For Poisson inverse Gaussian regression models, it is very complicated to obtain the influence measures based on the traditional
method, because the associated likelihood function involves intractable expressions, such as the modified Bessel function.
In this paper, the EM algorithm is employed as a basis to derive diagnostic measures for the models by treating them as a mixed Poisson regression
with the weights from the inverse Gaussian distributions. Several diagnostic measures are obtained in both case-deletion model
and local influence analysis, based on the conditional expectation of the complete-data log-likelihood function in the EM algorithm. Two numerical examples are given to illustrate the results. 相似文献
Finite-memory effects on the dynamics of the latent order book can be accounted for by allowing finite cancellation and deposition rates within a continuous reaction-diffusion set-up 相似文献
The stock market crash of October 1987 earmarked fears of a deep-seated financial crisis. In recent years, while there has been a number of empirical studies devoted to examinations of the number of common trends in a system of stock price indexes, only a minority has focused on what effect the crash has had on the characteristics [namely, the amount of co-movements amongst markets, their dynamic linkages, and implications for the transmission or propagation mechanism] of major stock markets. In this paper, we demonstrate how the techniques of unit root testing, cointegration, vector error-correction modelling (VECM) and forecast error variance decomposition (VDC) analysis, may be used to shed some light on these concerns in the context of six major international stock markets. Using two non-overlapping samples, we find evidence of a single cointegrating vector (or five common trends) over each of the pre- and post crash samples. A VECM is then constructed in which the temporal causal dynamics are examined, followed by decomposing the total impact of an unanticipated shock to each of the variables beyond the sample period, into proportions attributable to shocks in the other variables including its own. Results tend to broadly indicate: (1) the crash does not appear to have affected the relative leading role played by the US market over other markets; (2) the German and, British markets seem to have become more dependent on other markets over the post-crash era relative to the pre-crash; and (3) provide confirming evidence that, in general, the crash has brought about a greater interaction amongst markets, with a greater role for fluctuations in explaining shocks across markets (including that for the U.S.). 相似文献
Rural roads promote economic development, but they also facilitatedeforestation. To explore this tradeoff, this article developsa spatially explicit model of land use and estimates probabilitiesof alternative land uses as a function of land characteristicsand distance to market using a multinomial logit specificationof this model. Controls are incorporated for the endogeneityof road placement. The model is applied to data for southern Belize, an area experiencingrapid expansion of both subsistence and commercial agriculture,using geographic information system (GIS) techniques to selectsample points at 1-kilometer intervals. Market access, landquality, and tenure status affect the probability of agriculturalland use synergistically, having differential effects on thelikelihood of commercial versus semisubsistence farming. Theresults suggest that road building in areas with agriculturallypoor soils and low population densities may be a \"lose-lose\"proposition, causing habitat fragmentation and providing loweconomic returns. 相似文献
ABSTRACT This study examines the direct and indirect effects of race and income inequality on imprisonment rates across states. The analysis is designed to: 1) investigate whether race and income inequality are significantly related to imprisonment when controlling for crime , 2) assess the relative magnitudes of the direct and indirect effects; and 3) assess the relative magnitudes of race and income inequality. Crime is found to be the strongest predictor of incarceration rates in five of the six equations estimated. Income inequality is significantly related to incarceration rates in two of the six equations. There was no clear evidence of a direct race effect. The indirect effect of race was greater than the direct effect in four of the six equations. 相似文献
The volatility of reserve increment and the opportunity cost of holding reserves play prime role in models of optimal demand for foreign reserves. Most empirical studies find significant rise in the response of reserve demand to volatility during the era of high capital mobility. In contrast, we find that volatility measured as rolling standard deviation of reserve increment provides upwardly biased estimates whereas conditional volatility derived from GARCH models eliminates such bias and provides elasticity estimate closer to the prediction of buffer stock model (0.5). Though the time varying elasticity estimates derived from Kaiman filter exhibit a sharp rise during crises period, it does not exceed theoretical prediction. The RBI’s intervention policy seems to be asymmetric; leaning with wind when rupee depreciates and leaning against wind when rupee appreciates. This evidence seems to indicate that the policy of exchange rate stability had an in-built objective of providing a competitive edge to exporters.