and unbiasedness based on a comparison of ex ante forecasts from survey series and actual inflation rate based on ex post realizations will be ambiguous because of the presence of an ex post bias. The empirical findings are based on Danish inflation rates covering 1957-1998. We show that it is not possible to reject the hypothesis of multiple inflationary regimes and that the actual inflation rate can be represented by a two-state Markov regime-switching model. It turns out that the real-time forecasts produced from this model exhibit a large degree of similarity when compared to the direct measures of inflation expectations. The result illustrates the important impact of switching regimes on the formation of actual and expected inflation and hence of ex post bias as a main contributor to the difference between actual and expected inflation observed directly from survey series.
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    Time-to-Expiry Seasonalities in Eurofutures (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 4.2001, 4, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This article reports a new seasonality in the volatility of Eurofutures contracts as a function of the time left before contract expiry. The fact that futures markets, unlike foreign exchange or equity markets, offer contracts that expire on specific dates, with typically one expiry per quarter for Eurofutures, leads to a new type of volatility seasonality as a function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures contracts we studied (Eurodollar, Euromark, and Short Sterling), decreases as a function of the time left to expiry. There is also an unexpected behavior consisting of oscillatory movements in volatility, with peaks every 60 business days, corresponding to rollover activities before each quarterly expiry.
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    On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Mode (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 5.2001, 1, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This article proves that periodic trajectories are generically impossible in a class of continuous-time growth models that allow a locally indeterminate steady state. Those models reducible to the two-dimensional Lotka-Volterra system of equations constitute the class considered here. Knowledge of the presence or absence of the limit cycles allows a global phase diagram of the system to be constructed. In particular, an explosive steady state implies that all perfect-foresight trajectories diverge to infinity and that the model cannot be used even locally.
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    Estimating ARMA Models Efficiently (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 5.2001, 2, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper presents the asymptotic and finite sample properties of the efficient method of moments and indirect inference, when applied to estimating stationary ARMA models. Issues such as identification, model selection, and testing are also discussed. The properties of these estimators are compared to those of maximum likelihood using Monte Carlo experiments for both invertible and noninvertible ARMA models.
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    Wavelet Analysis of the Cost-of-Carry Model (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 5.2001, 1, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship between the two price series. Furthermore, it also enables examination and comparison of reconstructed prices based on different levels of information detail. It is found that the lead-lag relationship described in the empirical literature still exists between the spot and the futures index prices. Such a relationship is more persistent when more detailed information is used for price reconstruction. This implies that, if market imperfection is to be blamed for the noncontemporaneous relationship between the spot and the futures indices, one should concentrate solely on those imperfections that are likely to occur within very short time horizons.
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    Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis (2001)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 5.2001, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We examine the behavior of the real exchange rates of nine transition economies during the 1990s. We propose an empirical model rationalized on the basis of standard economic models in the tradition of Mundell-Fleming-Dornbusch and Harrod-Balassa-Samuelson, allowing explicitly for real interest rate differentials and (implicitly) for productivity differentials to have an impact on real exchange rate equilibrium and employing nonlinear modeling techniques that are consistent with recently developed economic theories and observed regularities. Using a nonlinear multivariate generalization of the Beveridge-Nelson decomposition applied to our models, we also identify the permanent and temporary components of these real exchange rates implied by our estimates. The results have a natural interpretation and clear policy implications.
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    Growth, Saving, Financial Markets, and Markov Switching Regimes (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 5.2002, 4, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence may be interpreted as support for a hypothesis that the relation between financial development and growth evolves in a stepwise fashion. Theoretical models in which structural financial developments entail fixed costs imply such stepwise patterns. The estimated variable relations are roughly consistent with the patterns to be expected from such models, although our data do not admit definite conclusions. The timing of the shifts coincides with changes in regulation and in the financial-market structure.
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    Macrostructures in Microeconomic Dynamics (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 5.2002, 4, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper investigates topologically semiconjugate dynamics as a macrorepresentation of microeconomic dynamics. The condition for its existence, its summarizing property, and its inferability property are discussed. As an example, we present a model of a temporary equilibrium price dynamic that has a topologically semiconjugate one-dimensional income dynamic, from which the nature of the original price dynamic will be inferred.
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    Wavelets in Economics and Finance: Past and Future (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper I review what insights we have gained about economic and financial relationships from the use of wavelets and speculate on what further insights we may gain in the future. Wavelets are treated as a 'lens' that enables the researcher to explore relationships that previously were unobservable.
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    On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 3, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper studies the dynamics of lending and deposit rates in two emerging markets in Latin America: Colombia and Mexico. The dynamics of lending (deposit) interest rates are driven by the exogenous interbank interest rate and deviations from the long-run lending-interbank (deposit-interbank) interest rate relationship. Allowing for different interest rate behavior during periods characterized by large and small values of the spread, the non-linear specification proves superior to the linear one.
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    Terror Cycles (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 7.2003, 1, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper makes two contributions to the literature on terrorism: 1) It presents a model that explains the cyclical characteristics of terrorist attacks, and 2) It improves on the existing theoretical cyclical models since it takes explicitly into account terrorists' motivations and decision-making. The model assumes that the government acts as leader and terrorists as followers. Terrorists maximize terrorist acts over time constrained by their budget constraint, which yields a time path for terrorist activities. Then the government maximizes national security by taking the time path of terrorist activities and investments in enforcement as constraints. The model shows that permanent cyclical paths for enforcement, terrorist activities, terrorist capital and national security may arise as an optimal solution.
