On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Long-term clozapine treatment identifies significant improvements in clinical and functioning scales

The majority of clinical drug trials only cover a small number of variables over a short period of time on a small group of people. The objective of this study was to track a large group of people over a long period of time, using a diverse range of variables with a naturalistic design to assess the ‘real world’ use of clozapine. Fifty-three people with treatment-resistant schizophrenia were recruited into a 2-year study which assessed the subjects using the following scales: Positive and Negative Syndrome Scale (PANSS), Clinical Global Impression Scale (CGI), Life Skills Profile (LSP), and Role Functioning Scale (RFS). Discharge, leave, and ward movement rates were also monitored. All subjects were inpatients at a tertiary psychiatric facility. Thirty-three percent of the group was discharged. Seventythree percent moved to less cost-intensive wards, and the leave rate increased by 105”/0. Sixty-seven percent of the study group were identified as responders by the 24-month time point. Twenty-four percent of the group had their CGI scores reduced to 2 or better 0, =O.OOOl). Significant improvements were identified in the RFS (p = 0.02) and LSP (p = 0.0001). Long-term clozapine treatment has identified a significant group of responders on a variety of measures.

On modifications to the long-term survival mixture model in the presence of competing risks

A mixture model for long-term survivors has been adopted in various fields such as biostatistics and criminology where some individuals may never experience the type of failure under study. It is directly applicable in situations where the only information available from follow-up on individuals who will never experience this type of failure is in the form of censored observations. In this paper, we consider a modification to the model so that it still applies in the case where during the follow-up period it becomes known that an individual will never experience failure from the cause of interest. Unless a model allows for this additional information, a consistent survival analysis will not be obtained. A partial maximum likelihood (ML) approach is proposed that preserves the simplicity of the long-term survival mixture model and provides consistent estimators of the quantities of interest. Some simulation experiments are performed to assess the efficiency of the partial ML approach relative to the full ML approach for survival in the presence of competing risks.

Long-term survival of women with breast cancer in New South Wales

Several long-term studies of breast cancer survival have shown continued excess mortality from breast cancer up to 20-40 years following treatment. The purpose of this report was to investigate temporal trends in long-term survival from breast cancer in all New South Wales (NSW) women. Breast cancer cases incident in 1972-1996 (54,228) were derived from the NSW Central Cancer Registry a population-based registry which began in 1972. All cases of breast cancer not known to be dead were matched against death records. The expected survival for NSW women was derived from published annual life tables. Relative survival analysis compared the survival of cancer cases with the age, sex and period matched mortality of the total population. Cases were considered alive at the end of 1996, except when known to be dead. Proportional hazards regression was employed to model survival on age, period and degree of spread at diagnosis. Survival at 5, 10, 15, 20 and 25 years of follow-up was 76 per cent, 65 per cent, 60 per cent, 57 per cent and 56 per cent. The annual hazard rate for excess mortality was 4.3 per cent in year 1, maximal at 6.5 per cent in year 3, declining to 4.7 per cent in year 5, 2.7 per cent in year 10, 1.4 per cent in year 15, 1.0 per cent for years 16-20, and 0.4 per cent for years 20-25 of follow-up. Relative survival was highest in 40-49 year-olds. Cases diagnosed most recently (1992-1996) had the highest survival, compared with cases diagnosed in previous periods. Five-year survival improved over time, especially from the late 1980s for women in the screening age group (50-69 years). Survival was highest for those with localised cancer at diagnosis: 88.4 per cent, 79.1 per cent, 74.6 per cent, 72.7 per cent and 72.8 per cent at 5, 10, 15, 20 and 25 years follow-up (excluding those aged greater than or equal to 70 years). There was no significant difference between the survival of the breast cancer cases and the general population at 20-25 years follow-up. Degree of spread was less predictive of survival 5-20 years after diagnosis, compared with 0-5 years after diagnosis, and was not significant at 20-25 years of follow-up. Relative survival from breast cancer in NSW women continues to decrease to 25 years after diagnosis, but there is little excess mortality after 15 years follow-up, especially for those with localised cancer at diagnosis, and the minimal excess mortality at 20-25 years of follow-up is not statistically significant. (C) 2002 Elsevier Science Ltd. All rights reserved.

