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  • Articles  (335,279)
  • Articles: DFG German National Licenses  (335,279)
  • Mathematics  (183,832)
  • Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition  (151,447)
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  • Articles  (335,279)
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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
    Technical and Financial Feasibility Analysis of Distributed Bioprocessing Using Regional Biomass Pre-Processing Centers (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art10 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Research indicates that large biorefineries capable of handling 5000-10000MT of biomass per day are necessary to achieve process economies. However, such large biorefineries also entail increased costs of biomass transportation and storage, high transaction costs of contracting with a large number of farmers for biomass supply, potential market power issues, and local environmental impacts. We propose a network of regional biomass preprocessing centers (RBPC) that form an extended biomass supply chain feeding into a biorefinery, as a way to address these issues. The RBPC, in its mature form, is conceptualized as a flexible processing facility capable of pre-treating and converting biomass into appropriate feedstocks for a variety of final products such as fuels, chemicals, electricity, and animal feeds. We evaluate the technical and financial feasibility of a simple RBPC that uses ammonia fiber expansion pretreatment process and produces animal feed along with biorefinery feedstock.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/jafio/vol5/iss2/art10
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  • 11
    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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  • 12
    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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  • 13
    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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  • 14
    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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  • 15
    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 
    Details
    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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  • 16
    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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  • 17
    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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  • 18
    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 
    Details
    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
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  • 19
    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
    URL: http://www.bepress.com/snde/vol11/iss3/art6
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  • 20
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    Electronic Resource
    Contract Selectivity, Food Safety, and Traceability (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art2 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Contracts are an increasingly common method for coordinating exchange in the food industry. Contracts often include specifications for product attributes including food safety. One of the goals of explicit safety specifications is to discourage or deter suppliers who would deliver unsafe food. In this article, we use a principal-agent model in the context of adverse selection to examine how contracts that include traceability can be used to select against producers who cannot meet a processor's safety specifications. We find that the motivation to select against unsafe producers depends on the magnitude of the failure costs and the proportion of the failure costs allocated to producers. We also identify the conditions under which the processor selects against unsafe producers regardless of traceability. Our results are important to regulators and negotiators who want to support safe producers and deter unsafe producers.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/jafio/vol5/iss1/art2
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  • 21
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    Measuring the Degree of Retail Competition in U.S. Cheese Markets (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art1 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: The objective of this article is to measure the degree of competition among retail stores to sell a specific brand of a product. For this purpose, we estimate brand-specific demand equations along with first order conditions from stores' profit maximization. In stores' profit maximization, we account for three sources of conjectural variation: within a store but across brands, across stores for the same brand, and across stores for other brands. Data on U.S. retail store price and sales data on cheese products from ACNielsen Homescan database are used in our empirical analysis. A set of indices representing concentration of purchases across brands within each store and across stores for each brand are used to estimate conjectural elasticities. Results show the existence of price markups suggesting imperfectly competitive behavior in retail cheese markets.
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  • 22
    Electronic Resource
    Electronic Resource
    Market and Welfare Effects of Collusion with Reference to Multi-Product Food Oligopoly and Oligopsony (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art5 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Among the dominant firms in the US meat and grain business, many produce several products, some of which are demand-related. Yet, virtually all research on collusion among those firms focuses on a single product. This paper uses a game-theoretic model to investigate the conditions under which multi-product food firms producing demand-related goods have incentives to collude, and examines the welfare implications of collusion for participants in a vertical marketing chain. I show that multi-product food firms have a greater incentive to collude when they become more efficient. In contrast to previous work, I find that the effect of the degree of product substitutability on collusion sustainability hinges on the cost effect arising from joint production. From a policy standpoint, I show that mergers between single-product firms producing demand-related goods under certain conditions may hinder collusion.
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  • 23
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    Cherry Picking: Should Sellers Let Buyers Sort? (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art11 
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    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Agricultural goods sold in supermarkets often vary significantly in quality. Yet, when these goods are sold at a single price, consumers may expend significant time and effort to sort goods for quality. From the standpoint of sellers, the resources expended on sorting only serve to reallocate high quality goods to consumers who sort intensively and low quality goods to consumers who sort minimally or not at all. Because these lower quality goods are less attractive to consumers who do not sort, sellers may be forced to lower prices. Why then do sellers allow sorting when they might prevent it? This paper presents a demand model where sellers choose whether to allow sorting. Sellers may allow consumer sorting when it fosters the distribution of qualities that occurs under quality discrimination, despite the associated reduction in the total gains to trade through sorting costs and quality efficiency loss. In general, sorting may allow sellers to improve the quality of goods for marginal consumers who constrain price-setting for sellers with market power. The total effect on price, amount sold and welfare is ambiguous due to the role of market power. Simulations are provided to demonstrate these effects.