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    Power Properties of Nonlinearity Tests for Time Series with Markov Regimes (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 3, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper examines the relative performance of some popular nonlinearity tests when applied to time series generated by Markov switching autoregressive models. The nonlinearity tests considered include RESET-type tests, the Keenan test, the Tsay test, the McLeod--Li test, the BDS test, the White dynamic information matrix test, and the neural network test. Applications to economic time series are also considered.
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    Time-Varying Betas Help in Asset Pricing: The Threshold CAPM (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2003, 4, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the dynamics of beta risk. In this study, we introduce a new model, threshold CAPM, which outperforms both the conditional and unconditional CAPMs by generating smaller pricing errors. We also show that the beta risk changes through time with the changes in the economic environment and the dynamics of time variation of beta differ across industries. These findings have important implications for asset allocation, portfolio selection, and hedging decisions.
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    Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium? (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 1, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Farmer (1991) suggests that in a model in which there are multiple rational expectations (RE) equilibria agents may find it useful to coordinate their expectations in a unique RE equilibrium which is immune to the Lucas Critique. In this paper, we evaluate Lucas proof (LP) equilibrium performance in the context of the term structure of interest rates model by using post-war US data. Estimation results show that LP equilibrium exhibits some important features of the data that are not reproduced by the fundamental equilibrium. For instance, the short rate behaves as a random walk in a regime characterized by low conditional volatility, whereas the term spread Granger-causes changes in the short-rate in periods characterized by high conditional volatility.
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    Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle. (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 7.2003, 1, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We study how entry and exit decisions of a monopolist are affected by business cycle conditions. We model the business cycle as a two-state Markov process, and assume that the demand curve faced by the monopolist evolves differently in the two states of the economy. We explore conditions under which the monopolist would enter or exit, either in a boom or a recession.
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    Erratum (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2003, 3, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This note corrects some typographical errors in my earlier manuscript.
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    Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets (1998)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 2.1998, 4, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a rolling-window approach, and evaluated by both in-sample and out-of-sample performance measures. The criteria considered include system criteria, where we evaluate multiequation forecasting models, and univariate forecast-accuracy criteria. The five univariate criteria are root mean square error (RMSE), mean absolute deviation (MAD), mean absolute percentage error (MAPE), confusion matrix (CM), and confusion rate (CR). The five system criteria used include the trace of second-moment matrix of the forecast-errors matrix (TMSE), the trace of second-moment matrix of percentage-forecast errors (TMAPE), the generalized forecast-error second-moment matrix (GFESM), and a trading-rule profit criterion (TPC) based on a maximum-spread trading strategy. An in-sample criterion, the mean Schwarz information criteria (MSIC), is also computed. Our results suggest that error-correction models perform better in shorter forecast horizons, when models are compared based on quadratic loss measures and confusion matrices. However, the error-correction models which we consider perform better at all forecast horizons (one to five steps ahead) when models are compared based on a profit-maximization loss function. Further, our error-correction model, where the error-correction term is constructed according to a cost-of-carry equilibrium condition, outperforms our alternative error-correction model, which uses the price spreads as the error-correction term.
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    Using Long-, Medium-, and Short-Term Trends to Forecast Turning Points in the Business Cycle: Some International Evidence (1998)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 3.1998, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper provides rules for anticipating business-cycle recessions and recoveries for countries showing asymmetric cycle durations. Based on a Schumpeterian framework, we analyze business cycles as sums of short-, medium-, and long-term cycles defined for a particular class of unobserved component models. By associating the trend with the low frequencies of the pseudo-spectrum in the frequency domain, manipulation of the spectral bandwidth allows us to define subjective length trends with specific properties. In this paper, we show how these properties can be exploited to anticipate business-cycle turning points, not only historically, but also in a true ex-ante forecasting exercise. This procedure is applied to U.S. post-World War II GNP quarterly data, as well as to another set of European countries.
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    A Markov-Chain Sampling Algorithm for GARCH Models (1998)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 3.1998, 2, algorithm1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are used for Bayesian analysis of the GARCH model. As numerical examples, GARCH models of simulated data and of weekly foreign exchange rate series are estimated and analyzed.
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    Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP (1999)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 3.1999, 4, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We investigate asymmetries in the conditional mean dynamics of four sectors of the U.S. GDP data. Since the statistical evidence on nonlinearities in the conditional mean could be influenced by the presence of outliers, or by a failure to model conditional heteroskedasticity, we explicitly account for outliers by assuming that the innovations are drawn from the stable family, and model time-varying volatility by a GARCH(1,1) process. We also allow for the possibility of long memory in the series with fractional differencing. Our results indicate only weak evidence of significant nonlinearities in the conditional mean in some sectors of the GDP.
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    Stability Analysis of Continuous-Time Macroeconometric Systems (1999)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 3.1999, 4, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: There has been increasing interest in continuous-time macroeconometric models. This research investigates stability of the Bergstrom, Nowman, and Wymer continuous-time model of the U.K. when systemparameters change. This particularly well-regarded continuous-time macroeconometric model is chosen toassure the empirical and potential policy relevance of the results. Stability analysis is important with this modelfor understanding the dynamic properties of the system and for determining which parameters are the mostimportant to those dynamic properties. The main objective of this paper is to determine the boundaries ofparameters at which instability occurs. Two types of boundaries are found: the transcritical bifurcationboundary and the Hopf bifurcation boundary, corresponding to two different ways that instability occurs whenparameter values cross the bifurcation boundary.The existence of the Hopf bifurcation boundary is particularly useful, since Hopf bifurcation may provideexplanations for some cyclical phenomena in macroeconomy. Numerical algorithms are designed to locate thestability boundaries, which are displayed in three-dimensional diagrams. A notable and perhaps surprisingfact is that both types of bifurcations can coexist with this well-regarded U.K. model--in the same neighborhoodof the parameter space.
