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Sample size in multilevel structural equation modeling – the Monte Carlo approach

100%
Sagan A.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2019
|
issue vol. 23 no. 4
63-79
EN
In the process of sample selection, an important issue is the relationship between sample size and the type and complexity of the statistical model, which is the basis for testing research hypotheses. The paper presents methodological aspects of sample size determination in multilevel structural equation modelling (SEM) in the analysis of satisfaction with the banking products in Poland. The multilevel SEM results from the necessity to take into account both the sample size at the level of individual respondents, as well as at the higher level of analysis and the intraclass correlation coefficient. A comparison of factor loading bias based on the Monte Carlo simulation is made for different cluster sizes and the number of clusters.
2
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Some Remarks on Empirical Power of Tests for Pairs

100%
Domański C., University of Łódź C. o. S. M.
Acta Universitatis Lodziensis. Folia Oeconomica
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2006
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vol. 196
EN
The paper deals with the tests for paired variables called also tests for pairs of variables. The observations are made of pairs of measurements. They can be correlated. It causes the necessity of applying another significance test of differences for example between means than in case of independent samples. We compare the power of nonparametric tests: sign test, Munzel and Wilcoxon tests with the Student’s test for pairs.
PL
W artykule prezentowane są testy dla zmiennych połączonych, zwanych także testami dla par zmiennych. Obserwacje składają się z par pomiarów. Mogą być one skorelowane. Sytuacja ta sprawia, że należy zastosować inny test istotności różnic, np. pomiędzy średnimi aniżeli w przypadku prób niezależnych. Porównujemy moc testów nieparametrycznych: znaków, Wilcoxona i Munzela z testem t-Studenta dla par.
3
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Simulation study of two-sample Kolmogorov-Smirnov test in randomly censored data

100%
Rossa A., University of Łódź D. o. S. M.
Acta Universitatis Lodziensis. Folia Oeconomica
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2002
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vol. 156
PL
W artykule przedstawione są trzy wersje testu zgodności Kołmogorowa-Smimowa dla danych prawostronnie cenzurowanych. Poszczególne testy różnią się sposobem podejścia do obserwacji cenzurowanych. Moc testów została zbadana i porównana za pomocą symulacji Monte Carlo.
EN
The paper deals with a problem of testing the non-parametric hypothesis that two populations are equally distributed in the situation when the observations are subject to random censoring. A general metric for measuring the distance between two distributions is the Kolmogorov metric and the corresponding test is the Two-Sample Kolmogorov-Smirnov test. In the report below we present results of a simulation study performed for three versions of the Two-Sample Kolmogorov-Smirnov test for censored data. These three versions are generated by three methods of treating censored observations. Basic statistical properties of these tests are inspected by means of Monte Carlo simulations.
4
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New Results on the Quality of Recently Introduced Index for a Consistency Control of Pairwise Judgments

100%
Kazibudzki P. T.
Multiple Criteria Decision Making
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2017
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vol. 12
90-102
EN
A system exists which meets a prescription of the efficacious multiple criteria decision making support methodology. It is called the Analytic Hierarchy Process (AHP). The consistency control of human pairwise judgments about their preferences towards alternative choices appears to be the crucial issue in this concept. This research examines the efficiency of a recently proposed consistency index grounded on the redefined idea of triads inconsistency within Pairwise Comparison Matrices. The quality of the recently introduced proposal is studied and compared to other ideas with application of Monte Carlo simulations coded and run in Wolfram Mathematica 8.0.
5

The Performance of Unemployment Rate Predictions in Romania. Strategies to Improve the Forecasts Accuracy

75%
Simionescu M.
Review of Economic Perspectives
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2013
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vol. 13
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issue 4
161-175
EN
The evaluation and improvement of forecasts accuracy generate growth in the quality of decisional process. In Romania, the most accurate predictions for the unemployment rate on the forecasting horizon 2001-2012 were provided by the Institute for Economic Forecasting (IEF) that is followed by European Commission and National Commission for Prognosis (NCP). The result is based on U1, but if more indicators are taken into consideration at the same time using the multi-criteria ranking, the conclusion remains the same. A suitable strategy for improving the degree of accuracy for these forecasts is represented by the combined forecasts. The accuracy of NCP predictions can be improved on the horizon 2001-2012, if the initial values are smoothed using Holt-Winters technique and Hodrick-Prescott filter. The use of Monte Carlo method to simulate the forecasted unemployment rate proved to be the best way to improve the predictions accuracy. Starting from an AR(1) model for the interest variable, the uncertainty analysis was included, the simulations being made for the parameters. Actually, the means of the forecasts distributions for unemployment are considered as point predictions which outperform the expectations of the three institutions. The strategy based on Monte Carlo method is an original contribution of the author introduced in this article regarding the empirical strategies of getting better predictions.
6

Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

75%
Agić-Šabeta E.
Business Systems Research Journal
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2016
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vol. 7
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issue 1
59-80
EN
Background: In today’s highly volatile and unpredictable market conditions, there are very few investment strategies that may offer a certain form of capital protection. The concept of portfolio insurance strategies presents an attractive investment opportunity. Objectives: The main objective of this article is to test the use of portfolio insurance strategies in Southeast European (SEE) markets. A special attention is given to modelling non-risky assets of the portfolio. Methods/Approach: Monte Carlo simulations are used to test the buy-and-hold, the constant-mix, and the constant proportion portfolio insurance (CPPI) investment strategies. A covariance discretization method is used for parameter estimation of bond returns. Results: According to the risk-adjusted return, a conservative constant mix was the best, the buy-and-hold was the second-best, and the CPPI the worst strategy in bull markets. In bear markets, the CPPI was the best in a high-volatility scenario, whereas the buy-and-hold had the same results in low- and medium-volatility conditions. In no-trend markets, the buy-and-hold was the first, the constant mix the second, and the CPPI the worst strategy. Higher transaction costs in SEE influence the efficiency of the CPPI strategy. Conclusions: Implementing the CPPI strategy in SEE could be done by combining stock markets from the region with government bond markets from Germany due to a lack of liquidity of the government bond market in SEE.
7
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Symulacyjna ocena rozmiaru testu BDS

