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  • Articles  (14,349)
  • Articles: DFG German National Licenses  (14,349)
  • American Institute of Physics (AIP)  (7,654)
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  • Blackwell Publishing Ltd  (1,116)
  • Berkeley Electronic Press (now: De Gruyter)  (257)
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  • 1
    Electronic Resource
    Electronic Resource
    Two-Sample Tests of Area-Under-the-Curve in the Presence of Missing Data (2008)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 4 (2008), S. 1 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: The commonly used two-sample tests of equal area-under-the-curve (AUC), where AUC is based on the linear trapezoidal rule, may have poor properties when observations are missing, even if they are missing completely at random (MCAR). We propose two tests: one that has good properties when data are MCAR and another that has good properties when the data are missing at random (MAR), provided that the pattern of missingness is monotonic. In addition, we discuss other non-parametric tests of hypotheses that are similar, but not identical, to the hypothesis of equal AUCs, but that often have better statistical properties than do AUC tests and may be more scientifically appropriate for many settings.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol4/iss1/1
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  • 2
    Electronic Resource
    Electronic Resource
    Multiple Imputation and Random Forests (MIRF) for Unobservable, High-Dimensional Data (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 12 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Understanding the genetic underpinnings to complex diseases requires consideration of sophisticated analytical methods designed to uncover intricate associations across multiple predictor variables. At the same time, knowledge of whether single nucleotide polymorphisms within a gene are on the same (in cis) or on different (in trans) chromosomal copies, may provide crucial information about measures of disease progression. In association studies of unrelated individuals, allelic phase is generally unobservable, generating an additional analytical challenge. In this manuscript, we describe a novel approach that combines multiple imputation and random forests for this high-dimensional, unobservable data setting. An application to a cohort of HIV-1 infected individuals receiving anti-retroviral therapies is presented. A simulation study is also presented to characterize method performance.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/12
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  • 3
    Electronic Resource
    Electronic Resource
    Phase Variation in Child and Adolescent Growth (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 9 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Child growth is characterised by increases in height, and increases in maturational status. Functional data analysis provides a tool to separate these two sources of variation (registration) and differentiates between the variation in maturational tempo (temporal, or "phase" variation) and the variation in height (amplitude variation). We extended this concept by combining Principal Component Analysis (PCA) and the Maximum Likelihood Principle. Longitudinal data on height were obtained from two large growth studies from Lublin, Poland, and Zurich, Switzerland, with altogether 361 children. Variation in amplitude monotonically rises with age; variation in phase peaks during puberty. During mid-puberty, phase variation is large and explains up to 40 percent of total height variance in girls, and up to 50 percent in boys. Eight amplitude and 4 phase components appeared biologically significant. The largest amplitude component explained 91% of the amplitude variance and is characterised by an almost horizontal pattern. The largest phase component explained 66% (boys) and 63% (girls) of phase variance, rises throughout childhood and reaches up to 0.85 years in adolescent boys, and up to 0.75 years in adolescent girls. Phase components significantly correlated with the clinical signs of puberty. The combination of PCA and the Maximum Likelihood Principle provides a new, powerful and automatic tool for growth modelling that includes estimates of future growth, adult stature and developmental tempo. Preliminary results indicate that this approach can be used for automatised screening purposes.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/9
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  • 4
    Electronic Resource
    Electronic Resource
    An Integrated Analysis of Individual and Aggregated Health Data Using Estimating Equations (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 10 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Analyses of individual disease-exposure data within a population are useful when exposure of interest varies sufficiently within the population. When the within-population variance of exposure is limited, however, power of the individual-data analysis is reduced. In such situations, aggregated-data analyses of disease data across populations, with a sample of individual exposure data from each population, can be powerful in estimating the exposure effect if between-population variation of exposure is large. In this paper, we consider a new analytical framework that is a combination of the individual- and aggregated-data analyses, based on an estimating equation approach. The proposed analysis utilizes strengths from individual data and aggregated data in the estimation of the exposure effect of interest, depending on which of the exposure variations (within- versus between-population) dominates. Simulation studies under various different scenarios were performed to show the strengths of the proposed approach in the estimation of the exposure effects of interest.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/10
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  • 5
    Electronic Resource
    Electronic Resource
    Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper extends the Fractionally integrated GARCH (FIGARCH) model by incorporating Normal Inverse Gaussian Distribution (NIG). The proposed model is flexible and allows one to model time-variation, long memory, fat tails as well as asymmetry and skewness in the distribution of financial returns. GARCH and FIGARCH models for daily log exchange rate returns with Normal, Student's t and NIG error distributions as well as GARCH/FIGARCH-in-mean models with t errors are estimated and compared both in terms of sample fit as well as out-of-the-sample predictive ability in several dimensions. The FIGARCH model with symmetric and asymmetric NIG errors outperform alternatives both in-sample fit and 1-day and 5-day ahead predictions of the quartiles of the exchange rate return distributions.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss3/art1
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  • 6
    Electronic Resource
    Electronic Resource
    Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art2 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We present a novel specification of a dynamic multinomial ordered choice model, where the latent variable is a function of strictly stationary exogenous variables and lags of the choice variable. We prove that such a model with weakly dependent errors will have a strictly stationary solution which is L-2 near epoch dependent. We also derive consistency and asymptotic normality of the maximum likelihood estimator for a probit specification of the model. We illustrate a possible application of the model by estimating a discrete version of a robust ``difference" monetary policy rule for the period 1990:2006 at a monthly frequency.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss4/art2
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  • 7
    Electronic Resource
    Electronic Resource
    Jump-and-Rest Effect of U.S. Business Cycles (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art3 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss4/art3
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  • 8
    Electronic Resource
    Electronic Resource
    Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art4 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We propose a simple computational method in the context of generalized method of moments for improving the efficiency of regression coefficient estimates. The gains in efficiency arise by incorporating additional moment conditions in the estimation framework based on maximal overlap wavelet packet transforms of the continuous explanatory variables. A major advantage of the proposed method is that it does not require additional exogenous auxiliary information but relies on wavelet packet transforms of the existing continuous explanatory variables. Based on existing theory, we provide theoretical arguments for the proposed methodology, for both linear and non-linear models, and demonstrate its advantages with both an empirical application concerning two brand demand models and a Monte Carlo simulation study.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss4/art4
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  • 9
    Electronic Resource
    Electronic Resource
    Fractionally Integrated Long Horizon Regressions (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art6 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We consider long horizon regression models where the disturbance and the predictor are possibly fractionally integrated. Asymptotic distributions of the OLS estimator and of the test statistic are given. It is found that the t-statistic diverges at the rate of square root of T, where T is the sample size. Thus, it is desirable to use the scaled test statistic, as it converges to a well-defined limit, which depends on the memory parameters through the functionals on the fractional Wiener processes. Simulation studies present some empirical distributions of the scaled test statistic according to different values of the memory parameters. The proposed model with fractional processes is empirically more tractable than the model with local to unity processes, since memory parameters are consistently estimable unlike localizing parameters in the latter model.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss1/art6
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  • 10
    Electronic Resource
    Electronic Resource
    A Doubly Robust Censoring Unbiased Transformation (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 4 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We consider random design nonparametric regression when the response variable is subject to right censoring. Following the work of Fan and Gijbels (1994), a common approach to this problem is to apply what has been termed a censoring unbiased transformation to the data to obtain surrogate responses, and then enter these surrogate responses with covariate data into standard smoothing algorithms. Existing censoring unbiased transformations generally depend on either the conditional survival function of the response of interest, or that of the censoring variable. We show that a mapping introduced in another statistical context is in fact a censoring unbiased transformation with a beneficial double robustness property, in that it can be used for nonparametric regression if either of these two conditional distributions are estimated accurately. Advantages of using this transformation for smoothing are illustrated in simulations and on the Stanford heart transplant data.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/4
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  • 11
    Electronic Resource
    Electronic Resource
    Modeling the Effect of Alzheimer's Disease on Mortality (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 13 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Mortality rate ratios and the associated proportional hazards models have been used to summarize the effect of Alzheimer's disease on longevity. However, the mortality rate ratios vary by age and therefore do not provide a simple parsimonious summary of the effect of the disease on lifespan. Instead, we propose a new parameter that is defined by an additive multistate model. The proposed multistate model accounts for different stages of disease progression. The underlying assumption of the model is that the effect of disease on mortality is to add a constant amount to death rates once the disease progresses from an early to late stage. We explored the properties of the proposed model; in particular the behavior of the mortality rate ratio and median survival that is induced by the model. We combined information from several data sources to estimate the parameter in our model. We found that the effect of Alzheimer's disease on longevity is to increase the absolute annual risk of death by about 8% once a person progressed to late stage disease. Most importantly, we find that this additive effect is the same regardless of the patients' age or gender. Thus, the proposed additive multi-state model provides a parsimonious and clinically interpretable description of the effects of Alzheimer's disease on mortality.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/13
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  • 12
    Electronic Resource
    Electronic Resource
    Conditional Likelihood Inference in a Case-Cohort Design: An Application to Haplotype Analysis (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 1 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Under the setting of a case-cohort design, covariate values are ascertained for a smaller subgroup of the original study cohort which typically is a representative sample from a population. Individuals with a specific event outcome are selected to the second stage study group as cases and an additional subsample is selected to act as a control group. We carry out analysis of such a design using conditional likelihood where the likelihood expression is conditioned on the ascertainment to the second stage study group. Such likelihood expression involves the probability of ascertainment which need to be expressed in terms of the model parameters. We present examples of conditional likelihoods for models for categorical response and time-to-event response. We show that the conditional likelihood inference leads to valid estimation of population parameters. Our application considers joint estimation of haplotype-event association parameters and population haplotype frequencies based on SNP genotype data collected under a case-cohort design.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/1
