Search results for: panel regression

Authors: Kamna Solanki, Yudhvir Singh, Sandeep Dalal

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Software testing is a time and cost intensive process. A scrutiny of the code and rigorous testing is required to identify and rectify the putative bugs. The process of bug identification and its consequent correction is continuous in nature and often some of the bugs are removed after the software has been launched in the market. This process of code validation of the altered software during the maintenance phase is termed as Regression testing. Regression testing ubiquitously considers resource constraints; therefore, the deduction of an appropriate set of test cases, from the ensemble of the entire gamut of test cases, is a critical issue for regression test planning. This paper presents a novel method for designing a suitable prioritization process to optimize fault detection rate and performance of regression test on predefined constraints. The proposed method for test case prioritization m-ACO alters the food source selection criteria of natural ants and is basically a modified version of Ant Colony Optimization (ACO). The proposed m-ACO approach has been coded in 'Perl' language and results are validated using three examples by computation of Average Percentage of Faults Detected (APFD) metric.

Keywords: regression testing, software testing, test case prioritization, test suite optimization

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Authors: Shorena Pharjiani

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The Present empirical paper investigates the relationship between FDI and economic growth by 10 selected industries in 10 Central and Eastern European countries from the period 1995 to 2012. Different estimation approaches were used to explore the connection between FDI and economic growth, for example OLS, RE, FE with and without time dummies. Obtained empirical results leads to some main consequences: First, the Central and East European countries (CEEC) attracted foreign direct investment, which raised the productivity of industries they entered in. It should be concluded that the linkage between FDI and output growth by industries is positive and significant enough to suggest that foreign firm’s participation enhanced the productivity of the industries they occupied. There had been an endogeneity problem in the regression and fixed effects estimation approach was used which partially corrected the regression analysis in order to make the results less biased. Second, it should be stressed that the results show that time has an important role in making FDI operational for enhancing output growth by industries via total factor productivity. Third, R&D positively affected economic growth and at the same time, it should take some time for research and development to influence economic growth. Fourth, the general trends masked crucial differences at the country level: over the last 20 years, the analysis of the tables and figures at the country level show that the main recipients of FDI of the 11 Central and Eastern European countries were Hungary, Poland and the Czech Republic. The main reason was that these countries had more open door policies for attracting the FDI. Fifth, according to the graphical analysis, while Hungary had the highest FDI inflow in this region, it was not reflected in the GDP growth as much as in other Central and Eastern European countries.

Keywords: central and East European countries (CEEC), economic growth, FDI, panel data

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Authors: N. Alhazmi

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Knowing the thermodynamics properties of hydrocarbons is vital when it comes to analyzing the related chemical reaction outcomes and understanding the reaction process, especially in terms of petrochemical industrial applications, combustions, and catalytic reactions. However, measuring the thermodynamics properties experimentally is time-consuming and costly. In this paper, Gaussian process regression (GPR) has been used to directly predict the main thermodynamic properties - standard enthalpy of formation, standard entropy, and heat capacity -for more than 360 cyclic and non-cyclic alkanes, alkenes, and alkynes. A simple workflow has been proposed that can be applied to directly predict the main properties of any hydrocarbon by knowing its descriptors and chemical structure and can be generalized to predict the main properties of any material. The model was evaluated by calculating the statistical error R², which was more than 0.9794 for all the predicted properties.

Keywords: thermodynamic, Gaussian process regression, hydrocarbons, regression, supervised learning, entropy, enthalpy, heat capacity

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Authors: Yeong-cheng Wang, Jin-Yinn Wang, Ming-Shan Lin, Jian-Li Dong

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To universalize the adoption of sustainable energy, the R.O.C. government encourages public buildings to introduce the PV power station on the building roof, whereas most old buildings did not include the considerations of photovoltaic (PV) power facilities in the design phase. Several factors affect the PV electricity output, the temperature is the key one, different PV technologies have different temperature coefficients. Other factors like PV panel azimuth, panel inclination from the horizontal plane, and row to row distance of PV arrays, mix up at the beginning of system design. The goal of this work is to maximize the annual energy output of a roof mount PV system. Tables to simplify the design work are developed; the results can be used for engineering project quote directly.

