A Methodology for Studying Child Mortality Differentials in Populations with Limited Death Registration. Claire Noël-Miller Douglas Ewbank

Size: px
Start display at page:

Download "A Methodology for Studying Child Mortality Differentials in Populations with Limited Death Registration. Claire Noël-Miller Douglas Ewbank"

Transcription

1 A Methodology for tudyng Chld Mortalty Dfferentals n Populatons wth Lmted Death Regstraton. Clare Noël-Mller Douglas Ewbank Indrect methods of estmaton reman an mportant tool for ganng an understandng of chld mortalty condtons n areas wth lmted, defcent or non-exstent vtal regstraton systems. The now commonly used Brass method estmates mortalty from reports of chldren ever born and chldren deceased organzed by duraton of ther exposure to the rsk of death, as approxmated for nstance by the age of the mother (Brass 1975; Brass and Coale 1968; Unted Natons 1983). Central to the Brass chld mortalty estmaton s the dea that the proportons of chldren dead to women aged 15-19, 20-24, 25-29, 30-34, 35-39, and approxmate the lfe table values of q(1), q(2), q(3), q(5), q(10), q(15) and q(20) respectvely. The basc Brass equaton: q( x) = k D (1.1) uses age group-specfc multplers (commonly known as k coeffcents) to translate data on the reported proporton deceased n a gven age group, D, nto lfe table estmates of the proportons deceased by varous ages, q(x). An mportant drawback of the Brass method les n ts nablty to allow for the formal test of dfferentals n mortalty across groups snce the mortalty schedule underlyng the calculaton of k s typcally consdered to be unversal. In an attempt to address ths lmtaton, Preston and Trussell ntroduced a multvarate approach to studyng mortalty dfferentals from data on chldren ever born and chldren survvng (Trussell and Preston 1984; Trussell and Preston 1982). Despte some mportant statstcal problems related to ts ntrnsc assumpton of lnearty between covarates of mortalty and mortalty outcomes (Hll 1989), ths method now consttutes the cornerstone of analyses of chld mortalty dfferentals for many populatons. The Preston-Trussell method usually reles on publshed tables of multplers (Brass 1975; ullvan 1972; Trussell 1975) themselves based on an ndex of the shape of the fertlty schedule and on a standard lfe table (Coale and Demeny 1983). In practce, publshed tables of multplers can be of lmted use when the actual age pattern of mortalty dffers substantally from the pattern underlyng the calculaton of the multplers. We propose an alternatve to the Preston-Trussell method for the multvarate analyss of assocatons between chld mortalty as measured by Brass questons and varous characterstcs of the envronment nto whch the chldren are born. We apply the method to data from the 1993 Gamban census and estmate the effect of varous covarates of mortalty va maxmum lkelhood. Partcular attenton s pad to the effects of educaton 1

2 and rural or urban locatons. Our model assumes a dchotomous dependent varable recordng falures (survvorshps n our case) and successes (deaths n our case) followng a gven number of trals (chldren ever born). Our approach s based on a skewed logstc regresson (also referred to as a scobt model), an elaboraton upon the standard logt model. The scobt model relaxes the assumpton that ndvduals wth ntal probablty P =.5 of experencng a success are most senstve to changes n the ndependent varable (Nagler 1994). The analyss offers a second nnovaton by relyng on multplers more carefully talored to local mortalty condtons. In leu of the North model varant of the regonal model lfe tables (Coale and Demeny 1983), typcally assumed for Afrcan countres, the calculaton of the k coeffcents s based on a lfe table more closely reflectng the mortalty experence of the Gamba. In addton, greater accuracy s obtaned by takng nto account possble varatons n the fertlty schedule across specfc sub-samples of the populaton. We examne how well the method performs n small samples relatve to the Preston-Trussell method and to the logt model. mlarly to the logt model, skewed logstc regresson belongs to a class of models known as generalzed lnear models (GLM), whch move beyond ordnary regresson models to accommodate non-normal response dstrbutons and modelng functons of the mean (Agrest 2002; Dobson 2001; Hardn and Hble 2001; McCulloch and earle 2001). The outcome varable,.e. the death or the survval of a chld, s assumed to result from a fxed number of trals (the number of chldren ever born) and to follow a bnomal dstrbuton 1. The lnk functon of the scobt model s the logt or the log odds of the probablty of experencng a success. The logt and the scobt models dffer n that the former assumes that ndvduals wth a probablty of success equal to 0.5 are most senstve to changes n the ndependent varables. Then, should women wth probablty of experencng a chld death dfferent than 0.5 be n realty most senstve to changes n the specfed covarates of mortalty, the logt model would be msspecfed. Rather than mposng an unrealstcally hgh value at whch ndvduals probablty of experencng a chld death s most senstve to stmulus, our model estmates an addtonal parameter for the maxmum pont of senstvty. 1 A Posson dstrbuton for the response varable has been proposed as an alternatve to the normal dstrbuton assumed n the Preston-Trussel method (see for nstance MacLeod 1999). The Posson dstrbuton s attractve because t s partcularly suted for non-negatve ntegers representng counts of a rare occurrence followng a number of events. However, the Posson dstrbuton assumes that the count data result from a small rsk n a large populaton (.e., number of trals). Ths s not the case when consderng the number of chldren ever born. Thus, the Posson dstrbuton s approprately used when there s no upper lmt to n, the number of trals and for counts of events that occur randomly ether n tme or n space. In some cases, when n s very large and when the probablty of success followng each tral,π, s very small, the Posson dstrbuton can be appled as an approxmaton for the bnomal. Ths s however not the case n our context. 2