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  • 13
    Electronic Resource
    Electronic Resource
    Regression Analysis of Mean Lifetime: Exploring Nonlinear Relationship with Heteroscedasticity (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 5 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: As a generalization of the accelerated failure time models, we consider parametric models of lifetime Y, where the conditional mean E(Y|X;beta) can depend nonlinearly on the covariates X and some parameters beta. The error distribution can be heteroscedastic and dependent on X. With observed data subject to right censoring, we propose regression analysis for beta based on Kaplan-Meier estimates of the means over several regions of X. Consistency and asymptotic distributional properties of the estimators are established under general conditions. A resulting estimator of beta is shown to be the sum of two possibly dependent asymptotic normal quantities, based on which conservative confidence intervals and tests are derived. Simulation studies are conducted to investigate the performance of the proposed estimator and to compare it with Buckley-Jame's method. To illustrate the methodology, we study an example with kidney transplant data, where a nonlinear relationship called "mixtures-of-experts", proposed in the neural networks literature, is used to model the relationship between the survival time and the age of the patients.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/5
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  • 14
    Electronic Resource
    Electronic Resource
    The Benjamini-Hochberg Method in the Case of Discrete Test Statistics (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 11 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We present a reformulation of the Benjamini-Hochberg method that is useful in 'large-scale' multiple testing problems based on discrete test statistics and derive its basic asymptotic (as the number of hypotheses tends to infinity) properties, subsuming earlier results. A set of gene expression data is used to illustrate the workings of the method in a multiple testing problem based on Kolmogorov-Smirnov and Mann-Whitney statistics.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/11
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  • 15
    Electronic Resource
    Electronic Resource
    A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art4 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We estimate real US GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. We construct confidence intervals for the slope coefficients and the threshold using asymptotic results and bootstrap methods, finding that the results for the different methods have very different economic implications. We perform a Monte Carlo experiment to evaluate the various methods. Surprisingly, the confidence intervals are wide enough to cast doubt on the assertion that the time-series responses of GDP to negative growth rates are different than the responses to positive growth rates.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss3/art4
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  • 16
    Electronic Resource
    Electronic Resource
    A Smooth Transition Autoregressive Conditional Duration Model (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art5 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This study presents a novel model for analyzing duration data, called the smooth transition autoregressive conditional duration model of price and duration, which considers past price changes and durations. The model enables the process of the conditional expected duration to switch in a smooth transition way, broadening the autoregressive conditional duration (ACD) model in Engle and Russell (1998). The model is applied to empirical data, and estimation results indicate that the process of the expected duration is nonlinear. The expected trade duration behavior on the market opening is affected by past trade durations, while the expected trade duration behavior during the trading hours is affected by past price changes and trade durations. Expected trade durations are much more persistent in the upward market compared to the downward market. Shocks to trade durations are more persistent on the market opening and gradually decrease in the downward market.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss1/art5
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  • 17
    Electronic Resource
    Electronic Resource
    Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Measuring country exchange rates relative to a common reference basket results in a set of no-arbitrage prices, unlike trade-weighted indexes, the usual method of comparing country exchange rate histories. The reference basket is analogous to a portfolio, and its choice can be resolved by drawing on required economic interpretations or uses. We use currency reference rates to examine the historical variability of different currencies over designated cyclical bands. The temporal decompositions used are those provided by wavelet analysis, which is light on maintained assumptions about data generating processes. Some countries, notably Japan and New Zealand do exhibit a powerful but irregular medium term cycle, while others are much more stable. Implications are briefly examined for investment, hedging, monetary policy and common currency studies.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss3/art5
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  • 18
    Electronic Resource
    Electronic Resource
    Wavelet Variance Analysis of Output in G-7 Countries (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art6 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The large decline in output volatility experienced by most industrialized countries in the last decades has been thoroughly analyzed using standard time and frequency domain methods. In this paper we investigate the issue of moderation of volatility in G-7 economies and its sources, applying a multi-scaling approach to the industrial production indices of G-7 countries between 1961:1-2006:10. Using the MODWT estimates of wavelet variance we provide a scale-based analysis of variance that allows us to characterize the decline in volatility and to detect the importance of the various explanations of the moderation. The main scale-by-scale results stemming from multi scale analysis of variance are: i) a reduction in volatility which, although displayed by all the G-7 countries, is not uniform across time scales (as the decline is larger at short-term scales than at business cycle scales for France and Italy, and quite uniform across scale for the UK and the US) nor countries (as the decline is significant for a subset of countries only, i.e. France, Italy, the UK and the US); and ii) the moderation has to be attributable to the decline in the variance of both common (in the 1970s) and country-specific (in the 1960s) exogenous disturbances hitting the economy.
    Type of Medium: Electronic Resource
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  • 19
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    A Resampling-Based Approach to Multiple Testing with Uncertainty in Phase (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 2 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Characterizing the genetic correlates to complex diseases requires consideration of a large number of potentially informative biological markers. In addition, attention to alignment of alleles within or across chromosomal pairs, commonly referred to as phase, may be essential for uncovering true biological associations. In the context of population based association studies, phase is generally unobservable. Preservation of type-1 error in a setting with multiple testing presents a further analytical challenge. This manuscript combines a likelihood-based approach to handling missing-ness in phase with a resampling method to adjust for multiple testing. Through simulations we demonstrate preservation of the family-wise error rate and reasonable power for detecting associations. The method is applied to a cohort of 626 HIV-1 infected individuals receiving highly active anti-retroviral therapies, to ascertain potential genetic contributions to abnormalities in lipid profiles. The haplotypic effects of 2 genes, hepatic lipase (HL) and endothelial lipase (EL), on high-density lipoprotein cholesterol (HDL-C) are tested.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol3/iss1/2
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  • 20
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    Gains from Synchronization (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper investigates the transmission mechanisms of structural shocks and volatility between economies through trade links, and the effects of synchronization on business cycles. We investigate the transmission of outside structural shocks and the fluctuations that the shocks generate. We identify conditions under which international economic links reduce the volatility and unpredictability of economic output emanating from shocks within the individual economies. Under certain conditions, devaluation of a country's currency causes reduction in the unpredictability of the business cycle and its volatility as seen by that country's exporters, while increased valuation of a country's currency produces higher unpredictability and volatility, as seen by the country's importers.
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  • 21
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    The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change? (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Despite expansionary fiscal and monetary policies, the Japanese real economy has been stagnating since the bubble bursting in the early nineties. Within a multivariate setup, this paper proposes to test for and date apossible structural shift in the response of Japanese macroeconomic fluctuations to aggregate supply and aggregate demand shocks. The econometric methodology directly derives from Andrews (1993) and Bai, Lumsdaine and Stock (1998) theoretical results. Our empirical study from monthly post-1980 observations reveals i) a significant structural break in the end of 1991, and ii) a sharp decrease in the influence of demand shocks on Japanese output fluctuations after this date.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol11/iss4/art5
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  • 22
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    Change-Points in U.S. Business Cycle Durations (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 2, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper develops a change-point model that can endogenously detect a structural shift in a time series of durations. The model is applied to NBER data on U.S. business cycle durations for expansions and contractions. There are two primary results. First, the change-point model endogenously detects a shift in the distribution for the phases of the U.S. business cycle around WWII. The pattern of duration dependence for both contractions and expansions correspond to earlier work, such as Diebold and Rudebusch (1990), Sichel (1991) and Zuehlke(2003), that exogenously split the sample at WWII. The second result is that the change-points for expansions and contractions generally occur earlier than WWII when controlling for various factors, such as the duration of the preceding half-cycle, wars and a trend variable. For expansions, the only significant explanatory variable is a trend, resulting in each successive expansion's hazard rate uniformly shifting down. For contractions, both a trend and the lagged duration of the preceding expansion are found, when estimated separately, to be significant. Controlling for a trend, contractions no longer exhibit positive duration dependence following the estimated change-point.
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  • 23
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    Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we analyze the dynamics shown by the neoclassical one-sector growth model with differential savings as in Bohm and Kaas (2000) while assuming CES production function and the labour force dynamic described by the Beverton Holt equation (see Beverton and Holt, 1957). The resulting dynamic system is bidimensional, autonomous and triangular: we investigate its qualitative and quantitative dynamic properties. The study herewith presented aims at confirming that the system can exhibit cycles or even a chaotic dynamic pattern, if shareholders save more than workers, when the elasticity of substitution drops below one (so that capital income declines). The analytical results are supplemented by numerical experiments.
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    Detecting Multiple Changes in Persistence (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 3, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary regimes. While existing procedures in the literature are designed for processes displaying only a single such change in persistence, our proposed methodology is also valid in the presence of multiple changes in persistence. Our procedure is based on sequences of doubly-recursive implementations of the regression-based unit root statistic of Elliott et al. (1996). The asymptotic validity of our procedure is demonstrated analytically. We use Monte Carlo methods to simulate both finite sample and asymptotic critical values for our proposed testing procedure and to simulate the finite sample behaviour of our procedure against a variety of single and multiple persistence change series. The procedure is shown to work well in practice. The impact of deterministic level and trend breaks on our procedure is also discussed. An empirical application of the procedure to interest rate data is considered.