Keywords: optimal inclination, array azimuth, annual output

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Authors: M. Sohail Hasan, Wichuda Munbua, Chikako Fujiyama, Koichi Maekawa

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During the past few years, offshore wind energy has become the key parameter to reduce carbon emissions. In most of the previous studies, floaters in floating offshore wind turbines (FOWT) are made up of steel. However, fatigue and corrosion are always major concerns of steel marine structures. Recently, researchers are working on concrete floating substructures. In this paper, the conceptual design of pre-cast panel-based economical and durable reinforced concrete floating substructure for a 10 MW offshore wind turbine is proposed. The new geometrical shape, i.e., hexagon with inside hollow boxes, is proposed under static conditions. To design the outer panel/side walls to resist hydrostatic forces, special consideration for durability is given to limit the crack width within permissible range under service limit state. A comprehensive system is proposed for transferring the ultimate moment and shear due to strong wind at the connection between steel tower and concrete floating substructure. Moreover, a stable connection is also designed considering the fatigue of concrete and steel due to the fluctuation of stress from the mooring line. This conceptual design will be verified by subsequent dynamic analysis soon.

Keywords: cracks width control, mooring line, reinforced concrete floater, steel tower

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Authors: Mnasri Faiza, El Ganaoui Mohammed, Khelifa Mourad, Gabsi Slimane

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The main objective of this paper is to describe the hydrothermal behavior through porous material of construction due to temperature gradient. The construction proposed a bi-layer structure which composed of two different materials. The first is a bio-sourced panel named IBS-AKU (inertia system building), the second is the Neopor material. This system (IBS-AKU Neopor) is developed by a Belgium company (Isohabitat). The study suggests a multi-layer structure of the IBS-AKU panel in one dimension. A numerical method was proposed afterwards, by using the finite element method and a refined mesh area to strong gradients. The evolution of temperature fields and the moisture content has been processed.

Keywords: heat transfer, moisture diffusion, porous media, composite IBS-AKU, simulation

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Authors: Wanatchapong Kongkaew

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This paper proposes an application of probabilistic technique, namely Gaussian process regression, for estimating an optimal sequence of the single machine with total weighted tardiness (SMTWT) scheduling problem. In this work, the Gaussian process regression (GPR) model is utilized to predict an optimal sequence of the SMTWT problem, and its solution is improved by using an iterated local search based on simulated annealing scheme, called GPRISA algorithm. The results show that the proposed GPRISA method achieves a very good performance and a reasonable trade-off between solution quality and time consumption. Moreover, in the comparison of deviation from the best-known solution, the proposed mechanism noticeably outperforms the recently existing approaches.

Keywords: Gaussian process regression, iterated local search, simulated annealing, single machine total weighted tardiness

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Authors: Edlira Donefski, Lorenc Ekonomi, Tina Donefski

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Edgeworth approximation is one of the most important statistical methods that has a considered contribution in the reduction of the sum of standard deviation of the independent variables’ coefficients in a Quantile Regression Model. This model estimates the conditional median or other quantiles. In this paper, we have applied approximating statistical methods in an economical problem. We have created and generated a quantile regression model to see how the profit gained is connected with the realized sales of the cosmetic products in a real data, taken from a local business. The Linear Regression of the generated profit and the realized sales was not free of autocorrelation and heteroscedasticity, so this is the reason that we have used this model instead of Linear Regression. Our aim is to analyze in more details the relation between the variables taken into study: the profit and the finalized sales and how to minimize the standard errors of the independent variable involved in this study, the level of realized sales. The statistical methods that we have applied in our work are Edgeworth Approximation for Independent and Identical distributed (IID) cases, Bootstrap version of the Model and the Edgeworth approximation for Bootstrap Quantile Regression Model. The graphics and the results that we have presented here identify the best approximating model of our study.

Keywords: bootstrap, edgeworth approximation, IID, quantile

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Authors: Safa Lazzem, Faouzi Jilani

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The aim of this research is to investigate the impact of diversification strategy on the nature of the relationship between leverage and accrual-based earnings management through panel-estimation techniques based on a sample of 162 nonfinancial French firms indexed in CAC All-Tradable during the period from 2006 to 2012. The empirical results show that leverage increases encourage managers to manipulate earnings management. Our findings prove that the diversification strategy provides the needed context for this accounting practice to be possible in highly diversified firms. In addition, the results indicate that diversification moderates the relationship between leverage and accrual-based earnings management by changing the nature and the sign of this relationship.