3 The skewed logstc model presented n the paper s gven by: γ = β + β x + β x + + β x + γ (1.2) µ k k EPD, where γ represents the logt of µ, the probablty of experencng a chld death, µ β 0 s the constant term, the x represent covarates of mortalty, and γ EPD represents the logt of the expected proporton deceased (EPD). The values of the { EPD } used n equaton (1.2) were obtaned by turnng equaton (1.1) around so that: q ( A ) EPD = (1.3) k where, q ( X ) s a standard proporton of chldren who ded by exact age X and k s derved to more closely reflect age patterns of mortalty and fertlty n the Gamba. Fgures for the standard mortalty schedule (.e. the q ( X ) values n equaton (1.3)) were obtaned from a sngle year of age lfe table of the Mlomp area n énégal, coverng the perod for both males and females (Pson, Gabadnho, and Enel 2001). The Mlomp Demographc urvellance urvey (D) ste s a rural, mostly rce cultvatng area located n outhwest énégal, near the border between énégal and Gunea-Bssau (for more detals see INDEPTH 2002). Because of ts relatve proxmty to the Gamba, use of the Mlomp data nsures a smlar pattern of mortalty to that found n the Gamba. However, the level of mortalty n the Mlomp data was adjusted for that n the Gamba. The scobt model s also estmated wth values of the EPD derved a) by sngle year of age and b) for dfferent sub-groups of the populaton. The latter s done by assumng not one sngle fertlty schedule for the entre populaton, but rather dfferent fertlty schedules for dfferent sub-groups of the populaton defned accordng to the varous combnatons of lteracy levels and rural or urban locatons. The paper compares the performances of the skewed logstc regresson, the logt model and the Preston-Trussell method n estmatng covarates of mortalty based on small sample szes. We run Monte Carlo smulatons of the three methodologes appled to 1,000 samples of sze N=1,000 and 1,000 wth N=5,000 randomly drawn from the entre Gamba census. Results of the smulatons are compared to the estmates obtaned wth the scobt model appled to the entre census. In partcular, the Monte Carlo smulatons examne the senstvty of the estmated effects of educaton and rural or urban locatons. Prelmnary results suggest that n samples of 1,000 both the scobt and the logt coeffcents are based upwards, wth the logt coeffcents dsplayng a comparatvely smaller root mean squared error. In samples of N=5,000 the bas s reduced n the scobt model estmates and ther varance around the true estmate s very small. These results seem to ndcate that the logt model remans preferable n small samples whle scobt performs better n relatvely larger samples. 3

4 Reference Lst 1. Agrest, A Categorcal Data Analyss. Hoboken, N.J: John Wley & ons, Inc. 2. Brass, W Methods for Estmatng Fertlty and Mortalty From Lmted and Defectve Databased on emnars Held eptember 1971 at the Centro Latnoamercano De Demografía (CELADE) an José, Costa Rca. Chapel Hll, North Carolna: Carolna Populaton Center, Laboratores for Populaton tatstcs. 3. Brass, W. and A. J. Coale "Methods of Analyss and Estmaton." Pp n The Demography of Tropcal Afrca, edtor W. Brass. Prnceton, N.J.: Prnceton Unversty Press. 4. Coale, A. J. and P. Demeny Regonal Model Lfe Tables and table Populatons. New York: Academc Press. 5. Dobson, A. J An Introducton to Generalzed Lnear Models. econd ed. Chapman and Hall/CRC. 6. Hardn, J. and J. Hble Generalzed Lnear Models and Extensons. College taton, Texas: tata Press. 7. Hll, K "oco-economc Dfferentals n Chld Mortalty: the Case of Jordan." Pp n Infant and Chldhood Mortalty n Western Asa. Unted Natons. Economc and ocal Commsson for Western Asa. 8. INDEPTH Populaton and Health n Developng Countres, vol. 1. Populaton, health and survval at INDEPTH stes. Ottawa: Canada: Internatonal Development Research Center. 9. MacLeod, W. B "The Declne of Chld Mortalty n the Gamba." Ph.D. Dssertaton, Harvard Unversty, Cambrdge, Massachusetts. 10. McCulloch, C. and. earle Generalzed, Lnear and Mxed Models. New York: Wley. 11. Nagler, J "cobt: An Alternatve Estmator to Logt and Probt. " Amercan Journal of Poltcal cence 38: Pson, G., A. Gabadnho, and C. Enel Mlomp (énégal): Nveaux Et Tendances Démographques Dossers et recherches No Insttut Natonal d'etudes Démographques. 13. ullvan, J. M "Models for the Estmaton of the Probablty of Dyng Between Brth and Exact Ages of Early Chldhood." Populaton tudes 26(1): Trussell, J "A Re-Estmaton of the Multplyng Factors for the Brass Technque for Determnng Chldhood urvvorshp Rates." Populaton tudes 29(1): Trussell, J. and. H. Preston "Estmatng the Covarates of Chldhood Mortalty From Retrospectve Reports of Mothers." Methodologes for the Collecton and Analyss of Mortalty Data, edtors Valln J., J. H. Pollard, and L. Helgman. Lege, Belgum: Ordna Edtons. 16. Trussell, T. and. H. Preston "Estmatng the Covarates of Chldhood Mortalty From Retrospectve Reports of Mothers." Health Polcy and Educaton 3(1):

5 17. Unted Natons "Indrect Technques for Demographc Estmaton." Pp n New York: Unted Natons. 5

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan Spatal Varatons n Covarates on Marrage and Martal Fertlty: Geographcally Weghted Regresson Analyses n Japan Kenj Kamata (Natonal Insttute of Populaton and Socal Securty Research) Abstract (134) To understand

More information

International ejournals

International ejournals Avalable onlne at www.nternatonalejournals.com ISSN 0976 1411 Internatonal ejournals Internatonal ejournal of Mathematcs and Engneerng 7 (010) 86-95 MODELING AND PREDICTING URBAN MALE POPULATION OF BANGLADESH:

More information

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect Transport and Road Safety (TARS) Research Joanna Wang A Comparson of Statstcal Methods n Interrupted Tme Seres Analyss to Estmate an Interventon Effect Research Fellow at Transport & Road Safety (TARS)

More information

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics Lmted Dependent Varable Models: Tobt an Plla N 1 CDS Mphl Econometrcs Introducton Lmted Dependent Varable Models: Truncaton and Censorng Maddala, G. 1983. Lmted Dependent and Qualtatve Varables n Econometrcs.

