A parametric method similar to autoregressive spectral estimators is proposed to determine the probability density function (pdf) of a random set. The method proceeds by maximizing the likelihood of the pdf, yielding estimates that perform equally well in the tails as in the bulk of the distribution. It is therefore well suited for the analysis short sets drawn from smooth pdfs and stands out b...

producers and consumers’ price behavior were analyzed in chicken meat market in fars province. monthly average producers and consumers prices from june 1997 to july 2008 were taken into account. changes in the producer and consumer prices indicated that the prices follow an increasing trend with much fluctuations. marketing margin has an increasing trend of violent fluctuations. the result of g...

We shall first review some non-normal stationary first-order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be sufficiently simple so that the parameter estimation and forecasting problems of the models can be...

Associations between unemployment, work, and disability have been researched in many studies. The findings are often based on cross-sectional data and single outcomes. The present study analysed multiple outcomes over a period of 15 years among long-term unemployed individuals. Based on all individuals aged 20-40 living in Sweden in 1995, prospective cohort analyses were conducted. Individual a...

A SAS macro called genreg is available from the author for conducting adaptive regression modeling. It is written primarily in the matrix language PROC IML and supports nonparametric linear, logistic, and Poisson regression modeling of expected values and/or of variances/dispersions in terms of fractional polynomials in one or more predictor variables. Fractional polynomial models are compared ...

This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition adjustments between spot and future prices across all three futures markets. We test for nonlinearity employ an exponential error correction model (ESTECM) with generalised autoregressive conditional heteroscedasticity (EGARCH), allowing effects of transaction costs, heterogeneity, asymmetry adjustm...