Panel Cointegration of Chinese A and B Shares

This paper uses panel unit root and cointegration methods to test the stationarity of the premium on domestic investors’ A shares over foreign investors’ B shares and cointegration between the A and B share prices on the Chinese stock exchanges. We find that the A share price premium is nonstationary until 2001, when the A and B share markets were partially merged, and that the A and B share prices are cointegrated in the panel.Cointegration is more likely to be found for firms in the service sector and for firms that issued B shares recently.

Bootstrapping the Error Correction Model Cointegration Test

This paper is concerned with using the bootstrap to obtain improved critical values for the error correction model (ECM) cointegration test in dynamic models. In the paper we investigate the effects of dynamic specification on the size and power of the ECM cointegration test with bootstrap critical values. The results from a Monte Carlo study show that the size of the bootstrap ECM cointegration test is close to the nominal significance level. We find that overspecification of the lag length results in a loss of power. Underspecification of the lag length results in size distortion. The performance of the bootstrap ECM cointegration test deteriorates if the correct lag length is not used in the ECM. The bootstrap ECM cointegration test is therefore not robust to model misspecification.

Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Tests for Cointegration Rank and the Initial Condition

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank. We compare the local power of the widely used likelihood ratio (LR) test with the local power of a test based on the eigenvalues of the companion matrix. We find that the power of the LR test is increasing in the magnitude of the initial condition, whereas the power of the other test is decreasing. The behaviour of the tests is investigated in an application to price convergence.

Cognitive deficits and the Paced Auditory Serial Addition Test performance among patients with multiple sclerosis

Multiple sclerosis (MS) is a chronic, inflammatory disease of the central nervous system, characterized especially by myelin and axon damage. Cognitive impairment in MS is common but difficult to detect without a neuropsychological examination. Valid and reliable methods are needed in clinical practice and research to detect deficits, follow their natural evolution, and verify treatment effects. The Paced Auditory Serial Addition Test (PASAT) is a measure of sustained and divided attention, working memory, and information processing speed, and it is widely used in MS patients neuropsychological evaluation. Additionally, the PASAT is the sole cognitive measure in an assessment tool primarly designed for MS clinical trials, the Multiple Sclerosis Functional Composite (MSFC). The aims of the present study were to determine a) the frequency, characteristics, and evolution of cognitive impairment among relapsing-remitting MS patients, and b) the validity and reliability of the PASAT in measuring cognitive performance in MS patients. The subjects were 45 relapsing-remitting MS patients from Seinäjoki Central Hospital, Department of Neurology and 48 healthy controls. Both groups underwent comprehensive neuropsychological assessments, including the PASAT, twice in a one-year follow-up, and additionally a sample of 10 patients and controls were evaluated with the PASAT in serial assessments five times in one month. The frequency of cognitive dysfunction among relapsing-remitting MS patients in the present study was 42%. Impairments were characterized especially by slowed information processing speed and memory deficits. During the one-year follow-up, the cognitive performance was relatively stable among MS patients on a group level. However, the practice effects in cognitive tests were less pronounced among MS patients than healthy controls. At an individual level the spectrum of MS patients cognitive deficits was wide in regards to their characteristics, severity, and evolution. The PASAT was moderately accurate in detecting MS-associated cognitive impairment, and 69% of patients were correctly classified as cognitively impaired or unimpaired when comprehensive neuropsychological assessment was used as a "gold standard". Self-reported nervousness and poor arithmetical skills seemed to explain misclassifications. MS-related fatigue was objectively demonstrated as fading performance towards the end of the test. Despite the observed practice effect, the reliability of the PASAT was excellent, and it was sensitive to the cognitive decline taking place during the follow-up in a subgroup of patients. The PASAT can be recommended for use in the neuropsychological assessment of MS patients. The test is fairly sensitive, but less specific; consequently, the reasons for low scores have to be carefully identified before interpreting them as clinically significant.

