859 resultados para GOODNESS-OF-FIT


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Mode of access: Internet.

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Title vignettes (publisher's device)

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Thesis (Master's)--University of Washington, 2016-06

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Background and Objective: To examine if commonly recommended assumptions for multivariable logistic regression are addressed in two major epidemiological journals. Methods: Ninety-nine articles from the Journal of Clinical Epidemiology and the American Journal of Epidemiology were surveyed for 10 criteria: six dealing with computation and four with reporting multivariable logistic regression results. Results: Three of the 10 criteria were addressed in 50% or more of the articles. Statistical significance testing or confidence intervals were reported in all articles. Methods for selecting independent variables were described in 82%, and specific procedures used to generate the models were discussed in 65%. Fewer than 50% of the articles indicated if interactions were tested or met the recommended events per independent variable ratio of 10: 1. Fewer than 20% of the articles described conformity to a linear gradient, examined collinearity, reported information on validation procedures, goodness-of-fit, discrimination statistics, or provided complete information on variable coding. There was no significant difference (P >.05) in the proportion of articles meeting the criteria across the two journals. Conclusion: Articles reviewed frequently did not report commonly recommended assumptions for using multivariable logistic regression. (C) 2004 Elsevier Inc. All rights reserved.

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Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

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The phenology of 11 diverse accessions of wild mungbean was observed under natural and artificial photoperiod - temperature conditions, in order to examine whether genotypic differences might be attributed to adaptive responses to photo-thermal conditions. There was large variation in phenological response among accessions and across environments, much of which was due to differences in the duration of the pre-flowering phase. Accessions that flowered earlier tended to flower for longer, apart from 2 earlier flowering, inland Australian lines that were also earlier maturing. The patterns of response in time from sowing to flowering over environment were consistent with quantitative short-day photoperiodic adaptation, a conclusion supported by the effects of artificial day-length extension and by 'goodness of fit' of the observed responses to standard models relating rate of development to photoperiod and temperature. The fitted models indicated that rate of development towards flowering was hastened by warmer temperatures, and delayed by longer day lengths, with differential sensitivity between accessions to both factors. The models also suggested that photoperiod was more important for accessions collected closer to the equator, which were generally later flowering as a consequence. Conversely, temperature was relatively more important in lines from higher latitudes. Modelling also suggested that the period from first flowering to maturity was sensitive to photoperiod and temperature. Again, longer days appeared to prolong growth and delay maturity. However, cooler temperatures accelerated rather than slowed maturity, by suppressing further vegetative growth. The variation observed indicated that there is considerable scope for using the wild population to broaden the adaptation of cultivated mungbean. In particular, the unusual response of a late-flowering, photoperiod-insensitive accession warrants further study to establish whether the wild population contains a unique 'long juvenile' trait analogous to that being used for improving phenological adaptation in soybean.

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Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.