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    Extensions of the Forward Search to Time Series (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper extends the forward search technique to the analysis of structural time series data. It provides a series of powerful new forward plots that use information from the whole sample to display the effect of each observation on a wide variety of aspects of the fitted model and shows how the forward search, free from masking and swamping problems, can detect the main underlying features of the series under study (masked multiple outliers, level shifts or transitory changes). The effectiveness of the suggested approach is shown through the analysis of real and simulated data.
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    GARCH-type Models with Generalized Secant Hyperbolic Innovations (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 2, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: GARCH-type models have been analyzed assuming various nongaussian distributions of errors. In general, the asymmetric generalized Student-t random variable seems to be the distribution which better captures the nonnormality features of financial data. However, a drawback of this distribution is represented by the technical dificulties due to the evaluation of moments, especially in the case of fractional degrees of freedom. In this paper we propose to model high frequency time series returns using GARCH-type models with a generalized secant hyperbolic (GSH) distribution. The main advantage of the GSH distribution over the Student-t distribution is that all the moments are finite for each value of the shape parameter. The distribution is symmetric with respect to the mean, but we show that it is still possible to obtain the density in a closed form introducing a skewness parameter according to the method proposed by Fernandez and Steel. We use a Monte Carlo experiment to validate this distribution in the context of GARCH models with maximum likelihood estimates of parameters. Finally, we show an application to log returns of a stock index.
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    Experimental Design for Time-Dependent Models with Correlated Observations (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 2, art13 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We describe an algorithm for the construction of optimum experimental designs for the parameters in a regression model when the errors have a correlation structure. Our example is drawn from chemical kinetics, so that the model is nonlinear. Our algorithm has been implemented to be used when the model consists of a set of differential equations for which only numerical solutions ar available. However, the algorithm can also be used for standard regression models when the errors are correlated. The paper concludes with some discussion of outstanding issues in optimum design with correlated errors.
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    Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 2, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Several methods have been proposed for identifying clusters of extreme values leading to estimators of the extremal index; the latter represents,in the limit, the mean-size of each cluster of thresholds exceedances. The detection of clusters of extremes is relevant for the class of processes commonly used in financial econometrics, such as GARCH processes. The paper illustrates a novel approach to the above identification that exploits additional knowledge of the trajectory of the process around extreme events, and compares it to traditional approaches, using simulation from a GARCH process. We assess the relative performance of estimators in terms of bias, mean square error and distributional properties.
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    An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.
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    On the Power of Absolute Convergence Tests (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes whether or not the econometric methods usually applied to test for absolute convergence have provided this hypothesis a "fair" chance. I show that traditional (absolute and conditional) convergence tests are not consistent with even the simplest model that displays convergence. Furthermore, claims of divergence on the grounds of bimodalities in the distribution of GDP per capita can be made consistent with models in which neither divergence nor twin peaks are present in the long run.
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    Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper modifies an ad hoc index originated by Eichengreen et al (1995,1996), which is often used to document financial crises in emerging markets. By assuming nonlinear dynamics in a system of financial data, we successfully develop an alternative approach that not only captures the essence of the conventional index but also offers an indicator that leads the crises in-sample. This is very important for policy markers of transitional economies like Macedonia, for which the historical macroeconomic data are often inadequate for existing "early warning sign" systems of potential crises.
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    Stochastic Growth with Increasing Returns: Stability and Path Dependence (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 7.2003, 2, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The paper demonstrates global stability in a class of stochastic overlapping generations economies with increasing returns. These results are applied to the study of path dependent dynamics. In particular, for nonlinear stochastic models it is seen that persistence of the historical state and formal ergodicity may easily coincide. A new definition of path dependence is proposed that incorporates such dynamics.
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    The Asymmetric Reverting Property of Stock Returns (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2003, 4, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Using asymmetric nonlinear smooth-transition GARCH(M) models for the period of 1926:01 - 1997:12, this paper shows that monthly excess returns on value-weighted market indexes exhibit a strong asymmetric reverting pattern; a negative return reverts more quickly, with a greater reverting magnitude, to positive returns, than do positive returns revert to negative returns. This paper also reveals that the relationship between future volatility and its risk premium is surprisingly negative when a negative return shock has been realized. The observed asymmetry in return dynamics is directly associated with a reduction in risk premium following a negative return shock. The reduction in risk premium causes not only the current stock price to rise but also the realized negative return to revert faster.
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    Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 7.2003, 4, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Linear Vector Autoregression (VAR) models provide a useful starting point for analysing multivariate relationships between economic variables. They are frequently used for empirical macroeconomic modelling, policy analysis and forecasting. However, linear VAR systems fail to capture non-linear dynamics such as regime switching and asymmetric responses to shocks, suggested by the recent theoretical developments in macroeconomic research. In addition, an increasing body of empirical evidence suggests that the linear conditional expectations implied by standard VAR models do not always accord with the observed facts. For example, a significant number of empirical studies document asymmetries in the effects of monetary policy on output growth. This paper employs a more general nonlinear VAR methodology to re-examine previous findings that credit market conditions contribute to economic fluctuations as a propagator of shocks. Unlike linear projections it allows for nonlinear dynamics and asymmetric effects of shocks. We estimate a threshold vector autoregression (TVAR), in which the system's dynamics change back and forth between credit constrained and unconstrained regimes. Using generalised impulse response functions (GIRF) generated from the estimated nonlinear model, we examine the real effects of monetary policy. We find evidence of asymmetry in the effects of monetary policy in the credit constrained and unconstrained regimes as well as different output effects of monetary contractions and expansions.