The scientific basis and development of a matrix metalloproteinase (MMP) -8 specific chair-side test for monitoring of periodontal health and disease from gingival crevicular fluid

Matrix metalloproteinase (MMP) -8, collagenase-2, is a key mediator of irreversible tissue destruction in chronic periodontitis and detectable in gingival crevicular fluid (GCF). MMP-8 mostly originates from neutrophil leukocytes, the first line of defence cells which exist abundantly in GCF, especially in inflammation. MMP-8 is capable of degrading almost all extra-cellular matrix and basement membrane components and is especially efficient against type I collagen. Thus the expression of MMP-8 in GCF could be valuable in monitoring the activity of periodontitis and possibly offers a diagnostic means to predict progression of periodontitis. In this study the value of MMP-8 detection from GCF in monitoring of periodontal health and disease was evaluated with special reference to its ability to differentiate periodontal health and different disease states of the periodontium and to recognise the progression of periodontitis, i.e. active sites. For chair-side detection of MMP-8 from the GCF or peri-implant sulcus fluid (PISF) samples, a dip-stick test based on immunochromatography involving two monoclonal antibodies was developed. The immunoassay for the detection of MMP-8 from GCF was found to be more suitable for monitoring of periodontitis than detection of GCF elastase concentration or activity. Periodontally healthy subjects and individuals suffering of gingivitis or of periodontitis could be differentiated by means of GCF MMP-8 levels and dipstick testing when the positive threshold value of the MMP-8 chair-side test was set at 1000 µg/l. MMP-8 dipstick test results from periodontally healthy and from subjects with gingivitis were mainly negative while periodontitis patients sites with deep pockets ( 5 mm) and which were bleeding on probing were most often test positive. Periodontitis patients GCF MMP-8 levels decreased with hygiene phase periodontal treatment (scaling and root planing, SRP) and even reduced during the three month maintenance phase. A decrease in GCF MMP-8 levels could be monitored with the MMP-8 test. Agreement between the test stick and the quantitative assay was very good (κ = 0.81) and the test provided a baseline sensitivity of 0.83 and specificity of 0.96. During the 12-month longitudinal maintenance phase, periodontitis patients progressing sites (sites with an increase in attachment loss ≥ 2 mm during the maintenance phase) had elevated GCF MMP-8 levels compared with stable sites. General mean MMP-8 concentrations in smokers (S) sites were lower than in non-smokers (NS) sites but in progressing S and NS sites concentrations were at an equal level. Sites with exceptionally and repeatedly elevated MMP-8 concentrations during the maintenance phase were clustered in smoking patients with poor response to SRP (refractory patients). These sites especially were identified by the MMP-8 test. Subgingival plaque samples from periodontitis patients deep periodontal pockets were examined by polymerase chain reaction (PCR) to find out if periodontal lesions may serve as a niche for Chlamydia pneumoniae. Findings were compared with the clinical periodontal parameters and GCF MMP-8 levels to determine the correlation with periodontal status. Traces of C. pneumoniae were identified from one periodontitis patient s pooled subgingival plaque sample by means of PCR. After periodontal treatment (SRP) the sample was negative for C. pneumoniae. Clinical parameters or biomarkers (MMP-8) of the patient with the positive C. pneumoniae finding did not differ from other study patients. In this study it was concluded that MMP-8 concentrations in GCF of sites from periodontally healthy individuals, subjects with gingivitis or with periodontitis are at different levels. The cut-off value of the developed MMP-8 test is at an optimal level to differentiate between these conditions and can possibly be utilised in identification of individuals at the risk of the transition of gingivitis to periodontitis. In periodontitis patients, repeatedly elevated GCF MMP-8 concentrations may indicate sites at risk of progression of periodontitis as well as patients with poor response to conventional periodontal treatment (SRP). This can be monitored by MMP-8 testing. Despite the lower mean GCF MMP-8 concentrations in smokers, a fraction of smokers sites expressed very high MMP-8 concentrations together with enhanced periodontal activity and could be identified with MMP-8 specific chair-side test. Deep periodontal lesions may be niches for non-periodontopathogenic micro-organisms with systemic effects like C. pneumoniae and possibly play a role in the transmission from one subject to another.

Evaluation of Vestibular Function with Visual Feedback Posturography and Motorized Head Impulse Test.