Keywords: diversification, earnings management, leverage, panel-estimation techniques

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Authors: Chae Hoon Park, Jong Kang Park, Jong Tae Kim

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Electrical characteristics of capacitive touchscreen need to be accurately analyzed to result in better performance for multi-channel capacitance sensing. In this paper, we extracted the panel resistances and capacitances of the touchscreen by comparing measurement data and model data. By employing a lumped RC model for driver-to-receiver paths in touchscreen, we estimated resistance and capacitance values according to the physical lengths of channel paths which are proportional to the RC model. As a result, we obtained the model having 95.54% accuracy of the measurement data.

Keywords: electrical characteristics of capacitive touchscreen, iterative extraction, lumped RC model, physical lengths of channel paths

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Authors: Yuthapoom Thanakijborisut

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This paper studies consumption insurance against the chronic illness in Thailand. The study estimates the impact of household consumption in the chronic illness on consumption growth. Chronic illness is the health care costs of a person or a household’s decision in treatment for the long term; the causes and effects of the household’s ability for smooth consumption. The chronic illnesses are measured in health status when at least one member within the household faces the chronic illness. The data used is from the Household Social Economic Panel Survey conducted during 2007 and 2012. The survey collected data from approximately 6,000 households from every province, both inside and outside municipal areas in Thailand. The study estimates the change in household consumption by using an ordinary least squares (OLS) regression model. The result shows that the members within the household facing the chronic illness would reduce the consumption by around 4%. This case indicates that consumption insurance in Thailand is quite sufficient against chronic illness.

Keywords: consumption insurance, chronic illness, health care, Thailand

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Authors: Arega Shumetie Ademe, Belay Kassa, Degye Goshu, Majaliwa Mwanjalolo

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Currently the world economy is suffering from one critical problem, climate change. Some studies done before identified that impact of the problem is region specific means in some part of the world (temperate zone) there is improvement in agricultural performance but in some others like in the tropics there is drastic reduction in crop production and crop income. Climate variability is becoming dominant cause of short-term fluctuation in rain-fed agricultural production and income of developing countries. The purely rain-fed Ethiopian agriculture is the most vulnerable sector to the risks and impacts of climate variability. Thus, this study tried to identify impact of climate variability on crop income of smallholders in Ethiopia. The research used eight rounded unbalanced panel data from 1994- 2014 collected from six villages in the study area. After having all diagnostic tests the research used fixed effect method of regression. Based on the regression result rainfall and temperature deviation from their respective long term averages have negative and significant effect on crop income. Other extreme devastating shocks like flood, storm and frost, which are sourced from climate variability, have significant and negative effect on crop income of households’. Parameters that notify rainfall inconsistency like late start, variation in availability at growing season, and early cessation are critical problems for crop income of smallholder households as to the model result. Given this, impact of climate variability is not consistent in different agro-ecologies of the country. Rainfall variability has similar impact on crop income in different agro-ecology, but variation in temperature affects cold agro-ecology villages negatively and significantly, while it has positive effect in warm villages. Parameters that represent rainfall inconsistency have similar impact in both agro-ecologies and the aggregate model regression. This implies climate variability sourced from rainfall inconsistency is the main problem of Ethiopian agriculture especially the crop production sub-sector of smallholder households.

Keywords: climate variability, crop income, household, rainfall, temperature

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Authors: Wesam Hamed

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This paper contributes to the existing literature by investigating the impact of political risks on the capital adequacy ratio in the banking sector of Gulf Cooperation Council (GCC) countries, which is the first attempt for this nexus to the best of our knowledge. The dynamic panel data model (System‐GMM) showed that political risks significantly decrease the capital adequacy ratio in the banking sector. For this purpose, we used political risks, bank-specific, profitability, and macroeconomic variables that are utilized from the data stream database for the period 2005-2017. The results also actively support the “too big to fail” hypothesis. Finally, the robustness results confirm the conclusions derived from the baseline System‐GMM model.

