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Bayesian measures of model complexity and fit
 Journal of the Royal Statistical Society, Series B
, 2002
"... [Read before The Royal Statistical Society at a meeting organized by the Research ..."
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Cited by 203 (3 self)
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[Read before The Royal Statistical Society at a meeting organized by the Research
Least absolute deviations estimation for the censored regression model
 Journal of Econometrics
, 1984
"... This paper proposes an alternative to maximum likelihood estimation of the parameters of the censored regression (or censored ‘Tobit’) model. The proposed estimator is a generalization of least absolute deviations estimation for the standard linear model, and, unlike estimation methods based on the ..."
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Cited by 196 (5 self)
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This paper proposes an alternative to maximum likelihood estimation of the parameters of the censored regression (or censored ‘Tobit’) model. The proposed estimator is a generalization of least absolute deviations estimation for the standard linear model, and, unlike estimation methods based on the assumption of normally distributed error terms, the estimator is consistent and asymptotically normal for a wide class of error distributions, and is also robust to heteroscedasticity. The paper gives the regularity conditions and proofs of these largesample results, and proposes classes of consistent estimators of the asymptotic ovariance matrix for both homoscedastic and heteroscedastic disturbances. 1.
Analysis Of Multiresolution Image Denoising Schemes Using GeneralizedGaussian Priors
 IEEE TRANS. INFO. THEORY
, 1998
"... In this paper, we investigate various connections between wavelet shrinkage methods in image processing and Bayesian estimation using Generalized Gaussian priors. We present fundamental properties of the shrinkage rules implied by Generalized Gaussian and other heavytailed priors. This allows us to ..."
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Cited by 185 (9 self)
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In this paper, we investigate various connections between wavelet shrinkage methods in image processing and Bayesian estimation using Generalized Gaussian priors. We present fundamental properties of the shrinkage rules implied by Generalized Gaussian and other heavytailed priors. This allows us to show a simple relationship between differentiability of the logprior at zero and the sparsity of the estimates, as well as an equivalence between universal thresholding schemes and Bayesian estimation using a certain Generalized Gaussian prior.
Strictly Proper Scoring Rules, Prediction, and Estimation
, 2007
"... Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distribution F if he ..."
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Cited by 182 (17 self)
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Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distribution F if he or she issues the probabilistic forecast F, rather than G ̸ = F. It is strictly proper if the maximum is unique. In prediction problems, proper scoring rules encourage the forecaster to make careful assessments and to be honest. In estimation problems, strictly proper scoring rules provide attractive loss and utility functions that can be tailored to the problem at hand. This article reviews and develops the theory of proper scoring rules on general probability spaces, and proposes and discusses examples thereof. Proper scoring rules derive from convex functions and relate to information measures, entropy functions, and Bregman divergences. In the case of categorical variables, we prove a rigorous version of the Savage representation. Examples of scoring rules for probabilistic forecasts in the form of predictive densities include the logarithmic, spherical, pseudospherical, and quadratic scores. The continuous ranked probability score applies to probabilistic forecasts that take the form of predictive cumulative distribution functions. It generalizes the absolute error and forms a special case of a new and very general type of score, the energy score. Like many other scoring rules, the energy score admits a kernel representation in terms of negative definite functions, with links to inequalities of Hoeffding type, in both univariate and multivariate settings. Proper scoring rules for quantile and interval forecasts are also discussed. We relate proper scoring rules to Bayes factors and to crossvalidation, and propose a novel form of crossvalidation known as randomfold crossvalidation. A case study on probabilistic weather forecasts in the North American Pacific Northwest illustrates the importance of propriety. We note optimum score approaches to point and quantile
Do asset fire sales exist? An Empirical Investigation of Commercial Aircraft Transactions
 Journal of Finance
, 1998
"... This paper uses commercial aircraft transactions to determine whether capital constraints cause firms to liquidate assets at discounts to fundamental values. Results indicate that financially constrained airlines receive lower prices than their unconstrained rivals when selling used narrowbody airc ..."
