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Academic Journal
Business Analytics

“Disease Risk Estimation by Combining Case-Control Data with Aggregated Information on the Population at Risk”

We propose a novel statistical framework by supplementing case-control data with summary statistics on the population at risk for a subset of risk factors. Our approach is to first form two unbiased estimating equations, one based on the case-control data and the other on both the case data and the summary statistics, and then optimally combine them to derive another estimating equation to be used for the estimation. The proposed method is computationally simple and more efficient than standard approaches based on case-control data alone. We also establish asymptotic properties of the resulting estimator, and investigate its finite-sample performance through simulation. As a substantive application, we apply the proposed method to investigate risk factors for endometrial cancer, by using data from a recently completed population-based case-control study and summary statistics from the Behavioral Risk Factor Surveillance System, the Population Estimates Program of the US Census Bureau, and the Connecticut Department of Transportation.
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Academic Journal
Business Analytics

“Dynamic relation of Chinese stock price-volume pre- and post- the Split Share Structure Reform: New evidence from a two-state Markov-switching approach”

Purpose – The purpose of this paper is to identify the bull and bear regimes in Chinese stock market and empirically analyze the dynamic relation of Chinese stock price-volume pre- and post- the Split Share Structure Reform.

Design/methodology/approach – The authors investigate the price-volume relationship in the Chinese stock market before and after the Split Share Structure Reform using Shanghai Composite Index daily data from July 1994 to April 2013. Using a two-state Markov-switching autoregressive model and a modified two-state Markov-switching vector autoregression model, this study identifies bull or bear market and also examine the existence of regime-dependent Granger causality.

Findings – Using a two-state Markov-switching autoregressive model, the authors detect structural changes in the market volatility due to the reform, and find evidence of a positive rather than an asymmetric price-volume contemporaneous correlation. There is a strong dynamic Granger causal relation from stock returns to trading volume before and after the reform regardless of the market conditions, but the causal effects of volume on returns are only seen in the bear markets before the reform. The model is robust when using different stock indices and time periods.

Originality/value – The work is different from previous studies in the following aspects: most of the existing empirical literature focus on the well-developed economies, but our interest lies in the emerging Chinese market that has witnessed rapid growth in the past decade; in contrast to many works in the literature that examine the price-volume relationship during one market condition, the authors compare the relationship in a bull market with that in a bear market, using a two-state MS-AR model; the authors also employ a modified two-state Markov-switching vector autoregression model to examine the existence of regime-dependent Granger causality; as the most massive systematic reform for the Chinese stock market since its inception in 2005, the Split Share Structure Reform has a profound impact on the Chinese stock market, thus it is of vital importance to explore its effects on both the price-volume relationship and the market structure.
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Academic Journal
Business Analytics

“Efficient and Effective Calibration of Numerical Model Outputs Using Hierarchical Dynamic Models”

Numerical air quality models, such as the Community Multiscale Air Quality (CMAQ) system, play a critical role in characterizing pollution levels at fine spatial and temporal scales, but the model outputs tend to systematically over- or under-estimate pollutants concentrations. In this work, we propose a hierarchical dynamic model that can be implemented to calibrate large-scale grid-level CMAQ model outputs using point-level observations from sparse monitoring stations. Under a Bayesian framework, our model presents a flexible quantification of uncertainties by considering deep hierarchies for key parameters and can also be used to describe the dynamic nature of data structural changes. In addition, we adopt several newly developed techniques, including triangulation of research domain, tapering-based Gaussian kernel, Gaussian graphical model, variational Bayes, and ensemble Kalman smoother, which significantly speed up the entire calibration process. We demonstrate the effectiveness of our model using the daily PM2.5 datasets of China's Beijing-Tianjin-Hebei region, which consists of 68 monitoring stations and 2499 CMAQ 9-km grids. In contrast to the existing methods, our model produces more accurate calibration results, generates maps of higher-quality predictions, and operates at a higher computational efficiency. Overall, this methodology proves to be an effective calibration tool for large-scale numerical model outputs.
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