Regulatory change, structural breaks, and transmission effects in HSIF and HSI volatility

A systematic BEKK-GARCH model with multiple switch points in the variance equations captures the structural changes that have taken place in the Hong Kong markets. Abolishment of the uptick rule in the Hong Kong stock market, increase of initial margins, and electronic trading of Hang Seng Index Futures are found to have significant impacts. These changes affect the volatility structure of the HSI and HSIF and hence their lead-lag relationship. The multivariate GARCH model with three specific switching points is found to be superior to any other combination of up to six separate switch points.

Energy consumption and real GDP in G7 countries : new evidence from panel cointegration with structural breaks

This paper examines the relationship between capital formation, energy consumption and real GDP in a panel of G7 countries using panel unit root, panel cointegration, Granger causality and long-run structural estimation. We find that capital formation, energy consumption and real GDP are cointegrated and that capital formation and energy consumption Granger cause real GDP positively in the long run. We find that a 1% increase in energy consumption increases real GDP by 0.12–0.39%, while a 1% increase in capital formation increases real GDP by 0.1–0.28%.

Breaks in sedentary time

OBJECTIVE--Total sedentary (absence of whole-body movement) time is associated with obesity, abnormal glucose metabolism, and the metabolic syndrome. In addition to the effects of total sedentary time, the manner in which it is accumulated may also be important. We examined the association of breaks in objectively measured sedentary time with biological markers of metabolic risk.

RESEARCH DESIGN AND METHODS--Participants (n = 168, mean age 53.4 years) for this cross-sectional study were recruited from the 2004-2005 Australian Diabetes, Obesity and Lifestyle study. Sedentary time was measured by an accelerometer (counts/[minute^-1] < 100) worn during waking hours for seven consecutive days. Each interruption in sedentary time (counts/min [greater than or equal to] 100) was considered a break. Fasting plasma glucose, 2-h plasma glucose, serum triglycerides, HDL cholesterol, weight, height, waist circumference, and resting blood pressure were measured. MatLab was used to derive the breaks variable; SPSS was used for the statistical analysis.

RESULTS--Independent of total sedentary time and moderate-to-vigorous intensity activity time, increased breaks in sedentary time were beneficially associated with waist circumference (standardized ß = -0.16, 95% CI -0.31 to -0.02, P = 0.026), BMI (ß = -0.19, -0.35 to -0.02, P = 0.026), triglycerides (ß = -0.18, -0.34 to -0.02, P = 0.029), and 2-h plasma glucose (ß = -0.18, -0.34 to -0.02, P = 0.025).

CONCLUSIONS--This study provides evidence of the importance of avoiding prolonged uninterrupted periods of sedentary (primarily sitting) time. These findings suggest new public health recommendations regarding breaking up sedentary time that are complementary to those for physical activity.

Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets

This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk.

The purchasing power parity revisited : new evidence for 16 OECD countries from panel unit root tests with structural breaks

In this paper, we apply a range of univariate unit root tests including the Lagrangian multiplier (LM) univariate and panel unit root tests to examine PPP for 16 OECD countries. In addition to incorporating structural breaks in the univariate exchange rate series, we also incorporate structural breaks in the panel exchange rate models. Our main finding from univariate tests, with and without structural breaks and panel LM test with one break, is that real exchange rates are not stationary, inconsistent with PPP hypothesis. However, when we incorporate two structural breaks in the univariate LM test, for most countries we find that real exchange rates are stationary. Moreover, we obtain overwhelming support for PPP when we apply panel LM unit root tests with two structural breaks.

Examining structural breaks and growth rates in international health expenditures

Over the last decade, there has been a growing interest in examining health expenditures. In this paper, we study the behaviour of health expenditures in the G3 countries (USA, the UK, and Japan) and three European countries (the UK, Switzerland and Spain) over the period 1960–2000 from a different perspective, in that we examine: (1) whether there is a common structural break in health expenditures across the G3 and European countries; (2) whether structural breaks have slowed down health expenditure growth rates in these countries or vice versa. Our main findings are that: (1) health expenditures share a common break in both bivariate and trivariate cases, and structural breaks and break intervals suggest that either one or a combination of events (second oil price shock, the 1987 stock market crash and/or recessions) have contributed to the commonality of break in health expenditures in the G3, while the oil price shocks have been instrumental in the commonality of breaks for the European countries; (2) except for the UK, structural breaks have slowed down growth rates in health expenditures for the USA, Japan, Switzerland and Spain.

Evidence on PPP from a cointegration test with multiple structural breaks

Despite a plethora of studies on purchasing power parity (PPP), those that take a cointegration approach have found mixed evidence on PPP. The goal of this article is to obviate existing tensions in the PPP literature by using a simple test for cointegration between nominal exchange rate and relative prices that accounts for multiple structural breaks. We find that for 14 out of 15 OECD countries, there is evidence of a cointegration relationship between nominal exchange rate and relative prices at the 5% level. Only for Japan, we find evidence for cointegration at the 2.5% level. These results suggest overwhelming evidence of support for PPP for the OECD countries.

Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks

In this article, we examine whether or not the inflation rate for 17 OECD countries can be modelled as a stationary process. We find that (1) conventional univariate unit root tests without any structural breaks generally reveal that the inflation rate contains a unit root; (2) the KPSS univariate test with multiple structural breaks reveals that for 10 out of 17 countries inflation is stationary; and (3) the KPSS panel unit root test reveals strong evidence for stationarity of the inflation rate for panels consisting of countries which were declared nonstationary by univariate tests.

Structural breaks and unit roots in Australian macroeconomic time series

We examine the unit root properties of 16 Australian macroeconomic time series using monthly data spanning the period 1960–2004. In addition to the standard Augmented Dickey Fuller (ADF) test, we implement one- and two-break endogenous structural break ADF-type unit root tests as well as one- and two-break Lagrange multiplier (LM) unit root tests. While the ADF test provides relatively little evidence against the unit root null hypothesis, once we allow for structural breaks we are able to reject the unit root null for just under half of the variables at the 10% level or better.

Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks

The goal of this article is to examine evidence for purchasing power parity (PPP) for a panel of Asian countries, namely Malaysia, Thailand, India, Pakistan, Sri Lanka and the Philippines. Our main contribution is that for the first time in this literature we use a panel cointegration test, developed by Westerlund (2006), which allows us to incorporate multiple structural breaks. We find that using Gregory and Hansen's (1996) residual-based test for cointegration and Pedroni's (1999) panel cointegration test without structural breaks provide weak evidence of cointegration between nominal exchange rates vis-à-vis the US dollar and relative prices. However, when we use the Lagrange multiplier panel structural break cointegration test we find strong evidence of panel cointegration, providing evidence for PPP.

A new unit root test with two structural breaks in level and slope at unknown time

In this paper, we propose a new augmented Dickey–Fuller-type test for unit roots which accounts for
two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The breaks whose time of occurrence is assumed to be unknown are modeled as innovational outliers and thus take effect gradually. Using Monte Carlo simulations, we showthat our proposed test has correct size, stable power, and identifies the structural breaks accurately.

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A cool electro loop featuring bass and beats.

Testing for unit roots in panel time-series models with multiple level breaks

This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks in the level of the data. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple procedure based on outlier detection is proposed. The limiting distributions of the tests are derived and evaluated in small samples using simulation experiments. The implementation of the tests is illustrated using as an example purchasing power parity.