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    A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Empirical results from long-horizon regression tests have been influential in the finance literature. Yet, it has come to be understood that traditional long-horizon tests may be unreliable in finite samples when regressors are persistent and when the horizon is long relative to sample size. Recent research has provided valid alternative inference procedures in long-horizon regression in the case for which the regressor follows a near-unit root autoregressive process. However, in small samples, such processes may sometimes be difficult to distinguish with confidence from other persistent data generating processes, such as those displaying long-memory or structural breaks. In this paper, we demonstrate a simple means by which existing nonparametric sign and signed rank tests may be applied to provide exact inference in long-horizon predictive tests, without requiring any modeling assumptions on the regressor. Employing this robust approach, we find evidence of stock return predictability at moderate horizons using short-term interest rates, but little evidence of either short or long-run predictability using dividend-price ratios.
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    A Dynamic Semiparametric Proportional Hazard Model (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 2, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. By employing a categorization of the underlying durations we reformulate the PH model as an ordered response model based on extreme value distributed errors. In order to capture persistent serial dependence in the duration process, we extend the model by an observation driven ARMA dynamic based on generalized errors. We illustrate the maximum likelihood estimation of both the model parameters and discrete points of the underlying unspecified baseline survivor function. The dynamic properties of the model as well as the estimation quality are investigated in a Monte Carlo study. It is illustrated that the model is a useful approach to estimate conditional failure probabilities based on (persistent) serially dependent duration data which might be subject to censoring mechanisms. In an empirical study based on financial transaction data we apply the model to estimate conditional asset price change probabilities. An evaluation of the forecasting properties of the model shows that the proposed approach is a promising competitor to well-established ACD type models.
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    A Class Test for Fractional Integration (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 2, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Diebold and Rudebusch (1991) and Haubrich (1993) argue that, when income follows a fractionally differenced process, the Deaton's excessive smoothness paradox can be resolved. A key to the success of their result relies on a valid test for fractional integration. However, most of the tests in the literature are nested within fractional alternatives. This paper designs a new test for a more general hypothesis that the true data generating process is indeed fractionally integrated. The test is applied to the real disposable income per capita of the U.S. and the real quarterly GDP data of the G7 industrial countries.
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    Equilibrium Efficiency in the Ramsey Model with Habit Formation (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes the equilibrium efficiency in a Ramsey model with habit formation. Uniqueness and saddle-path stability of the steady state is proved analytically. The competitive equilibrium is efficient at the steady state. However, the presence of externalities arising from average past consumption renders the competitive equilibrium inefficient off the steady state because agents do not take (fully) into account the indirect effect that consumption has in utility through its influence on habits. The efficient equilibrium can be decentralized by means of a consumption tax that converges to an arbitrary constant value, or by means of an income tax that converges to zero.
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    Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper shows that the Zero-Information-Limit-Condition (ZILC) formulated by Nelson and Startz (2006) holds in the GARCH (1,1) model. As a result, the GARCH estimate tends to have too small a standard error relative to the true one when the ARCH parameter is small, even when sample size becomes very large. In combination with an upward bias in the GARCH estimate, the small standard error will often lead to the spurious inference that volatility is highly persistent when it is not. We develop an empirical strategy to deal with this issue and show how it applies to real datasets.
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    Survival Instantaneous Log-odds Ratio from Empirical Functions (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 7 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: The objective of this work is to introduce a new method called the Survivorship Instantaneous Log-odds Ratios (SILOR); to illustrate the creation of SILOR from empirical bivariate survival functions; to also derive standard errors of estimation; to compare results with those derived from logistic regression. Hip fracture, AGE and BMI from the Third National Health and Nutritional Examination Survey (NHANES III) were used to calculate empirical survival functions for the adverse health outcome (AHO) and non-AHO. A stable copula was used to create a parametric bivariate survival function, that was fitted to the empirical bivariate survival function. The bivariate survival function had SILOR contours which are not constant. The proposed method has better advantages than logistic regression by following two reasons. The comparison deals with (i) the shapes of the survival surfaces, S(X1, X2), and (ii) the isobols of the log-odds ratios. When using logistic regression the survival surface is either a hyper plane or at most a conic section. Our approach preserves the shape of the survival surface in two dimensions, and the isobols are observed in every detail instead of being overly smoothed by a regression with no more than a second degree polynomial. The present method is straightforward, and it captures all but random variability of the data.
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    Causal Effect Models for Realistic Individualized Treatment and Intention to Treat Rules (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 3 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Marginal structural models (MSM) are an important class of models in causal inference. Given a longitudinal data structure observed on a sample of n independent and identically distributed experimental units, MSM model the counterfactual outcome distribution corresponding with a static treatment intervention, conditional on user-supplied baseline covariates. Identification of a static treatment regimen-specific outcome distribution based on observational data requires, beyond the standard sequential randomization assumption, the assumption that each experimental unit has positive probability of following the static treatment regimen. The latter assumption is called the experimental treatment assignment (ETA) assumption, and is parameter-specific. In many studies the ETA is violated because some of the static treatment interventions to be compared cannot be followed by all experimental units, due either to baseline characteristics or to the occurrence of certain events over time. For example, the development of adverse effects or contraindications can force a subject to stop an assigned treatment regimen.In this article we propose causal effect models for a user-supplied set of realistic individualized treatment rules. Realistic individualized treatment rules are defined as treatment rules which always map into the set of possible treatment options. Thus, causal effect models for realistic treatment rules do not rely on the ETA assumption and are fully identifiable from the data. Further, these models can be chosen to generalize marginal structural models for static treatment interventions. The estimating function methodology of Robins and Rotnitzky (1992) (analogue to its application in Murphy, et. al. (2001) for a single treatment rule) provides us with the corresponding locally efficient double robust inverse probability of treatment weighted estimator. In addition, we define causal effect models for "intention-to-treat" regimens. The proposed intention-to-treat interventions enforce a static intervention until the time point at which the next treatment does not belong to the set of possible treatment options, at which point the intervention is stopped. We provide locally efficient estimators of such intention-to-treat causal effects.
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    Statistical Learning of Origin-Specific Statically Optimal Individualized Treatment Rules (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 6 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Consider a longitudinal observational or controlled study in which one collects chronological data over time on a random sample of subjects. The time-dependent process one observes on each subject contains time-dependent covariates, time-dependent treatment actions, and an outcome process or single final outcome of interest. A statically optimal individualized treatment rule (as introduced in van der Laan et. al. (2005), Petersen et. al. (2007)) is a treatment rule which at any point in time conditions on a user-supplied subset of the past, computes the future static treatment regimen that maximizes a (conditional) mean future outcome of interest, and applies the first treatment action of the latter regimen. In particular, Petersen et. al. (2007) clarified that, in order to be statically optimal, an individualized treatment rule should not depend on the observed treatment mechanism. Petersen et. al. (2007) further developed estimators of statically optimal individualized treatment rules based on a past capturing all confounding of past treatment history on outcome. In practice, however, one typically wishes to find individualized treatment rules responding to a user-supplied subset of the complete observed history, which may not be sufficient to capture all confounding. The current article provides an important advance on Petersen et. al. (2007) by developing locally efficient double robust estimators of statically optimal individualized treatment rules responding to such a user-supplied subset of the past. However, failure to capture all confounding comes at a price; the static optimality of the resulting rules becomes origin-specific. We explain origin-specific static optimality, and discuss the practical importance of the proposed methodology. We further present the results of a data analysis in which we estimate a statically optimal rule for switching antiretroviral therapy among patients infected with resistant HIV virus.
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    The Analysis of Bivariate Truncated Data Using the Clayton Copula Model (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 8 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In individuals infected with human immunodeficiency virus (HIV), distributions of quantitative HIV RNA measurements may be highly left-censored due to values falling below assay detection limits (DL). It is of the interest to find the relationship between plasma and semen viral loads. To address this type of problem, we developed an empirical goodness-of-fit test to check the Clayton model assumption for bivariate truncated data. We also used truncated tau to estimate the dependence parameter in the Clayton model for this type of data. It turns out that the proposed methodology works for both truncated and fixed left censored bivariate data. The proposed test procedure is demonstrated using an HIV data set, and statistical inference is drawn based on corresponding test result.
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    Preference-Based Instrumental Variable Methods for the Estimation of Treatment Effects: Assessing Validity and Interpreting Results (2007)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 3 (2007), S. 14 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Observational studies of prescription medications and other medical interventions based on administrative data are increasingly used to inform regulatory and clinical decision making. The validity of such studies is often questioned, however, because the available data may not contain measurements of important prognostic variables that guide treatment decisions. Recently, approaches to this problem have been proposed that use instrumental variables (IV) defined at the level of an individual health care provider or aggregation of providers. Implicitly, these approaches attempt to estimate causal effects by using differences in medical practice patterns as a quasi-experiment. Although preference-based IV methods may usefully complement standard statistical approaches, they make assumptions that are unfamiliar to most biomedical researchers and therefore the validity of such an analysis can be hard to evaluate. Here, we describe a simple framework based on a single unobserved dichotomous variable that can be used to explore how violations of IV assumptions and treatment effect heterogeneity may bias the standard IV estimator with respect to the average treatment effect in the population. This framework suggests various ways to anticipate the likely direction of bias using both empirical data and commonly available subject matter knowledge, such as whether medications or medical procedures tend to be overused, underused, or often misused. This approach is described in the context of a study comparing the gastrointestinal bleeding risk attributable to different non-steroidal anti-inflammatory drugs.