More information

Chapter 5 Student Lecture Notes 5-1

Chapter 5 Student Lecture Notes 5-1 Chapter 5 Student Lecture Notes 5-1 Basc Busness Statstcs (9 th Edton) Chapter 5 Some Important Dscrete Probablty Dstrbutons 004 Prentce-Hall, Inc. Chap 5-1 Chapter Topcs The Probablty Dstrbuton of a Dscrete

More information

Random Variables. b 2.

Random Variables. b 2. Random Varables Generally the object of an nvestgators nterest s not necessarly the acton n the sample space but rather some functon of t. Techncally a real valued functon or mappng whose doman s the sample

More information

MgtOp 215 Chapter 13 Dr. Ahn

MgtOp 215 Chapter 13 Dr. Ahn MgtOp 5 Chapter 3 Dr Ahn Consder two random varables X and Y wth,,, In order to study the relatonshp between the two random varables, we need a numercal measure that descrbes the relatonshp The covarance

More information

4. Greek Letters, Value-at-Risk

4. Greek Letters, Value-at-Risk 4 Greek Letters, Value-at-Rsk 4 Value-at-Rsk (Hull s, Chapter 8) Math443 W08, HM Zhu Outlne (Hull, Chap 8) What s Value at Rsk (VaR)? Hstorcal smulatons Monte Carlo smulatons Model based approach Varance-covarance

More information

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers II. Random Varables Random varables operate n much the same way as the outcomes or events n some arbtrary sample space the dstncton s that random varables are smply outcomes that are represented numercally.

More information

Tests for Two Ordered Categorical Variables

Tests for Two Ordered Categorical Variables Chapter 253 Tests for Two Ordered Categorcal Varables Introducton Ths module computes power and sample sze for tests of ordered categorcal data such as Lkert scale data. Assumng proportonal odds, such

More information

Tests for Two Correlations

Tests for Two Correlations PASS Sample Sze Software Chapter 805 Tests for Two Correlatons Introducton The correlaton coeffcent (or correlaton), ρ, s a popular parameter for descrbng the strength of the assocaton between two varables.

More information

THIS PAPER SHOULD NOT BE OPENED UNTIL PERMISSION HAS BEEN GIVEN BY THE INVIGILATOR.

THIS PAPER SHOULD NOT BE OPENED UNTIL PERMISSION HAS BEEN GIVEN BY THE INVIGILATOR. UNVERSTY OF SWAZLAND FACULTY OF SOCAL SCENCES DEPARTMENT OF STATSTCS AND DEMOGRAPHY MAN EXAMNATON 2016 TTTLE OF PAPER: DEMOGRAPHC METHODS 1 COURSE NUMBER: DEM 201 TME ALLOWED: 2 Hours NSTRUCTONS: ANSWER

More information

Standardization. Stan Becker, PhD Bloomberg School of Public Health

Standardization. Stan Becker, PhD Bloomberg School of Public Health Ths work s lcensed under a Creatve Commons Attrbuton-NonCommercal-ShareAlke Lcense. Your use of ths materal consttutes acceptance of that lcense and the condtons of use of materals on ths ste. Copyrght

More information

Linear Combinations of Random Variables and Sampling (100 points)

Linear Combinations of Random Variables and Sampling (100 points) Economcs 30330: Statstcs for Economcs Problem Set 6 Unversty of Notre Dame Instructor: Julo Garín Sprng 2012 Lnear Combnatons of Random Varables and Samplng 100 ponts 1. Four-part problem. Go get some

More information

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost Tamkang Journal of Scence and Engneerng, Vol. 9, No 1, pp. 19 23 (2006) 19 Economc Desgn of Short-Run CSP-1 Plan Under Lnear Inspecton Cost Chung-Ho Chen 1 * and Chao-Yu Chou 2 1 Department of Industral

More information

The Integration of the Israel Labour Force Survey with the National Insurance File

The Integration of the Israel Labour Force Survey with the National Insurance File The Integraton of the Israel Labour Force Survey wth the Natonal Insurance Fle Natale SHLOMO Central Bureau of Statstcs Kanfey Nesharm St. 66, corner of Bach Street, Jerusalem Natales@cbs.gov.l Abstact:

More information

A Bootstrap Confidence Limit for Process Capability Indices

A Bootstrap Confidence Limit for Process Capability Indices A ootstrap Confdence Lmt for Process Capablty Indces YANG Janfeng School of usness, Zhengzhou Unversty, P.R.Chna, 450001 Abstract The process capablty ndces are wdely used by qualty professonals as an

More information

/ Computational Genomics. Normalization

/ Computational Genomics. Normalization 0-80 /02-70 Computatonal Genomcs Normalzaton Gene Expresson Analyss Model Computatonal nformaton fuson Bologcal regulatory networks Pattern Recognton Data Analyss clusterng, classfcaton normalzaton, mss.

More information

Data Mining Linear and Logistic Regression

Data Mining Linear and Logistic Regression 07/02/207 Data Mnng Lnear and Logstc Regresson Mchael L of 26 Regresson In statstcal modellng, regresson analyss s a statstcal process for estmatng the relatonshps among varables. Regresson models are

More information

Capability Analysis. Chapter 255. Introduction. Capability Analysis

Capability Analysis. Chapter 255. Introduction. Capability Analysis Chapter 55 Introducton Ths procedure summarzes the performance of a process based on user-specfed specfcaton lmts. The observed performance as well as the performance relatve to the Normal dstrbuton are

More information

>1 indicates country i has a comparative advantage in production of j; the greater the index, the stronger the advantage. RCA 1 ij

>1 indicates country i has a comparative advantage in production of j; the greater the index, the stronger the advantage. RCA 1 ij 69 APPENDIX 1 RCA Indces In the followng we present some maor RCA ndces reported n the lterature. For addtonal varants and other RCA ndces, Memedovc (1994) and Vollrath (1991) provde more thorough revews.

