Exchange rate forecasting using a combined parametric and nonparametric self-organising modelling approach

Financial prediction has attracted a lot of interest due to the financial implications that the accurate prediction of financial markets can have. A variety of data driven modellingapproaches have been applied but their performance has produced mixed results. In this study we apply both parametric (neural networks with active neurons) and nonparametric (analog complexing) self-organisingmodelling methods for the daily prediction of the exchangerate market. We also propose acombinedapproach where the parametric and nonparametricself-organising methods are combined sequentially, exploiting the advantages of the individual methods with the aim of improving their performance. The combined method is found to produce promising results and to outperform the individual methods when tested with two exchangerates: the American Dollar and the Deutche Mark against the British Pound.

Has DRG payment influenced the technical efficiency and productivity of diagnostic technologies in Portuguese public hospitals? An empirical analysis using parametric and non‐parametric methods

The use of Diagnosis Related Groups (DRG) as a mechanism for hospital financing is a currently debated topic in Portugal. The DRG system was scheduled to be initiated by the Health Ministry of Portugal on January 1, 1990 as an instrument for the allocation of public hospital budgets funded by the National Health Service (NHS), and as a method of payment for other third party payers (e.g., Public Employees (ADSE), private insurers, etc.). Based on experience from other countries such as the United States, it was expected that implementation of this system would result in more efficient hospital resource utilisation and a more equitable distribution of hospital budgets. However, in order to minimise the potentially adverse financial impact on hospitals, the Portuguese Health Ministry decided to gradually phase in the use of the DRG system for budget allocation by using blended hospitalspecific and national DRG casemix rates. Since implementation in 1990, the percentage of each hospitals budget based on hospital specific costs was to decrease, while the percentage based on DRG casemix was to increase. This was scheduled to continue until 1995 when the plan called for allocating yearly budgets on a 50% national and 50% hospitalspecific cost basis. While all other nonNHS third party payers are currently paying based on DRGs, the adoption of DRG casemix as a National Health Service budget setting tool has been slower than anticipated. There is now some argument in both the political and academic communities as to the appropriateness of DRGs as a budget setting criterion as well as to their impact on hospital efficiency in Portugal. This paper uses a twostage procedure to assess the impact of actual DRG payment on the productivity (through its components, i.e., technological change and technical efficiency change) of diagnostic technology in Portuguese hospitals during the years 1992–1994, using both parametric and nonparametric frontier models. We find evidence that the DRG payment system does appear to have had a positive impact on productivity and technical efficiency of some commonly employed diagnostic technologies in Portugal during this time span.

Assessing pupil and school performance by non-parametric and parametric techniques

This paper discusses the use of the non-parametric free disposal hull (FDH) and the parametric multi-level model (MLM) as alternative methods for measuring pupil and school attainment where hierarchical structured data are available. Using robust FDH estimates, we show how to decompose the overall inefficiency of a unit (a pupil) into a unit specific and a higher level (a school) component. By a sample of entry and exit attainments of 3017 girls in British ordinary single sex schools, we test the robustness of the non-parametric and parametric estimates. Finally, the paper uses the traditional MLM model in a best practice framework so that pupil and school efficiencies can be computed.

Assessing pupil and school performance by non-parametric and parametric techniques

Often observations are nested within other units. This is particularly the case in the educational sector where school performance in terms of value added is the result of school contribution as well as pupil academic ability and other features relating to the pupil. Traditionally, the literature uses parametric (i.e. it assumes a priori a particular function on the production process) Multi-Level Models to estimate the performance of nested entities. This paper discusses the use of the non-parametric (i.e. without a priori assumptions on the production process) Free Disposal Hull model as an alternative approach. While taking into account contextual characteristics as well as atypical observations, we show how to decompose non-parametrically the overall inefficiency of a pupil into a unit specific and a higher level (i.e. a school) component. By a sample of entry and exit attainments of 3017 girls in British ordinary single sex schools, we test the robustness of the non-parametric and parametric estimates. We find that the two methods agree in the relative measures of the scope for potential attainment improvement. Further, the two methods agree on the variation in pupil attainment and the proportion attributable to pupil and school level.

The effect of corruption on FDI:a parametric and non-parametric analysis

This paper analyses the effect of corruption on Multinational Enterprises' (MNEs) incentives to undertake FDI in a particular country. We contribute to the existing literature by modelling the relationship between corruption and FDI using both parametric and non-parametric methods. We report that the impact of corruption on FDI stock is different for the different quantiles of the FDI stock distribution. This is a characteristic that could not be captured in previous studies which used only parametric methods. After controlling for the location selection process of MNEs and other host country characteristics, the result from both parametric and non-parametric analyses offer some support for the ‘helping-hand’ role of corruption.