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    Short-Run Patience and Wealth Inequality (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The quasi-geometric (hyperbolic) literature typically assumes that agents are short-run impatient. In this paper, we deviate from this assumption by considering an economy in which a fraction of the population is short-run patient and the remaining population is short-run impatient. In a calibrated version of a neoclassical growth model with uninsurable risk and liquidity constraints, we find that the presence of few short-run patient and many short-run impatient agents leads to empirically plausible degrees of wealth inequality.
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    The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 2, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we present an endogenous growth model with environmental pollution and public capital. As to pollution we assume that it is a by-product of aggregate production and that it negatively affects utility of the household but not production possibilities directly. The paper studies the dynamics of the model and demonstrates that there exists either a unique balanced growth path which is a saddle point or there exist two balanced growth paths with one being locally saddle point stable and one being asymptotically stable.
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    Time Series Models for Forecasting: Testing or Combining? (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 1, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we systematically compare forecasting accuracy of hypothesis testing procedures with that of a model combining algorithm. Testing procedures are commonly used in applications to select a model, based on which forecasts are made. However, besides the well-known difficulty in dealing with multiple tests, the testing approach has a potentially serious drawback: controlling the probability of Type I error at a conventional level (e.g., 0.05) often excessively favors the null, which can be problematic for the purpose of forecasting. In addition, as shown in this paper, testing procedures can be very unstable, which results in high variability in the forecasts.Selecting a candidate forecast by testing and combining forecasts are both useful but for complementary situations. Currently, there seems to be little guidance in the literature on when combining should be preferred to selecting. We propose instability measures that are helpful for a forecaster to gauge the difficulty in selecting a single optimal forecast.Based on empirical evidences and theoretical considerations, we advocate the use of forecast combining when there is considerable instability in model selection by testing procedures. On the other hand, when there is little instability, testing procedures could work well or even better than forecast combining in terms of forecast accuracy.
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    Volatility Components and Long Memory-Effects Revisited (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 2, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The goal of this paper is to illuminate the capability of the component GARCH model of Ding and Granger (1996) and Engle and Lee (1999) to reproduce the long memory-type behavior of financial volatility. The potential of this model to capture the long memory dynamics observed in measures of financial volatility has been documented recently by Maheu (2005) and Deo et al. (2006), who base their conclusions on simulation techniques and a forecasting exercise, respectively. In this paper, a simple explanation for these observations is provided, which is based on the theoretical autocorrelation function (ACF) of the component GARCH model. We also elucidate why even higher-order GARCH models with Bollerslev's (1986) nonnegativity constraints enforced cannot mimic the long memory effects. The reasoning is supported with several empirical examples, for which we explicitly calculate the theoretical ACF implied by a couple of different fitted models, and find that their structure is just as predicted by our argument. To conveniently conduct these computations, a general simple method for computing the theoretical ACF of GARCH models is suggested, which is easier to use than the formulas developed so far, and particularly so for higher lag-orders. The ability of the component model to approximate long memory is also validated on the basis of a visual comparison between the empirical and the implied theoretical ACFs.
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    Movements in the Equity Premium: Evidence from a Time-Varying VAR (2007)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 11.2007, 4, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Previous literature has recognized the importance of regime changes in the calculation of ex-ante equity premia. However, the methodologies used to estimate equity premia only allow for very restrictive forms of regime transitions. This paper addresses the issue by postulating an evolving model for the law of motion of dividend growth, consumption growth and dividend-price ratio. Model parameters are then used to compute conditional and unconditional U.S. equity premia. We substantially extend and confirm previous work on the declining equity premium, and uncover important macroeconomic factors driving the equity premium. We find that the equity premium has declined, particularly from 1950 to 1971 and from 1988 to 2000. Our results point to changing consumption volatility as an important priced factor. We find that volatility of consumption growth is a good indicator of economic uncertainty and, as such, its changes are reflected in expected returns, and are priced by the market. We also find that not accounting for parameter time variation induces large pricing errors, as too little variation in dividend yields is attributed to changes in expected dividend growth.
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    On the Power of Absolute Convergence Tests (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes whether or not the econometric methods usually applied to test for absolute convergence have provided this hypothesis a "fair" chance. I show that traditional (absolute and conditional) convergence tests are not consistent with even the simplest model that displays convergence. Furthermore, claims of divergence on the grounds of bimodalities in the distribution of GDP per capita can be made consistent with models in which neither divergence nor twin peaks are present in the long run.
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    Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper modifies an ad hoc index originated by Eichengreen et al (1995,1996), which is often used to document financial crises in emerging markets. By assuming nonlinear dynamics in a system of financial data, we successfully develop an alternative approach that not only captures the essence of the conventional index but also offers an indicator that leads the crises in-sample. This is very important for policy markers of transitional economies like Macedonia, for which the historical macroeconomic data are often inadequate for existing "early warning sign" systems of potential crises.
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    Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The functioning of electricity markets has experienced increasing complexity as a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such as long memory and regime switching reflecting congestion and non-congestion periods are empirically relevant and hence are features that need to be taken into account when modeling price behavior. In the present paper we further elaborate on the co-existence of long memory and regime switches by focusing on the effect that the direction of possible congestion episodes has on the price dynamics. Under non-congestion prices are identical. The direction of possible congestion is identified by the region with excess demand of power through the sign of price differences and hence three different states can be considered: Non-congestion and congestion periods with excess demand in the one or the other region. Using data from the Nordic power exchange, Nord Pool, we find that the price dynamics and long memory features of the price series generally are rather different across the different states. Also, there is evidence of fractional cointegration at some grid points when conditioning on the states.
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    Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004 (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Two versions of a fractionally cointegrating vector error correction model (FVECM) are presented. In the case of regular cointegration, linear combinations of fractionally integrated variables are integrated to lower order. Generalized cointegration is defined as the case where the cointegrating variables may be fractional differences of the observed series. The concepts are applied to a model of poll data on approval of the performance of prime ministers and governments in the UK.
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    Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We examine potential nonlinear behaviour in the conduct of monetary policy by the Bank of England. We find significant nonlinearity in this policy setting, and in particular that the standard Taylor rule really only begins to bite once expected inflation is significantly above its target. This suggests, for example, that while the stated objective of the Bank of England is to pursue a symmetric inflation target, in practice some degree of asymmetry has crept into interest-rate setting. We argue that, nevertheless, the very predictability of the policy rule, especially when set out in a highly plausible and intuitive nonlinear framework, is perhaps one reason why the United Kingdom has, since the early 1990s, enjoyed price stability combined with relatively strong growth.
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    Analysis and Modelling of Electricity Futures Prices (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We model electricity futures prices using a seasonal forward curve model, quantifying seasonalities by a deterministic seasonal forward premium. Stochastic features of the futures prices are contained in the stochastic forward premium: a quantity analogous to the well-known convenience yield. The model parameters are estimated from the historical data of IPE electricity futures prices and the spark spread, and electricity forward curves are deseasonalized to reveal their underlying stochastic structure. We apply principal component analysis to the deseasonalized forward curves and develop trading strategies using indicators based on these principal components.
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    Comparing Distribution Functions via Empirical Likelihood (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2006), S. 5 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: This paper develops empirical likelihood based simultaneous confidence bands for differences and ratios of two distribution functions from independent samples of right-censored survival data. The proposed confidence bands provide a flexible way of comparing treatments in biomedical settings, and bring empirical likelihood methods to bear on important target functions for which only Wald-type confidence bands have been available in the literature. The approach is illustrated with a real data example.
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    Application of a Variable Importance Measure Method (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 6 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Van der Laan (2005) proposed a targeted method used to construct variable importance measures coupled with respective statistical inference. This technique involves determining the importance of a variable in predicting an outcome. This method can be applied as inverse probability of treatment weighted (IPTW) or double robust inverse probability of treatment weighted (DR-IPTW) estimators. The variance and respective p-value of the estimate are calculated by estimating the influence curve. This article applies the Van der Laan (2005) variable importance measures and corresponding inference to HIV-1 sequence data. In this application, the method is targeted at every codon position. In this data application, protease and reverse transcriptase codon positions on the HIV-1 strand are assessed to determine their respective variable importance, with respect to an outcome of viral replication capacity. We estimate the DR-IPTW W-adjusted variable importance measure for a specified set of potential effect modifiers W. In addition, simulations were performed on two separate datasets to examine the DR-IPTW estimator.
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    Statistical Classification of Abnormal Blood Profiles in Athletes (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 3 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Blood doping has been challenging the scientific community since the early 1970's, where it was demonstrated that blood transfusion significantly improves physical performance. Here, we present through 3 applications how statistical classification techniques can assist the implementation of effective tests to deter blood doping in elite sports. In particular, we developed a new indirect and universal test of blood doping, called Abnormal Blood Profile Score (ABPS), based on the statistical classification of indirect biomarkers of altered erythropoiesis. Up to 601 hematological profiles have been compiled in a reference database. Twenty-one of them were obtained from blood samples withdrawn from professional athletes convicted of blood doping by other direct tests. Discriminative training algorithms were used jointly with cross-validation techniques to map these labeled reference profiles to target outputs. The strict cross-validation procedure facilitates the adherence to medico-legal standards mandated by the World Anti Doping Agency (WADA). The test has a sensitivity to recombinant erythropoietin (rhEPO) abuse up to 3 times better than current generative models, independently whether the athlete is currently taking rhEPO or has stopped the treatment. The test is also sensitive to any form of blood transfusion, autologous transfusion included. We finally conclude why a probabilistic approach should be encouraged for the evaluation of evidence in anti-doping area of investigation.
