A note on the uniform asymptotic normality of location M-estimates

In the robustness framework, the parametric model underlying the data is usually embedded in a neighborhood of other plausible distributions. Accordingly, the asymptotic properties of robust estimates should be uniform over the whole set of possible models. In this paper, we study location M-estimates calculated with a previous generalized S-scale and show that, under some regularity conditions, they are uniformly asymptotically normal over contamination neighborhoods of known size. There is a trade off between the size of the neighborhood and the breakdown point of the GS-scale, but it is possible to adjust the estimates so that they have 50% breakdown point whereas the uniform asymptotic normality is ensured over neighborhoods that contain up to 25% of contamination. Alternatively, both the breakdown point and the size of the neighborhood could be chosen to be 38%. These results represent an improvement over those obtained recently by Salibian-Barrera and Zamar (2004) J.R. Berrendero was Spanish supported by Grant BFM2001-0169 and Grand 06/0050/2003 (Comunidad De Madrid) R. H. Zamar was partially supported by the Natural Sciences and Engineering Research Council of Canada (NSERC).     

The Brand Choice Model of Wine Consumers: A Multinomial Logit Model

The objective of this study is to determine factors influencing brand preferences of wine consumers in the Marmara region where viniculture and wine production is so important in Turkey. First, the consumers’ preferences survey has been conducted with 1022 persons in the region randomly selected and evaluated. Then, the informative factors influencing brand preferences collected in these surveys have been determined by the multinomial logit model. A lot of independent variables have been used in the multinomial logit model, but, because some independent variables were not found as significant according to Likelihood Ratio test, these variables are not included in the multinomial logit analysis. Six important factors influencing wine brand preferences have been determined. These factors are brand change causes of consumers, occupation of consumers, marital status of consumers, birthplace of consumers, income of consumers and gender of consumers. In addition, whether the wine brand preferences are independent, has been tested with Testing Independence of Irrelevant Alternatives of Hausman. According to this test, it has been found that the wine brand preferences are independent.     

A sequential procedure to test three values of a binomial parameter

Sequential tests to decide among three binomial probabilities are needed in many situations, such as acceptance sampling used to determine the proportion of defective items and presence and absence sampling to decide whether pest species are causing economic damage to a crop such as corn. Approximate error probabilities associated with Armitage's (1950, JRSS B) method of simultaneously conducting three sequential probability ratio tests (SPRTs) are derived for the binomial distribution. These approximations provide a basis for adjusting the error rates used to establish the individual SPRTs so that the desired overall error rates are attained. Monte Carlo simulation is used to evaluate the revised procedure. Received: September 1998     

A note on studentizing a test for heteroscedasticity

Breusch and Pagan (1979) have recently proposed a convenient test for heteroscedasticity in general linear models. This note derives the asymptotic distribution of their test under sequences of contiguous alternatives to the null hypothesis of homoscedasticity. The test is shown to possess asymptotically incorrect size (nominal significance level) except in the case of strictly Gaussian disturbances. A slight modification of the test is proposed which corrects this defect.     

A non-parametric test for independence based on symbolic dynamics

In the present paper we propose a powerful, yet simple, non-parametric test for independence based on symbolic dynamic analysis. The absence of dependences in the unknown underlying data generating process is studied via symbolic dynamics. This is possible due to the ordering property of real numbers on an interval. Interestingly, the test is closely related to entropy concepts. Apart from being correctly sized, the new test is powerful for realistic finite data sets, and it is easy to use as one does not need to select any free parameter, which sharply contrasts with other tests of independence. In addition, the test is robust in the presence of noise which is one of the most typical cases when dealing with economic time series.     

Comment on: A non-parametric spatial independence test using symbolic entropy

In a recent paper López et al. (2010) introduce a new test for spatial independence. The test is a generalization of tests developed in Matilla-García (2007) and Matilla-García and Marín (2008). The results derived need some clarification.     

A note on connectedness of block designs

Summary We give a simple proof for the well known result that a block design (for an additive, fixed effects block model withv treatments inb blocks) is connected iff its ℰ-matrix has rankv-1.     

A note on the equivalence of specification tests in the two-factor multivariate variance components model

This note offers a generalization of Hausman and Taylor's equivalence of specification tests in the single-equation variance (error) components model to the two-factor multivariate variance components case. The relationship between the specification tests and the hypothesis test in the model proposed by Mundlak is also discussed.     

A specification test for the propensity score using its distribution conditional on participation

Propensity score matching has become a popular method for the estimation of average treatment effects. In empirical applications, researchers almost always impose a parametric model for the propensity score. This practice raises the possibility that the model for the propensity score is misspecified and therefore the propensity score matching estimator of the average treatment effect may be inconsistent. We show that the common practice of calculating estimates of the densities of the propensity score conditional on the participation decision provides a means for examining whether the propensity score is misspecified. In particular, we derive a restriction between the density of the propensity score among participants and the density among nonparticipants. We show that this restriction between the two conditional densities is equivalent to a particular orthogonality restriction and derive a formal test based upon it. The resulting test is shown via a simulation study to have dramatically greater power than competing tests for many alternatives. The principal disadvantage of this approach is loss of power against some alternatives.     

