Least absolute deviation estimation of linear econometric models: A literature review

Econometricians generally take for granted that the error terms in the econometric models are generated by distributions having a finite variance. However, since the time of Pareto the existence of error distributions with infinite variance is known. Works of many econometricians, namely, Meyer & Glauber (1964), Fama (1965) and Mandlebroth (1967), on economic data series like prices in financial and commodity markets confirm that infinite variance distributions exist abundantly. The distribution of firms by size, behaviour of speculative prices and various other recent economic phenomena also display similar trends. Further, econometricians generally assume that the disturbance term, which is an influence of innumerably many factors not accounted for in the model, approaches normality according to the Central Limit Theorem. But Bartels (1977) is of the opinion that there are limit theorems, which are just likely to be relevant when considering the sum of number of components in a regression disturbance that leads to non-normal stable distribution characterized by infinite variance. Thus, the possibility of the error term following a non-normal distribution exists. The Least Squares method of estimation of parameters of linear (regression) models performs well provided that the residuals (disturbances or errors) are well behaved (preferably normally or near-normally distributed and not infested with large size outliers) and follow Gauss-Markov assumptions. However, models with the disturbances that are prominently non-normally distributed and contain sizeable outliers fail estimation by the Least Squares method. An intensive research has established that in such cases estimation by the Least Absolute Deviation (LAD) method performs well. This paper is an attempt to survey the literature on LAD estimation of single as well as multi-equation linear econometric models.Lad estimator; Least absolute deviation estimation; econometric model; LAD Estimator; Minimum Absolute Deviation; Robust; Outliers; L1 Estimator; Review of literature

Parallel Two-Stage Least Squares algorithms for Simultaneous Equations Models on GPU

Today it is usual to have computational systems formed by a multicore together with one or more GPUs. These systems are heterogeneous, due to the di erent types of memory in the GPUs and to the di erent speeds of computation of the cores in the CPU and the GPU. To accelerate the solution of complex problems it is necessary to combine the two basic components (CPU and GPU) in the heterogeneous system. This paper analyzes the use of a multicore+multiGPU system for solving Simultaneous Equations Models by the Two-Stage Least Squares method with QR decomposition. The combination of CPU and GPU allows us to reduce the execution time in the solution of large SEM.Ramiro Sánchez, C.; López-Espín, JJ.; Giménez, D.; Vidal, AM. (2012). Parallel Two-Stage Least Squares algorithms for Simultaneous Equations Models on GPU. http://hdl.handle.net/10251/1496

Post-Occupancy Evaluation and IEQ Measurements from 64 Office Buildings: Critical Factors and Thresholds for User Satisfaction on Thermal Quality

The indoor environmental quality (IEQ) of buildings can have a strong influence on occupants’ comfort, productivity, and health. Post-occupancy evaluation (POE) is necessary in assessing the IEQ of the built environment, and it typically relies on the subjective surveys of thermal quality, air quality, visual quality, and acoustic quality. In this research, we expanded POE to include both objective IEQ measurements and the technical attributes of building systems (TABS) that may affect indoor environment and user satisfaction. The suite of three tools, including user satisfaction survey, workstation IEQ measurements, and TABS in the National Environmental Assessment Toolkit (NEAT) has been deployed in 1601 workstations in 64 office buildings, generating a rich database for statistical evaluation of possible correlations between the physical attributes of workstations, environmental conditions, and user satisfaction. Multivariate regression and multiple correlation coefficient statistical analysis revealed the relationship between measured and perceived IEQ indices, interdependencies between IEQ indices, and other satisfaction variables of significance. The results showed that overall, 55% of occupants responded as “satisfied” or “neutral”, and 45% reported being “dissatisfied” in their thermal quality. Given the dataset, air temperature in work area, size of thermal zone, window quality, level of temperature control, and radiant temperature asymmetry with façade are the critical factors for thermal quality satisfaction in the field. As a result, the outcome of this research contributes to identifying correlations between occupant satisfaction, measured data, and technical attributes of building systems. The presented integrated IEQ assessment method can further afford robust predictions of building performance against metrics and guidelines for IEQ standards to capture revised IEQ thresholds that impact building occupants’ satisfaction.</jats:p

Risk adjustment for hospital use using social security data: cross sectional small area analysis

OBJECTIVES: To identify demographic and socioeconomic determinants of need for acute hospital treatment at small area level. To establish whether there is a relation between poverty and use of inpatient services. To devise a risk adjustment formula for distributing public funds for hospital services using, as far as possible, variables that can be updated between censuses. DESIGN: Cross sectional analysis. Spatial interactive modelling was used to quantify the proximity of the population to health service facilities. Two stage weighted least squares regression was used to model use against supply of hospital and community services and a wide range of potential needs drivers including health, socioeconomic census variables, uptake of income support and family credit, and religious denomination. SETTING: Northern Ireland. MAIN OUTCOME MEASURE: Intensity of use of inpatient services. RESULTS: After endogeneity of supply and use was taken into account, a statistical model was produced that predicted use based on five variables: income support, family credit, elderly people living alone, all ages standardised mortality ratio, and low birth weight. The main effect of the formula produced is to move resources from urban to rural areas. CONCLUSIONS: This work has produced a population risk adjustment formula for acute hospital treatment in which four of the five variables can be updated annually rather than relying on census derived data. Inclusion of the social security data makes a substantial difference to the model and to the results produced by the formula