Keywords: capital adequacy ratio, system GMM, GCC, political risks

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Authors: Salise Oktay, Nilgün Kizilcan, Başak Bengü

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At present, formaldehyde based adhesives such as urea formaldehyde (UF), melamine formaldehyde (MF), melamine – urea formaldehyde (MUF), etc. are mostly used in wood based panel industry because of their high reactivity, chemical versatility, and economic competitiveness. However, formaldehyde based wood adhesives are produced from non- renewable resources. Hence, there has been a growing interest in the development of environment friendly, economically competitive, bio-based wood adhesives in order to meet wood based panel industry requirements. In this study, as formaldehyde free adhesive, Mimosa tannin, starch, sugar based wood adhesivewas synthesized. Citric acid and tartaric acid were used as hardener for the resin system. Solid content, viscosity, and gel time analyzes of the prepared adhesive were performed in order to evaluate the adhesive processability. FTIR characterization technique was used to elucidate the chemical structures of the cured adhesivesamples. In order to evaluate the performance of the prepared bio-based resin formulation, particleboards were produced in a laboratory scale, and mechanical, physical properties of the boards were investigated. Besides, the formaldehyde contents of the boards were determined by using the perforator method. The obtained results revealed that the developed bio-based wood adhesive formulation can be a good potential candidate to use wood based panel industry with some developments.

Keywords: bio-based wood adhesives, mimosa tannin, corn starch, sugar, polycarboxyclic acid

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Authors: Sanjeet Kumar Singh, Shanatanu Bhattacharaya

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Design of high- efficiency low, frequency (<1000Hz) soundproof window or wall absorber which is transparent to airflow is presented. Due to the massive rise in human population and modernization, environmental noise has significantly risen globally. Prolonged noise exposure can cause severe physiological and psychological symptoms like nausea, headaches, fatigue, and insomnia. There has been continuous growth in building construction and infrastructure like offices, bus stops, and airports due to urban population. Generally, a ventilated window is used for getting fresh air into the room, but at the same time, unwanted noise comes along. Researchers used traditional approaches like noise barrier mats in front of the window or designed the entire window using sound-absorbing materials. However, this solution is not aesthetically pleasing, and at the same time, it's heavy and not adequate for low-frequency noise shielding. To address this challenge, we design a transparent hexagonal panel based on Sierpiński fractal triangle, which is aesthetically pleasing, demonstrates normal incident sound absorption coefficient more than 0.96 around 700 Hz and transmission loss around 23 dB while maintaining e air circulation through triangular cutout. Next, we present a concept of fabrication of large acoustic panel for large-scale applications, which lead to suppressing the urban noise pollution.

Keywords: acoustic metamaterials, noise, functional materials, ventilated

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Authors: M. A. Ahmed, Sidra A. Shaikh, M. W. Akhtar

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Solar radiation on horizontal surface over three southern cities of Sindh, namely Karachi, Hyderabad and Nawabshah has been investigated to asses the feasibility of solar energy application for power generation. In the present work, measured data of bright sunshine hour of the region have been used to estimate the global and diffuse solar radiation. The regression coefficient 'a' and 'b' have been calculated using first order Angstrom type co-relation. The result obtained shows that the contribution of direct solar radiation is low and diffuse radiation is high during the monsoon months July and August for Karachi and Hyderabad. The sky remains clear from September to June, whereas for Nawabshah the global radiation remains high throughout the year. The potential of grid quality solar photovoltaic power in Karachi is estimated for 10 square meter area of solar panel.

Keywords: solar potential over Sindh, global and diffuse solar radiation, radiation over three cities of Sindh, solar panels

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Authors: Monika Chuchro

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This paper presents a preliminary attempt to apply classification of time series using meta-clusters in order to improve the quality of regression models. In this case, clustering was performed as a method to obtain a subgroups of time series data with normal distribution from inflow into waste water treatment plant data which Composed of several groups differing by mean value. Two simple algorithms: K-mean and EM were chosen as a clustering method. The rand index was used to measure the similarity. After simple meta-clustering, regression model was performed for each subgroups. The final model was a sum of subgroups models. The quality of obtained model was compared with the regression model made using the same explanatory variables but with no clustering of data. Results were compared by determination coefficient (R2), measure of prediction accuracy mean absolute percentage error (MAPE) and comparison on linear chart. Preliminary results allows to foresee the potential of the presented technique.