Short-term and long-term cardiovascular actions of different doses of perindopril in the rabbit

Short-term (one week) and chronic (six week) cardiovascular effects of orally administered perindopril were examined in the rabbit to demonstrate if short-term results can predict chronic outcomes. In short-term treatment, five doses of perindopril were examined in random order separated by a one week recovery period in each of six rabbits. Two doses of perindopril which resulted in a moderate hypotensive effect (-14 mmHg) and no hypotensive effect, respectively, were then selected for long-term treatment. Each rabbit in the short-term study received perindopril in doses of 0.01, 0.06, 0.32, 1.8 and 10 mg kg(-1) day(-1) for a week at a time. Rabbits on long-term treatment received either 0.3 or 0.01 mg kg(-1) day(-1) perindopril for six weeks. All rabbits had their mean arterial blood pressure (MAP) and heart rate recorded throughout treatment. Plasma angiotensin I (AngI), perindoprilat, angiotensin converting enzyme (ACE) inhibition were also assayed. Perindopril treatment for one week produced a dose-dependent hypotensive effect with the threshold dose, 0.06 mg kg(-1) day(-1), producing a 6.5+/-1.8 mmHg fall in MAP. The highest dose (10.0 mg kg(-1) day(-1)) produced a large fall in blood pressure of -29.6+/-4.2 mmHg. The 0.01 and 0.06 mg kg(-1) day(-1) doses of perindopril produced an average 2.65 fold increase in plasma AngI levels compared to the initial control. The three higher doses (0.32-10.0 mg kg(-1) day(-1)) of perindopril produced an equivalent 5.7 fold increase in plasma AngI levels compared to the initial controls. However, over six weeks 0.01 mg kg(-1) day(-1) perindopril induced a similar decrease in MAP as the 30 fold higher dose (-9.3 mmHg compared to -11.7 mmHg,). This was in spite of a 3 fold difference in plasma perindoprilat concentrations between the high and low dose perindopril groups. Plasma ACE inhibition was >80% with both doses of perindopril. The results indicate that while perindopril decreases MAP in a dose-dependent manner in short-term (one week) periods, over longer treatment times (six weeks) low concentrations of perindopril, non-hypotensive with shortterm treatment, may be as anti-hypertensive as considerably higher doses. (C) 1996 The Italian Pharmacological Society.

Can ECG changes predict the long-term outcome in patients admitted to hospital for suspected acute myocardial infarction?

7,028 patients with suspected acute myocardial infarction and discharged alive from hospital were followed in a 10-year community-based study. The long-term prognosis was relatively good if the electrocardiograms (ECGs) were normal (5-year all-cause death rate 5%), poor with uncodable ECGs showing rhythm or conduction disturbances (37%), and intermediate with new Q wave, new ST elevation, new T wave inversion or ischemic ECG (17-21%), and with new ST depression (27%). Similar patterns were found for ischemic cardiac death and reinfarction. The long-term prognosis of patients with suspected acute myocardial infarction is relatively good if the ECGs are normal and poor if ECGs are uncodable. ST depression may be a marker for a worse long-term outcome.

Long-Term Effects of Specific Stabilizing Exercises for First-Episode Low Back Pain

Study Design. A randomized clinical trial with 1-year and 3-year telephone questionnaire follow-ups. Objective. To report a specific exercise intervention’s long-term effects on recurrence rates in acute, first-episode low back pain patients. Summary of Background Data. The pain and disability associated with an initial episode of acute low back pain (LBP) is known to resolve spontaneously in the short-term in the majority of cases. However, the recurrence rate is high, and recurrent disabling episodes remain one of the most costly problems in LBP. A deficit in the multifidus muscle has been identified in acute LBP patients, and does not resolve spontaneously on resolution of painful symptoms and resumption of normal activity. Any relation between this deficit and recurrence rate was investigated in the long-term. Methods. Thirty-nine patients with acute, first-episode LBP were medically managed and randomly allocated to either a control group or specific exercise group. Medical management included advice and use of medications. Intervention consisted of exercises aimed at rehabilitating the multifidus in cocontraction with the transversus abdominis muscle. One year and three years after treatment, telephone questionnaires were conducted with patients. Results. Questionnaire results revealed that patients from the specific exercise group experienced fewer recurrences of LBP than patients from the control group. One year after treatment, specific exercise group recurrence was 30%, and control group recurrence was 84% (P , 0.001). Two to three years after treatment, specific exercise group recurrence was 35%, and control group recurrence was 75% (P , 0.01). Conclusion. Long-term results suggest that specific exercise therapy in addition to medical management and resumption of normal activity may be more effective in reducing low back pain recurrences than medical management and normal activity alone. [Key Words: multifidus, low back pain, rehabilitation]