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    Biofuels Policies in Asian Countries: Impact of the Expanded Biofuels Programs on World Agricultural Markets (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art8 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: The governments of Asian countries are promoting biofuels programs to deal with energy security and environmental problems, and to increase farm income. However, securing raw materials for biofuels is a crucial problem, because these raw materials comprise various agricultural products which are used as food sources in Asian countries. Increasing biofuel consumption is exacerbating this problem. To address it, the governments of Asian countries are working on biofuel programs which will not compete with food security. Most of the Asian countries are food-importing countries. Increasing food prices, due to competition, could lead to social unrest. It is expected that the introduction and development of second-generation biofuels can mitigate the competition between food and energy. As various countries develop second-generation biofuels, international cooperation is needed to maximize such development in Asia and other regions. Establishing international cooperation to develop second-generation biofuels is urgently needed in Asian countries.
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    Estimating the Welfare Effects of U.S. Distortions in the Ethanol Market Using a Partial Equilibrium Trade Model (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art5 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: In this paper the impact of distortions on U.S. imports of ethanol from Brazil are calculated. This is achieved by using two-stage least squares to estimate a partial equilibrium trade model based on annual data from 1975 to 2006. From this the derived export supply and import demand elasticities are used to derive "back-of-the-envelope" measures of the static and cumulative deadweight losses, assuming the distortions are not eliminated. The results presented support the hypothesis that the U.S. and Brazil would reap gains from trade if distortions in the U.S. ethanol market were eliminated.
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    Consumer Response to Information and Second-Generation Genetically Modified Food in India (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art8 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: This study investigates the Indian market for GM wheat. First, we address the obvious valuation and acceptance questions for Indian consumers. Then we investigate the extent to which the provision of information about GM wheat has any significant effect on consumers' willingness to pay and the degree to which the effect varies based on the information treatment. Finally, we consider whether the type of primary beneficiary of GM wheat production affects valuation. Specifically, we assess the conjecture that consumers' willingness to pay for GM wheat changes according to whether the crop is portrayed as producer-friendly or consumer-friendly.
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    The Value of Collective Reputation for Environmentally-Friendly Production Methods: The Case of Val di Gresta (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art7 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: In this paper we investigate consumers' preferences for various environment-friendly production systems for carrots. We use discrete-choice multi-attribute stated-preference data to explore the effect of collective reputations from growers of an Alpine valley known for its environment-friendly production: Val di Gresta 'the valley of organic orchards'. Data analysis of the panel of discrete responses identifies unobserved taste heterogeneity for organic, bio-dynamic and place of origin, while observed heterogeneity for income is addressed by a piece-wise linear function. The implied sample distributions of individual-specific WTP for each of these random attributes are then compared. Results indicate that Integrated Pest Management is preferred to biodynamic as an emerging method. The presence of a premium for Val di Gresta produce is confirmed. The use of an experimental design to identify the relevant second order effects reveals the presence of a reputation effect which can be decomposed into a generic effect from place of origin and a specific one for each EFPMs. Farmers operating in geographically limited marginal areas, such as mountain valleys, may find it useful to invest in collective reputation through high quality standard to achieve higher returns. This strategy may compensate for the dwindling public support to farm income from EU programmes.
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    Generic Advertising and Product Differentiation Revisited (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art3 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: This paper revisits the analysis of generic commodity advertising under product differentiation by Crespi and Marette. Crespi and Marette had shown that a dominant firm producing high-quality goods and facing a competitive fringe of lower quality producers could be harmed by a generic advertising campaign while the fringe was left unaffected. Under this dominant-firm model, a question remained why these producers might support a program for which they were indifferent. In this paper we show that under a duopoly model a high-quality firm may be harmed while its lower-quality rival may be made better off by a generic program, thus helping to explain why some producers might favor a program while others do not. Further, this paper dismisses the claim made by some litigants that increased branded advertising is the result of a deleterious effect of generic advertising.