More information

occurrence of a larger storm than our culvert or bridge is barely capable of handling? (what is The main question is: What is the possibility of

occurrence of a larger storm than our culvert or bridge is barely capable of handling? (what is The main question is: What is the possibility of Module 8: Probablty and Statstcal Methods n Water Resources Engneerng Bob Ptt Unversty of Alabama Tuscaloosa, AL Flow data are avalable from numerous USGS operated flow recordng statons. Data s usually

More information

Raising Food Prices and Welfare Change: A Simple Calibration. Xiaohua Yu

Raising Food Prices and Welfare Change: A Simple Calibration. Xiaohua Yu Rasng Food Prces and Welfare Change: A Smple Calbraton Xaohua Yu Professor of Agrcultural Economcs Courant Research Centre Poverty, Equty and Growth Unversty of Göttngen CRC-PEG, Wlhelm-weber-Str. 2 3773

More information

Introduction. Chapter 7 - An Introduction to Portfolio Management

Introduction. Chapter 7 - An Introduction to Portfolio Management Introducton In the next three chapters, we wll examne dfferent aspects of captal market theory, ncludng: Brngng rsk and return nto the pcture of nvestment management Markowtz optmzaton Modelng rsk and

More information

Stochastic ALM models - General Methodology

Stochastic ALM models - General Methodology Stochastc ALM models - General Methodology Stochastc ALM models are generally mplemented wthn separate modules: A stochastc scenaros generator (ESG) A cash-flow projecton tool (or ALM projecton) For projectng

More information

Notes on experimental uncertainties and their propagation

Notes on experimental uncertainties and their propagation Ed Eyler 003 otes on epermental uncertantes and ther propagaton These notes are not ntended as a complete set of lecture notes, but nstead as an enumeraton of some of the key statstcal deas needed to obtan

More information

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE)

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE) ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE) May 17, 2016 15:30 Frst famly name: Name: DNI/ID: Moble: Second famly Name: GECO/GADE: Instructor: E-mal: Queston 1 A B C Blank Queston 2 A B C Blank Queston

More information

Introduction to PGMs: Discrete Variables. Sargur Srihari

Introduction to PGMs: Discrete Variables. Sargur Srihari Introducton to : Dscrete Varables Sargur srhar@cedar.buffalo.edu Topcs. What are graphcal models (or ) 2. Use of Engneerng and AI 3. Drectonalty n graphs 4. Bayesan Networks 5. Generatve Models and Samplng

More information

02_EBA2eSolutionsChapter2.pdf 02_EBA2e Case Soln Chapter2.pdf

02_EBA2eSolutionsChapter2.pdf 02_EBA2e Case Soln Chapter2.pdf 0_EBAeSolutonsChapter.pdf 0_EBAe Case Soln Chapter.pdf Chapter Solutons: 1. a. Quanttatve b. Categorcal c. Categorcal d. Quanttatve e. Categorcal. a. The top 10 countres accordng to GDP are lsted below.

More information

Labor Market Transitions in Peru

Labor Market Transitions in Peru Labor Market Transtons n Peru Javer Herrera* Davd Rosas Shady** *IRD and INEI, E-mal: jherrera@ne.gob.pe ** IADB, E-mal: davdro@adb.org The Issue U s one of the major ssues n Peru However: - The U rate

More information

Risk and Return: The Security Markets Line

Risk and Return: The Security Markets Line FIN 614 Rsk and Return 3: Markets Professor Robert B.H. Hauswald Kogod School of Busness, AU 1/25/2011 Rsk and Return: Markets Robert B.H. Hauswald 1 Rsk and Return: The Securty Markets Lne From securtes

More information

Clearing Notice SIX x-clear Ltd

Clearing Notice SIX x-clear Ltd Clearng Notce SIX x-clear Ltd 1.0 Overvew Changes to margn and default fund model arrangements SIX x-clear ( x-clear ) s closely montorng the CCP envronment n Europe as well as the needs of ts Members.

More information

Solution of periodic review inventory model with general constrains

Solution of periodic review inventory model with general constrains Soluton of perodc revew nventory model wth general constrans Soluton of perodc revew nventory model wth general constrans Prof Dr J Benkő SZIU Gödöllő Summary Reasons for presence of nventory (stock of

More information

Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator.

Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator. UNIVERSITY OF EAST ANGLIA School of Economcs Man Seres PG Examnaton 2016-17 BANKING ECONOMETRICS ECO-7014A Tme allowed: 2 HOURS Answer ALL FOUR questons. Queston 1 carres a weght of 30%; queston 2 carres

More information

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations Addendum to NOTE 4 Samplng Dstrbutons of OLS Estmators of β and β Monte Carlo Smulatons The True Model: s gven by the populaton regresson equaton (PRE) Y = β + β X + u = 7. +.9X + u () where β = 7. and

More information

Multifactor Term Structure Models

Multifactor Term Structure Models 1 Multfactor Term Structure Models A. Lmtatons of One-Factor Models 1. Returns on bonds of all maturtes are perfectly correlated. 2. Term structure (and prces of every other dervatves) are unquely determned

More information

PASS Sample Size Software. :log

PASS Sample Size Software. :log PASS Sample Sze Software Chapter 70 Probt Analyss Introducton Probt and lot analyss may be used for comparatve LD 50 studes for testn the effcacy of drus desned to prevent lethalty. Ths proram module presents

More information

Welfare Aspects in the Realignment of Commercial Framework. between Japan and China

Welfare Aspects in the Realignment of Commercial Framework. between Japan and China Prepared for the 13 th INFORUM World Conference n Huangshan, Chna, July 3 9, 2005 Welfare Aspects n the Realgnment of Commercal Framework between Japan and Chna Toshak Hasegawa Chuo Unversty, Japan Introducton

More information

Monetary Tightening Cycles and the Predictability of Economic Activity. by Tobias Adrian and Arturo Estrella * October 2006.