63%
Orzeszko W.
Przegląd Statystyczny
|
2014
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vol. 61
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issue 4
335-361
PL
Test BDS jest jednym z najważniejszych i najczęściej stosowanych narzędzi detekcji nieliniowości w szeregach czasowych. W artykule, przy zastosowaniu symulacji Monte Carlo, analizie poddano jego rozmiar. Symulacje przeprowadzono przy zastosowaniu szeregów liczb pseudolosowych o różnych długościach, wygenerowanych z siedmiu rozkładów o zróżnicowanych własnościach. W badaniu uwzględniono trzy sposoby aproksymacji rozkładu statystyki testowej: klasyczny – polegający na zastosowaniu asymptotycznego rozkładu normalnego oraz dwie metody próbkowania – bootstrap oraz metodę permutacji.
EN
The BDS test is one of the most important and most commonly used tools for detection of nonlinearity in time series. In the paper, the size of the BDS test is assessed using Monte Carlo simulations. The simulation uses pseudo-random series of different length, generated from seven distributions with different properties. In the research, the approximation of the finite sample distribution of the BDS statistic was performed using three methods: the classical one – based on the asymptotic normal distribution and two resampling methods: the bootstrap and the permutation technique.
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Ocena zdolności tablic dwudzielczych do wykrywania związku między uporządkowanymi cechami typu jakościowego

51%
Sulewski P.
Wiadomości Statystyczne. The Polish Statistician
|
2015
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issue 5
1-16
RU
Предложенная Пирсоном в 1900 г. статистика χ2xy, является все еще са-мым важным измерителем для обследования независимости характеристик, тем более что она имеет свое расширение для трехразделительных таблиц и выше. Тем не менее возникает вопрос, какой является способность двухраз-делительных таблиц для обнаружения связи между характеристиками, то есть какой является их мощность. Трудно ответить на этот вопрос на основе анализа, поэтому наилучшим способом кажется быть разра-ботка двухразделительных таблиц и определение мощности с использованием моделированных обследований. Для двухразделительной таблицы 2х2 возможным является также определение мощности критерия с использо-ванием анализа и сопоставления полученных результатов с эмпирическими значениями. Представленные в статье результаты позволяют заинтере-сованным читателям выяснить, в какой степени мощность двухраздел-ительных таблиц зависит от численности выборки и силы связи между характеристиками. Целью статьи является предоставление готовой компьютерной импле-ментации для обследования мощности критериев двухразделительных таблиц в виде файла в Интернете. Представленные теория и примеры по-зволяют анализировать мощность критериев с использованием стати-стики χ2 Пирсона, а также моделировать ход функции плотности и фун-кции распределения центрального и нецентрального распределения хи--квадрат.
XX
Zaproponowana przez Pearsona w 1900 r. statystyka χ2xy jest wciąż najważniejszym miernikiem do badania niezależności cech, tym bardziej że ma on swoje rozszerzenia dla tablic trójdzielczych i wyższych. Pojawia się jednak pytanie, jaka jest zdolność tablic dwudzielczych do wykrywania związku między cechami, czyli jaka jest ich moc? Trudno jest odpowiedzieć na to pytanie na podstawie analizy, dlatego najlepszym sposobem wydaje się być generowanie tablic dwudzielczych i określenie mocy poprzez badania symulacyjne. Dla tablicy dwudzielczej 2×2 możliwe jest także wyznaczenie mocy testów na drodze analitycznej i porównanie uzyskanych wyników z wartościami empirycznymi. Przedstawione w pracy wyniki pozwolą czytelnikowi zorientować się, w jakim stopniu moc tablic dwudzielczych zależy od liczebności próby oraz od siły związku między cechami. Celem pracy jest dostarczenie gotowej implementacji komputerowej do badania mocy testów tablic dwudzielczych w formie pliku zamieszczonego w Internecie. Przedstawiona teoria oraz zamieszczone przykłady pozwolą czytelnikom badać moc testów z wykorzystaniem statystyki χ2 Pearsona, a także modelować przebieg funkcji gęstości i dystrybuanty centralnego i niecentralnego rozkładu chi-kwadrat.
EN
Proposed by Pearson in 1900 χ2xy formula is still the most important measure to study the characteristics independence, especially since it has its extension for three variable and higher tables. The question is, what is the ability of two variable tables to detect relationship between features, what is their power. It is difficult to answer this question on the basis of the analysis. The best way seems to be generating two variable tables and determine power through simulation studies. For the 2x2 two variable table is it also possible to designate test power on the analytical way as well as comparison of obtained analytical results with empirical values. The work results will allow the reader to get an idea of the extent to which power of two variable tables depends on the sample size and the strength of the association between features. Aim of this study is to provide a ready computer implementation to test power of two variable tables stated as a set on the Internet. Presented theory and some examples will help readers to explore the test power using Pearson's X2 statistics and model the course of the density function and cumulative distribution central and non-central chi-square distribution.
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