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    Fair Trade Labeling: Inside or Outside Supermarkets? (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art9 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: This article is a theoretical contribution to the debate surrounding the introduction of Fair Trade products into large-scale retail distribution. In the model, a Fair Trade certifier and a traditional producer compete to supply their product to a single retailer, consumers who are Fair Trade likers are willing to pay an "ethical" premium for the Fair Trade product, and the premium depends on the revenue of Fair Trade product producers. The conditions of existence of an equilibrium where the Fair Trade product coexists with the traditional brand product on the retailer's shelves are highlighted. In particular, we show that a Fair Trade certifier implements this equilibrium if his preferences are such that the weight devoted to the price paid to producers is smaller than the weight he grants to the quantities of Fair Trade product sold. We also show that a retailer's decision to sell the Fair Trade product is not based on the percentage of consumers who are willing to pay for it, but on how much the Fair Trade likers are willing to pay.
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    Policy Alternatives for the Future Biofuels Industry (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art2 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: US and state governments have subsidized ethanol since 1978, and the rationale for these subsidies has varied over time from supporting farm prices and income, to environmental quality, and more recently to energy security and reduction of greenhouse gas emissions. The recent boom in ethanol investment and production can be considered as an unintended consequence of an ethanol subsidy keyed to $20 crude oil and fixed at 51 cents per gallon combined with oil surging to $70/bbl. Thus, in the 2005-07 period, ethanol was extremely profitable inducing substantial new investment. For the future, different political action groups and political figures propose renewable fuels targets or standards ranging from 35 to 100 billion gallons per year. To achieve anything like these levels, it is likely that the current policy set will need to be reconsidered. In addition to the current policy, this paper considers using a subsidy tied to the energy security gains and greenhouse gas emission reductions provided by renewable fuels, subsidies targeted specifically at cellulose ethanol, and different versions of a renewable fuel standard such as the one passed by the US Senate. It is clear that we must develop a better understanding of the consequences of these alternative policy pathways.
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    Ethanol Expansion in the Food versus Fuel Debate: How Will Developing Countries Fare? (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art6 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: This paper examines the impact of ethanol expansion in the United States, brought about by higher crude oil prices, on agricultural commodity prices. Given the United States's stature as a major producer and exporter of many agricultural commodities, the resulting increase in commodity prices has spillover effects into the global market. Using the price changes estimated within a multi-commodity, multi-country agricultural modeling system, this paper attempts to show how an increase in world commodity prices would affect the costs of food baskets around the world and how higher food costs will impact food security, particularly in developing countries. In general, we find that countries where corn is the major food grain experience larger increases in food basket cost while countries where rice is the major food grain have smaller food basket cost increases. Countries where wheat and/or sorghum are the major food grains fall in between. Consequently, the highest percentage increases are seen in Sub-Saharan Africa and Latin America where food basket costs are estimated to increase by at least 10%. The lowest percentage increases are seen in Southeast Asia, with cost increases of less than 2.5%.
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    Explorations in Biofuels Economics, Policy, and History: Introduction to the Special Issue (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art1 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Biofuels are prominent in current discussion both as a solution to problems and as a creator of problems. They have promise as a substitute for fossil fuels, particularly for petroleum as the raw material for transportation fuel. But biofuels also have pitfalls, especially when produced at a scale sufficient to replace a significant proportion of the world's use of petroleum. The articles in this special issue analyze key aspects of both the promise and pitfalls of biofuels. They address issues in the technology of producing raw materials for biofuels and converting these raw materials into fuel, resource constraints facing expansion of biofuel production, and the demand for fuels. Particular attention is paid to the relationship between expanded biofuel production and the cost of food. The economics of biofuels is inherently linked to policy issues as well as market analysis because biofuels in every country have received subsidies from governments. Consequently several articles address the welfare economics of governmental efforts to promote biofuels, with a focus on U.S. ethanol subsidies. These subsidies generate net social losses (deadweight costs) on a global scale, although not necessarily from the U.S. national viewpoint. Governmental promotion of biofuels can be justified on the grounds of externalities created by the use of fossil fuels, most notably in recent debates on global warming caused by the release of sequestered carbon in the form of carbon dioxide. This justification is weakened and perhaps even nullified by externalities in the production and use of biofuels. The articles in this issue consider a range of topics concerning these matters, and the welfare losses caused by biofuel subsidies absent net environmental gains from biofuels.