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    Approximate Power and Sample Size Calculations with the Benjamini-Hochberg Method (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 8 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We provide a method for calculating the sample size required to attain a given average power (the ratio of rejected hypotheses to the number of false hypotheses) and a given false discovery rate (the number of incorrect rejections divided by the number of rejections) in adaptive versions of the Benjamini-Hochberg method of multiple testing. The method works in an asymptotic sense as the number of hypotheses grows to infinity and under quite general conditions, and it requires data from a pilot study. The consistency of the method follows from several results in classical areas of nonparametric statistics developed in a new context of "weak" dependence.
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    Choice of Monitoring Mechanism for Optimal Nonparametric Functional Estimation for Binary Data (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 7 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Optimal designs of dose levels in order to estimate parameters from a model for binary response data have a long and rich history. These designs are based on parametric models. Here we consider fully nonparametric models with interest focused on estimation of smooth functionals using plug-in estimators based on the nonparametric maximum likelihood estimator. An important application of the results is the derivation of the optimal choice of the monitoring time distribution function for current status observation of a survival distribution. The optimal choice depends in a simple way on the dose-response function and the form of the functional. The results can be extended to allow dependence of the monitoring mechanism on covariates.
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    Statistical Inference for Variable Importance (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 2 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Many statistical problems involve the learning of an importance/effect of a variable for predicting an outcome of interest based on observing a sample of $n$ independent and identically distributed observations on a list of input variables and an outcome. For example, though prediction/machine learning is, in principle, concerned with learning the optimal unknown mapping from input variables to an outcome from the data, the typical reported output is a list of importance measures for each input variable. The approach in prediction has been to learn the unknown optimal predictor from the data and derive, for each of the input variables, the variable importance from the obtained fit. In this article we propose a new approach which involves for each variable separately 1) defining variable importance as a real valued parameter, 2) deriving the efficient influence curve and thereby optimal estimating function for this parameter in the assumed (possibly nonparametric) model, and 3) develop a corresponding double robust locally efficient estimator of this variable importance, obtained by substituting for the nuisance parameters in the optimal estimating function data adaptive estimators. We illustrate this methodology in the context of prediction, and obtain in this manner double robust locally optimal estimators of marginal variable importance, accompanied with p-values and confidence intervals. In addition, we present a model based and machine learning approach to estimate covariate-adjusted variable importance. Finally, we generalize this methodology to variable importance parameters for time-dependent variables.
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    Estimating a Survival Distribution with Current Status Data and High-dimensional Covariates (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 9 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We consider the inverse problem of estimating a survival distribution when the survival times are only observed to be in one of the intervals of a random bisection of the time axis. We are particularly interested in the case that high-dimensional and/or time-dependent covariates are available, and/or the survival events and censoring times are only conditionally independent given the covariate process. The method of estimation consists of regularizing the survival distribution by taking the primitive function or smoothing, estimating the regularized parameter by using estimating equations, and finally recovering an estimator for the parameter of interest.
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    Targeted Maximum Likelihood Learning (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 11 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Suppose one observes a sample of independent and identically distributed observations from a particular data generating distribution. Suppose that one is concerned with estimation of a particular pathwise differentiable Euclidean parameter. A substitution estimator evaluating the parameter of a given likelihood based density estimator is typically too biased and might not even converge at the parametric rate: that is, the density estimator was targeted to be a good estimator of the density and might therefore result in a poor estimator of a particular smooth functional of the density. In this article we propose a one step (and, by iteration, k-th step) targeted maximum likelihood density estimator which involves 1) creating a hardest parametric submodel with parameter epsilon through the given density estimator with score equal to the efficient influence curve of the pathwise differentiable parameter at the density estimator, 2) estimating epsilon with the maximum likelihood estimator, and 3) defining a new density estimator as the corresponding update of the original density estimator. We show that iteration of this algorithm results in a targeted maximum likelihood density estimator which solves the efficient influence curve estimating equation and thereby yields a locally efficient estimator of the parameter of interest, under regularity conditions. In particular, we show that, if the parameter is linear and the model is convex, then the targeted maximum likelihood estimator is often achieved in the first step, and it results in a locally efficient estimator at an arbitrary (e.g., heavily misspecified) starting density. We also show that the targeted maximum likelihood estimators are now in full agreement with the locally efficient estimating function methodology as presented in Robins and Rotnitzky (1992) and van der Laan and Robins (2003), creating, in particular, algebraic equivalence between the double robust locally efficient estimators using the targeted maximum likelihood estimators as an estimate of its nuisance parameters, and targeted maximum likelihood estimators. In addition, it is argued that the targeted MLE has various advantages relative to the current estimating function based approach. We proceed by providing data driven methodologies to select the initial density estimator for the targeted MLE, thereby providing data adaptive targeted maximum likelihood estimation methodology. We illustrate the method with various worked out examples.
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    Non-linear Real Exchange Rate Effects in the UK Labour Market (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Using UK data over the 1973q1-2004q1 period, we find that the dynamics of the real exchange rate, real wages and unemployment vary both with large versus small real exchange rate disequilibria and rising versus falling unemployment regimes. The short-run real exchange rate adjusts only when large disequilibrium deviations occur. We report fast real exchange rate adjustment in periods of falling unemployment. This implies that prices and wages are more flexible when real output is high. When the real exchange rate is highly undervalued, workers respond to an improvement in domestic competitiveness by demanding and getting higher wages. Unemployment is reduced following gains in competitiveness when the real exchange rate is further away from equilibrium.
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    Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We propose an estimation procedure for value-at-risk (VaR) and expected shortfall (TailVaR) for conditional distributions of a time series of returns on a financial asset. Our approach combines a local polynomial estimator of conditional mean and volatility functions in a conditional heterocedastic autoregressive nonlinear (CHARN) model with Extreme Value Theory for estimating quantiles of the conditional distribution. We investigate the finite sample properties of our method and contrast them with alternatives, including the method recently proposed by McNeil and Frey (2000), in an extensive Monte Carlo study. The method we propose outperforms the estimators currently available in the literature. An evaluation based on backtesting was also performed.
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    Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art4 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We modify Samuelson's multiplier-accelerator model to explore the influence of expectations on fluctuations in economic activity. Within our model, the agents use a nonlinear mix of extrapolative and regressive forecast rules to predict the output. Our model is able to mimic some generic features of business cycles. In particular, consumption is procyclical and fluctuates less than output while investment is procyclical and fluctuates more than output.
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    Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art10 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we specify and estimate a multivariate GARCH-M model of natural gas and electricity price changes, and test for causal relationships between natural gas and electricity price changes and their volatilities, using data over the deregulated period from January 1, 1996 to November 9, 2004 from Alberta's (deregulated) spot power and natural gas markets. The model allows for the possibilities of spillovers and asymmetries in the variance-covariance structure for natural gas and electricity price changes, and also for the separate examination of the effects of the volatility of anticipated and unanticipated changes in natural gas and electricity prices.
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    Analytical Approximation for the Price Dynamics of Spark Spread Options (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art8 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, directly using a mean-reverting model with diffusion and jumps. The model is analyzed empirically, and shown to fit observed data in the UK reasonably well. The main advantage with the model is that the spark spread of electricity and gas forwards, being forwards with delivery over periods, can be priced analytically. The price dynamics for different spark spread options with electricity and gas forwards as underlying, is analytically derived through Fourier transforms. These pricing expressions allow for efficient numerical valuations via the fast Fourier transform technique.
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    Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX (''X'' stands for exogenous/fundamental variable -- system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to California Power Exchange (CalPX) system spot prices. We then use them for out-of-sample point and interval forecasting in normal and extremely volatile periods preceding the market crash in winter 2000/2001. We find evidence that (i) non-linear, threshold regime-switching (TAR/TARX) models outperform their linear counterparts, both in point and interval forecasting, and that (ii) an additional GARCH component generally decreases point forecasting efficiency. Interestingly, the former result challenges a number of previously published studies on the failure of non-linear regime-switching models in forecasting.
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    The Two Sample Problem for Multiple Categorical Variables (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 5 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Comparing two large multivariate distributions is potentially complicated at least for the following reasons. First, some variable/level combinations may have a redundant difference in prevalence between groups in the sense that the difference can be completely explained in terms of lower-order combinations. Second, the total number of variable/level combinations to compare between groups is very large, and likely computationally prohibitive. In this paper, for both the paired and independent sample case, an approximate comparison method is proposed, along with a computationally efficient algorithm, that estimates the set of variable/level combinations that have a non-redundant different prevalence between two populations. The probability that the estimate contains one or more false or redundant differences is asymptotically bounded above by any pre-specified level for arbitrary data-generating distributions. The method is shown to perform well for finite samples in a simulation study, and is used to investigate HIV-1 genotype evolution in a recent AIDS clinical trial.
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    Modeling the Effect of a Preventive Intervention on the Natural History of Cancer: Application to the Prostate Cancer Prevention Trial (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 12 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: The Prostate Cancer Prevention Trial (PCPT) recently demonstrated a significant reduction in prostate cancer incidence of about 25% among men taking finasteride compared to men taking placebo. However, the effect of finasteride on the natural history of prostate cancer is not well understood. We adapted a convolution model developed by Pinsky (2001) to characterize the natural history of prostate cancer in the presence and absence of finasteride. The model was applied to data from 10,995 men in PCPT who had disease status determined by interim diagnosis of prostate cancer or end-of-study biopsy. Prostate cancer cases were either screen-detected by Prostate-Specific Antigen (PSA), biopsy-detected at the end of the study, or clinically detected, that is, detected by methods other than PSA screening. The hazard ratio (HR) for the incidence of preclinical disease on finasteride versus placebo was 0.42 (95% CI: 0.20-0.58). The progression from preclinical to clinical disease was relatively unaffected by finasteride, with mean sojourn time being 16 years for placebo cases and 18.5 years for finasteride cases (p-value for difference = 0.2). We conclude that finasteride appears to affect prostate cancer primarily by preventing the emergence of new, preclinical tumors with little impact on established, latent disease.