Keywords: clustering, data analysis, data mining, predictive models

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Authors: Labar Hocine, Kelaiaia Mounia Samira, Mesbah Tarek, Kelaiaia Samia

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Maximum power point tracking (MPPT) techniques are used in photovoltaic (PV) systems to maximize the PV array output power by tracking continuously the maximum power point(MPP) which depends on panels temperature and on irradiance conditions. The main drawback of P&O is that, the operating point oscillates around the MPP giving rise to the waste of some amount of available energy; moreover, it is well known that the P&O algorithm can be confused during those time intervals characterized by rapidly changing atmospheric conditions. In this paper, it is shown that in order to limit the negative effects associated to the above drawbacks, the P&O MPPT parameters must be customized to the dynamic behavior of the specific converter adopted. A theoretical analysis allowing the optimal choice of such initial set parameters is also carried out. The fast convergence of the proposal is proven.

Keywords: P&O, Taylor’s series, MPPT, photovoltaic panel

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Authors: Yakubu Suleiman, S. A. Musa

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Nigeria is the largest cowpea producer in the world, accounting for about 45%, followed by Brazil with about 17%. Cowpea is grown in Kano, Bauchi, Katsina, Borno in the north, Oyo in the west, and to the lesser extent in Enugu in the east. This study was conducted to determine the input–output relationship of Cowpea production in Kano, Katsina, and Jigawa states of Nigeria. The data were collected with the aid of 1000 structured questionnaires that were randomly distributed to Cowpea farmers in the three states mentioned above of the study area. The data collected were analyzed using regression analysis (Cobb–Douglass production function model). The result of the regression analysis revealed the coefficient of multiple determinations, R2, to be 72.5% and the F ration to be 106.20 and was found to be significant (P < 0.01). The regression coefficient of constant is 0.5382 and is significant (P < 0.01). The regression coefficient with respect to labor and seeds were 0.65554 and 0.4336, respectively, and they are highly significant (P < 0.01). The regression coefficient with respect to fertilizer is 0.26341 which is significant (P < 0.05). This implies that a unit increase of any one of the variable inputs used while holding all other variables inputs constants, will significantly increase the total Cowpea output by their corresponding coefficient. This indicated that farmers in the study area are operating in stage II of the production function. The result revealed that Cowpea farmer in Kano, Jigawa and Katsina States realized a profit of N15,997, N34,016 and N19,788 per hectare respectively. It is hereby recommended that more attention should be given to Cowpea production by government and research institutions.

Keywords: coefficient, constant, inputs, regression

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Authors: Kiurski S. Jelena, Aksentijević M. Snežana, Oros B. Ivana, Kecić S. Vesna, Djogo Z. Maja

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The paper investigates the effect of light intensity on the formation of two ketones, acetone and methyl ethyl ketone, in working premises of five pad printing departments in Novi Sad, Serbia. Multiple linear regression analysis examined the form of interdependency concentrations of methyl ethyl ketone, acetone and light intensity in five printing presses at seven sampling points, using Statistica software package version 10th. The results show an average stacking variation investigated variable and can be presented by the general regression model: y = b0 + b1xi1 + b2xi2.

Keywords: acetone, methyl ethyl ketone, multiple linear regression analysis, pad printing

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Authors: Praveena Sridhar, Nihar Devathi, Parikshit Chakraborty

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As the software product changes versions across releases, there are changes to the API’s and features and the upgrades become necessary. Hence, it becomes imperative to get the impact of upgrading the dependent components. This tool finds out API changes across two versions and their impact on other API’s followed by execution of the automated regression suites relevant to updates and their impacted areas. This tool has 4 layer architecture, each layer with its own unique pre-assigned capability which it does and sends the required information to next layer. This are the 4 layers. 1) Comparator: Compares the two versions of API. 2) Analyzer: Analyses the API doc and gives the modified class and its dependencies along with implemented interface details. 3) Impact Filter: Find the impact of the modified class on the other API methods. 4) Auto Executer: Based on the output given by Impact Filter, Executor will run the API regression Suite. Tool reads the java doc and extracts the required information of classes, interfaces and enumerations. The extracted information is saved into a data structure which shows the class details and its dependencies along with interfaces and enumerations that are listed in the java doc.