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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 
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    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.
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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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    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.
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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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    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 
    Details
    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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    Scale and Transaction Costs in the U.S. Biopower Industry (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art10 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: With increasing interest in renewable energy from agriculture, including biopower and cellulose ethanol, there is a need for better understanding of the economic organization of this emerging industry. Study of the organization of the biopower industry represents an under-researched area and a new application of transaction cost theory to an emerging industry. Refinement of the theory can also result from challenging applications. This article provides an application of transaction cost economics to the existing United States biopower industry while challenging the empirical convention of excluding production cost variables from transaction cost analysis. Utilizing survey data from 53 biopower generators we study the relationship between physical asset specificity, site specificity, and scale in explaining firms' decisions to procure inputs internally, externally, or to use both methods. Consistent with transaction cost theory, both site specificity and scale are good predictors of organizational form. Given this evidence, this article reconsiders the impact of scale and transaction costs on the choice of organizational from.
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    Ethanol: No Free Lunch (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art3 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: The sharp rise in energy prices in the 1980s triggered a strong interest in the production of ethanol as an additional energy component. Economists are divided as to the payoffs from ethanol derived corn in part because of the complex interrelationship between energy produced from ethanol and energy from fossil fuels. Using a welfare economic framework, we calculate that there can be treasury savings from ethanol using tax credits as these subsidies can be smaller than direct payments to corn farmers which are essentially eliminated from the expansion of ethanol. Also, to the extent that ethanol dampens fuel prices there can be a net welfare gain from ethanol production in the presence of ethanol subsidies.
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    Fueling the Automobile: An Economic Exploration of Early Adoption of Gasoline over Ethanol (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art11 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: When the automobile was developed near the beginning of the last century, it was the relatively new fuel gasoline, not the familiar ethanol that became the fuel of choice. We examine the intersections of the early development of the automobile and the petroleum industry and consider the state of the agriculture sector during the same period. Through this process, we find a series of influences, such as relative prices and alternative markets, that help to explain how in the early years of automobile development, gasoline won out over the equally likely technical alternative ethanol. We also examine the industrial relations in the automobile industry that seem to have influenced the later adoption of leaded gasoline, rather than ethanol, as a solution to the problem of engine knock.
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    Potential Land Use Implications of a Global Biofuels Industry (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art9 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: In this paper we investigate the potential production and implications of a global biofuels industry. We develop alternative approaches to consistently introduce land as an economic factor input and in physical terms into a computable general equilibrium framework. The approach allows us to parameterize biomass production consistent with agro-engineering information on yields and a "second generation" cellulosic biomass conversion technology. We explicitly model land conversion from natural areas to agricultural use in two different ways: in one approach we introduced a land supply elasticity based on observed land supply responses and in the other approach we considered only the direct cost of conversion. We estimate biofuels production at the end of the century could reach 221 to 267 EJ in a reference scenario and 319 to 368 EJ under a global effort to mitigate greenhouse gas emissions. The version with the land supply elasticity allowed much less conversion of land from natural areas, forcing intensification of production, especially on pasture and grazing land, whereas the pure conversion cost model led to significant deforestation. These different approaches emphasize the importance of somehow reflecting the non-market value of land more fully in the conversion decision. The observed land conversion response we estimate may be a short turn response that does not fully reflect the effect of long run pressure to convert land if rent differentials are sustained over 100 years.
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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 
    Details
    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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    Got Organic Milk? Consumer Valuations of Milk Labels after the Implementation of the USDA Organic Seal (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art4 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: This paper investigates consumer reactions to changes in information provision regarding organic production. Quantitative analyses focus on the actual implementation of mandatory labeling guidelines under the National Organic Program. The unique nature of the fluid milk market in combination with these regulatory changes allows us to place a value on information sets under different labeling regimes. Hedonic price functions provide an initial reference point for analyses of individual responses. A random utility discrete choice model serves as the primary econometric specification and allows consideration of consumer preference heterogeneity along observable household demographics. Our results indicate that the USDA organic seal increases the probability of purchasing organic milk. An initial hedonic price function approach, as well as simulations within the discrete choice framework, suggests that consumers value the change in labeling regulations with regard to organic production. Our results further suggest that consumers substitute away from milk carrying the rBGH-free label. This may indicate that consumers pay less attention to these labels in the time period investigated compared to results found in studies that use earlier time periods.
