On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

An innovative method of increasing early detection for skin cancer in Australia

Objective: To evaluate a family practice intervention to encourage patients to request a skin examination during their consultation. Methods: Family physicians in Queensland, Australia, were randomized to intervention or control groups. In the intervention group, materials were provided by the office receptionist and supported by the family physician. Results: The rate of full-body skin examination was 99.3/ 1000 consultations in intervention-group practices compared to 22.4/ 1000 in control-group practices (p

Comparison of trends in method-specific suicide rates in Australia and England & Wales, 1968-97

Objective: To compare secular trends in method-specific suicide rates among young people in Australia and England & Wales between 1968 and 1997. Methods: Australian data were obtained from the Australian Bureau of Statistics, and for England & Wales from the Office for National Statistics. Overall and method-specific suicide rates for 15-34 year old males and females were calculated using ICD codes E950-9 and E980-9 except E988.8. Results: In both settings, suicide rates have almost doubled in young males over the past 30 years (from 16.8 to 32.9 per 100,000 in Australia and from 10.1 to 19.0 in England & Wales). Overall rates have changed little in young females. In both sexes and in both settings there have been substantial increases in suicide by hanging (5-7 fold increase in Australia and four-fold increase in England & Wales). There have also been smaller increases in gassing in the 1980s and '90s. In females, the impact of these increases on overall rates has been offset by a decline in drug overdose, the most common method in females. Conclusions: Rates of male suicide have increased substantially in both settings in recent years, and hanging has become an increasingly common method of suicide. The similarity in observed trends in both settings supports the view that such changes may have common causes. Research should focus on understanding why hanging has increased in popularity and what measures may be taken to diminish it.