A note on the determination of A-optimal type block designs under fixed and mixed effects models

In this paper, we consider the problem of estimating a selected set of contrasts between v treatments using a block design consisting of b blocks of size k. Traditionally, the construction of A-optimal block designs for such situations has been carried out assuming a fixed effects model. In this paper, we show that A-optimal designs constructed under a fixed effects model are robust in the sense that these designs have maximal minimal efficiency when considered among all available designs and under all possible mixed effects models. AMS 1991 subject classifications: Primary 62K05; Secondary 62K10     

A New Index of Independence of 12 European National Central Banks

Abstract

Many countries have recently strengthened the autonomy of their central banks in the effort to protect central bankers from government influences. This article reviews and extends the relevant literature to propose a new ranking of central bank independence in contrast to those originated by Bade and Parking, and Cukierman. The analysis shows a bivariate relationship between independence and inflation rates in 12 European Union countries in the EMS era. However, neither inflation nor its standard deviation had any statistical significance effect on real GDP growth. The procedure reveals that findings are, sometimes, index-specific.     

A note on Musgrave asymmetrical trend-cycle filters

In this paper, we derive the implicit forecasts in the asymmetrical trend-cycle averages used in the X-11 seasonal adjustment method. We give an algorithm to calculate them, and we study their statistical properties. We express the forecasts as Stein estimators. We derive expressions for their bias, variance, covariances and prediction mean squared errors. We show that the prediction mean squared errors of the implied predictors are always smaller or equal to those obtained using the least squares predictors. Finally, we derive the prior distributions under which the implied predictors are Bayes estimators.     

A note on the robustness of Box-Behnken designs to the unavailability of data

Box-Behnken designs and central composite designs are efficient designs for fitting second order polynomials to response surfaces, because they use relatively small numbers of observations to estimate the parameters. In this paper we investigate the robustness of Box-Behnken designs to the unavailability of observations, in the sense of finding t _max , the maximum number of arbitrary rows in the design matrix that can be removed and still leave all of the parameters of interest estimable. The results are compared to the known results for the central composite designs found in MacEachern, Notz, Whittinghill & Zhu (1995). The blocked Box-Behnken designs are equally as robust as those that are not blocked. Received December 1997     

A note on generalized aberration in factorial designs

In this paper we extend the wordlength pattern and minimum aberration for non-regular factorials. The new concepts, the generalized wordlength pattern and minimum generalized aberration, are proposed. Some connections between the generalized wordlength pattern and uniformity are given. Some applications of the new concepts in the Blackett and Burman's designs are discussed. Received: September 2000     

Linear rank tests for comparing treatments with a control when data are subject to unequal patterns of censorship

A class of asymptotically distribution-free tests is considered for comparing several treatments with a control when the, data are subject to unequal right-censorship. A particular member of this class is proposed for use in practice and an illustrative numerical example is given. A general result for the Pitman efficacy of a test based on an asymptotically normal test statistic is proved for the multiparameter case and using this result the efficacy of the proposed class of tests is obtained under sequences of translation and proportional hazards alternatives. Simulation studies are conducted to compare the performance of the proposed test, in terms of power, with some other tests.     

固定资产减值问题的探讨

固定资产在企业资产中占据重要的地位,为避免因科技进步等原因给企业固定资产带来的贬值风险,保证会计信息的真实性和相关性,制度要求对固定资产计提减值准备。本文对如何核算计提减值准备后的固定资产折旧的问题进行了探讨,并提出了改进固定资产减值核算的建议。     

A note on the Robust Trend and ARARMA methodologies used in the M3 Competition

This brief note describes two of the forecasting methods used in the M3 Competition, Robust Trend and ARARMA. The origins of these methods are very different. Robust Trend was introduced to model the special features of some telecommunications time series. It was subsequently found to be competitive with Holt’s linear model for the more varied set of time series used in the M1 Competition. The ARARMA methodology was proposed by Parzen as a general time series modelling procedure, and can be thought of as an alternative to the ARIMA methodology of Box and Jenkins. This method was used in the M1 Competition and achieved the lowest mean absolute percentage error for longer forecasting horizons. These methods will be described in more detail and some comments on their use in the M3 Competition conclude this note.     

Estimation of a survival curve with randomly censored data in the presence of a covariate

This paper deals with the estimation of a survival curve in models with random right censoring and dependent censoring mechanism. We consider a specific dependent censorship model in which conditional on a covariate, the survival and censoring times are assumed to be independent. We investigate asymptotic properties of a corrected version of a survival curve estimator introduced by Cheng (1989). In particular we show uniform strong consistency and weak convergence to a Gaussian process. Comparisons of this estimator with the well-known Kaplan-Meier-estimator are included. Finally, some examples illustrate how the estimator performs. Received: February 2000     

试论审计独立性概念框架的构建

由于独立性关系到审计质量,关系到资本市场的效率,关系到注册会计师行业的生存。注册会计师的独立性问题是一直受到广泛关注的问题。各国及有关的国际组织都试图对独立性问题做出明确的规定。其中美国ISB及IFAC分别构建了独立性概念(原则)框架,对独立性问题作了较全面的规定。而我国对独立性问题的相关规定还很不系统,本文借鉴ISB及IFAC的相关规定阐述了独立性概念框架的主要内容,以期能够提供参考。