Keywords: automation impact regression, java doc, executor, analyzer, layers

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Authors: Igor Velickovski, Aleksandar Stojkov, Ivana Rajkovic

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This paper investigates drivers of shock synchronization using quarterly data for 27 European countries over the period 1999-2013 and taking into account the difference between core (‘the euro area core locomotive’) and peripheral euro area and transition countries (‘the peripheral wagons’). Results from panel error-correction models suggest that core of the euro area has not been strong magnetizer of the shock convergence of periphery and transition countries since the euro inception as a result of the offsetting effects of the various factors that affected the shock convergence process. These findings challenge the endogeneity hypothesis in the optimum currency area framework and rather support the specialisation paradigm which is concerning evidence for the future stability of the euro area.

Keywords: dynamic panel models, shock synchronisation, trade, optimum currency area

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Authors: J. Satya Eswari, Ch. Venkateswarlu

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The formulation of a commercial pharmaceutical product involves several composition factors and response characteristics. When the formulation requires to satisfy multiple response characteristics which are conflicting, an optimal solution requires the need for an efficient multiobjective optimization technique. In this work, a regression is combined with a non-dominated sorting differential evolution (NSDE) involving Naïve & Slow and ε constraint techniques to derive different multiobjective optimization strategies, which are then evaluated by means of a trapidil pharmaceutical formulation. The analysis of the results show the effectiveness of the strategy that combines the regression model and NSDE with the integration of both Naïve & Slow and ε constraint techniques for Pareto optimization of trapidil formulation. With this strategy, the optimal formulation at pH=6.8 is obtained with the decision variables of micro crystalline cellulose, hydroxypropyl methylcellulose and compression pressure. The corresponding response characteristics of rate constant and release order are also noted down. The comparison of these results with the experimental data and with those of other multiple regression model based multiobjective evolutionary optimization strategies signify the better performance for optimal trapidil formulation.

Keywords: pharmaceutical formulation, multiple regression model, response surface method, radial basis function network, differential evolution, multiobjective optimization

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Authors: S. Deswal, M. Pal

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The paper aims to compare the performance of vertical and inclined multiple plunging jets and to model and predict their mass transfer capacity by multi-linear regression based approach. The multiple vertical plunging jets have jet impact angle of θ = 90O; whereas, multiple inclined plunging jets have jet impact angle of θ = 600. The results of the study suggests that mass transfer is higher for multiple jets, and inclined multiple plunging jets have up to 1.6 times higher mass transfer than vertical multiple plunging jets under similar conditions. The derived relationship, based on multi-linear regression approach, has successfully predicted the volumetric mass transfer coefficient (KLa) from operational parameters of multiple plunging jets with a correlation coefficient of 0.973, root mean square error of 0.002 and coefficient of determination of 0.946. The results suggests that predicted overall mass transfer coefficient is in good agreement with actual experimental values; thereby suggesting the utility of derived relationship based on multi-linear regression based approach and can be successfully employed in modelling mass transfer by multiple plunging jets.

Keywords: mass transfer, multiple plunging jets, multi-linear regression, earth sciences

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Authors: Chokri Slim

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The objective of this research is attempting to respond to this question: Is there a significant difference between the regression model and statistical learning models in predicting credit risk management? A Multiple Linear Regression (MLR) model was compared with neural networks including Multi-Layer Perceptron (MLP), and a Support vector regression (SVR). The population of this study includes 50 listed Banks in Tunis Stock Exchange (TSE) market from 2000 to 2016. Firstly, we show the factors that have significant effect on the quality of loan portfolios of banks in Tunisia. Secondly, it attempts to establish that the systematic use of objective techniques and methods designed to apprehend and assess risk when considering applications for granting credit, has a positive effect on the quality of loan portfolios of banks and their future collectability. Finally, we will try to show that the bank governance has an impact on the choice of methods and techniques for analyzing and measuring the risks inherent in the banking business, including the risk of non-repayment. The results of empirical tests confirm our claims.