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    Generic and Brand Advertising in Markets with Product Differentiation (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 1, art6 
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    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: In this paper, we analyze how generic advertising affects brand advertising and firm profits in differentiated oligopoly markets. We show that in the Crespi (2007) model only the high quality firm will use brand advertising when differentiation is vertical. We also demonstrate that when differentiation is horizontal, the equilibrium is likely to be more symmetric in terms of firm profits, spending on brand advertising, and firm response to generic advertising. Finally, we point out that generic advertising will increase expenditures on brand advertising when firms play a supermodular game. The results confirm that there are many reasons why generic advertising may increase firm spending on brand advertising.
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    Fuel Ethanol Subsidies and Farm Price Support (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art4 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Ethanol subsidies are well established in U.S. policy and have high priority in corn growers' political agenda. This paper develops a vertical market model of ethanol, byproducts, and corn which is used to analyze whether corn growers would prefer the government's subsidy dollar to be spent directly on corn subsidies (though deficiency payments) rather than on a subsidy on ethanol made from corn. Because the subsidy dollar has to be shared with ethanol manufacturers under the ethanol subsidy, it is to be expected, and the model confirms, that a dollar spent on a direct corn subsidy increases corn growers' producer surplus more than an a dollar spent on an ethanol subsidy under many plausible values of the relevant parameters. But there are equally plausible parameter values under which the ethanol subsidy is preferred by corn growers. The economics of this result turn mainly on the price discrimination an ethanol subsidy creates between ethanol and corn used for feed and export purposes, reducing the buyers' price of ethanol and byproducts but increasing the price of corn fed and exported. This enables producers of corn and ethanol to increase their joint producer surpluses above the total value of subsidies paid. The paper also analyzes the social cost (deadweight loss) of these subsidies, and finds the ethanol subsidy to generate deadweight losses likely to be in the billions of dollars annually.
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    European Union Policy on Bioenergy and the Role of Sustainability Criteria and Certification Systems (2007)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 5.2007, 2, art7 
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    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: The EU has set ambitious targets to raise the share of renewable energies, particularly biofuels. With an increasingly controversial public debate and more scientific evidence about the downsites of biofuels, recently the European Unions biofuel targets have been bound to the condition that they have to be produced sustainable. Therefore the European Commission is currently developing sustainability criteria for biofuels. Establishing certification schemes is a possible strategy to ensure that bioenergy crops are produced in a sustainable manner. However, many questions with regard to the design and implementation of sustainability criteria and certification schemes remain unsolved. This article discusses the role that bioenergy plays in the European policy context and the approach the EU is currently following in order to ensure the sustainability of biofuels. It addresses the limits of the chosen approach, concluding that certification schemes can not serve as the only safeguard for sustainable bioenergy, but need to be complemented by other tools and policies.
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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 
    Details
    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 
    Details
    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 
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    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 
    Details
    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 
    Details
    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 
    Details
    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 
    Details
    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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    Strategic Labeling and Trade of GMOs (2006)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 4.2006, 1, art1 
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    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: The emergence of agricultural biotechnology and the subsequent introduction of genetically modified organisms (GMOs) into the food system have been among the most controversial issues surrounding the increasingly scrutinized agri-food system. They have received considerable attention in the economics literature with the main focus being on the optimal regulatory response to products of biotechnology. This paper builds on the literature on the regulation of products of biotechnology by placing the analysis of labeling decisions in a multi-country context. Specifically, the objective of this study is to examine the effect of the strategic interdependence between countries on their regulatory responses to products of biotechnology. The paper analyzes the strategic effects of national regulatory decisions on labeling of GM products and identifies the determinants of the non-cooperative Nash equilibrium labeling regimes in a small number of producing countries that supply the world market of an agricultural product. Analytical results show that the Nash equilibrium configuration of labeling regimes in countries that have adopted the GM technology depends on (i) the distribution of consumer preferences and the level of consumer aversion to GM products; (ii) the size of the segregation and labeling costs in these countries; (iii) the relative productive efficiency and the cost effectiveness of the GM technology; (iv) the market power of the life science companies; and (v) the strength of intellectual property rights in these countries.