Objectives: To evaluate the applicability of visual feedback posturography (VFP) for quantification of postural control, and to characterize the horizontal angular vestibulo-ocular reflex (AVOR) by use of a novel motorized head impulse test (MHIT). Methods: In VFP, subjects standing on a platform were instructed to move their center of gravity to symmetrically placed peripheral targets as fast and accurately as possible. The active postural control movements were measured in healthy subjects (n = 23), and in patients with vestibular schwannoma (VS) before surgery (n = 49), one month (n = 17), and three months (n = 36) after surgery. In MHIT we recorded head and eye position during motorized head impulses (mean velocity of 170º/s and acceleration of 1 550º/s²) in healthy subjects (n = 22), in patients with VS before surgery (n = 38) and about four months afterwards (n = 27). The gain, asymmetry and latency in MHIT were calculated. Results: The intraclass correlation coefficient for VFP parameters during repeated tests was significant (r = 0.78-0.96; p < 0.01), although two of four VFP parameters improved slightly during five test sessions in controls. At least one VFP parameter was abnormal pre- and postoperatively in almost half the patients, and these abnormal preoperative VFP results correlated significantly with abnormal postoperative results. The mean accuracy in postural control in patients was reduced pre- and postoperatively. A significant side difference with VFP was evident in 10% of patients. In the MHIT, the normal gain was close to unity, the asymmetry in gain was within 10%, and the latency was a mean ± standard deviation 3.4 ± 6.3 milliseconds. Ipsilateral gain or asymmetry in gain was preoperatively abnormal in 71% of patients, whereas it was abnormal in every patient after surgery. Preoperative gain (mean ± 95% confidence interval) was significantly lowered to 0.83 ± 0.08 on the ipsilateral side compared to 0.98 ± 0.06 on the contralateral side. The ipsilateral postoperative mean gain of 0.53 ± 0.05 was significantly different from preoperative gain. Conclusion: The VFP is a repeatable, quantitative method to assess active postural control within individual subjects. The mean postural control in patients with VS was disturbed before and after surgery, although not severely. Side difference in postural control in the VFP was rare. The horizontal AVOR results in healthy subjects and in patients with VS, measured with MHIT, were in agreement with published data achieved using other techniques with head impulse stimuli. The MHIT is a non-invasive method which allows reliable clinical assessment of the horizontal AVOR.

Doing marriage and parenthood: The division of household labour across two life course events

The current study is a longitudinal investigation into changes in the division of household labour across transitions to marriage and parenthood in the UK. Previous research has noted a more traditional division of household labour, with women performing the majority of housework, amongst spouses and couples with children. However, the bulk of this work has been cross-sectional in nature. The few longitudinal studies that have been carried out have been rather ambiguous about the effect of marriage and parenthood on the division of housework. Theoretically, this study draws on gender construction theory. The key premise of this theory is that gender is something that is performed and created in interaction, and, as a result, something fluid and flexible rather than fixed and stable. The idea that couples ‘do gender’ through housework has been a major theoretical breakthrough. Gender-neutral explanations of the division of household labour, positing rational acting individuals, have failed to explicate why women continue to perform an unequal share of housework, regardless of socio-economic status. Contrastingly, gender construction theory situates gender as the key process in dividing household labour. By performing and avoiding certain housework chores, couples fulfill social norms of what it means to be a man and a woman although, given the emphasis on human agency in producing and contesting gender, couples are able to negotiate alternative gender roles which, in turn, feed back into the structure of social norms in an ever-changing societal landscape. This study adds extra depth to the doing gender approach by testing whether or not couples negotiate specific conjugal and parent roles in terms of the division of household labour. Both transitions hypothesise a more traditional division of household labour. Data comes from the British Household Panel Survey, a large, nationally representative quantitative survey that has been carried out annually since 1991. Here, data tracks the same 776 couples at two separate time points – 1996 and 2005. OLS regression is used to test whether or not transitions to marriage and parenthood have a significant impact on the division of household labour whilst controlling for host of relevant socio-economic factors. Results indicate that marriage has no significant effect on how couples partition housework. Those couples making the transition from cohabitation to marriage do not show significant changes in housework arrangements from those couples who remain cohabiting in both waves. On the other hand, becoming parents does lead to a more traditional division of household labour whilst controlling for socio-economic factors which accompany the move to parenthood. There is then some evidence that couples use the site of household labour to ‘do parenthood’ and generate identities which both use and inform socially prescribed notions of what it means to be a mother and a father. Support for socio-economic explanations of the division of household labour was mixed although it remains clear that they, alone, cannot explain how households divide housework.