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    Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper demonstrates that demand pressure, besides hybrid cost-pressure, matters both on the labor market and on the market for goods in the determination of wage and price inflation. We discuss theoretically and estimate for the USA wage and price Phillips curves exhibiting their own demand pressure measure in their respective market and weighted averages of perfectly foreseen short- and adaptively changed medium-run cost-pressure terms in addition. These curves are in their formal structure closely related to NK staggered wage and price dynamics, but differ radically from them in their implications. Our findings are that wages are more flexible than prices with respect to their demand pressure measure and that price determination gives much more weight to medium term inflation than does wage inflation. Supplemented by Okun's law, this implies a reduced form real wage dynamic that depends positively on economic activity, and thus an adverse type of real wage adjustment, if goods demand depends positively on real wages.
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    Unemployment and Inflation Regimes (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. To interpret the regimes the empirical results are compared with the predictions from a version of Rogoff's (1985) model of monetary policy. Our version is consistent with equilibrium unemployment and has the realistic feature of allowing both variables to be persistent. We find that both the theoretical and the empirical results suggest that an increase in central bank "conservativeness" can be associated with either a higher or a lower variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than in the high inflation regime, while the Swedish and the U.K. cases suggest that unemployment variability is higher in the low inflation regime.
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    Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations for a utility-maximizing agent implies the presence of a time-varying risk premium which is also subject to Markov regime shifts. Under such conditions, the regression equations that are typically used to test the expectations hypothesis of the term structure do not only have regime-dependent parameters but also endogenous regressors (that is right-hand-side variables which are correlated with the disturbances within each regime). Using three-month and six-month interest rates for the G7 countries, we show that the (generalized) expectations hypothesis cannot be rejected when we allow for a risk premium with Markov regimes, provided that instrumental variables are used to account for endogeneity.
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    Heterogeneous Consumption Goods, Sectoral Change, and Economic Growth (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper sets up a simple AK-type growth model with heterogeneous consumption goods. It is shown that the (overall) intertemporal elasticity of substitution, the saving rate, and the growth rate of income unambiguously increase in the course of economic development. Moreover, the model offers an intuitive explanation of sectoral change. It is demonstrated that there are a number of implications which are in line with the empirical evidence on economic growth and sectoral change.
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    Randomly Modulated Periodic Signals in Alberta's Electricity Market (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper uses hourly electricity prices and MW hour demand for Alberta, Canada over the deregulated period after 1996 to test for randomly modulated periodicity. In doing so, we apply the signal coherence spectral analysis to the time series of hourly spot prices and megawatt-hours (MWh) demand from 1/1/1996 to 12/7/2003 using the FORTRAN 95 program developed by Hinich (2000). We detect relatively steady weekly and daily cycles in demand but very unstable cycles in prices.
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    The Nature of Power Spikes: A Regime-Switch Approach (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Due to its non-storable nature, electricity is a commodity with probably the most volatile spot prices, exemplified by occasional spikes. Appropriate pricing, portfolio, and risk management models have to incorporate these characteristics, and the spikes in particular. We investigate the nature of power spikes in a number of different markets. We test what time-series model is best able to capture the dynamics of these disruptive spot prices. We use regime-switching models to infer whether the price spikes should be treated as abnormal and independent deviations from the 'normal' price dynamics or whether they form an integral part of the price process. We test the time-series models on day-ahead markets in Europe and the US. We find that regime-switch models are better able to capture the market dynamics than a GARCH(1,1) or Poisson jump model. We also find clear differences between the markets and attribute part of the differences to the share of hydro-power in the total supply stack: hydro-power serves as an indirect means to store electricity, which has a dampening effect on spikes.
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    Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art4 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This study investigates the extent to which predicted electricity spot prices from a statistical model, along with consensus forecasts issued by the Australian Financial Market Association (AFMA), provide unbiased price estimates of a forward contract price over a specified time to expiration. The statistical model is a regime switching time series model which is based on the dynamics of the market mechanism. To evaluate a price estimate, two criteria are utilized in order to conclude appropriateness for use in the marking-to-market process. First is the requirement that the predicted prices converge to the spot price at expiration of a hedging contract. The second criterion refers to the mis-pricing due to the price estimates over the days leading up to the contract expiration. Over the data period under consideration, the ranking of alternatives for generating price predictions is clear. On both criteria the Stevenson (2001) model is preferred. Of significance is the lack of support for the consensus (market) prices. They do not converge to the spot price at equilibrium and, further, they generate a considerable overvaluation of the risk management portfolio.
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    Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test" (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, replication1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.
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    The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art6 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This study tests whether changes in the short-term interest rate can best be modelled in a non-linear fashion. We argue that there are good theoretical and empirical reasons for adopting this strategy. Using monthly data from several industrialized countries, namely Canada, Germany, Sweden, Switzerland, UK, and US, we show that the short-term interest rate movements are better explained, usually via the exponential smooth transition autoregression (ESTR). Unlike the existing literature on non-linear estimation, we consider a number of candidates for the transition variable. These include: an error correction term, estimated from an underlying cointegrating relationship predicted by the expectations hypothesis, the US term spread, the domestic spread, inflation and output growth forecasts, and deviations from an inflation target in the case of Canada, the UK and Sweden. The sample spans the period from 1960-1998. We reject linearity in the behavior of short-term interest rate changes and instead find support for a non-linear model with the (lagged) domestic spread as the transition variable. However, other more economically meaningful alternatives perform just as well. For example, in the case of the inflation targeting countries in our sample, the most appropriate transition variable can be the deviation from the publicly announced inflation target. We supplement estimates with extensive diagnostic testing of the non-linear model to ensure that we can reject the linear alternative with reasonable confidence. We believe that changes in central bank policies, and in the reaction of market participants over time to such changes, argue in favor of the non-linear estimation approach. We also argue that any model of the term structure estimated over a fairly long span of time necessitates resort to non-linear estimation methods.
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    Estimating Trends in Weather Series: Consequences for Pricing Derivatives (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art9 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Predictions of future weather conditions play an important role in pricing weather derivatives. In many instances, the dates for which we require predictions are well beyond the point where physical forecasts have any skill. Under these circumstances, predictions are generated from statistical models of historic data. This paper derives conditions for which the predictive performance in regression is improved by ignoring or shrinking the contribution from some of the explanatory variables. We suggest methods for estimating the degree of shrinkage required in practice. We illustrate our methods using surface temperature data from fifteen stations in the United States.
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    A Regression Model for Dependent Gap Times (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 1 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: A natural choice of time scale for analyzing recurrent event data is the ``gap" (or soujourn) time between successive events. In many situations it is reasonable to assume correlation exists between the successive events experienced by a given subject. This paper looks at the problem of extending the accelerated failure time (AFT) model to the case of dependent recurrent event data via intensity modeling. Specifically, the accelerated gap times model of Strawderman (2005), a semiparametric intensity model for independent gap time data, is extended to the case of multiplicative gamma frailty. As argued in Aalen & Husebye (1991), incorporating frailty captures the heterogeneity between subjects and the ``hazard" portion of the intensity model captures gap time variation within a subject. Estimators are motivated using semiparametric efficiency theory and lead to useful generalizations of the rank statistics considered in Strawderman (2005). Several interesting distinctions arise in comparison to the Cox-Andersen-Gill frailty model (e.g., Nielsen et al, 1992; Klein, 1992). The proposed methodology is illustrated by simulation and data analysis.
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    Relationship between Derivatives of the Observed and Full Loglikelihoods and Application to Newton-Raphson Algorithm (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 4 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In the case of incomplete data we give general relationships between the first and second derivatives of the loglikelihood relative to the full and the incomplete observation set-ups. In the case where these quantities are easy to compute for the full observation set-up we propose to compute their analogue for the incomplete observation set-up using the above mentioned relationships: this involves numerical integrations. Once we are able to compute these quantities, Newton-Raphson type algorithms can be applied to find the maximum likelihood estimators, together with estimates of their variances. We detail the application of this approach to parametric multiplicative frailty models and we show that the method works well in practice using both a real data and a simulated example. The proposed algorithm outperforms a Newton-Raphson type algorithm using numerical derivatives.
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    An Improved Akaike Information Criterion for Generalized Log-Gamma Regression Models (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 2 (2006), S. 10 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: We propose an improved Akaike information criterion (AICc) for generalized log-gamma regression models, which include the extreme-value and normal regression models as special cases. Moreover, we extend our proposed criterion to situations when the data contain censored observations. Monte Carlo results show that AICc outperforms the classical Akaike information criterion (AIC), and an empirical example is presented to illustrate its usefulness.
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    Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 2, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the U.S. The results reveal evidence of threshold effects related to credit conditions in the economy. Consistent with this finding, the impulse responses show some signs of asymmetric responses over the lending cycle. However, the results of the paper suggest that in the euro area non-linearities arising from credit market imperfections may be less pronounced than in the U.S., probably reflecting specific institutional features of its banking sector.