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Cited by 115 (0 self)
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This paper uses commercial aircraft transactions to determine whether capital constraints cause firms to liquidate assets at discounts to fundamental values. Results indicate that financially constrained airlines receive lower prices than their unconstrained rivals when selling used narrowbody aircraft. Capital constrained airlines are also more likely to sell used aircraft to industry outsiders, especially during market downturns. Further evidence that capital constraints affect liquidation prices is provided by airlines ’ asset acquisition activity. Unconstrained airlines significantly increase buying activity when aircraft prices are depressed; this pattern is not observed for financially constrained airlines. Eastern needs substantial liquidity to implement its business plan and expects that it will continue to sell assets to provide such liquidity. —Texas Air, 1989 Annual Report OPTIMAL CAPITAL STRUCTURE THEORIES suggest that firms choose debt levels such that tax and agency benefits of debt are balanced with expected costs of financial distress. Although direct costs of financial distress ~e.g., legal and administrative costs of bankruptcy! are well documented, comparatively little evidence exists on indirect costs. 1 This paper presents evidence on a specific
Nonparametric analysis of a generalized regression model: the maximum rank correlation estimator
 Journal of the Royal Statistical Society
, 1977
"... The paper considers estimation of a model.b; = D F ( x//3,, u,), where the composite transformation D. F is only specified that D: W * R is nondegenerate monotonic and F: R * + R is strictly monotonic in each of its variables. The paper thus generalizes standard data analysis which assumes tha ..."
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Cited by 104 (0 self)
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The paper considers estimation of a model.b; = D F ( x//3,, u,), where the composite transformation D. F is only specified that D: W * R is nondegenerate monotonic and F: R * + R is strictly monotonic in each of its variables. The paper thus generalizes standard data analysis which assumes that the functional form of II. F is known and additive. The estimator which it proposes is the maximum rank correlation estimator which is nonparametric in the functional form of D. F and nonparametric in the distribution of the error terms, a,. The estimator is shown to be strongly consistent for the parameters /?a up to a scale coefficient. 1.
Inequality in the Distribution of Personal Incomes in the World: How it is Changing and Why
 Journal of Population Economics
, 1998
"... The variance in the logarithms of per capita GDP in purchasingpowerparity prices increased in the world from 1960 to 1968 and decreased since the mid 1970s. In the later period the convergence in intercountry incomes more than offset any increase in within country inequality. Approximately twothi ..."
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Cited by 80 (7 self)
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The variance in the logarithms of per capita GDP in purchasingpowerparity prices increased in the world from 1960 to 1968 and decreased since the mid 1970s. In the later period the convergence in intercountry incomes more than offset any increase in within country inequality. Approximately twothirds of this measure of world inequality is intercountry, threetenths interhousehold within country inequality, and onetwentieth between gender differences in education. If China is excluded from the world sample, the decline in world inequality after 1975 is not evident. Measuring confidently trends in household and gender inequality will requires much improved data. JEL Classification: D31, F02, J16 Key Words: world inequality, household inequality, gender inequality I acknowledge with pleasure the assistance in data processing that was provided by Paul McGuire and appreciate the thoughtful comments on an earlier draft presented as the
2002, “The Targeting of Transfers in Developing Countries
 Review of Experience and Lessons,” Social Safety Net Primer Series, World
"... useful comments and for supplying us with reference materials,Yisgedu Amde and Sanjukta Mukherjee for helpful research assistance and Manorama Rani for document processing. The paper was commissioned by the Social Protection Anchor unit for the Safety Nets Primer series. The findings, interpretation ..."
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Cited by 79 (6 self)
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useful comments and for supplying us with reference materials,Yisgedu Amde and Sanjukta Mukherjee for helpful research assistance and Manorama Rani for document processing. The paper was commissioned by the Social Protection Anchor unit for the Safety Nets Primer series. The findings, interpretations and conclusions expressed in this publication are those of the authors and should not be attributed in any manner to the World Bank, its affiliated organizations, or to the members of the Board of Directors or the countries they represent. Please convey comments to