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    Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists (2003)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 7.2003, 4, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows that the more the exchange rate deviates from its fundamental value, the more fundamentalists leave the market. In contrast to previous findings, our paper indicates that due to the nonlinear presence of fundamentalists, market stability decreases with increasing misalignments. A stabilization policy such as central bank interventions may help to deflate bubbles.
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    The ARAR Error Model for Univariate Time Series and Distributed Lag (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 1, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing, simple to implement and work well in practice.
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    Inferring the Forward Looking Equity Risk Premium from Derivative Prices (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 1, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as a direct 'ex-ante' estimate for market variance, and hence the risk premium. Here the time variation of the unobserved risk premium is modelled by a system of stochastic differential equations connected by arbitrage arguments between the spot equity market, the index futures and options on index futures. We motivate and analyse a mean-reverting form for the dynamics of the risk premium. Since the risk premium is not directly observable, information about its time varying conditional distribution is extracted using an unobserved component state space formulation of the system and Kalman filtering methodology. In order to cater for the time variation of volatility we use the option implied volatility in the dynamic equations for the index and its derivatives. This quantity is in a sense treated as a signal that impounds the market's 'ex-ante', forward looking, view on the equity risk premium. The results using monthly U.S. market data over the period January 1995 to June 2003 are presented and the model fit is found to be statistically significant using a number of measures. Comparisons with ex-post returns indicate that such historical measures may be understating the market risk premium.
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    Nonlinear Monetary Policy Rules: Some New Evidence for the U.S. (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 3, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper derives optimal monetary policy rules in setups where certainty equivalence does not hold because either central bank preferences are not quadratic, and/or the aggregate supply relation is nonlinear. Analytical results show that these features lead to sign and size asymmetries, and nonlinearities in the policy rule. Reduced-form estimates indicate that US monetary policy can be characterized by a nonlinear policy rule after 1983, but not before 1979. This finding is consistent with the view that the Fed's inflation preferences during the Volcker-Greenspan regime differ considerably from the ones during the Burns-Miller regime.
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    Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We develop a new Markov Chain Monte Carlo procedure for a time series regression model truncated by upper and lower bounds. The regression error term is assumed to follow an ARMA--GARCH process. We use a convergence diagnostics with a simultaneous test of mean and covariance stationarity and discuss model selection criteria. Using MCMC procedure we test the purchasing power parity theory for the Japanese yen controlled to fluctuate in a narrow band and find that the theory is supported if double truncation is incorporated in estimation.
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    What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying several tests of forecast accuracy and encompassing robust to nested models. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and derive their analytical expressions in different MS specifications. The relative contribution of each source is assessed through Monte Carlo simulations. We find that the main source of error is due to the misclassification of future regimes.
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    Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Business cycles in different industries have a tendency to synchronize with one another in what appears to be a national business cycle. Using simulation and time series techniques in the time and frequency domain, we offer econometric support for the industrial sector mode-locking hypothesis, extending recent work by Selover, Jensen and Kroll (2003). In addition, we propose an economic motivation of the underlying nonlinear model.
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    An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests (2004)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 8.2004, 1, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Using a new methodology that allows nonlinearities, we find frequent support for external debt sustainability in a number of Latin American countries. Our findings reverse the results for several countries, obtained with traditional unit-root tests and present a richer framework for evaluating the external solvency of an economy. Our results also provide some justification for the assumption the international current accounts are based on.
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    Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper extends the Fractionally integrated GARCH (FIGARCH) model by incorporating Normal Inverse Gaussian Distribution (NIG). The proposed model is flexible and allows one to model time-variation, long memory, fat tails as well as asymmetry and skewness in the distribution of financial returns. GARCH and FIGARCH models for daily log exchange rate returns with Normal, Student's t and NIG error distributions as well as GARCH/FIGARCH-in-mean models with t errors are estimated and compared both in terms of sample fit as well as out-of-the-sample predictive ability in several dimensions. The FIGARCH model with symmetric and asymmetric NIG errors outperform alternatives both in-sample fit and 1-day and 5-day ahead predictions of the quartiles of the exchange rate return distributions.
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    Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution which is L-2 near epoch dependent. We also derive consistency and asymptotic normality of the maximum likelihood estimator for a probit specification of the model. We illustrate a possible application of the model by estimating a discrete version of a robust ``difference" monetary policy rule for the period 1990:2006 at a monthly frequency.
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    Jump-and-Rest Effect of U.S. Business Cycles (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.
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    Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art4 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We propose a simple computational method in the context of generalized method of moments for improving the efficiency of regression coefficient estimates. The gains in efficiency arise by incorporating additional moment conditions in the estimation framework based on maximal overlap wavelet packet transforms of the continuous explanatory variables. A major advantage of the proposed method is that it does not require additional exogenous auxiliary information but relies on wavelet packet transforms of the existing continuous explanatory variables. Based on existing theory, we provide theoretical arguments for the proposed methodology, for both linear and non-linear models, and demonstrate its advantages with both an empirical application concerning two brand demand models and a Monte Carlo simulation study.