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    Model Selection Uncertainty and Detection of Threshold Effects (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Inferences about the presence or absence of threshold type nonlinearities in TAR models are conducted within models whose lag length has been estimated in a preliminary stage. Typically the null hypothesis of linearity is then tested against a threshold alternative on which the estimated lag length is imposed on each regime. In this paper we evaluate the properties of test statistics for detecting the presence of threshold effects in autoregressive models when this model uncertainty is taken into account. We show that this approach may lead to important distortions when the underlying model has truly threshold effects by establishing the limiting properties of the estimated lag length in the mispecified linear autoregressive fit and assessing the impact of this model uncertainty on the power of the tests. We subsequently propose a full model selection based approach designed to jointly detect the presence of threshold effects and optimally specify its dynamics and compare its performance with the traditional test based approach.
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    Risk Premia in Electricity Forward Prices (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 3, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the implied forward price behaviour. We then assess the term-structure and time-evolution of the risk premia for each of the markets.
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    Bayesian Analysis of Structural Effects in an Ordered Equation System (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art7 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We describe a new simulation-based algorithm for Bayesian estimation of structural effects in models where the outcome of interest and an endogenous treatment variable are ordered. Our algorithm makes use of a reparameterization, suggested by Nandram and Chen (1996) in the context of a single equation ordered-probit model, which significantly improves the mixing of the standard Gibbs sampler. We illustrate the improvements afforded by this new algorithm (relative to the standard Gibbs sampler) in a generated data experiment and also make use of our methods in an empirical application. Specifically, we take data from the National Longitudinal Survey of Youth (NLSY) and investigate the impact of maternal alcohol consumption on early infant health. Our results show clear evidence that the health outcomes of infants whose mothers drink while pregnant are worse than the outcomes of infants whose mothers never consumed alcohol while pregnant. In addition, the estimated parameters clearly suggest the need to control for the endogeneity of maternal alcohol consumption.
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    A Switching ARCH Model for the German DAX Index (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a leverage term to model the asymmetric response of volatility to shocks. Model specification and estimation is performed within a Bayesian framework using Markov Chain Monte Carlo simulation methods. Model diagnostics document a good fit of the switching ARCH model. The persistence of shocks in volatility coming from the autoregressive conditional part of the variance is considerably lower than that obtained using a GARCH(1,1) model. Our volatility estimate closely follows market implied volatility. When we compare the forecasting performance, switching ARCH turns out to be an unbiased estimator of realized volatility. Nevertheless, over all forecast horizons, model-based volatility forecasts do not add information about future volatility. Up to a 7-day horizon, market implied volatility already contains nearly all information.
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    On Robust Trend Function Hypothesis Testing (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 1, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministic trend function of a univariate time series. Vogelsang proposes statistics formed from taking the product of a (normalised) Wald statistic for the trend function hypothesis under test with a specific function of a separate variable addition Wald statistic. The function of the second statistic is explicitly chosen such that the resultant product statistic has pivotal limiting null distributions, coincident at a chosen level, under I(0) or I(1) errors. The variable addition statistic in question has also been suggested as a unit root statistic, and we propose corresponding tests based on other well-known unit root statistics. We find that, in the case of the linear trend model, a test formed using the familiar augmented Dickey-Fuller [ADF] statistic provides a useful complement to Vogelsang's original tests, demonstrating generally superior power when the errors display strong serial correlation with this pattern tending to reverse as the degree of serial correlation in the errors lessens. Importantly for practical considerations, the ADF-based tests also display significantly less finite sample over-size in the presence of weakly dependent errors than the original tests.
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    Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? (2006)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 10.2006, 4, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Continuous-time models play a central role in the theory of finance whereas empirical finance makes use of discrete-time models. This article investigates the connection between the two classes of models, particularly between conditional heteroscedastic and diffusion processes. As was advocated earlier by Stroock and Varadhan (1979), under some sets of conditions ARCH-type models weakly (in distribution) converge to diffusion processes as the time interval shrinks to zero. We provide the required set of conditions that ensures such a convergence and focus on the kind of the diffusion limit recovered. In the general setting, the diffusion is bivariate and driven by two possibly correlated Brownian motions. We illustrate this result for particular GARCH(1,1) specifications, the augmented GARCH (1,1) and a non-linear specification CEV-ARCH. By imposing an alternate set of conditions regarding the speed of convergence of parameters, a degenerate case is obtained. In the latter, the diffusion limit is governed by a single Brownian motion characterizing the price process while the volatility process becomes deterministic. Finally, we propose a discrete-time heteroscedastic model which shares various properties with ARCH-type models and converges to the complete model with stochastic volatility (CMSV) introduced by Hobson and Rogers (1998) for which the price and the volatility processes are driven by the same Brownian motion. Our analysis bears directly on the market completeness and unicity of asset prices issues.
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    An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.
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    Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art5 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We develop a new Markov Chain Monte Carlo procedure for a time series regression model truncated by upper and lower bounds. The regression error term is assumed to follow an ARMA--GARCH process. We use a convergence diagnostics with a simultaneous test of mean and covariance stationarity and discuss model selection criteria. Using MCMC procedure we test the purchasing power parity theory for the Japanese yen controlled to fluctuate in a narrow band and find that the theory is supported if double truncation is incorporated in estimation.
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    What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying several tests of forecast accuracy and encompassing robust to nested models. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and derive their analytical expressions in different MS specifications. The relative contribution of each source is assessed through Monte Carlo simulations. We find that the main source of error is due to the misclassification of future regimes.
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    Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art1 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Business cycles in different industries have a tendency to synchronize with one another in what appears to be a national business cycle. Using simulation and time series techniques in the time and frequency domain, we offer econometric support for the industrial sector mode-locking hypothesis, extending recent work by Selover, Jensen and Kroll (2003). In addition, we propose an economic motivation of the underlying nonlinear model.
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    A Weighted Risk Set Estimator for Survival Distributions in Two-Stage Randomization Designs with Censored Survival Data (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 1 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In many clinical trials related to diseases such as cancers and HIV, patients are treated by different combinations of therapies. This leads to two-stage designs, where patients are initially randomized to a primary therapy and then depending on disease remission and patients' consent, a maintenance therapy will be randomly assigned. In such designs, the effects of different treatment policies, i.e., combinations of primary and maintenance therapy are of great interest. In this paper, we propose an estimator for the survival distribution for each treatment policy in such two-stage studies with right-censoring using the method of weighted estimation equations within risk sets. We also derive the large-sample properties. The method is demonstrated and compared with other estimators through simulations and applied to analyze a two-stage randomized study with leukemia patients.
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    Some Variants of the Backcalculation Method for Estimation of Disease Incidence: An Application to Multiple Sclerosis Data from the Faroe Islands (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 2 
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    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Backcalculation is a technique that was originally developed for the study of HIV incidence. Here we introduce some variants of the estimation technique that allow for (i) correlation of the unobserved disease incidence counts, and (ii) the use of a smoothing step as part of the maximizing step in the EM algorithm to reduce instability due to small diagnosis counts. Both of these issues can be important in the analysis of small "epidemics." In addition, identification of correlation between diagnosis counts provides indirect evidence of correlation among unobserved incidence counts, hinting at the possibility of an infectious agent. We illustrate the ideas by reconstructing an incidence intensity function for the onset of multiple sclerosis, using data from the Faroe Islands. Previously, this data had been examined statistically, by Joseph, Wolfson & Wolfson (1990), to address the issue of infectiousness of multiple sclerosis. We argue that the incidence function cannot directly shed light on the enigmatic origin of multiple sclerosis in the Faroe Islands during World War II, and, in particular, cannot discriminate between hypotheses of an infectious or environmental agent.
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    Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art6 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: In this paper we compare a set of different standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. To take into account the excessive persistence usually found in GARCH models that implies too smooth and too high volatility forecasts, in the MRS-GARCH models all parameters switch between a low and a high volatility regime. Both gaussian and fat-tailed conditional distributions for the residuals are assumed, and the degrees of freedom can also be state-dependent to capture possible time-varying kurtosis. The forecasting performances of the competing models are evaluated both with statistical and risk-management loss functions. Under statistical losses, we use both tests of equal predictive ability of the Diebold-Mariano-type and test of superior predictive ability. Under risk-management losses, we use a two-step selection procedure where we first check which models pass the tests of correct unconditional or conditional coverage and then we compare the best models under two subjective VaR-based loss functions. The empirical analysis demonstrates that MRS-GARCH models do really outperform all standard GARCH models in forecasting volatility at horizons shorter than one week under both statistical and VaR-based risk-management loss functions. In particular, all tests reject the presence of a better model than the MRS-GARCH with normal innovations. However, at forecast horizons longer than one week, standard asymmetric GARCH models tend to be superior.
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    Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art3 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: It is now widely recognized that the most commonly used efficient two-step GMM estimator may have large bias in small samples. In this paper we analyze by simulation the finite sample bias of two classes of alternative estimators. The first includes estimators which are asymptotically first-order equivalent to the GMM estimator, namely the continuous-updating, exponential tilting, and empirical likelihood estimators. Analytical and bootstrap bias-adjusted GMM estimators form the second class of alternatives. The Monte Carlo simulation study conducted in the paper for covariance structure models shows that all alternative estimators offer much reduced bias as compared to the GMM estimator, particularly the empirical likelihood and some of the bias-corrected GMM estimators.
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    Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art2 
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    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: We analyze the post-float real exchange rates for a group of OECD countries using the newly developed threshold test and tests for unit roots against stationary but nonlinear alternative by Caner and Hansen ( 2001). These tools help us disentangle the nonlinearity from the nonstationarity rigorously for the first time in the literature. After applying the threshold test and unit root tests: we find evidence for non-linearity of exchange rates. Specifically real exchange rates behave like a unit root in a band and when the depreciation or appreciation of the currency against $US exceeds the boundaries of the band , the real exchange rates are mean-reverting. The threshold value is treated as unknown and estimated in the model.
