Common Features in Vector Nonlinear Time Series Models

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified. The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

A web application for follow-up of results from a mobile device test battery for parkinson’s disease patients

Background: A test battery consisting of self-assessments and motor tests (tapping and spiral drawing) was developed for a hand computer with touch screen in a telemedicine setting. Objectives: To develop and evaluate a web-based system that delivers decision support information to the treating clinical staff for assessing PD symptoms in their patients based on the test battery data. Methods: The test battery is currently being used in a clinical trial (DAPHNE, EudraCT No. 2005-002654-21) by sixty five patients with advanced Parkinson’s disease (PD) on 9991 test occasions (four tests per day during in all 362 week-long test periods) at nine clinics around Sweden. Test results are sent continuously from the hand unit over a mobile net to a central computer and processed with statistical methods. They are summarized into scores for different dimensions of the symptom state and an ‘overall test score’ reflecting the overall condition of the patient during a test period. The information in the web application is organized and presented graphically in a way that the general overview of the patient performance per test period is emphasized. Focus is on the overall test score, symptom dimensions and daily summaries. In a recent preliminary user evaluation, the web application was demonstrated to the fifteen study nurses who had used the test battery in the clinical trial. At least one patient per clinic was shown. Results: In general, the responses from nurses were positive. They claimed that the test results shown in the system were consistent with their own clinical observations. They could follow complications, changes and trends within their patients. Discussion: In conclusion, the system is able to summarise the various time series of motor test results and self-assessments during test periods and present them in a useful manner. Its main contribution is a novel and reliable way to capture and easily access symptom information from patients’ home environment. The convenient access to current symptom profile as well as symptom history provides a basis for individualized evaluation and adjustment of treatments.

A finite sample improvement of the fixed effects estimator : applied to technical infficiency

The FE ('fixed effects') estimator of technical inefficiency performs poorly when N ('number of firms') is large and T ('number of time observations') is small. We propose estimators of both the firm effects and the inefficiencies, which have small sample gains compared to the traditional FE estimator. The estimators are based on nonparametric kernel regression of unordered variables, which includes the FE estimator as a special case. In terms of global conditional MSE ('mean square error') criterions, it is proved that there are kernel estimators which are efficient to the FE estimators of firm effects and inefficiencies, in finite samples. Monte Carlo simulations supports our theoretical findings and in an empirical example it is shown how the traditional FE estimator and the proposed kernel FE estimator lead to very different conclusions about inefficiency of Indonesian rice farmers.

Estimated lifetimes of road pavements in Sweden using time-to-event analysis

Maintenance planning of road pavement requires reliable estimates of roads’ lifetimes. In determining the lifetime of a road, this study combines maintenance activities and road condition measurements. The scope of the paper is to estimate lifetimes of road pavements in Sweden with time to event analysis. The model used includes effects of pavement type, road type, bearing capacity, road width, speed limit, stone size and climate zone, where the model is stratified according to traffic load. Among the nine analyzed pavement types, stone mastic had the longest expected lifetime, 32 percent longer than asphalt concrete. Among road types, ordinary roads with cable barriers had 30 percent shorter lifetime than ordinary roads. Increased speed lowered the lifetime, while increased stone size (up to 20 mm) and increased road width lengthened the lifetime. The results are of importance for life cycle cost analysis and road management.