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    Should Policy Makers Worry about Asymmetries in the Business Cycle? (1999)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 3.1999, 4, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper reconsiders the conventional use of econometric models, especially identified vector autoregressive models, in guiding monetary policy. The main question I explore is whether these models are seriously flawed because they ignore asymmetries in the business cycles. Toward that end, models that allow for asymmetric business cycles defined by the case where recessions and expansions are not mirror images of each other are estimated. The results suggest that policy makers should worry about asymmetries in business cycles because most econometric models cannot capture empirically important asymmetries. In particular, estimated multiregime models show that the effects of monetary policy are stronger during turning points and outright recessions than in expansions. I conclude that the symmetry/asymmetry question has as much, and maybe even more, practical significance than debates over identification assumptions that have influenced much of the empirical macroeconomic literature over the past 20 years.
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    Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The functioning of electricity markets has experienced increasing complexity as a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such as long memory and regime switching reflecting congestion and non-congestion periods are empirically relevant and hence are features that need to be taken into account when modeling price behavior. In the present paper we further elaborate on the co-existence of long memory and regime switches by focusing on the effect that the direction of possible congestion episodes has on the price dynamics. Under non-congestion prices are identical. The direction of possible congestion is identified by the region with excess demand of power through the sign of price differences and hence three different states can be considered: Non-congestion and congestion periods with excess demand in the one or the other region. Using data from the Nordic power exchange, Nord Pool, we find that the price dynamics and long memory features of the price series generally are rather different across the different states. Also, there is evidence of fractional cointegration at some grid points when conditioning on the states.
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    Fractionally Integrated Long Horizon Regressions (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art6 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We consider long horizon regression models where the disturbance and the predictor are possibly fractionally integrated. Asymptotic distributions of the OLS estimator and of the test statistic are given. It is found that the t-statistic diverges at the rate of square root of T, where T is the sample size. Thus, it is desirable to use the scaled test statistic, as it converges to a well-defined limit, which depends on the memory parameters through the functionals on the fractional Wiener processes. Simulation studies present some empirical distributions of the scaled test statistic according to different values of the memory parameters. The proposed model with fractional processes is empirically more tractable than the model with local to unity processes, since memory parameters are consistently estimable unlike localizing parameters in the latter model.
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    Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004 (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art3 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Two versions of a fractionally cointegrating vector error correction model (FVECM) are presented. In the case of regular cointegration, linear combinations of fractionally integrated variables are integrated to lower order. Generalized cointegration is defined as the case where the cointegrating variables may be fractional differences of the observed series. The concepts are applied to a model of poll data on approval of the performance of prime ministers and governments in the UK.
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    Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We examine potential nonlinear behaviour in the conduct of monetary policy by the Bank of England. We find significant nonlinearity in this policy setting, and in particular that the standard Taylor rule really only begins to bite once expected inflation is significantly above its target. This suggests, for example, that while the stated objective of the Bank of England is to pursue a symmetric inflation target, in practice some degree of asymmetry has crept into interest-rate setting. We argue that, nevertheless, the very predictability of the policy rule, especially when set out in a highly plausible and intuitive nonlinear framework, is perhaps one reason why the United Kingdom has, since the early 1990s, enjoyed price stability combined with relatively strong growth.
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    Analysis and Modelling of Electricity Futures Prices (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art6 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We model electricity futures prices using a seasonal forward curve model, quantifying seasonalities by a deterministic seasonal forward premium. Stochastic features of the futures prices are contained in the stochastic forward premium: a quantity analogous to the well-known convenience yield. The model parameters are estimated from the historical data of IPE electricity futures prices and the spark spread, and electricity forward curves are deseasonalized to reveal their underlying stochastic structure. We apply principal component analysis to the deseasonalized forward curves and develop trading strategies using indicators based on these principal components.
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    Dynamic Simulation of Reactive Batch Distillation Column for Ethyl Acetate Synthesis (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Chemical product and process modeling 2 (2007), S. 5 
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    ISSN: 1934-2659
    Source: Berkeley Electronic Press Academic Journals
    Topics: Chemistry and Pharmacology , Process Engineering, Biotechnology, Nutrition Technology
    Notes: A detailed mathematical dynamic model of reactive batch distillation column is formulated for ethyl acetate synthesis and presented in terms of differential and algebraic equations (DAEs). These DAEs are solved using fourth order Runge-Kutta method in MATLAB® to obtain the detailed column dynamics. The simulation results provide the dynamics of reboiler and distillate compositions, reboiler temperature, ethyl acetate purity in the accumulated distillate and conversion of the reactants. These results are analyzed to derive the optimum operating policy, i.e., reflux ratio and batch time.
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    A Weighted Risk Set Estimator for Survival Distributions in Two-Stage Randomization Designs with Censored Survival Data (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 1 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In many clinical trials related to diseases such as cancers and HIV, patients are treated by different combinations of therapies. This leads to two-stage designs, where patients are initially randomized to a primary therapy and then depending on disease remission and patients' consent, a maintenance therapy will be randomly assigned. In such designs, the effects of different treatment policies, i.e., combinations of primary and maintenance therapy are of great interest. In this paper, we propose an estimator for the survival distribution for each treatment policy in such two-stage studies with right-censoring using the method of weighted estimation equations within risk sets. We also derive the large-sample properties. The method is demonstrated and compared with other estimators through simulations and applied to analyze a two-stage randomized study with leukemia patients.