Monetary Tightening Cycles and the Predictability of Economic Activity. by Tobias Adrian and Arturo Estrella * October 2006. Monetary Tghtenng Cycles and the Predctablty of Economc Actvty by Tobas Adran and Arturo Estrella * October 2006 Abstract Ten out of thrteen monetary tghtenng cycles snce 1955 were followed by ncreases

More information

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode.

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode. Part 4 Measures of Spread IQR and Devaton In Part we learned how the three measures of center offer dfferent ways of provdng us wth a sngle representatve value for a data set. However, consder the followng

More information

Global sensitivity analysis of credit risk portfolios

Global sensitivity analysis of credit risk portfolios Global senstvty analyss of credt rsk portfolos D. Baur, J. Carbon & F. Campolongo European Commsson, Jont Research Centre, Italy Abstract Ths paper proposes the use of global senstvty analyss to evaluate

More information

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates Secton on Survey Research Methods An Applcaton of Alternatve Weghtng Matrx Collapsng Approaches for Improvng Sample Estmates Lnda Tompkns 1, Jay J. Km 2 1 Centers for Dsease Control and Preventon, atonal

More information

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis Appled Mathematcal Scences, Vol. 7, 013, no. 99, 4909-4918 HIKARI Ltd, www.m-hkar.com http://dx.do.org/10.1988/ams.013.37366 Interval Estmaton for a Lnear Functon of Varances of Nonnormal Dstrbutons that

More information

A Set of new Stochastic Trend Models

A Set of new Stochastic Trend Models A Set of new Stochastc Trend Models Johannes Schupp Longevty 13, Tape, 21 th -22 th September 2017 www.fa-ulm.de Introducton Uncertanty about the evoluton of mortalty Measure longevty rsk n penson or annuty

More information

Impacts of Population Aging on Economic Growth and Structure Change in China

Impacts of Population Aging on Economic Growth and Structure Change in China Impacts of Populaton Agng on Economc Growth and Structure Change n Chna The feature of Chnese demographc structure s changng from a hgh fertlty rate, hgh death rate and low lfe expectancy to low fertlty

More information

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique.

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique. 1.7.4 Mode Mode s the value whch occurs most frequency. The mode may not exst, and even f t does, t may not be unque. For ungrouped data, we smply count the largest frequency of the gven value. If all

More information

EDC Introduction

EDC Introduction .0 Introducton EDC3 In the last set of notes (EDC), we saw how to use penalty factors n solvng the EDC problem wth losses. In ths set of notes, we want to address two closely related ssues. What are, exactly,

More information

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS QUESTIONS 9.1. (a) In a log-log model the dependent and all explanatory varables are n the logarthmc form. (b) In the log-ln model the dependent varable

More information

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics Spurous Seasonal Patterns and Excess Smoothness n the BLS Local Area Unemployment Statstcs Keth R. Phllps and Janguo Wang Federal Reserve Bank of Dallas Research Department Workng Paper 1305 September

More information

Chapter 3 Student Lecture Notes 3-1

Chapter 3 Student Lecture Notes 3-1 Chapter 3 Student Lecture otes 3-1 Busness Statstcs: A Decson-Makng Approach 6 th Edton Chapter 3 Descrbng Data Usng umercal Measures 005 Prentce-Hall, Inc. Chap 3-1 Chapter Goals After completng ths chapter,

More information

Tree-based and GA tools for optimal sampling design

Tree-based and GA tools for optimal sampling design Tree-based and GA tools for optmal samplng desgn The R User Conference 2008 August 2-4, Technsche Unverstät Dortmund, Germany Marco Balln, Gulo Barcarol Isttuto Nazonale d Statstca (ISTAT) Defnton of the

More information

arxiv: v1 [q-fin.pm] 13 Feb 2018

arxiv: v1 [q-fin.pm] 13 Feb 2018 WHAT IS THE SHARPE RATIO, AND HOW CAN EVERYONE GET IT WRONG? arxv:1802.04413v1 [q-fn.pm] 13 Feb 2018 IGOR RIVIN Abstract. The Sharpe rato s the most wdely used rsk metrc n the quanttatve fnance communty

More information

Estimation of Wage Equations in Australia: Allowing for Censored Observations of Labour Supply *

Estimation of Wage Equations in Australia: Allowing for Censored Observations of Labour Supply * Estmaton of Wage Equatons n Australa: Allowng for Censored Observatons of Labour Supply * Guyonne Kalb and Rosanna Scutella* Melbourne Insttute of Appled Economc and Socal Research The Unversty of Melbourne

More information

Understanding price volatility in electricity markets

Understanding price volatility in electricity markets Proceedngs of the 33rd Hawa Internatonal Conference on System Scences - 2 Understandng prce volatlty n electrcty markets Fernando L. Alvarado, The Unversty of Wsconsn Rajesh Rajaraman, Chrstensen Assocates

More information

arxiv:cond-mat/ v1 [cond-mat.other] 28 Nov 2004

arxiv:cond-mat/ v1 [cond-mat.other] 28 Nov 2004 arxv:cond-mat/0411699v1 [cond-mat.other] 28 Nov 2004 Estmatng Probabltes of Default for Low Default Portfolos Katja Pluto and Drk Tasche November 23, 2004 Abstract For credt rsk management purposes n general,

