published_or_final_version / abstract / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

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Accurate prediction of officer loss behavior is essential for the planning of personnel policies and executing the U.S. Army's Officer Personnel Management System (OPMS). Inaccurate predictions of officer strength affect the number of personnel authorizations, the Army's budget, and the necessary number of accessions. Imbalances of officer strength in the basic branches affect the Army's combat readiness as a whole. Captains and majors comprise a critical management population in the United States Army's officer corps. This thesis analyzes U.S. Army officer loss rates for captains and majors and evaluates the fit of several time series models. The results from this thesis validate the time series forecasting technique currently used by the Army G-1, Winters-method additive.

Thesis advisor: Zhijie Xiao / I have three chapters in my dissertation. The first chapter is about the estimation and inference for DSGE model; the second chapter is about testing financial contagion among stock markets, and in the last chapter, I propose a new econometrics method to forecast inflation interval. This first chapter studies proper inference and asymptotically accurate structural break tests for parameters in Dynamic Stochastic General Equilibrium (DSGE) models in a maximum likelihood framework. Two empirically relevant issues may invalidate the conventional inference procedures and structural break tests for parameters in DSGE models: (i) weak identification and (ii) moderate parameter instability. DSGE literatures focus on dealing with weak identification issue, but ignore the impact of moderate parameter instability. This paper contributes to the literature via considering the joint impact of two issues in DSGE framework. The main results are: in a weakly identified DSGE model, (i) moderate instability from weakly identified parameters would not affect the validity of standard inference procedures or structural break tests; (ii) however, if strongly identified parameters are featured with moderate time-variation, the asymptotic distributions of test statistics would deviate from standard ones and would no longer be nuisance parameter free, which renders standard inference procedures and structural break tests invalid and provides practitioners misleading inference results; (iii) as long as I concentrate out strongly identified parameters, the instability impact of them would disappear as the sample size goes to infinity, which recovers the power of conventional inference procedure and structural break tests for weakly identified parameters. To illustrate my results, I simulate and estimate a modified version of the Hansen (1985) Real Business Cycle model and find that my theoretical results provide reasonable guidance for finite sample inference of the parameters in the model. I show that confidence intervals that incorporate weak identification and moderate parameter instability reduce the biases of confidence intervals that ignore those effects. While I focus on DSGE models in this paper, all of my theoretical results could be applied to any linear dynamic models or nonlinear GMM models. The second chapter, regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare our test with correlation-based tests using three real data sets: the 1994 Tequila crisis, the 1997 Asia crisis, and the 2001 Argentina crisis. Empirical results show substantial differences between two types of tests. In the third chapter, I use Quantile Bayesian Approach-- to do the interval forecast for inflation in the semi-parametric framework. This new method introduces Bayesian solution to the quantile framework for two reasons: 1. It enables us to get more efficient quantile estimates when the informative prior is used (He and Yang (2012)); 2. We use Markov Chain Monte Carlo (MCMC) algorithm to generate samples of the posterior distribution for unknown parameters and take the mean or mode as the estimates. This MCMC estimator takes advantage of numerical integration over the standard numerical differentiation based optimization, especially when the likelihood function is complicated and multi-modal. Simulation results find better interval forecasting performance of Quantile Bayesian Approach than commonly used parametric approach. / Thesis (PhD) — Boston College, 2015. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

by Man Ka Sing. / Bibliography: leaves 69-70 / Thesis (M.Ph.)--Chinese University of Hong Kong, 1984