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  • 91
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    Score Statistics for Current Status Data: Comparisons with Likelihood Ratio and Wald Statistics (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 3 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: In this paper we introduce three natural ``score statistics" for testing the hypothesis that F(t_0)takes on a fixed value in the context of nonparametric inference with current status data. These three new test statistics have natural interpretations in terms of certain (weighted) L_2 distances, and are also connected to natural ``one-sided" scores. We compare these new test statistics with the analogue of the classical Wald statistic and the likelihood ratio statistic introduced in Banerjee and Wellner (2001) for the same testing problem. Under classical ``regular" statistical problems the likelihood ratio, score, and Wald statistics all have the same chi-squared limiting distribution under the null hypothesis. In sharp contrast, in this non-regular problem all three statistics have different limiting distributions under the null hypothesis. Thus we begin by establishing the limit distribution theory of the statistics under the null hypothesis, and discuss calculation of the relevant critical points for the test statistics. Once the null distribution theory is known, the immediate question becomes that of power. We establish the limiting behavior of the three types of statistics under local alternatives. We have also compared the power of these five different statistics via a limited Monte-Carlo study. Our conclusions are: (a) the Wald statistic is less powerful than the likelihood ratio and score statistics; and (b) one of the score statistics may have more power than the likelihood ratio statistic for some alternatives.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol1/iss1/3
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  • 92
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    History-Adjusted Marginal Structural Models and Statically-Optimal Dynamic Treatment Regimens (2005)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    The @international journal of biostatistics 1 (2005), S. 4 
    Details
    ISSN: 1557-4679
    Source: Berkeley Electronic Press Academic Journals
    Topics: Biology , Mathematics , Medicine
    Notes: Marginal structural models (MSM) provide a powerful tool for estimating the causal effect of a treatment. These models, introduced by Robins, model the marginal distributions of treatment-specific counterfactual outcomes, possibly conditional on a subset of the baseline covariates. Marginal structural models are particularly useful in the context of longitudinal data structures, in which each subject's treatment and covariate history are measured over time, and an outcome is recorded at a final time point. However, the utility of these models for some applications has been limited by their inability to incorporate modification of the causal effect of treatment by time-varying covariates. Particularly in the context of clinical decision making, such time-varying effect modifiers are often of considerable or even primary interest, as they are used in practice to guide treatment decisions for an individual. In this article we propose a generalization of marginal structural models, which we call history-adjusted marginal structural models (HA-MSM). These models allow estimation of adjusted causal effects of treatment, given the observed past, and are therefore more suitable for making treatment decisions at the individual level and for identification of time-dependent effect modifiers. Specifically, a HA-MSM models the conditional distribution of treatment-specific counterfactual outcomes, conditional on the whole or a subset of the observed past up till a time-point, simultaneously for all time-points. Double robust inverse probability of treatment weighted estimators have been developed and studied in detail for standard MSM. We extend these results by proposing a class of double robust inverse probability of treatment weighted estimators for the unknown parameters of the HA-MSM. In addition, we show that HA-MSM provide a natural approach to identifying the dynamic treatment regimen which follows, at each time-point, the history-adjusted (up till the most recent time point) optimal static treatment regimen. We illustrate our results using an example drawn from the treatment of HIV infection.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/ijb/vol1/iss1/4
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  • 93
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    Nonlinear Error-Correction Models for the FF/DM Rate (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art7 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and nonparametric estimations of the functional form of the nonlinear error-correction term. On the basis of these econometric tools, we highlight a stronger correction of positive deviations of the parity from the level consistent with its macroeconomic fundamentals and a nonlinear reversion towards a set of equilibrium exchange rates. This asymmetric adjustment of deviations from equilibrium discloses a reluctance for the undervaluation of the FF over the period.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss1/art7
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  • 94
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    A Test of the Martingale Hypothesis (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art2 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper proposes a statistical test of the martingale hypothesis. It can be used to test whether a given time series is a martingale process against certain non-martingale alternatives. The class of alternative processes against which our test has power is very general and it encompasses many nonlinear non-martingale processes which may not be detected using traditional spectrum-based or variance-ratio tests. We look at the hypothesis of martingale, in contrast with other existing methods which test for the hypothesis of martingale difference. Two different types of test are considered: one is a generalized Kolmogorov-Smirnov test and the other is a Cramer-von Mises type test. For the processes that are first-order Markovian in mean, in particular, our approach yields the test statistics that neither depend upon any smoothing parameter nor require any resampling procedure to simulate the null distributions. Their null limiting distributions are nicely characterized as functionals of a continuous stochastic process so that the critical values are easily tabulated. We prove consistency of our tests and further investigate their finite sample properties via simulation. Our tests are found to be rather powerful in moderate size samples against a wide variety of non-martingales including exponential autoregressive, threshold autoregressive, markov switching, chaotic, and some of nonstationary processes.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss2/art2
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    Wavelet Transforms and Commodity Prices (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art6 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: Traders in commodity markets may have different time horizons. This paper uses a scale analysis to investigate heterogeneous trading in such markets. Estimates are presented for price correlations by scale and long memory in the volatility of commodity prices. Wavelet variance is estimated using non-decimated wavelet transforms. Wavelets have the potential to be a useful tool for scale analysis in economics.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss1/art6
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  • 96
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    A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 1, art2 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: It is common in empirical macroeconomics to fit vector autoregressive (VAR) models to construct estimates of impulse responses. An important preliminary step in impulse response analysis is the selection of the VAR lag order. In this paper, we compare the six lag-order selection criteria most commonly used in applied work. Our metric is the mean-squared error (MSE) of the implied pointwise impulse response estimates normalized relative to their MSE based on knowing the true lag order. Based on our simulation design we conclude that for monthly VAR models, the Akaike Information Criterion (AIC) tends to produce the most accurate structural and semi-structural impulse response estimates for realistic sample sizes. For quarterly VAR models, the Hannan-Quinn Criterion (HQC) appears to be the most accurate criterion with the exception of sample sizes smaller than 120, for which the Schwarz Information Criterion (SIC) is more accurate. For persistence profiles based on quarterly vector error correction models with known cointegrating vector, our results suggest that the SIC is the most accurate criterion for all realistic sample sizes.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss1/art2
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  • 97
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    Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art7 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: A pervasive finding of unit roots in macroeconomic data often runs counter to intuition regarding the stochastic nature of the process under consideration. Two econometric techniques have been utilized in an attempt to resolve the finding of unit roots, namely long memory and models that depart from linearity. While the use of long memory and stochastic regime switching models have developed almost independently of each other, it is now clear that the two modeling techniques can be intimately linked. In particular, both modeling techniques have been used in isolation to study the dynamics of the real exchange rate. To determine the importance of each technique in this context, I employ a testing and estimation procedure that allows one to jointly test for long memory and non-linearity (regime switching behavior) of the STAR variety. I find that there is substantial evidence of non-linear behavior for the real exchange rate for many developing and European countries, with little evidence for ESTAR non-linearity for countries outside the European continent including Japan and Canada. In cases where non-linearity is found, I also find significant evidence of long memory for the majority of the countries in my sample. Thus, long memory and non-linearity can also be viewed as compliments rather than substitutes. The linear model in isolation appears to be inadequate for breaking down the paradox known as the PPP puzzle. On the other hand, a combination of long memory and non-linearity may be a promising research avenue for pursuing an answer to the paradox.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss2/art7
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    Can GARCH Models Capture Long-Range Dependence? (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 4, art1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric estimators of the long-memory parameter, and the parametric fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial return series we find that a two-component GARCH model captures the shape of the autocorrelation function of volatility, and is consistent with long-memory based on semiparametric and parametric estimates. Therefore, GARCH models can in some circumstances account for the long-range dependence found in financial market volatility.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss4/art1
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    Economic Growth and Revealed Social Preference (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 2, art1 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The Representative Agent Growth Model is estimated econometrically using the Generalized Method of Moments for the U.S. economy for three separate Growth Eras and the results compared to those obtained using the Kydland--Prescott calibration approach. The estimated parameters differ substantially in the three cases, which imply changing social preferences for present versus future income and work--leisure tradeoffs. These in turn imply switching among alternative balanced growth paths and differences in the contributions of capital, labor, and labor augmenting productivity among the three Eras. Using the GMM method yields very high productivity and capital elasticity parameters and a very low time preference parameter for Eras I compared to Eras III and IV. While both GMM and the calibration method yield much smaller leisure parameters for Era IV than for Eras I and III.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/snde/vol9/iss2/art1
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  • 100
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    Comment on "Investigating Nonlinearity" (2005)
    Cambridge, Mass. : Berkeley Electronic Press (now: De Gruyter)
    Studies in nonlinear dynamics and econometrics 9.2005, 3, art3 
    Details
    ISSN: 1081-1826
    Source: Berkeley Electronic Press Academic Journals
    Topics: Mathematics , Economics
    Notes: The paper by Bond, Harrison, and O'Brien illustrates the role that convergence criteria, search algorithms, and starting values can play in influencing the success of numerical optimization. One aspect contributing to the importance of these choices in their results appears to be a multivariate generalization of the "pile-up" phenomenon for maximum likelihood estimation of moving average processes. Their results suggest advantages in some settings of using either Bayesian methods or an alternative specification of the random field.
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    URL: http://www.bepress.com/snde/vol9/iss3/art3
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