Zero-non-zero patterned vector error correction modeling for I(2) cointegrated time series with applications in testing PPP and stock market relationships

Vector error-correction models (VECMs) have become increasingly important in their application to financial markets. Standard full-order VECM models assume non-zero entries in all their coefficient matrices. However, applications of VECM models to financial market data have revealed that zero entries are often a necessary part of efficient modelling. In such cases, the use of full-order VECM models may lead to incorrect inferences. Specifically, if indirect causality or Granger non-causality exists among the variables, the use of over-parameterised full-order VECM models may weaken the power of statistical inference. In this paper, it is argued that the zero–non-zero (ZNZ) patterned VECM is a more straightforward and effective means of testing for both indirect causality and Granger non-causality. For a ZNZ patterned VECM framework for time series of integrated order two, we provide a new algorithm to select cointegrating and loading vectors that can contain zero entries. Two case studies are used to demonstrate the usefulness of the algorithm in tests of purchasing power parity and a three-variable system involving the stock market.

Effect of pravastatin on cardiovascular events in people with chronic kidney disease

Background - Limited data describe the cardiovascular benefit of HMG-CoA reductase inhibitors (statins) in people with moderate chronic kidney disease (CKD). The objective of this analysis was to determine whether pravastatin reduced the incidence of cardiovascular events in people with or at high risk for coronary disease and with concomitant moderate CKD. Methods and Results - We analyzed data from the Pravastatin Pooling Project (PPP), a subject-level database combining results from 3 randomized trials of pravastatin ( 40 mg daily) versus placebo. Of 19 700 subjects, 4491 ( 22.8%) had moderate CKD, defined by an estimated glomerular filtration rate of 30 to 59.99 mL/min per 1.73 m(2) body surface area. The primary outcome was time to myocardial infarction, coronary death, or percutaneous/surgical coronary revascularization. Moderate CKD was independently associated with an increased risk of the primary outcome ( adjusted HR 1.26, 95% CI 1.07 to 1.49) compared with those with normal renal function. Among the 4491 subjects with moderate CKD, pravastatin significantly reduced the incidence of the primary outcome ( HR 0.77, 95% CI 0.68 to 0.86), similar to the effect of pravastatin on the primary outcome in subjects with normal kidney function ( HR 0.78, 95% CI 0.65 to 0.94). Pravastatin also appeared to reduce the total mortality rate in those with moderate CKD ( adjusted HR 0.86, 95% CI 0.74 to 1.00, P = 0.045). Conclusions - Pravastatin reduces cardiovascular event rates in people with or at risk for coronary disease and concomitant moderate CKD, many of whom have serum creatinine levels within the normal range. Given the high risk associated with CKD, the absolute benefit that resulted from use of pravastatin was greater than in those with normal renal function.

The effect of exercise on large artery haemodynamics in healthy young men

Background Brachial blood pressure predicts cardiovascular outcome at rest and during exercise. However, because of pulse pressure amplification, there is a marked difference between brachial pressure and central (aortic) pressure. Although central pressure is likely to have greater clinical importance, very little data exist regarding the central haemodynamic response to exercise. The aim of the present study was to determine the central and peripheral haemodynamic response to incremental aerobic exercise. Materials and methods Twelve healthy men aged 31 +/- 1 years (mean +/- SEM) exercised at 50%, 60%, 70% and 80% of their maximal heart rate (HRmax) on a bicycle ergometer. Central blood pressure and estimated aortic pulse wave velocity, assessed by timing of the reflected wave (T-R), were obtained noninvasively using pulse wave analysis. Pulse pressure amplification was defined as the ratio of peripheral to central pulse pressure and, to assess the influence of wave reflection on amplification, the ratio of peripheral pulse pressure to nonaugmented central pulse pressure (PPP : CDBP-P-1) was also calculated. Results During exercise, there was a significant, intensity-related, increase in mean arterial pressure and heart rate (P < 0.001). There was also a significant increase in pulse pressure amplification and in PPP : CDBP-P-1 (P < 0.001), but both were independent of exercise intensity. Estimated aortic pulse wave velocity increased during exercise (P < 0.001), indicating increased aortic stiffness. There was also a positive association between aortic pulse wave velocity and mean arterial pressure (r = 0.54; P < 0.001). Conclusions Exercise significantly increases pulse pressure amplification and estimated aortic stiffness.

Constructing internationally comparable real income aggregates by combining sparse benchmark data with annual national accounts data: A state-space approach

The importance of availability of comparable real income aggregates and their components to applied economic research is highlighted by the popularity of the Penn World Tables. Any methodology designed to achieve such a task requires the combination of data from several sources. The first is purchasing power parities (PPP) data available from the International Comparisons Project roughly every five years since the 1970s. The second is national level data on a range of variables that explain the behaviour of the ratio of PPP to market exchange rates. The final source of data is the national accounts publications of different countries which include estimates of gross domestic product and various price deflators. In this paper we present a method to construct a consistent panel of comparable real incomes by specifying the problem in state-space form. We present our completed work as well as briefly indicate our work in progress.