Jackknife for bias reduction in predictive regressions

One of the fundamental econometric models in finance is predictive regression. The standard least squares method produces biased coefficient estimates when the regressor is persistent and its innovations are correlated with those of the dependent variable. This article proposes a general and convenient method based on the jackknife technique to tackle the estimation problem. The proposed method reduces the bias for both single- and multiple-regressor models and for both short- and long-horizon regressions. The effectiveness of the proposed method is demonstrated by simulations. An empirical application to equity premium prediction using the dividend yield and the short rate highlights the differences between the results by the standard approach and those by the bias-reduced estimator. The significant predictive variables under the ordinary least squares become insignificant after adjusting for the finite-sample bias. These discrepancies suggest that bias reduction in predictive regressions is important in practical applications.

Bias reduction using stochastic approximation

The paper studies stochastic approximation as a technique for bias reduction. The proposed method does not require approximating the bias explicitly, nor does it rely on having independent identically distributed (i.i.d.) data. The method always removes the leading bias term, under very mild conditions, as long as auxiliary samples from distributions with given parameters are available. Expectation and variance of the bias-corrected estimate are given. Examples in sequential clinical trials (non-i.i.d. case), curved exponential models (i.i.d. case) and length-biased sampling (where the estimates are inconsistent) are used to illustrate the applications of the proposed method and its small sample properties.

Inférence robuste à la présence des valeurs aberrantes dans les enquêtes

Cette thèse comporte trois articles dont un est publié et deux en préparation. Le sujet central de la thèse porte sur le traitement des valeurs aberrantes représentatives dans deux aspects importants des enquêtes que sont : l’estimation des petits domaines et l’imputation en présence de non-réponse partielle. En ce qui concerne les petits domaines, les estimateurs robustes dans le cadre des modèles au niveau des unités ont été étudiés. Sinha & Rao (2009) proposent une version robuste du meilleur prédicteur linéaire sans biais empirique pour la moyenne des petits domaines. Leur estimateur robuste est de type «plugin», et à la lumière des travaux de Chambers (1986), cet estimateur peut être biaisé dans certaines situations. Chambers et al. (2014) proposent un estimateur corrigé du biais. En outre, un estimateur de l’erreur quadratique moyenne a été associé à ces estimateurs ponctuels. Sinha & Rao (2009) proposent une procédure bootstrap paramétrique pour estimer l’erreur quadratique moyenne. Des méthodes analytiques sont proposées dans Chambers et al. (2014). Cependant, leur validité théorique n’a pas été établie et leurs performances empiriques ne sont pas pleinement satisfaisantes. Ici, nous examinons deux nouvelles approches pour obtenir une version robuste du meilleur prédicteur linéaire sans biais empirique : la première est fondée sur les travaux de Chambers (1986), et la deuxième est basée sur le concept de biais conditionnel comme mesure de l’influence d’une unité de la population. Ces deux classes d’estimateurs robustes des petits domaines incluent également un terme de correction pour le biais. Cependant, ils utilisent tous les deux l’information disponible dans tous les domaines contrairement à celui de Chambers et al. (2014) qui utilise uniquement l’information disponible dans le domaine d’intérêt. Dans certaines situations, un biais non négligeable est possible pour l’estimateur de Sinha & Rao (2009), alors que les estimateurs proposés exhibent un faible biais pour un choix approprié de la fonction d’influence et de la constante de robustesse. Les simulations Monte Carlo sont effectuées, et les comparaisons sont faites entre les estimateurs proposés et ceux de Sinha & Rao (2009) et de Chambers et al. (2014). Les résultats montrent que les estimateurs de Sinha & Rao (2009) et de Chambers et al. (2014) peuvent avoir un biais important, alors que les estimateurs proposés ont une meilleure performance en termes de biais et d’erreur quadratique moyenne. En outre, nous proposons une nouvelle procédure bootstrap pour l’estimation de l’erreur quadratique moyenne des estimateurs robustes des petits domaines. Contrairement aux procédures existantes, nous montrons formellement la validité asymptotique de la méthode bootstrap proposée. Par ailleurs, la méthode proposée est semi-paramétrique, c’est-à-dire, elle n’est pas assujettie à une hypothèse sur les distributions des erreurs ou des effets aléatoires. Ainsi, elle est particulièrement attrayante et plus largement applicable. Nous examinons les performances de notre procédure bootstrap avec les simulations Monte Carlo. Les résultats montrent que notre procédure performe bien et surtout performe mieux que tous les compétiteurs étudiés. Une application de la méthode proposée est illustrée en analysant les données réelles contenant des valeurs aberrantes de Battese, Harter & Fuller (1988). S’agissant de l’imputation en présence de non-réponse partielle, certaines formes d’imputation simple ont été étudiées. L’imputation par la régression déterministe entre les classes, qui inclut l’imputation par le ratio et l’imputation par la moyenne sont souvent utilisées dans les enquêtes. Ces méthodes d’imputation peuvent conduire à des estimateurs imputés biaisés si le modèle d’imputation ou le modèle de non-réponse n’est pas correctement spécifié. Des estimateurs doublement robustes ont été développés dans les années récentes. Ces estimateurs sont sans biais si l’un au moins des modèles d’imputation ou de non-réponse est bien spécifié. Cependant, en présence des valeurs aberrantes, les estimateurs imputés doublement robustes peuvent être très instables. En utilisant le concept de biais conditionnel, nous proposons une version robuste aux valeurs aberrantes de l’estimateur doublement robuste. Les résultats des études par simulations montrent que l’estimateur proposé performe bien pour un choix approprié de la constante de robustesse.