Yau Chun-Yip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 64-65). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Fractional Integration --- p.1 / Chapter 1.2 --- Fractionally Intergrated Autoregressive Moving-Average Models With Conditional Heteroscedasticity --- p.6 / Chapter 1.3 --- Empirical Likelihood --- p.8 / Chapter 2 --- Whittle Likelihood Estimation in Long-Memory Time Series --- p.13 / Chapter 2.1 --- Exact Gaussian Maximum likelihood Estimation --- p.13 / Chapter 2.2 --- Whittle's approximate MLE --- p.16 / Chapter 3 --- Empirical Likelihood For ARFIMA models --- p.20 / Chapter 4 --- Empirical Likelihood For ARFIMA-GARCH models --- p.40 / Chapter 4.1 --- Empirical likelihood for GARCH models --- p.40 / Chapter 4.2 --- Empirical likelihood for ARFIMA-GARCH models --- p.44 / Chapter 5 --- Simulation --- p.48 / Chapter 5.1 --- Test of independece for periodogram ordinates --- p.49 / Chapter 5.2 --- Confidence Region --- p.53 / Chapter 5.3 --- Coverage error of empirical likelihood confidence intervals --- p.57 / Chapter 6 --- Conclusions and Further Research --- p.62 / Reference --- p.64

Tam, Chik Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 66-67). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Problem of identifying d in ARIMA model --- p.1 / Chapter 1.2 --- Another Approach --- p.4 / Chapter 2 --- Polyvariogram approach --- p.8 / Chapter 2.1 --- Variogram --- p.8 / Chapter 2.2 --- Polyvariogram --- p.11 / Chapter 2.3 --- A testing procedure --- p.13 / Chapter 2.4 --- Testing with integrated white noise series --- p.14 / Chapter 3 --- Aggregate time series in ARIMA --- p.17 / Chapter 3.1 --- The preservation of unity in ARIMA model under aggregation --- p.17 / Chapter 3.1.1 --- "Aggregation model of ARIMA(0,1,0)" --- p.20 / Chapter 3.1.2 --- "Aggregation model of ARIMA(0,1,1)" --- p.23 / Chapter 3.1.3 --- "Aggregation model of ARIMA(1,1,0)" --- p.26 / Chapter 4 --- Aggregation effects on the power of the test --- p.33 / Chapter 4.1 --- "Testing integrated white noise ARIMA(0,1.0) under aggregation" --- p.35 / Chapter 4.1.1 --- Simulation scheme --- p.35 / Chapter 4.1.2 --- Result --- p.39 / Chapter 4.2 --- "Testing ARIMA(0,1,1) under aggregation" --- p.42 / Chapter 4.2.1 --- Simulation scheme --- p.42 / Chapter 4.2.2 --- Result --- p.45 / Chapter 4.3 --- "Testing ARIMA(1, 1,0) under aggregation" --- p.52 / Chapter 4.3.1 --- Simulation scheme --- p.53 / Chapter 4.3.2 --- Result --- p.56 / Chapter 5 --- Conclusions and Discussions --- p.64

Thesis (M. Phil.)--University of Hong Kong, 2001. / Includes bibliographical references (leaves 84-99).

This thesis aims at investigating different forms of residuals from a general time series model with conditional mean and conditional variance fitted by the Gaussian quasi-maximum likelihood method. We investigated the limiting distributions of autocorrelation and partial autocorrelation functions under different forms of residuals. Based on them we devised some individual portmanteau tests and two mixed portmanteau tests. We started by exploring the asymptotic normalities of the residual autocorrelation functions, the squared residual autocorrelation functions and absolute residual autocorrelation functions from the fitted time series model. This leads to three individual portmanteau tests. Then we generalized them to their counterparts of partial autocorrelation functions, and this results in another three individual portmanteau tests. We carried out simulations studies to compare the six individual portmanteau tests and find that some tests are sensitive to mis-specification in the conditional mean while other tests are effective to detect mis-specification in the conditional variance. However, for the case that the mis-specifications happen in both conditional mean and variance, none of these individual portmanteau tests present remarkable power. Based on this, we continued to investigate the joint limiting distributions of the residual autocorrelation functions and absolute residual autocorrelation functions of the fitted model since the former one is powerful to identify mis-specification in the conditional mean and the latter one works well when the conditional variance is mis-specified. This leads to two mixed portmanteau tests for diagnostic checking of the fitted model. Simulation studies are carried out to check the asymptotic theory and to assess the performance of the mixed portmanteau tests. It shows that the mixed portmanteau tests have the power to detect mis-specification in the conditional mean and conditional variance respectively while it is feasible to detect both of them. / published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy