Testing linear cointegration against smooth-transition cointegration

This paper studies a smooth-transition (ST) type cointegration. The proposed ST cointegration allows for regime switching structure in a cointegrated system. It nests the linear cointegration developed by Engle and Granger (1987) and the threshold cointegration studied by Balke and Fomby (1997). We develop F-type tests to examine linear cointegration against ST cointegration in ST-type cointegrating regression models with or without time trends. The null asymptotic distributions of the tests are derived with stationary transition variables in ST cointegrating regression models. And it is shown that our tests have nonstandard limiting distributions expressed in terms of standard Brownian motion when regressors are pure random walks, while have standard asymptotic distributions when regressors contain random walks with nonzero drift. Finite-sample distributions of those tests are studied by Monto Carlo simulations. The small-sample performance of the tests states that our F-type tests have a better power when the system contains ST cointegration than when the system is linearly cointegrated. An empirical example for the purchasing power parity (PPP) data (monthly US dollar, Italy lira and dollar-lira exchange rate from 1973:01 to 1989:10) is illustrated by applying the testing procedures in this paper. It is found that there is no linear cointegration in the system, but there exits the ST-type cointegration in the PPP data.

Residual-based test for Nonlinear Cointegration with application in PPPs

Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. What we mainly study is testing no nonlinear cointegration against nonlinear cointegration by residual-based test, which is ready for detecting stochastic trend in nonlinear autoregression models. We construct cointegrating regression along with smooth transition components from smooth transition autoregression model. Some properties are analyzed and discussed during the estimation procedure for cointegrating regression, including description of transition variable. Autoregression of order one is considered as the model of estimated residuals for residual-based test, from which the teststatistic is obtained. Critical values and asymptotic distribution of the test statistic that we request for different cointegrating regressions with different sample sizes are derived based on Monte Carlo simulation. The proposed theoretical methods and models are illustrated by an empirical example, comparing the results with linear cointegration application in Hamilton (1994). It is concluded that there exists nonlinear cointegration in our system in the final results.

An Analysis of the Telecommunications Business in China by Linear Regression

In this paper, we study the influence of the National Telecom Business Volume by the data in 2008 that have been published in China Statistical Yearbook of Statistics. We illustrate the procedure of modeling “National Telecom Business Volume” on the following eight variables, GDP, Consumption Levels, Retail Sales of Social Consumer Goods Total Renovation Investment, the Local Telephone Exchange Capacity, Mobile Telephone Exchange Capacity, Mobile Phone End Users, and the Local Telephone End Users. The testing of heteroscedasticity and multicollinearity for model evaluation is included. We also consider AIC and BIC criterion to select independent variables, and conclude the result of the factors which are the optimal regression model for the amount of telecommunications business and the relation between independent variables and dependent variable. Based on the final results, we propose several recommendations about how to improve telecommunication services and promote the economic development.

Testing common nonlinear features in vector nonlinear autoregressive models

This paper studies a special class of vector smooth-transition autoregressive (VSTAR) models that contains common nonlinear features (CNFs), for which we proposed a triangular representation and developed a procedure of testing CNFs in a VSTAR model. We first test a unit root against a stable STAR process for each individual time series and then examine whether CNFs exist in the system by Lagrange Multiplier (LM) test if unit root is rejected in the first step. The LM test has standard Chi-squared asymptotic distribution. The critical values of our unit root tests and small-sample properties of the F form of our LM test are studied by Monte Carlo simulations. We illustrate how to test and model CNFs using the monthly growth of consumption and income data of United States (1985:1 to 2011:11).

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.

Is there wage premium to computer use in Sweden

This paper examines the wage premium to computer use in Sweden in the early 1990’s. I use simple regression model and interaction terms in my paper to examine the effect of computer use at work. Although the data is only one-year cross-section data, my results clearly show a wage premium to computer use in Sweden. There are also interesting findings in my paper by using Swedish data. From the results, I find wage premium to be related to intensity of computer use at work.

Design/Evaluation of A Methodology For Performance Optimization Of Indexable Carbide Inserts

In this project, two broad facets in the design of a methodology for performance optimization of indexable carbide inserts were examined. They were physical destructive testing and software simulation.For the physical testing, statistical research techniques were used for the design of the methodology. A five step method which began with Problem definition, through System identification, Statistical model formation, Data collection and Statistical analyses and results was indepthly elaborated upon. Set-up and execution of an experiment with a compression machine together with roadblocks and possible solution to curb road blocks to quality data collection were examined. 2k factorial design was illustrated and recommended for process improvement. Instances of first-order and second-order response surface analyses were encountered. In the case of curvature, test for curvature significance with center point analysis was recommended. Process optimization with method of steepest ascent and central composite design or process robustness studies of response surface analyses were also recommended.For the simulation test, AdvantEdge program was identified as the most used software for tool development. Challenges to the efficient application of this software were identified and possible solutions proposed. In conclusion, software simulation and physical testing were recommended to meet the objective of the project.

Defining Relevant Product Markets for Pharmaceuticals

To identify the relevant product markets for Swedish pharmaceuticals, a spatial econometrics approach is employed. First, we calculate Moran’s Is for different market definitions and then we use a spatial Durbin model to determine the effect of price changes on quantity sold off own and competing products. As expected, the results show that competition is strongest between close substitutes; however, the relevant product markets for Swedish pharmaceuticals extend beyond close substitutes down to products included in the same class on the four-digit level of the Anatomic Therapeutic Chemical system as defined by the World Health Organization. The spatial regression model further indicates that increases in the price of a product significantly lower the quantity sold of that product and in the same time increase the quantity sold of competing products. For close substitutes (products belonging to the same class on the seven-digit level of the Anatomic Therapeutic Chemical system), as well as for products that, without being close substitutes, belong to the same therapeutic/pharmacological/chemical subgroup (the same class on the five-digit level of the Anatomic Therapeutic Chemical system), a significant change towards increased competition is also visible after 1 July 2009 when the latest policy changes with regards to pharmaceuticals have been implemented in Sweden.

Computerized identification of motor complications in Parkinson's disease

Objective: To investigate whether spirography-based objective measures are able to effectively characterize the severity of unwanted symptom states (Off and dyskinesia) and discriminate them from motor state of healthy elderly subjects. Background: Sixty-five patients with advanced Parkinson’s disease (PD) and 10 healthy elderly (HE) subjects performed repeated assessments of spirography, using a touch screen telemetry device in their home environments. On inclusion, the patients were either treated with levodopa-carbidopa intestinal gel or were candidates for switching to this treatment. On each test occasion, the subjects were asked trace a pre-drawn Archimedes spiral shown on the screen, using an ergonomic pen stylus. The test was repeated three times and was performed using dominant hand. A clinician used a web interface which animated the spiral drawings, allowing him to observe different kinematic features, like accelerations and spatial changes, during the drawing process and to rate different motor impairments. Initially, the motor impairments of drawing speed, irregularity and hesitation were rated on a 0 (normal) to 4 (extremely severe) scales followed by marking the momentary motor state of the patient into 2 categories that is Off and Dyskinesia. A sample of spirals drawn by HE subjects was randomly selected and used in subsequent analysis. Methods: The raw spiral data, consisting of stylus position and timestamp, were processed using time series analysis techniques like discrete wavelet transform, approximate entropy and dynamic time warping in order to extract 13 quantitative measures for representing meaningful motor impairment information. A principal component analysis (PCA) was used to reduce the dimensions of the quantitative measures into 4 principal components (PC). In order to classify the motor states into 3 categories that is Off, HE and dyskinesia, a logistic regression model was used as a classifier to map the 4 PCs to the corresponding clinically assigned motor state categories. A stratified 10-fold cross-validation (also known as rotation estimation) was applied to assess the generalization ability of the logistic regression classifier to future independent data sets. To investigate mean differences of the 4 PCs across the three categories, a one-way ANOVA test followed by Tukey multiple comparisons was used. Results: The agreements between computed and clinician ratings were very good with a weighted area under the receiver operating characteristic curve (AUC) coefficient of 0.91. The mean PC scores were different across the three motor state categories, only at different levels. The first 2 PCs were good at discriminating between the motor states whereas the PC3 was good at discriminating between HE subjects and PD patients. The mean scores of PC4 showed a trend across the three states but without significant differences. The Spearman’s rank correlations between the first 2 PCs and clinically assessed motor impairments were as follows: drawing speed (PC1, 0.34; PC2, 0.83), irregularity (PC1, 0.17; PC2, 0.17), and hesitation (PC1, 0.27; PC2, 0.77). Conclusions: These findings suggest that spirography-based objective measures are valid measures of spatial- and time-dependent deficits and can be used to distinguish drug-related motor dysfunctions between Off and dyskinesia in PD. These measures can be potentially useful during clinical evaluation of individualized drug-related complications such as over- and under-medications thus maximizing the amount of time the patients spend in the On state.

Modelling dominance in a flexible intercross analysis

The aim of this paper is to develop a flexible model for analysis of quantitative trait loci (QTL) in outbred line crosses, which includes both additive and dominance effects. Our flexible intercross analysis (FIA) model accounts for QTL that are not fixed within founder lines and is based on the variance component framework. Genome scans with FIA are performed using a score statistic, which does not require variance component estimation. RESULTS: Simulations of a pedigree with 800 F2 individuals showed that the power of FIA including both additive and dominance effects was almost 50% for a QTL with equal allele frequencies in both lines with complete dominance and a moderate effect, whereas the power of a traditional regression model was equal to the chosen significance value of 5%. The power of FIA without dominance effects included in the model was close to those obtained for FIA with dominance for all simulated cases except for QTL with overdominant effects. A genome-wide linkage analysis of experimental data from an F2 intercross between Red Jungle Fowl and White Leghorn was performed with both additive and dominance effects included in FIA. The score values for chicken body weight at 200 days of age were similar to those obtained in FIA analysis without dominance. CONCLUSION: We have extended FIA to include QTL dominance effects. The power of FIA was superior, or similar, to standard regression methods for QTL effects with dominance. The difference in power for FIA with or without dominance is expected to be small as long as the QTL effects are not overdominant. We suggest that FIA with only additive effects should be the standard model to be used, especially since it is more computationally efficient.

Nurses' research utilization two years after graduation : a national survey ofassociated individual, organizational, and educational factors

Background. Nurses' research utilization (RU) as part of evidence-based practice is strongly emphasized in today's nursing education and clinical practice. The primary aim of RU is to provide high-quality nursing care to patients. Data on newly graduated nurses' RU are scarce, but a predominance of low use has been reported in recent studies. Factors associated with nurses' RU have previously been identified among individual and organizational/contextual factors, but there is a lack of knowledge about how these factors, including educational ones, interact with each other and with RU, particularly in nurses during the first years after graduation. The purpose of this study was therefore to identify factors that predict the probability for low RU among registered nurses two years after graduation. Methods. Data were collected as part of the LANE study (Longitudinal Analysis of Nursing Education), a Swedish national survey of nursing students and registered nurses. Data on nurses' instrumental, conceptual, and persuasive RU were collected two years after graduation (2007, n = 845), together with data on work contextual factors. Data on individual and educational factors were collected in the first year (2002) and last term of education (2004). Guided by an analytic schedule, bivariate analyses, followed by logistic regression modeling, were applied. Results. Of the variables associated with RU in the bivariate analyses, six were found to be significantly related to low RU in the final logistic regression model: work in the psychiatric setting, role ambiguity, sufficient staffing, low work challenge, being male, and low student activity. Conclusions. A number of factors associated with nurses' low extent of RU two years postgraduation were found, most of them potentially modifiable. These findings illustrate the multitude of factors related to low RU extent and take their interrelationships into account. This knowledge might serve as useful input in planning future studies aiming to improve nurses', specifically newly graduated nurses', RU.