School management and sexual behavior of teenagers

This paper asks whether school based management may help reducing risky sexual behavior of teenagers. For this purpose we use student level data from Bogot´a to identify students from Concession School (CS), who are enrolled in public education system with a more school management autonomy at school level, and to compare them with those students at the traditional public education system. We use propensity score matching methods to have a comparable sample between pupils at CS and traditional schools. Our results show that on average the behavior of students from CS do not have a sexual behavior that differs from those in traditional public schools except for boys in CS who have a lower probability of being sexual active. However, there are important differences when heterogeneity is considered. For example we find that CS where girls per boys ratio is higher have lower teenage pregnancy rates than public schools with also high girls per boys ratios. We also find that teachers’ human capital, teacher-pupil ratio or whether school offers sexual education are also related to statistically significant differences between CS and traditional public schools.

On the importance of Vaisala RS92 radiosonde humidity corrections for a better agreement between measured and modeled satellite radiances

A study has been carried out to assess the importance of radiosonde corrections in improving the agreement between satellite and radiosonde measurements of upper-tropospheric humidity. Infrared [High Resolution Infrared Radiation Sounder (HIRS)-12] and microwave [Advanced Microwave Sounding Unit (AMSU)-18] measurements from the NOAA-17 satellite were used for this purpose. The agreement was assessed by comparing the satellite measurements against simulated measurements using collocated radiosonde profiles of the Atmospheric Radiation Measurement (ARM) Program undertaken at tropical and midlatitude sites. The Atmospheric Radiative Transfer Simulator (ARTS) was used to simulate the satellite radiances. The comparisons have been done under clear-sky conditions, separately for daytime and nighttime soundings. Only Vaisala RS92 radiosonde sensors were used and an empirical correction (EC) was applied to the radiosonde measurements. The EC includes correction for mean calibration bias and for solar radiation error, and it removes radiosonde bias relative to three instruments of known accuracy. For the nighttime dataset, the EC significantly reduces the bias from 0.63 to 20.10 K in AMSU-18 and from 1.26 to 0.35 K in HIRS-12. The EC has an even greater impact on the daytime dataset with a bias reduction from 2.38 to 0.28 K in AMSU-18 and from 2.51 to 0.59 K in HIRS-12. The present study promises a more accurate approach in future radiosonde-based studies in the upper troposphere.

