The Koul–Susarla–Van Ryzin and weighted least squares estimates for censored linear regression model: A comparative study

2007 ◽  
Vol 51 (12) ◽  
pp. 6488-6497 ◽  
Author(s):  
Yanchun Bao ◽  
Shuyuan He ◽  
Changlin Mei
Keyword(s):  
Linear Regression ◽  
Comparative Study ◽  
Regression Model ◽  
Least Squares ◽  
Linear Regression Model ◽  
Weighted Least Squares ◽  
Censored Linear Regression ◽  
Least Squares Estimates

Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances

1997 ◽  
Vol 13 (3) ◽  
pp. 406-429 ◽  
Author(s):  
Anoop Chaturvedi ◽  
Hikaru Hasegawa ◽  
Ajit Chaturvedi ◽  
Govind Shukla
Keyword(s):  
Linear Regression ◽  
Regression Model ◽  
Least Squares ◽  
Linear Regression Model ◽  
Generalized Least Squares ◽  
Least Squares Estimator ◽  
Regression Coefficients ◽  
Confidence Sets ◽  
Generalized Least Squares Estimator ◽  
Coverage Probabilities

In this present paper, considering a linear regression model with nonspherical disturbances, improved confidence sets for the regression coefficients vector are developed using the Stein rule estimators. We derive the large-sample approximations for the coverage probabilities and the expected volumes of the confidence sets based on the feasible generalized least-squares estimator and the Stein rule estimator and discuss their ranking.

scholarly journals Extreme return, extreme volatility and investor sentiment

Filomat ◽  
2016 ◽  
Vol 30 (15) ◽  
pp. 3949-3961 ◽  
Author(s):  
Xu Gong ◽  
Fenghua Wen ◽  
Zhifang He ◽  
Jia Yang ◽  
Xiaoguang Yang ◽  
...  
Keyword(s):  
Linear Regression ◽  
Quantile Regression ◽  
Regression Model ◽  
Least Squares ◽  
Linear Regression Model ◽  
Investor Sentiment ◽  
Generalized Least Squares ◽  
Regression Methods ◽  
Leading Role ◽  
The Impact

The extreme return and extreme volatility have great influences on the investor sentiment in stock market. However, few researchers have taken the phenomenon into consideration. In this paper, we first distinguish the extreme situations from non-extreme situations. Then we use the ordinary generalized least squares and quantile regression methods to estimate a linear regression model by applying the standardized AAII, the return and volatility of SP 500. The results indicate that, except for extremely negative return, other return sequences can cause great changes in investor sentiment, and non-extreme return plays a leading role in affecting the overall American investor sentiment. Extremely positive (negative) return can rapidly improve (further reduce) the level of investor sentiment when investors encounter extremely pessimistic situations. The impact gradually decreases with improvement of the sentiment until the situation turns optimistic. In addition, we find that extreme and non-extreme volatility cannot a_ect the overall investor sentiment.

Sign in / Sign up

Export Citation Format

Share Document