On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

An innovative method of increasing early detection for skin cancer in Australia

Objective: To evaluate a family practice intervention to encourage patients to request a skin examination during their consultation. Methods: Family physicians in Queensland, Australia, were randomized to intervention or control groups. In the intervention group, materials were provided by the office receptionist and supported by the family physician. Results: The rate of full-body skin examination was 99.3/ 1000 consultations in intervention-group practices compared to 22.4/ 1000 in control-group practices (p

A novel, dynamic, in vivo, non-contact method of measuring oxygen depletion rate of the anterior eye

Despite the importance of oxygen measurements, techniques have been limited by their invasive nature and small corneal area of assessment. The aim of this study was to assess a non-contact way of measuring oxygen uptake of the whole anterior eye.