Lagrange Multiplier Tests in Applied Research

Astaiza-Gómez, José Gabriel

doi:10.46571/jci.2020.1.2

Cited by 5 publications

(2 citation statements)

References 14 publications

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“…The Portmanteau test used to check the error assumption is multivariate white noise [37,38], which is a sequence of random variables with mean 0 and constant variance σ 2 e I. Chi-Squared QQ plots obtained from the value of d 2 j which represents the test statistic were used to check the assumption of multivariate normal error distribution [39]. The Lagrange multiplier (LM) test for the assumption of homoscedasticity is expressed in [40][41][42]:…”

Section: Diagnostic Checkingmentioning

confidence: 99%

GSTARI-X-ARCH Model with Data Mining Approach for Forecasting Climate in West Java

2022

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The spatiotemporal model consists of stationary and non-stationary data, respectively known as the Generalized Space–Time Autoregressive (GSTAR) model and the Generalized Space–Time Autoregressive Integrated (GSTARI) model. The application of this model in forecasting climate with rainfall variables is also influenced by exogenous variables such as humidity, and often the assumption of error is not constant. Therefore, this study aims to design a spatiotemporal model with the addition of exogenous variables and to overcome the non-constant error variance. The proposed model is named GSTARI-X-ARCH. The model is used to predict climate phenomena in West Java, obtained from National Aeronautics and Space Administration Prediction of Worldwide Energy Resources (NASA POWER) data. Climate data are big data, so we used knowledge discovery in databases (KDD) in this study. The pre-processing step is collecting and cleaning data. Then, the data mining process with the GSTARI-X-ARCH model follows the Box–Jenkins procedure: model identification, parameter estimation, and diagnostic checking. Finally, the post-processing step for visualization and interpretation of forecast results was conducted. This research is expected to contribute to developing the spatiotemporal model and forecast results as recommendations to the relevant agencies.

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Section: Diagnostic Checkingmentioning

confidence: 99%

GSTARI-X-ARCH Model with Data Mining Approach for Forecasting Climate in West Java

2022

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“…One of the most popular tests for measuring cross-sectional dependence and heteroskedasticity is the Breusch-Pagan Lagrange Multiplier test(Tahir et al 2021 andAstaiza-Gomez, 2020), also known as the Breusch-Pagan LM test. The result of the Breusch-Pagan LM test in Table6.11 reveals that no cross-section dependence is detected in this model.…”

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confidence: 99%

The impacts of diversification strategy on the financial performance of insurers

Shojaei¹

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The thesis examines the impacts of diversification strategy on the financial performance of firms in the insurance industry. It investigates the impacts of different dimensions of the diversification strategy, including product, geographic, staff, and technological diversification, on insurers' financial performance while considering some essential control variables such as type, size, age, and ownership structure of the companies. The research measures financial performance with the return on equity (ROE) and the return on assets (ROA). The thesis employs the mixed methods research methodology using qualitative and quantitative data collected from Iranian insurance companies, while the data is analysed quantitatively. Two separate studies are conducted to evaluate the impacts of different dimensions of diversification strategy on firms' financial performance. Specifically, the first study focuses on the impact of technological diversification strategy on a firm's financial performance. This study uses the primary data associated with technological diversification through a questionnaire survey with managers from 31 Iranian insurance companies, as the data for technological diversification is not available as secondary data. The data associated with firms' financial performance is collected from reports annually published by the Central Insurance of Iran. Employing the Structural Equation Modelling method enabled by Smart PLS 3 software to analyse the primary data, the study reports mixed effects of technological diversification on the financial performance of Iranian insurers. The second study focuses on investigating the impacts of product, geographic and staff diversification strategies on the financial performance of Iranian insurers. This study employs secondary data collected from the annual reports of the Central Insurance of Iran (from 2011 to 2020). Using econometric techniques for panel data (e.g., fixed effects) enabled by EViews 10 software, the study finds some 3 significant impacts of different dimensions of diversification strategy on the financial performance of Iranian insurers. This thesis is novel in several ways. First, it uses new measurement methods for different dimensions of the diversification strategy, specifically for product diversification and technological diversification. Second, this is the first study in diversification-firms' financial performance literature that combines all four dimensions in a single study. Third, this research benefits from different theoretical perspectives to synthesise the literature and interpret the findings. Therefore, the thesis is not bound or biased to any single theoretical lens. Finally, it provides robust and comprehensive findings for both researchers and practitioners in the insurance industry.

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EU28 region’s water security and the effect of bioenergy industry sustainability

Alsaleh

Abdul‐Rahim

Abdulwakil

2020

Environ Sci Pollut Res

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Water is an essential component of agriculture-food production. As the biomass and biofuel are known excellent sources of renewable and sustainable energy, cultivating process consumes significant quantities of water. Without sufficient, good-quality and easily accessible water, the European agriculture-food production could thus be under threat. This research analyses the impact of the water supply on the bioenergy production in the 28 European Union countries, for the 1990-2018 period within the pathway of the European Union 2030 agenda for sustainable development. The findings using the generalised least squares (GLS) technique show that bioenergy production and population density appear to decrease water supply. Precisely, the magnitude of the effects is -0.224 and -0.136 for developing countries and developed countries in the EU, respectively. This indicates that a serious reduction of water security is more likely to happen in developed countries than in developing countries as a result of the increase in bioenergy consumption. In the meantime, fossil fuel, income generation activities and institutional quality have already positively affected water supply. Thus, these findings implied that water scarcity is becoming one of the main obstacles for bioenergy expansion and growth. The results were also further verified by the random effect and pooled oriented least squares method. This study recommends that the Member of the European Union States should continue to increase bioenergy production in the energy mix efforts without any strenuous water security issues. Notwithstanding, there are several situations where a developing bioenergy industry is unlikely to be constrained by water shortage, and with the drive of bioenergy demand, the efforts might unlock new opportunities to adapt to water-related challenges and to improve water usage efficiencies. The authorities should illustrate organised water security and sustainable bioenergy policy by way of developing alternative strategies in reducing fossil fuel power and related CO2 emissions, accordingly to the unique characteristics of both developed and developing countries in the EU.

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Lagrange Multiplier Tests in Applied Research

Cited by 5 publications

References 14 publications

GSTARI-X-ARCH Model with Data Mining Approach for Forecasting Climate in West Java

GSTARI-X-ARCH Model with Data Mining Approach for Forecasting Climate in West Java

The impacts of diversification strategy on the financial performance of insurers

EU28 region’s water security and the effect of bioenergy industry sustainability

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