Estimation and inference under economic restrictions

Estimation of economic relationships often requires imposition of constraints such as positivity or monotonicity on each observation. Methods to impose such constraints, however, vary depending upon the estimation technique employed. We describe a general methodology to impose (observation-specific) constraints for the class of linear regression estimators using a method known as constraint weighted bootstrapping. While this method has received attention in the nonparametric regression literature, we show how it can be applied for both parametric and nonparametric estimators. A benefit of this method is that imposing numerous constraints simultaneously can be performed seamlessly. We apply this method to Norwegian dairy farm data to estimate both unconstrained and constrained parametric and nonparametric models.

Discriminating antigen and non-antigen using proteome dissimilarity:bacterial antigens

It has been postulated that immunogenicity results from the overall dissimilarity of pathogenic proteins versus the host proteome. We have sought to use this concept to discriminate between antigens and non-antigens of bacterial origin. Sets of 100 known antigenic and nonantigenic peptide sequences from bacteria were compared to human and mouse proteomes. Both antigenic and non-antigenic sequences lacked human or mouse homologues. Observed distributions were compared using the non-parametric Mann-Whitney test. The statistical null hypothesis was accepted, indicating that antigen and non-antigens did not differ significantly. Likewise, we were unable to determine a threshold able to separate meaningfully antigen from non-antigen. Thus, antigens cannot be predicted from pathogen genomes based solely on their dissimilarity to the human genome.

Discriminating antigen and non-antigen using proteome dissimilarity II:viral and fungal antigens

Immunogenicity arises via many synergistic mechanisms, yet the overall dissimilarity of pathogenic proteins versus the host proteome has been proposed as a key arbiter. We have previously explored this concept in relation to Bacterial antigens; here we extend our analysis to antigens of viral and fungal origin. Sets of known viral and fungal antigenic and non-antigenic protein sequences were compared to human and mouse proteomes. Both antigenic and non-antigenic sequences lacked human or mouse homologues. Observed distributions were compared using the non-parametric Mann-Whitney test. The statistical null hypothesis was accepted, indicating that antigen and non-antigens did not differ significantly. Likewise, we could not determine a threshold able meaningfully to separate non-antigen from antigen. We conclude that viral and fungal antigens cannot be predicted from pathogen genomes based solely on their dissimilarity to mammalian genomes.

Rapid testing for group B streptococcus during labour: a test accuracy study with evaluation of acceptability and cost-effectiveness

OBJECTIVE: To determine the accuracy, acceptability and cost-effectiveness of polymerase chain reaction (PCR) and optical immunoassay (OIA) rapid tests for maternal group B streptococcal (GBS) colonisation at labour. DESIGN: A test accuracy study was used to determine the accuracy of rapid tests for GBS colonisation of women in labour. Acceptability of testing to participants was evaluated through a questionnaire administered after delivery, and acceptability to staff through focus groups. A decision-analytic model was constructed to assess the cost-effectiveness of various screening strategies. SETTING: Two large obstetric units in the UK. PARTICIPANTS: Women booked for delivery at the participating units other than those electing for a Caesarean delivery. INTERVENTIONS: Vaginal and rectal swabs were obtained at the onset of labour and the results of vaginal and rectal PCR and OIA (index) tests were compared with the reference standard of enriched culture of combined vaginal and rectal swabs. MAIN OUTCOME MEASURES: The accuracy of the index tests, the relative accuracies of tests on vaginal and rectal swabs and whether test accuracy varied according to the presence or absence of maternal risk factors. RESULTS: PCR was significantly more accurate than OIA for the detection of maternal GBS colonisation. Combined vaginal or rectal swab index tests were more sensitive than either test considered individually [combined swab sensitivity for PCR 84% (95% CI 79-88%); vaginal swab 58% (52-64%); rectal swab 71% (66-76%)]. The highest sensitivity for PCR came at the cost of lower specificity [combined specificity 87% (95% CI 85-89%); vaginal swab 92% (90-94%); rectal swab 92% (90-93%)]. The sensitivity and specificity of rapid tests varied according to the presence or absence of maternal risk factors, but not consistently. PCR results were determinants of neonatal GBS colonisation, but maternal risk factors were not. Overall levels of acceptability for rapid testing amongst participants were high. Vaginal swabs were more acceptable than rectal swabs. South Asian women were least likely to have participated in the study and were less happy with the sampling procedure and with the prospect of rapid testing as part of routine care. Midwives were generally positive towards rapid testing but had concerns that it might lead to overtreatment and unnecessary interference in births. Modelling analysis revealed that the most cost-effective strategy was to provide routine intravenous antibiotic prophylaxis (IAP) to all women without screening. Removing this strategy, which is unlikely to be acceptable to most women and midwives, resulted in screening, based on a culture test at 35-37 weeks' gestation, with the provision of antibiotics to all women who screened positive being most cost-effective, assuming that all women in premature labour would receive IAP. The results were sensitive to very small increases in costs and changes in other assumptions. Screening using a rapid test was not cost-effective based on its current sensitivity, specificity and cost. CONCLUSIONS: Neither rapid test was sufficiently accurate to recommend it for routine use in clinical practice. IAP directed by screening with enriched culture at 35-37 weeks' gestation is likely to be the most acceptable cost-effective strategy, although it is premature to suggest the implementation of this strategy at present.