A Cointegration Approach to Topics in Empirical Macroeconomics (summary section only)

Mikael Juselius’ doctoral dissertation covers a range of significant issues in modern macroeconomics by empirically testing a number of important theoretical hypotheses. The first essay presents indirect evidence within the framework of the cointegrated VAR model on the elasticity of substitution between capital and labor by using Finnish manufacturing data. Instead of estimating the elasticity of substitution by using the first order conditions, he develops a new approach that utilizes a CES production function in a model with a 3-stage decision process: investment in the long run, wage bargaining in the medium run and price and employment decisions in the short run. He estimates the elasticity of substitution to be below one. The second essay tests the restrictions implied by the core equations of the New Keynesian Model (NKM) in a vector autoregressive model (VAR) by using both Euro area and U.S. data. Both the new Keynesian Phillips curve and the aggregate demand curve are estimated and tested. The restrictions implied by the core equations of the NKM are rejected on both U.S. and Euro area data. These results are important for further research. The third essay is methodologically similar to essay 2, but it concentrates on Finnish macro data by adopting a theoretical framework of an open economy. Juselius’ results suggests that the open economy NKM framework is too stylized to provide an adequate explanation for Finnish inflation. The final essay provides a macroeconometric model of Finnish inflation and associated explanatory variables and it estimates the relative importance of different inflation theories. His main finding is that Finnish inflation is primarily determined by excess demand in the product market and by changes in the long-term interest rate. This study is part of the research agenda carried out by the Research Unit of Economic Structure and Growth (RUESG). The aim of RUESG it to conduct theoretical and empirical research with respect to important issues in industrial economics, real option theory, game theory, organization theory, theory of financial systems as well as to study problems in labor markets, macroeconomics, natural resources, taxation and time series econometrics. RUESG was established at the beginning of 1995 and is one of the National Centers of Excellence in research selected by the Academy of Finland. It is financed jointly by the Academy of Finland, the University of Helsinki, the Yrjö Jahnsson Foundation, Bank of Finland and the Nokia Group. This support is gratefully acknowledged.

Modelling and Forecasting Property Rents and Returns (summary section only)

Recently, focus of real estate investment has expanded from the building-specific level to the aggregate portfolio level. The portfolio perspective requires investment analysis for real estate which is comparable with that of other asset classes, such as stocks and bonds. Thus, despite its distinctive features, such as heterogeneity, high unit value, illiquidity and the use of valuations to measure performance, real estate should not be considered in isolation. This means that techniques which are widely used for other assets classes can also be applied to real estate. An important part of investment strategies which support decisions on multi-asset portfolios is identifying the fundamentals of movements in property rents and returns, and predicting them on the basis of these fundamentals. The main objective of this thesis is to find the key drivers and the best methods for modelling and forecasting property rents and returns in markets which have experienced structural changes. The Finnish property market, which is a small European market with structural changes and limited property data, is used as a case study. The findings in the thesis show that is it possible to use modern econometric tools for modelling and forecasting property markets. The thesis consists of an introduction part and four essays. Essays 1 and 3 model Helsinki office rents and returns, and assess the suitability of alternative techniques for forecasting these series. Simple time series techniques are able to account for structural changes in the way markets operate, and thus provide the best forecasting tool. Theory-based econometric models, in particular error correction models, which are constrained by long-run information, are better for explaining past movements in rents and returns than for predicting their future movements. Essay 2 proceeds by examining the key drivers of rent movements for several property types in a number of Finnish property markets. The essay shows that commercial rents in local markets can be modelled using national macroeconomic variables and a panel approach. Finally, Essay 4 investigates whether forecasting models can be improved by accounting for asymmetric responses of office returns to the business cycle. The essay finds that the forecast performance of time series models can be improved by introducing asymmetries, and the improvement is sufficient to justify the extra computational time and effort associated with the application of these techniques.