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    Comparing Distribution Functions via Empirical Likelihood (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2006), S. 5 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: This paper develops empirical likelihood based simultaneous confidence bands for differences and ratios of two distribution functions from independent samples of right-censored survival data. The proposed confidence bands provide a flexible way of comparing treatments in biomedical settings, and bring empirical likelihood methods to bear on important target functions for which only Wald-type confidence bands have been available in the literature. The approach is illustrated with a real data example.
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    Application of a Variable Importance Measure Method (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 6 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Van der Laan (2005) proposed a targeted method used to construct variable importance measures coupled with respective statistical inference. This technique involves determining the importance of a variable in predicting an outcome. This method can be applied as inverse probability of treatment weighted (IPTW) or double robust inverse probability of treatment weighted (DR-IPTW) estimators. The variance and respective p-value of the estimate are calculated by estimating the influence curve. This article applies the Van der Laan (2005) variable importance measures and corresponding inference to HIV-1 sequence data. In this application, the method is targeted at every codon position. In this data application, protease and reverse transcriptase codon positions on the HIV-1 strand are assessed to determine their respective variable importance, with respect to an outcome of viral replication capacity. We estimate the DR-IPTW W-adjusted variable importance measure for a specified set of potential effect modifiers W. In addition, simulations were performed on two separate datasets to examine the DR-IPTW estimator.
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    Statistical Classification of Abnormal Blood Profiles in Athletes (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 3 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Blood doping has been challenging the scientific community since the early 1970's, where it was demonstrated that blood transfusion significantly improves physical performance. Here, we present through 3 applications how statistical classification techniques can assist the implementation of effective tests to deter blood doping in elite sports. In particular, we developed a new indirect and universal test of blood doping, called Abnormal Blood Profile Score (ABPS), based on the statistical classification of indirect biomarkers of altered erythropoiesis. Up to 601 hematological profiles have been compiled in a reference database. Twenty-one of them were obtained from blood samples withdrawn from professional athletes convicted of blood doping by other direct tests. Discriminative training algorithms were used jointly with cross-validation techniques to map these labeled reference profiles to target outputs. The strict cross-validation procedure facilitates the adherence to medico-legal standards mandated by the World Anti Doping Agency (WADA). The test has a sensitivity to recombinant erythropoietin (rhEPO) abuse up to 3 times better than current generative models, independently whether the athlete is currently taking rhEPO or has stopped the treatment. The test is also sensitive to any form of blood transfusion, autologous transfusion included. We finally conclude why a probabilistic approach should be encouraged for the evaluation of evidence in anti-doping area of investigation.
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    Approximate Power and Sample Size Calculations with the Benjamini-Hochberg Method (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 8 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We provide a method for calculating the sample size required to attain a given average power (the ratio of rejected hypotheses to the number of false hypotheses) and a given false discovery rate (the number of incorrect rejections divided by the number of rejections) in adaptive versions of the Benjamini-Hochberg method of multiple testing. The method works in an asymptotic sense as the number of hypotheses grows to infinity and under quite general conditions, and it requires data from a pilot study. The consistency of the method follows from several results in classical areas of nonparametric statistics developed in a new context of "weak" dependence.
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    Choice of Monitoring Mechanism for Optimal Nonparametric Functional Estimation for Binary Data (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 7 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Optimal designs of dose levels in order to estimate parameters from a model for binary response data have a long and rich history. These designs are based on parametric models. Here we consider fully nonparametric models with interest focused on estimation of smooth functionals using plug-in estimators based on the nonparametric maximum likelihood estimator. An important application of the results is the derivation of the optimal choice of the monitoring time distribution function for current status observation of a survival distribution. The optimal choice depends in a simple way on the dose-response function and the form of the functional. The results can be extended to allow dependence of the monitoring mechanism on covariates.
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    A Doubly Robust Censoring Unbiased Transformation (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 4 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We consider random design nonparametric regression when the response variable is subject to right censoring. Following the work of Fan and Gijbels (1994), a common approach to this problem is to apply what has been termed a censoring unbiased transformation to the data to obtain surrogate responses, and then enter these surrogate responses with covariate data into standard smoothing algorithms. Existing censoring unbiased transformations generally depend on either the conditional survival function of the response of interest, or that of the censoring variable. We show that a mapping introduced in another statistical context is in fact a censoring unbiased transformation with a beneficial double robustness property, in that it can be used for nonparametric regression if either of these two conditional distributions are estimated accurately. Advantages of using this transformation for smoothing are illustrated in simulations and on the Stanford heart transplant data.
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    Modeling the Effect of Alzheimer's Disease on Mortality (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 13 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Mortality rate ratios and the associated proportional hazards models have been used to summarize the effect of Alzheimer's disease on longevity. However, the mortality rate ratios vary by age and therefore do not provide a simple parsimonious summary of the effect of the disease on lifespan. Instead, we propose a new parameter that is defined by an additive multistate model. The proposed multistate model accounts for different stages of disease progression. The underlying assumption of the model is that the effect of disease on mortality is to add a constant amount to death rates once the disease progresses from an early to late stage. We explored the properties of the proposed model; in particular the behavior of the mortality rate ratio and median survival that is induced by the model. We combined information from several data sources to estimate the parameter in our model. We found that the effect of Alzheimer's disease on longevity is to increase the absolute annual risk of death by about 8% once a person progressed to late stage disease. Most importantly, we find that this additive effect is the same regardless of the patients' age or gender. Thus, the proposed additive multi-state model provides a parsimonious and clinically interpretable description of the effects of Alzheimer's disease on mortality.