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    Less Choice is Better, Sometimes (2006)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 4.2006, 1, art3 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Psychological experiments have revealed that more choice does not always make one better off. For example, consumers are sometimes more likely to purchase a product from a small variety than a large variety. Some have suggested that this excessive-choice effect may have implications for how well markets serve society. This paper constructs an economic model where the excessive-choice effect results from search costs. The model shows that it is possible for markets to produce too much variety, but there are also incentives inducing markets to provide an optimal variety. Advertising, retailer market power, and slotting fees are not just signs of imperfect competition, but mechanisms of ensuring consumers are presented with an ideal choice set.
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    Choices of Marketing Outlets by Organic Producers: Accounting for Selectivity Effects (2006)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 4.2006, 1, art4 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Organic farmers have traditionally relied on a variety of marketing channels, suggesting that earned organic income will depend on the farmer's experience in producing and selling organic products and their comparative advantage in bargaining and marketing skills. A discrete choice model of the choice of marketing channels is developed which accounts for the role of selectivity bias. Farmers who are most likely to sell through a diversified set of outlets or to use a single outlet have increased earnings relative to farmers who overlook these marketing options. Producers with less experience gravitate toward use of a single marketing outlet while more experienced producers tend to diversify and market through all three channels. Constraints in selling organic products tends tend to have a negative effect on farm income.
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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 
    Details
    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 
    Details
    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 
    Details
    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 
    Details
    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 
    Details
    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 
    Details
    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 
    Details
    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 
    Details
    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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    Ensuring a Safe Food Supply: The Importance of Heterogeneity (2006)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 4.2006, 1, art2 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: In this paper we develop a model of food safety regulation that considers the employment of a differentiated food market with two types of government certified quality standards: a minimum standard and a higher one. Individuals, heterogeneous in their susceptibility to food-related health risks, choose which safety-grade of food to consume based on price and their vulnerability. The model is then extended to the case where consumers misperceive their susceptibility to health risks associated with food consumption. The theoretical presentation is followed by an application of the model to examine campylobacteriosis and salmonellosis caused by consumption of beef, pork, and chicken. The paper demonstrates that the benefits from multiple quality standards hinges fundamentally on the distribution of vulnerabilities across the population and the associated distribution of population health risks for a given level of food quality. Uniform standards are generally preferred to differentiated ones under either stringent or lax regulations on population health risk. If the population distribution of vulnerabilities is unimodal and consumers misperceive their vulnerability, the value of a differentiated policy will depend on which quality standard is attracting the majority of consumers. The empirical results confirm the importance of the population distribution of vulnerability on the relative desirability of single versus multiple quality standards.
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    Imperfect Competition and Strategic Trade Theory: Evidence for International Food and Agricultural Markets (2006)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 4.2006, 1, art6 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: Strategic trade theory offers a way of conceptualizing and testing for strategic government interventions in imperfectly competitive international markets. This survey critically assesses recent empirical evidence, with a focus on food and agricultural markets. One finding is that while many international markets are characterized by oligopoly, price-cost markups tend to be small, and the potential gains from intervention are modest at best. In turn, empirical work has turned up few examples in which government intervention has been optimal in a strategic trade sense. Nonetheless, governments are found to frequently intervene on behalf of domestic firms and play a major role in shaping the nature of international competition. Suggestions for future research are made.
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    Market Segmentation Analysis of Preferences for GM Derived Animal Foods in the UK (2006)
    Lincoln, Neb. : Berkeley Electronic Press (now: De Gruyter)
    Journal of agricultural & food industrial organization 4.2006, 1, art8 
    Details
    ISSN: 1542-0485
    Source: Berkeley Electronic Press Academic Journals
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Notes: This paper undertakes a detailed market segmentation analysis of the demand for GM derived animal foods in the UK with the aim of illustrating how this analysis can provide distinct information that can assists in evaluating the welfare impacts of proposed changes to the EU's GM labelling policy. The specific modelling approach employed was the latent segment (LS) model which allows for the simultaneous determination and explanation of both segment membership and product choice. Based on psychometric and demographic variables as well as choice data, the LS model was able to identify three distinct and behaviourally consistent consumer segments. Further, the LS model was found to outperform alternative econometric approaches for accounting for preference heterogeneity. Finally, our analysis shows how it can yield distinct information over the segmented nature of the food market that can uniquely assist both European policy makers in designing GM labelling regimes and public awareness campaigns as well as the agricultural and food industry in developing pricing, marketing and new product development strategies.
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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 
    Details
    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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    URL: http://www.bepress.com/ijb/vol2/iss1/1
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