Long-term in vivo biostability of poly(dimethylsiloxane) / poly(hexamethylene oxide) mixed macrodiol-based polyurethane elastomers

The long-term biostability of a novel thermoplastic polyurethane elastomer (Elast-Eon(TM) 2 80A) synthesized using poly(hexamethylene oxide) (PHMO) and poly(dimethylsiloxane) (PDMS) macrodiols has been studied using an in vivo ovine model. The material's biostability was compared with that of three commercially available control materials, Pellethane(R) 2363-80A, Pellethane(R) 2363-55D and Bionate(R) 55D, after subcutaneous implantation of strained compression moulded flat sheet dumbbells in sheep for periods ranging from 3 to 24 months. Scanning electron microscopy, attenuated total reflectance-Fourier transform infrared spectroscopy, and X-ray photoelectron spectroscopy were used to assess changes in the surface chemical structure and morphology of the materials. Gel permeation chromatography, differential scanning calorimetry and tensile testing were used to examine changes in bulk characteristics of the materials. The results showed that the biostability of the soft flexible PDMS-based test polyurethane was significantly better than the control material of similar softness, Pellethane(R) 80A, and as good as or better than both of the harder commercially available negative control polyurethanes. Pellethane(R) 55D and Bionate(R) 55D. Changes observed in the surface of the Pellethane(R) materials were consistent with oxidation of the aliphatic polyether soft segment and hydrolysis of the urethane bonds joining hard to soft segment with degradation in Pellethane(R) 80A significantly more severe than that observed in Pellethane(R) 55D. Very minor changes were seen on the surfaces of the Elast-Eon(TM) 2 80A and Bionate(R) 55D materials. There was a general trend of molecular weight decreasing with time across all polymers and the molecular weights of all materials decreased at a similar relative rate. The polydispersity ratio, M-w/M-n, increased with time for all materials. Tensile tests indicated that UTS increased in Elast-Eon(TM) 2 80A and Bionate(R) 55D following implantation under strained conditions. However, ultimate strain decreased and elastic modulus increased in the explanted specimens of all three materials when compared with their unimplanted unstrained counterparts. The results indicate that a soft, flexible PDMS-based polyurethane synthesized using 20% PHMO and 80% PDMS macrodiols has excellent long-term biostability compared with commercially available polyurethanes. (C) 2004 Elsevier Ltd. All rights reserved.

Long-term flow rates and biomat zone hydrology in soil columns receiving septic tank effluent

Soil absorption systems (SAS) are used commonly to treat and disperse septic tank effluent (STE). SAS can hydraulically fail as a result of the low permeable biomat zone that develops on the infiltrative surface. The objectives of this experiment were to compare the hydraulic properties of biomats grown in soils of different textures, to investigate the long-term acceptance rates (LTAR) from prolonged application of STE, and to assess if soils were of major importance in determining LTAR. The STE was applied to repacked sand, Oxisol and Vertisol soil columns over a period of 16 months, at equivalent hydraulic loading rates of 50, 35 and 8 L/m(2)/d, respectively Infiltration rates, soil matric potentials, and biomat hydraulic properties were measured either directly from the soil columns or calculated using established soil physics theory. Biomats 1 to 2 cm thick developed in all soils columns with hydraulic resistances of 27 to 39 d. These biomats reduced a 4 order of magnitude variation in saturated hydraulic conductivity (K.) between the soils to a one order of magnitude variation in LTAR. A relationship between biomat resistance and organic loading rate was observed in all soils. Saturated hydraulic conductivity influenced the rate and extent of biomat development. However, once the biomat was established, the LTAR was governed by the resistance of the biomat and the sub-biomat soil unsaturated flow regime induced by the biomat. Results show that whilst initial soil K. is likely to be important in the establishment of the biomat zone in a trench, LTAR is determined by the biomat resistance and the unsaturated soil hydraulic conductivity, not the K, of a soil. The results call into question the commonly used approach of basing the LTAR, and ultimately trench length in SAS, on the initial K, of soils. (c) 2006 Elsevier Ltd. All rights reserved.