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    Some Variants of the Backcalculation Method for Estimation of Disease Incidence: An Application to Multiple Sclerosis Data from the Faroe Islands (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 2 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Backcalculation is a technique that was originally developed for the study of HIV incidence. Here we introduce some variants of the estimation technique that allow for (i) correlation of the unobserved disease incidence counts, and (ii) the use of a smoothing step as part of the maximizing step in the EM algorithm to reduce instability due to small diagnosis counts. Both of these issues can be important in the analysis of small "epidemics." In addition, identification of correlation between diagnosis counts provides indirect evidence of correlation among unobserved incidence counts, hinting at the possibility of an infectious agent. We illustrate the ideas by reconstructing an incidence intensity function for the onset of multiple sclerosis, using data from the Faroe Islands. Previously, this data had been examined statistically, by Joseph, Wolfson & Wolfson (1990), to address the issue of infectiousness of multiple sclerosis. We argue that the incidence function cannot directly shed light on the enigmatic origin of multiple sclerosis in the Faroe Islands during World War II, and, in particular, cannot discriminate between hypotheses of an infectious or environmental agent.
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    Statistical Inference for Variable Importance (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 2 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Many statistical problems involve the learning of an importance/effect of a variable for predicting an outcome of interest based on observing a sample of $n$ independent and identically distributed observations on a list of input variables and an outcome. For example, though prediction/machine learning is, in principle, concerned with learning the optimal unknown mapping from input variables to an outcome from the data, the typical reported output is a list of importance measures for each input variable. The approach in prediction has been to learn the unknown optimal predictor from the data and derive, for each of the input variables, the variable importance from the obtained fit. In this article we propose a new approach which involves for each variable separately 1) defining variable importance as a real valued parameter, 2) deriving the efficient influence curve and thereby optimal estimating function for this parameter in the assumed (possibly nonparametric) model, and 3) develop a corresponding double robust locally efficient estimator of this variable importance, obtained by substituting for the nuisance parameters in the optimal estimating function data adaptive estimators. We illustrate this methodology in the context of prediction, and obtain in this manner double robust locally optimal estimators of marginal variable importance, accompanied with p-values and confidence intervals. In addition, we present a model based and machine learning approach to estimate covariate-adjusted variable importance. Finally, we generalize this methodology to variable importance parameters for time-dependent variables.
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    Estimating a Survival Distribution with Current Status Data and High-dimensional Covariates (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 9 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We consider the inverse problem of estimating a survival distribution when the survival times are only observed to be in one of the intervals of a random bisection of the time axis. We are particularly interested in the case that high-dimensional and/or time-dependent covariates are available, and/or the survival events and censoring times are only conditionally independent given the covariate process. The method of estimation consists of regularizing the survival distribution by taking the primitive function or smoothing, estimating the regularized parameter by using estimating equations, and finally recovering an estimator for the parameter of interest.
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    Conditional Likelihood Inference in a Case-Cohort Design: An Application to Haplotype Analysis (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 1 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Under the setting of a case-cohort design, covariate values are ascertained for a smaller subgroup of the original study cohort which typically is a representative sample from a population. Individuals with a specific event outcome are selected to the second stage study group as cases and an additional subsample is selected to act as a control group. We carry out analysis of such a design using conditional likelihood where the likelihood expression is conditioned on the ascertainment to the second stage study group. Such likelihood expression involves the probability of ascertainment which need to be expressed in terms of the model parameters. We present examples of conditional likelihoods for models for categorical response and time-to-event response. We show that the conditional likelihood inference leads to valid estimation of population parameters. Our application considers joint estimation of haplotype-event association parameters and population haplotype frequencies based on SNP genotype data collected under a case-cohort design.
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    Regression Analysis of Mean Lifetime: Exploring Nonlinear Relationship with Heteroscedasticity (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 5 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: As a generalization of the accelerated failure time models, we consider parametric models of lifetime Y, where the conditional mean E(Y|X;beta) can depend nonlinearly on the covariates X and some parameters beta. The error distribution can be heteroscedastic and dependent on X. With observed data subject to right censoring, we propose regression analysis for beta based on Kaplan-Meier estimates of the means over several regions of X. Consistency and asymptotic distributional properties of the estimators are established under general conditions. A resulting estimator of beta is shown to be the sum of two possibly dependent asymptotic normal quantities, based on which conservative confidence intervals and tests are derived. Simulation studies are conducted to investigate the performance of the proposed estimator and to compare it with Buckley-Jame's method. To illustrate the methodology, we study an example with kidney transplant data, where a nonlinear relationship called "mixtures-of-experts", proposed in the neural networks literature, is used to model the relationship between the survival time and the age of the patients.
