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Model Estimation (model + estimation)

Distribution by Scientific Domains

Mathematics and Statistics	50%
Business, Economics, Finance and Accounting	50%

Selected Abstracts

Risk Factor Adjustment in Marginal Structural Model Estimation of Optimal Treatment Regimes

BIOMETRICAL JOURNAL, Issue 5 2009
Erica E. M. Moodie
Abstract Marginal structural models (MSMs) are an increasingly popular tool, particularly in epidemiological applications, to handle the problem of time-varying confounding by intermediate variables when studying the effect of sequences of exposures. Considerable attention has been devoted to the optimal choice of treatment model for propensity score-based methods and, more recently, to variable selection in the treatment model for inverse weighting in MSMs. However, little attention has been paid to the modeling of the outcome of interest, particularly with respect to the best use of purely predictive, non-confounding variables in MSMs. Four modeling approaches are investigated in the context of both static treatment sequences and optimal dynamic treatment rules with the goal of estimating a marginal effect with the least error, both in terms of bias and variability. [source]

Generation of synthetic sequences of half-hourly temperature

ENVIRONMETRICS, Issue 8 2008
L. Magnano
Abstract We present tools to generate synthetic sequences of half-hourly temperatures with similar statistical characteristics to observed historical data. Temperatures are generated using a combination of daily and half-hourly temperature models which account for intra-day and intra-year seasonality, as well as short-and long-term serial correlations. Details of the model estimation are given as well as a description of the synthetic generation. Copyright © 2008 John Wiley & Sons, Ltd. [source]

A general model for predicting brown tree snake capture rates

ENVIRONMETRICS, Issue 3 2003
Richard M. Engeman
Abstract The inadvertent introduction of the brown tree snake (Boiga irregularis) to Guam has resulted in the extirpation of most of the island's native terrestrial vertebrates, has presented a health hazard to small children, and also has produced economic problems. Trapping around ports and other cargo staging areas is central to a program designed to deter dispersal of the species. Sequential trapping of smaller plots is also being used to clear larger areas of snakes in preparation for endangered species reintroductions. Traps and trapping personnel are limited resources, which places a premium on the ability to plan the deployment of trapping efforts. In a series of previous trapping studies, data on brown tree snake removal from forested plots was found to be well modeled by exponential decay functions. For the present article, we considered a variety of model forms and estimation procedures, and used capture data from individual plots as random subjects to produce a general random coefficients model for making predictions of brown tree snake capture rates. The best model was an exponential decay with positive asymptote produced using nonlinear mixed model estimation where variability among plots was introduced through the scale and asymptote parameters. Practical predictive abilities were used in model evaluation so that a manager could project capture rates in a plot after a period of time, or project the amount of time required for trapping to reduce capture rates to a desired level. The model should provide managers with a tool for optimizing the allocation of limited trapping resources. Copyright © 2003 John Wiley & Sons, Ltd. [source]

The Social Value of Seascapes in the Jurien Bay Marine Park: An Assessment of Positive and Negative Preferences for Change

JOURNAL OF AGRICULTURAL ECONOMICS, Issue 3 2006
Abbie McCartney
Q51; C25 Abstract The Jurien Bay Marine Park, Australia, is known for its pristine seascapes, including views of the ocean and of the coastline. To aid the management of the various seascapes, this paper estimates aspects of the social value of these seascapes through the use of a contingent valuation study. Positive and negative preferences for change were accommodated within the survey design and model estimation. A single-function extended spike model was employed to estimate the willingness to pay (WTP) for protection of the seascapes, and was later constrained to a restricted version of a spike model. The restricted model identified that a proportion of the population had a positive preference for change within the seascapes, but a larger proportion had a negative preference, resulting in a positive net WTP to maintain seascapes in their current condition. Seascapes with coastal views were determined as having the highest social value; however, the value of the ocean seascapes followed closely behind. The positive welfare estimate for natural seascapes provides a reason for their preservation. [source]

Hedonic price index estimation under mean-independence of time dummies from quality characteristics

THE ECONOMETRICS JOURNAL, Issue 1 2003
Yasushi Kondo
Summary. We estimate hedonic price indices (HPI) for rental offices in Tokyo for the period 1985,1991. We take a partially linear regression (PLR) model, linear in x (year dummies) and nonparametric in z (office quality characteristics), as our main model; the usual linear model is used as well. Since x consists of year dummies, the linearity in x is not a restriction in the PLR model; the only restriction is that of no interaction between x and z. For the PLR model, the HPI are estimated -consistently with a two-stage procedure. For our data, x turns out to be (almost) mean-independent of z. This implies that least squares estimation (LSE) for models with a misspecified function for z is still consistent. The mean-independence also leads to an efficiency result that, under heteroskedasticity of unknown form, the two-stage PLR model estimator is at least as efficient as any LSE for models specifying (rightly or wrongly) the part for z. In addition to these, several interesting practical lessons are noted in doing the two-stage PLR model estimation. First, the cross validation (CV) used in the PLR model literature can fail if the mean-independence is ignored. Second, high order kernels can make the CV criterion function ill behaved. Third, product kernels work as well as spherically symmetric kernels. Fourth, nonparametric specification tests may work poorly due to a sample splitting problem with outliers in the data or due to choosing more than one bandwidth; in this regard, a test suggested by Stute (1997) and Stute et al. (1998) is recommended. [source]

Stock Returns and Operating Performance of Securities Issuers

THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2002
Gil S. Bae
Abstract We examine long-run stock returns and operating performance around firms' offerings of common stock, convertible debt, and straight debt from 1985 to 1990. We find that pre-issue abnormal returns are positive and significant for stock issuers, but not for convertible and straight debt issuers. The post-issue mean returns show that common stock and convertible debt issuers experience underperformance during the post-issue periods, but straight debt issuers do not. Consistent with these results, common stock issuers experience the best pre-issue operating performance among all three types of issuers, and operating performance declines during the post-issue periods for common stock and convertible debt issuers. Using a new approach in linear model estimations to correct heteroskedasticity and to adjust for finite sample, we find a positive relation between post-issue operating performance and issue-period stock price reactions. The results suggest that future operating performance is anticipated at the issue and that securities issues provide information on issuers' future performance. [source]