Keywords: credit risk management, multiple linear regression, principal components analysis, artificial neural networks, support vector machines

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Authors: Saad Bin Nasir

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This research will examine the impact of corporate governance on firm performance in family and non-family owned firms in Pakistan. For the purpose of this research, corporate governance mechanisms which included are board size, board composition, leadership structure, board meetings are taken as independent variable and firm performance taken as dependent variable and it will be measured with return on asset and return on equity. Firm size and firm’s age will be taken as control variables. Secondary data will collect from audited annul reports of companies and panel data regression model will applied, to check the impact of corporate governance on firm performance.

Keywords: board size, board composition, Leadership Structure, board meetings, firm performance, family and non-family owned firms

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Authors: Sami Mestiri, Abdeljelil Farhat

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The aim of this current paper is to predict the credit risk of banks in Tunisia, over the period (2000-2005). For this purpose, two methods for the estimation of the logistic regression model with random effects: Penalized Quasi Likelihood (PQL) method and Gibbs Sampler algorithm are applied. By using the information on a sample of 528 Tunisian firms and 26 financial ratios, we show that Bayesian approach improves the quality of model predictions in terms of good classification as well as by the ROC curve result.

Keywords: forecasting, credit risk, Penalized Quasi Likelihood, Gibbs Sampler, logistic regression with random effects, curve ROC

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Authors: Priya Kedia, Kiranmoy Das

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There is a rich literature on variable selection in regression setting. However, most of these methods assume normality for the response variable under consideration for implementing the methodology and establishing the statistical properties of the estimates. In many real applications, the distribution for the response variable may be non-Gaussian, and one might be interested in finding the best subset of covariates at some predetermined quantile level. We develop dynamic Bayesian approach for variable selection in quantile regression framework. We use a zero-inflated mixture prior for the regression coefficients, and consider the asymmetric Laplace distribution for the response variable for modeling different quantiles of its distribution. An efficient Gibbs sampler is developed for our computation. Our proposed approach is assessed through extensive simulation studies, and real application of the proposed approach is also illustrated. We consider the data from health and retirement study conducted by the University of Michigan, and select the important predictors when the outcome of interest is out-of-pocket medical cost, which is considered as an important measure for financial risk. Our analysis finds important predictors at different quantiles of the outcome, and thus enhance our understanding on the effects of different predictors on the out-of-pocket medical cost.

Keywords: variable selection, quantile regression, Gibbs sampler, asymmetric Laplace distribution

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Authors: Joonas Pääkkönen

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In sports, individuals and teams are typically interested in final rankings. Final results, such as times or distances, dictate these rankings, also known as places. Places can be further associated with ordered random variables, commonly referred to as order statistics. In this work, we introduce a simple, yet accurate order statistical ordinal regression function that predicts relay race places with changeover-times. We call this function the Fenton-Wilkinson Order Statistics model. This model is built on the following educated assumption: individual leg-times follow log-normal distributions. Moreover, our key idea is to utilize Fenton-Wilkinson approximations of changeover-times alongside an estimator for the total number of teams as in the notorious German tank problem. This original place regression function is sigmoidal and thus correctly predicts the existence of a small number of elite teams that significantly outperform the rest of the teams. Our model also describes how place increases linearly with changeover-time at the inflection point of the log-normal distribution function. With real-world data from Jukola 2019, a massive orienteering relay race, the model is shown to be highly accurate even when the size of the training set is only 5% of the whole data set. Numerical results also show that our model exhibits smaller place prediction root-mean-square-errors than linear regression, mord regression and Gaussian process regression.

Keywords: Fenton-Wilkinson approximation, German tank problem, log-normal distribution, order statistics, ordinal regression, orienteering, sports analytics, sports modeling

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Authors: Tahani Salman Alangari

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Student success can be impacted by internal factors such as their emotional well-being and external factors such as organizational support and instructional support in the classroom. This study is to identify at least one factor that forecasts student engagement. It is a cross-sectional, conducted on 6206 teachers and encompassed three years of data collection and observations of math instruction in approximately 50 schools and 300 classrooms. A multiple linear regression revealed that a model predicting student engagement from emotional support, classroom organization, and instructional support was significant. Four linear regression models were tested using hierarchical regression to examine the effects of independent variables: emotional support was the highest predictor of student engagement while instructional support was the lowest.

Keywords: student engagement, emotional support, organizational support, instructional support, well-being

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