More information

Evaluating Performance

Evaluating Performance 5 Chapter Evaluatng Performance In Ths Chapter Dollar-Weghted Rate of Return Tme-Weghted Rate of Return Income Rate of Return Prncpal Rate of Return Daly Returns MPT Statstcs 5- Measurng Rates of Return

More information

Appendix - Normally Distributed Admissible Choices are Optimal

Appendix - Normally Distributed Admissible Choices are Optimal Appendx - Normally Dstrbuted Admssble Choces are Optmal James N. Bodurtha, Jr. McDonough School of Busness Georgetown Unversty and Q Shen Stafford Partners Aprl 994 latest revson September 00 Abstract

More information

Module Contact: Dr P Moffatt, ECO Copyright of the University of East Anglia Version 2

Module Contact: Dr P Moffatt, ECO Copyright of the University of East Anglia Version 2 UNIVERSITY OF EAST ANGLIA School of Economcs Man Seres PG Examnaton 2012-13 FINANCIAL ECONOMETRICS ECO-M017 Tme allowed: 2 hours Answer ALL FOUR questons. Queston 1 carres a weght of 25%; Queston 2 carres

More information

Flight Delays, Capacity Investment and Welfare under Air Transport Supply-demand Equilibrium

Flight Delays, Capacity Investment and Welfare under Air Transport Supply-demand Equilibrium Flght Delays, Capacty Investment and Welfare under Ar Transport Supply-demand Equlbrum Bo Zou 1, Mark Hansen 2 1 Unversty of Illnos at Chcago 2 Unversty of Calforna at Berkeley 2 Total economc mpact of

More information

Self-controlled case series analyses: small sample performance

Self-controlled case series analyses: small sample performance Self-controlled case seres analyses: small sample performance Patrck Musonda 1, Mouna N. Hocne 1,2, Heather J. Whtaker 1 and C. Paddy Farrngton 1 * 1 The Open Unversty, Mlton Keynes, MK7 6AA, UK 2 INSERM

More information

A Utilitarian Approach of the Rawls s Difference Principle

A Utilitarian Approach of the Rawls s Difference Principle 1 A Utltaran Approach of the Rawls s Dfference Prncple Hyeok Yong Kwon a,1, Hang Keun Ryu b,2 a Department of Poltcal Scence, Korea Unversty, Seoul, Korea, 136-701 b Department of Economcs, Chung Ang Unversty,

More information

3: Central Limit Theorem, Systematic Errors

3: Central Limit Theorem, Systematic Errors 3: Central Lmt Theorem, Systematc Errors 1 Errors 1.1 Central Lmt Theorem Ths theorem s of prme mportance when measurng physcal quanttes because usually the mperfectons n the measurements are due to several

More information

Price and Quantity Competition Revisited. Abstract

Price and Quantity Competition Revisited. Abstract rce and uantty Competton Revsted X. Henry Wang Unversty of Mssour - Columba Abstract By enlargng the parameter space orgnally consdered by Sngh and Vves (984 to allow for a wder range of cost asymmetry,

More information

Chapter 3 Descriptive Statistics: Numerical Measures Part B

Chapter 3 Descriptive Statistics: Numerical Measures Part B Sldes Prepared by JOHN S. LOUCKS St. Edward s Unversty Slde 1 Chapter 3 Descrptve Statstcs: Numercal Measures Part B Measures of Dstrbuton Shape, Relatve Locaton, and Detectng Outlers Eploratory Data Analyss

More information

EXAMINATIONS OF THE HONG KONG STATISTICAL SOCIETY

EXAMINATIONS OF THE HONG KONG STATISTICAL SOCIETY EXAMINATIONS OF THE HONG KONG STATISTICAL SOCIETY HIGHER CERTIFICATE IN STATISTICS, 2013 MODULE 7 : Tme seres and ndex numbers Tme allowed: One and a half hours Canddates should answer THREE questons.

More information

Problem Set 6 Finance 1,

Problem Set 6 Finance 1, Carnege Mellon Unversty Graduate School of Industral Admnstraton Chrs Telmer Wnter 2006 Problem Set 6 Fnance, 47-720. (representatve agent constructon) Consder the followng two-perod, two-agent economy.

More information

Negative Binomial Regression Analysis And other count models

Negative Binomial Regression Analysis And other count models Negatve Bnomal Regresson Analyss And other count models Asst. Prof. Nkom Thanomseng Department of Bostatstcs & Demography Faculty of Publc Health, Khon Kaen Unversty Emal: nkom@kku.ac.th Web: http://home.kku.ac.th/nkom

More information

Quiz on Deterministic part of course October 22, 2002

Quiz on Deterministic part of course October 22, 2002 Engneerng ystems Analyss for Desgn Quz on Determnstc part of course October 22, 2002 Ths s a closed book exercse. You may use calculators Grade Tables There are 90 ponts possble for the regular test, or

More information

Table III. model Discriminant analysis Linear regression model Probit model

Table III. model Discriminant analysis Linear regression model Probit model Table III model 1 2 3 4 Dscrmnant analyss 65.4 62.2 78.0 8.1 Lnear regresson model 55.1 47.0 87.5 6.2 Probt model 71.9 76.4 54.1 13.1 Posson Model 62.4 57.7 81.8 7.3 Negatve bnomal II model 63.3 58.9 80.6

More information

Bid-auction framework for microsimulation of location choice with endogenous real estate prices

Bid-auction framework for microsimulation of location choice with endogenous real estate prices Bd-aucton framework for mcrosmulaton of locaton choce wth endogenous real estate prces Rcardo Hurtuba Mchel Berlare Francsco Martínez Urbancs Termas de Chllán, Chle March 28 th 2012 Outlne 1) Motvaton

More information

MULTIPLE CURVE CONSTRUCTION

MULTIPLE CURVE CONSTRUCTION MULTIPLE CURVE CONSTRUCTION RICHARD WHITE 1. Introducton In the post-credt-crunch world, swaps are generally collateralzed under a ISDA Master Agreement Andersen and Pterbarg p266, wth collateral rates

More information

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions.

