Standard deviation

Abstract: Most papers that employ Differences-in-Differences estimation (DD) use many years of data and focus on serially correlated outcomes but ignore that the resulting standard errors are inconsistent. To illustrate the severity of this issue, we randomly generate placebo laws in state-level data on female wages from the Current Population Survey. For each law, we use OLS to compute the DD estimate of its “effect” as well as the standard error of this estimate. These conventional DD standard errors severely understate the standard deviation of the estimators: we find an “effect” significant at the 5 percent level for up to 45 percent of the placebo interventions. We use Monte Carlo simulations to investigate how well existing methods help solve this problem. Econometric corrections that place a specific parametric form on the time-series process do not perform well. Bootstrap (taking into account the autocorrelation of the data) works well when the number of states is large enough. Two corrections based on asymptotic approximation of the variance-covariance matrix work well for moderate numbers of states and one correction that collapses the time series information into a “pre”- and “post”-period and explicitly takes into account the effective sample size works well even for small numbers of states.

Abstract: Agreement between two methods of clinical measurement can be quantified using the differences between observations made using the two methods on the same subjects. The 95% limits of agreement, estimated by mean difference +/- 1.96 standard deviation of the differences, provide an interval within which 95% of differences between measurements by the two methods are expected to lie. We describe how graphical methods can be used to investigate the assumptions of the method and we also give confidence intervals. We extend the basic approach to data where there is a relationship between difference and magnitude, both with a simple logarithmic transformation approach and a new, more general, regression approach. We discuss the importance of the repeatability of each method separately and compare an estimate of this to the limits of agreement. We extend the limits of agreement approach to data with repeated measurements, proposing new estimates for equal numbers of replicates by each method on each subject, for unequal numbers of replicates, and for replicated data collected in pairs, where the underlying value of the quantity being measured is changing. Finally, we describe a nonparametric approach to comparing methods.

Abstract: Usually the researchers performing meta-analysis of continuous outcomes from clinical trials need their mean value and the variance (or standard deviation) in order to pool data. However, sometimes the published reports of clinical trials only report the median, range and the size of the trial. In this article we use simple and elementary inequalities and approximations in order to estimate the mean and the variance for such trials. Our estimation is distribution-free, i.e., it makes no assumption on the distribution of the underlying data. We found two simple formulas that estimate the mean using the values of the median (m), low and high end of the range (a and b, respectively), and n (the sample size). Using simulations, we show that median can be used to estimate mean when the sample size is larger than 25. For smaller samples our new formula, devised in this paper, should be used. We also estimated the variance of an unknown sample using the median, low and high end of the range, and the sample size. Our estimate is performing as the best estimate in our simulations for very small samples (n ≤ 15). For moderately sized samples (15 70), the formula range/6 gives the best estimator for the standard deviation (variance). We also include an illustrative example of the potential value of our method using reports from the Cochrane review on the role of erythropoietin in anemia due to malignancy. Using these formulas, we hope to help meta-analysts use clinical trials in their analysis even when not all of the information is available and/or reported.

Abstract: This paper studies the cross-sectional properties of return forecasts derived from Fama-MacBeth regressions. These forecasts mimic how an investor could, in real time, combine many firm characteristics to obtain a composite estimate of a stock’s expected return. Empirically, the forecasts vary substantially across stocks and have strong predictive power for actual returns. For example, using ten-year rolling estimates of Fama- MacBeth slopes and a cross-sectional model with 15 firm characteristics (all based on low-frequency data), the expected-return estimates have a cross-sectional standard deviation of 0.87% monthly and a predictive slope for future monthly returns of 0.74, with a standard error of 0.07.

Abstract: Reliability refers to the reproducibility of values of a test, assay or other measurement in repeated trials on the same individuals. Better reliability implies better precision of single measurements and better tracking of changes in measurements in research or practical settings. The main measures of reliability are within-subject random variation, systematic change in the mean, and retest correlation. A simple, adaptable form of within-subject variation is the typical (standard) error of measurement: the standard deviation of an individual’s repeated measurements. For many measurements in sports medicine and science, the typical error is best expressed as a coefficient of variation (percentage of the mean). A biased, more limited form of within-subject variation is the limits of agreement: the 95% likely range of change of an individual’s measurements between 2 trials. Systematic changes in the mean of a measure between consecutive trials represent such effects as learning, motivation or fatigue; these changes need to be eliminated from estimates of within-subject variation. Retest correlation is difficult to interpret, mainly because its value is sensitive to the heterogeneity of the sample of participants. Uses of reliability include decision-making when monitoring individuals, comparison of tests or equipment, estimation of sample size in experiments and estimation of the magnitude of individual differences in the response to a treatment. Reasonable precision for estimates of reliability requires approximately 50 study participants and at least 3 trials. Studies aimed at assessing variation in reliability between tests or equipment require complex designs and analyses that researchers seldom perform correctly. A wider understanding of reliability and adoption of the typical error as the standard measure of reliability would improve the assessment of tests and equipment in our disciplines. CURRENT OPINION