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    Targeted Maximum Likelihood Learning (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 11 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Suppose one observes a sample of independent and identically distributed observations from a particular data generating distribution. Suppose that one is concerned with estimation of a particular pathwise differentiable Euclidean parameter. A substitution estimator evaluating the parameter of a given likelihood based density estimator is typically too biased and might not even converge at the parametric rate: that is, the density estimator was targeted to be a good estimator of the density and might therefore result in a poor estimator of a particular smooth functional of the density. In this article we propose a one step (and, by iteration, k-th step) targeted maximum likelihood density estimator which involves 1) creating a hardest parametric submodel with parameter epsilon through the given density estimator with score equal to the efficient influence curve of the pathwise differentiable parameter at the density estimator, 2) estimating epsilon with the maximum likelihood estimator, and 3) defining a new density estimator as the corresponding update of the original density estimator. We show that iteration of this algorithm results in a targeted maximum likelihood density estimator which solves the efficient influence curve estimating equation and thereby yields a locally efficient estimator of the parameter of interest, under regularity conditions. In particular, we show that, if the parameter is linear and the model is convex, then the targeted maximum likelihood estimator is often achieved in the first step, and it results in a locally efficient estimator at an arbitrary (e.g., heavily misspecified) starting density. We also show that the targeted maximum likelihood estimators are now in full agreement with the locally efficient estimating function methodology as presented in Robins and Rotnitzky (1992) and van der Laan and Robins (2003), creating, in particular, algebraic equivalence between the double robust locally efficient estimators using the targeted maximum likelihood estimators as an estimate of its nuisance parameters, and targeted maximum likelihood estimators. In addition, it is argued that the targeted MLE has various advantages relative to the current estimating function based approach. We proceed by providing data driven methodologies to select the initial density estimator for the targeted MLE, thereby providing data adaptive targeted maximum likelihood estimation methodology. We illustrate the method with various worked out examples.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol2/iss1/11
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    The Benjamini-Hochberg Method in the Case of Discrete Test Statistics (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 11 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We present a reformulation of the Benjamini-Hochberg method that is useful in 'large-scale' multiple testing problems based on discrete test statistics and derive its basic asymptotic (as the number of hypotheses tends to infinity) properties, subsuming earlier results. A set of gene expression data is used to illustrate the workings of the method in a multiple testing problem based on Kolmogorov-Smirnov and Mann-Whitney statistics.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/11
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  • 96
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    Characterizing the Degree of Stability of Non-linear Dynamic Models (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 1, art3 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The purpose of this paper is to show how the stability propertiesof non-linear dynamic models may be characterized and studied, where thedegree of stability is defined by the effects of exogenous shocks on theevolution of the observed stochastic system. This type of stability conceptis frequently of interest in economics, e.g., in real business cycle theory.We argue that smooth Lyapunov exponents can be used to measure the degree ofstability of a stochastic dynamic model. It is emphasized that the stabilityproperties of the model should be considered when the volatility of thevariable modelled is of interest. When a parametric model is fitted toobserved data, an estimator of the largest smooth Lyapunov exponent ispresented which is consistent and asymptotically normal. The small sampleproperties of this estimator are examined in a Monte Carlo study. Finally,we illustrate how the presented framework can be used to study the degree ofstability and the volatility of an exchange rate.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol6/iss1/art3
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  • 97
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    Nonlinear Trends and Co-trending in Canadian Money Demand (2002)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 6.2002, 1, art4 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Several authors have suggested that, instead of being unit root processes, some macro variables may actually be stationary around nonlinear deterministic trends (Perron, 1989, 1990, Bierens, 1997). This paper investigates this for four variables in a standard money demand specification, using Canadian data. Evidence is first presented that the null of unit root with drift (constant, linear, or nonlinear) can be rejected in favor of nonlinear trend stationarity for the variables. Then, Bierens' (2000) nonlinear co-trending test finds two common nonlinear trends among the variables. The trends are consistent with a standard money demand relationship. All unit root and co-trending test conclusions are based on size and power results from Monte Carlo simulations as well as on asymptotic critical values. The paper concludes with a discussion of how the observed nonlinear trending and co-trending might arise in a theoretical model, and with implications for further empirical tests.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol6/iss1/art4
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  • 98
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    Power Properties of Linearity Tests for Time Series (1996)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 1.1996, 1, art2 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper examines the power properties of several linearity tests applied in time-series analysis. The tests are the ones Lee et al.(1993) used in their Monte Carlo study. The main tool used for power comparisons in this paper is the Pitman asymptotic relative efficiency. The results generally strengthen the outcome of the simulations and complement some results in Lee et al. (1993). They also suggest guidelines for designing Monte Carlo experiments for linearity tests.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol1/iss1/art2
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  • 99
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    Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data (1996)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 1.1996, 1, dataset1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: First-reported monthly and quarterly time-series data on nine macroeconomic variables from 1960-1993 are given. Features of this so-called "unrevised" or "first-reported data" are discussed, and the data is compared with standard "fully revised" data using Granger causality tests. For the purposes of real-time forecasting, as well as comparing professional forecasts with traditional econometric forecasts, the use of unrevised (or, even better, "real-time") data has a number of advantages over the use of fully revised data.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol1/iss1/dataset1
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  • 100
    Electronic Resource
    Electronic Resource
    A Kernel Test for Neglected Nonlinearity (1996)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 1.1996, 2, art4 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper develops a new kernel test for neglected nonlinearity in the conditional expectation function, and compares this test to the Ramsey RESET test (1969) and the Neural Net test of Lee, White, and Granger (1993). Like the Neural Test and the Ramsey Reset Test, this Kernel test is a Lagrange Multiplier test based on the R-Square statistic from a regression of the estimated residuals on the regressors, and an additional nonlinear function of the regressors. Unlike the other tests, our test has a two stage approach where in the first stage we estimate the structure of the misspecification and in the second stage we test for whether or not the estimate of the misspecification can better predict the residuals than their mean. This two stage approach can give the researcher guidance on the nature of the misspecification, and should improve the power of the test since the added function in the regression of the residuals is itself an estimate of the conditional expectation of the residuals given the independent variables. In addition, because it uses simple, well known estimation methods it can be implemented by researchers when using linear models.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol1/iss2/art4
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