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions. Unversty of Washngton Summer 2001 Department of Economcs Erc Zvot Economcs 483 Mdterm Exam Ths s a closed book and closed note exam. However, you are allowed one page of handwrtten notes. Answer all questons

More information

Cracking VAR with kernels

Cracking VAR with kernels CUTTIG EDGE. PORTFOLIO RISK AALYSIS Crackng VAR wth kernels Value-at-rsk analyss has become a key measure of portfolo rsk n recent years, but how can we calculate the contrbuton of some portfolo component?

More information

ASSESSING GOODNESS OF FIT OF GENERALIZED LINEAR MODELS TO SPARSE DATA USING HIGHER ORDER MOMENT CORRECTIONS

ASSESSING GOODNESS OF FIT OF GENERALIZED LINEAR MODELS TO SPARSE DATA USING HIGHER ORDER MOMENT CORRECTIONS ASSESSING GOODNESS OF FIT OF GENERALIZED LINEAR MODELS TO SPARSE DATA USING HIGHER ORDER MOMENT CORRECTIONS S. R. PAUL Department of Mathematcs & Statstcs, Unversty of Wndsor, Wndsor, ON N9B 3P4, Canada

More information

Elton, Gruber, Brown and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 4

Elton, Gruber, Brown and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 4 Elton, Gruber, Brown and Goetzmann Modern ortfolo Theory and Investment Analyss, 7th Edton Solutons to Text roblems: Chapter 4 Chapter 4: roblem 1 A. Expected return s the sum of each outcome tmes ts assocated

More information

THE ISSUE OF PD ESTIMATION A PRACTICAL APPROACH

THE ISSUE OF PD ESTIMATION A PRACTICAL APPROACH M A H E M A I C A L E C O N O M I C S No. 7(14) 2011 HE ISSUE OF PD ESIMAION A PRACICAL APPROACH Abstract. he ssue of estmatng the probablty of default consttutes one of the foundatons of rsk systems appled

More information

Elements of Economic Analysis II Lecture VI: Industry Supply

Elements of Economic Analysis II Lecture VI: Industry Supply Elements of Economc Analyss II Lecture VI: Industry Supply Ka Hao Yang 10/12/2017 In the prevous lecture, we analyzed the frm s supply decson usng a set of smple graphcal analyses. In fact, the dscusson

More information

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison ISyE 512 hapter 9 USUM and EWMA ontrol harts Instructor: Prof. Kabo Lu Department of Industral and Systems Engneerng UW-Madson Emal: klu8@wsc.edu Offce: Room 317 (Mechancal Engneerng Buldng) ISyE 512 Instructor:

More information

Facility Location Problem. Learning objectives. Antti Salonen Farzaneh Ahmadzadeh

Facility Location Problem. Learning objectives. Antti Salonen Farzaneh Ahmadzadeh Antt Salonen Farzaneh Ahmadzadeh 1 Faclty Locaton Problem The study of faclty locaton problems, also known as locaton analyss, s a branch of operatons research concerned wth the optmal placement of facltes

More information

Correlations and Copulas

Correlations and Copulas Correlatons and Copulas Chapter 9 Rsk Management and Fnancal Insttutons, Chapter 6, Copyrght John C. Hull 2006 6. Coeffcent of Correlaton The coeffcent of correlaton between two varables V and V 2 s defned

More information

Lecture Note 2 Time Value of Money

Lecture Note 2 Time Value of Money Seg250 Management Prncples for Engneerng Managers Lecture ote 2 Tme Value of Money Department of Systems Engneerng and Engneerng Management The Chnese Unversty of Hong Kong Interest: The Cost of Money

More information

5. Market Structure and International Trade. Consider the role of economies of scale and market structure in generating intra-industry trade.

5. Market Structure and International Trade. Consider the role of economies of scale and market structure in generating intra-industry trade. Rose-Hulman Insttute of Technology GL458, Internatonal Trade & Globalzaton / K. Chrst 5. Market Structure and Internatonal Trade Learnng Objectves 5. Market Structure and Internatonal Trade Consder the

More information

Centre for International Capital Markets

Centre for International Capital Markets Centre for Internatonal Captal Markets Dscusson Papers ISSN 1749-3412 Valung Amercan Style Dervatves by Least Squares Methods Maro Cerrato No 2007-13 Valung Amercan Style Dervatves by Least Squares Methods

More information

Domestic Savings and International Capital Flows

Domestic Savings and International Capital Flows Domestc Savngs and Internatonal Captal Flows Martn Feldsten and Charles Horoka The Economc Journal, June 1980 Presented by Mchael Mbate and Chrstoph Schnke Introducton The 2 Vews of Internatonal Captal

More information

Copyright 2017 by Taylor Enterprises, Inc., All Rights Reserved. Dr. Wayne A. Taylor

Copyright 2017 by Taylor Enterprises, Inc., All Rights Reserved. Dr. Wayne A. Taylor Taylor Enterprses, Inc. ormalzed Indvduals (I ) Chart Copyrght 07 by Taylor Enterprses, Inc., All Rghts Reserved. ormalzed Indvduals (I) Control Chart Dr. Wayne A. Taylor Abstract: The only commonly used

More information

Urban Effects on Participation and Wages: Are there Gender. Differences? 1

Urban Effects on Participation and Wages: Are there Gender. Differences? 1 Urban Effects on Partcpaton and Wages: Are there Gender Dfferences? 1 Euan Phmster ** Department of Economcs and Arkleton Insttute for Rural Development Research, Unversty of Aberdeen. Centre for European