Recovering Natural History: Modeling Cardiovascular Biomarkers in the Presence of Endogenous Medication Use

Thesis (Ph.D.)--University of Washington, 2016-08

Keeping Variables within Bounds: Using Information between Observations

This research develops an econometric framework to analyze time series processes with bounds. The framework is general enough that it can incorporate several different kinds of bounding information that constrain continuous-time stochastic processes between discretely-sampled observations. It applies to situations in which the process is known to remain within an interval between observations, by way of either a known constraint or through the observation of extreme realizations of the process. The main statistical technique employs the theory of maximum likelihood estimation. This approach leads to the development of the asymptotic distribution theory for the estimation of the parameters in bounded diffusion models. The results of this analysis present several implications for empirical research. The advantages are realized in the form of efficiency gains, bias reduction and in the flexibility of model specification. A bias arises in the presence of bounding information that is ignored, while it is mitigated within this framework. An efficiency gain arises, in the sense that the statistical methods make use of conditioning information, as revealed by the bounds. Further, the specification of an econometric model can be uncoupled from the restriction to the bounds, leaving the researcher free to model the process near the bound in a way that avoids bias from misspecification. One byproduct of the improvements in model specification is that the more precise model estimation exposes other sources of misspecification. Some processes reveal themselves to be unlikely candidates for a given diffusion model, once the observations are analyzed in combination with the bounding information. A closer inspection of the theoretical foundation behind diffusion models leads to a more general specification of the model. This approach is used to produce a set of algorithms to make the model computationally feasible and more widely applicable. Finally, the modeling framework is applied to a series of interest rates, which, for several years, have been constrained by the lower bound of zero. The estimates from a series of diffusion models suggest a substantial difference in estimation results between models that ignore bounds and the framework that takes bounding information into consideration.

Correcting for bias when estimating the cost of hospital-acquired infection : an analysis of lower respiratory tract infections in non-surgical patients

Hospital acquired infections (HAI) are costly but many are avoidable. Evaluating prevention programmes requires data on their costs and benefits. Estimating the actual costs of HAI (a measure of the cost savings due to prevention) is difficult as HAI changes cost by extending patient length of stay, yet, length of stay is a major risk factor for HAI. This endogeneity bias can confound attempts to measure accurately the cost of HAI. We propose a two-stage instrumental variables estimation strategy that explicitly controls for the endogeneity between risk of HAI and length of stay. We find that a 10% reduction in ex ante risk of HAI results in an expected savings of £693 ($US 984).

Electrochemical Reduction of Oriented Graphene Oxide Films: An in Situ Raman Spectroelectrochemical Study

Graphene oxide (GO) is assembled on a gold substrate by a layer-by-layer technique using a self-assembled cystamine monolayer. The negatively charged GO platelets are attached to the positively charged cystamine monolayer through electrostatic interactions. Subsequently, it is shown that the GO can be reduced electrochemically using applied DC bias by scanning the potential from 0 to -1 V vs a saturated calomel electrode in an aqueous electrolyte. The GO and reduced graphene oxide (RGO) are characterized by Raman spectroscopy and atomic force microscopy (AFM). A clear shift of the G band from 1610 cm-1 of GO to 1585 cm-1 of RGO is observed. The electrochemical reduction is followed in situ by micro Raman spectroscopy by carrying out Raman spectroscopic studies during the application of DC bias. The GO and RGO films have been characterized by conductive AFM that shows an increase in the current flow by at least 3 orders of magnitude after reduction. The electrochemical method of reducing GO may open up another way of controlling the reduction of GO and the extent of reduction to obtain highly conducting graphene on electrode materials.

The pulling power of chocolate: Effects of approach-avoidance training on approach bias and consumption

Previous research has shown that action tendencies to approach alcohol may be modified using computerized ApproacheAvoidance Task (AAT), and that this impacted on subsequent consumption. A recent paper in this journal (Becker, Jostman, Wiers, & Holland, 2015) failed to show significant training effects for food in three studies: Nor did it find effects on subsequent consumption. However, avoidance training to high calorie foods was tested against a control rather than Approach training. The present study used a more comparable paradigm to the alcohol studies. It randomly assigned 90 participants to ‘approach’ or ‘avoid’ chocolate images on the AAT, and then asked them to taste and rate chocolates. A significant interaction of condition and time showed that training to avoid chocolate resulted in faster avoidance responses to chocolate images, compared with training to approach it. Consistent with Becker et al.'s Study 3, no effect was found on amounts of chocolate consumed, although a newly published study in this journal (Schumacher, Kemps, & Tiggemann, 2016) did do so. The collective evidence does not as yet provide solid basis for the application of AAT training to reduction of problematic food consumption, although clinical trials have yet to be conducted.