More information

PhysicsAndMathsTutor.com

PhysicsAndMathsTutor.com PhscsAndMathsTutor.com phscsandmathstutor.com June 2005 6. A scentst found that the tme taken, M mnutes, to carr out an eperment can be modelled b a normal random varable wth mean 155 mnutes and standard

More information

Which of the following provides the most reasonable approximation to the least squares regression line? (a) y=50+10x (b) Y=50+x (d) Y=1+50x

Which of the following provides the most reasonable approximation to the least squares regression line? (a) y=50+10x (b) Y=50+x (d) Y=1+50x Whch of the followng provdes the most reasonable approxmaton to the least squares regresson lne? (a) y=50+10x (b) Y=50+x (c) Y=10+50x (d) Y=1+50x (e) Y=10+x In smple lnear regresson the model that s begn

More information

THE VOLATILITY OF EQUITY MUTUAL FUND RETURNS

THE VOLATILITY OF EQUITY MUTUAL FUND RETURNS North Amercan Journal of Fnance and Bankng Research Vol. 4. No. 4. 010. THE VOLATILITY OF EQUITY MUTUAL FUND RETURNS Central Connectcut State Unversty, USA. E-mal: BelloZ@mal.ccsu.edu ABSTRACT I nvestgated

More information

DETERMINANTS OF POVERTY IN KENYA: A HOUSEHOLD LEVEL ANALYSIS * Alemayehu Geda Institute of Social Studies, KIPPRA and Addis Ababa University

DETERMINANTS OF POVERTY IN KENYA: A HOUSEHOLD LEVEL ANALYSIS * Alemayehu Geda Institute of Social Studies, KIPPRA and Addis Ababa University DETERMINANTS OF POVERTY IN KENYA: A HOUSEHOLD LEVEL ANALYSIS * Alemayehu Geda Insttute of Socal Studes, KIPPRA and Adds Ababa Unversty Nek de Jong Insttute of Socal Studes, The Hague Germano Mwabu Unversty

More information

Equilibrium in Prediction Markets with Buyers and Sellers

Equilibrium in Prediction Markets with Buyers and Sellers Equlbrum n Predcton Markets wth Buyers and Sellers Shpra Agrawal Nmrod Megddo Benamn Armbruster Abstract Predcton markets wth buyers and sellers of contracts on multple outcomes are shown to have unque

More information

Work, Offers, and Take-Up: Decomposing the Source of Recent Declines in Employer- Sponsored Insurance

Work, Offers, and Take-Up: Decomposing the Source of Recent Declines in Employer- Sponsored Insurance Work, Offers, and Take-Up: Decomposng the Source of Recent Declnes n Employer- Sponsored Insurance Lnda J. Blumberg and John Holahan The Natonal Bureau of Economc Research (NBER) determned that a recesson

More information

Bilateral Trade Flows and Nontraded Goods

Bilateral Trade Flows and Nontraded Goods Blateral Trade Flos and Nontraded Goods Yh-mng Ln Department of Appled Economcs, Natonal Chay Unversty, Taan, R.O.C. Emal: yxl173@mal.ncyu.edu.t Abstract Ths paper develops a monopolstc competton model

More information

Impact of CDO Tranches on Economic Capital of Credit Portfolios

Impact of CDO Tranches on Economic Capital of Credit Portfolios Impact of CDO Tranches on Economc Captal of Credt Portfolos Ym T. Lee Market & Investment Bankng UnCredt Group Moor House, 120 London Wall London, EC2Y 5ET KEYWORDS: Credt rsk, Collateralzaton Debt Oblgaton,

More information

Social Cohesion and the Dynamics of Income in Four Countries

Social Cohesion and the Dynamics of Income in Four Countries NOT FOR CITATION WITHOUT AUTHORS PERMISSION Socal Coheson and the Dynamcs of Income n Four Countres Mles Corak, Wen-Hao Chen, Abdellatf Demant, and Denns Batten Famly and Labour Studes Statstcs Canada

More information

iii) pay F P 0,T = S 0 e δt when stock has dividend yield δ.

iii) pay F P 0,T = S 0 e δt when stock has dividend yield δ. Fnal s Wed May 7, 12:50-2:50 You are allowed 15 sheets of notes and a calculator The fnal s cumulatve, so you should know everythng on the frst 4 revews Ths materal not on those revews 184) Suppose S t

More information

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model TU Braunschweg - Insttut für Wrtschaftswssenschaften Lehrstuhl Fnanzwrtschaft Maturty Effect on Rsk Measure n a Ratngs-Based Default-Mode Model Marc Gürtler and Drk Hethecker Fnancal Modellng Workshop

More information

Small-Area Estimation based on Survey Data from a Left-Censored Fay-Herriot Model

Small-Area Estimation based on Survey Data from a Left-Censored Fay-Herriot Model Small-Area Estmaton based on Survey Data from a Left-Censored Fay-Herrot Model Erc V. Slud and Tapabrata Mat Unversty of Maryland College Park & Iowa State Unversty July 28, 2005 Abstract. We study Small

More information

Real Exchange Rate Fluctuations, Wage Stickiness and Markup Adjustments

Real Exchange Rate Fluctuations, Wage Stickiness and Markup Adjustments Real Exchange Rate Fluctuatons, Wage Stckness and Markup Adjustments Yothn Jnjarak and Kanda Nakno Nanyang Technologcal Unversty and Purdue Unversty January 2009 Abstract Motvated by emprcal evdence on

More information

Understanding Annuities. Some Algebraic Terminology.

Understanding Annuities. Some Algebraic Terminology. Understandng Annutes Ma 162 Sprng 2010 Ma 162 Sprng 2010 March 22, 2010 Some Algebrac Termnology We recall some terms and calculatons from elementary algebra A fnte sequence of numbers s a functon of natural

More information