878 resultados para nonlinear panel estimation under cross-sectional dependence


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Objective
Estimate the prevalence of sexual behaviour and alcohol use and examine the association between excessive alcohol use and risky sexual behaviour in late secondary students in Victoria, Australia.

Method
The sample of Year 11 students from government and independent schools participating in the 2008 International Youth Development Study (n=450) was representative of the Victorian school population. Logistic regression analyses examined the associations between sexual behaviour, binge and compulsive drinking, adjusting for socio-demographic, school and family factors.

Results
Under half (44%) the students had experienced sex in the past year, half (50%) had engaged in binge drinking in the past two weeks and 26% reported compulsive drinking in the past year. Of those who reported sex in the past year (n=197), 34% had sex without a condom at the last sexual encounter and 28% later regretted sex due to alcohol. The likelihood of experiencing sex was increased by binge (OR=2.44, 95%CI 1.44-4.12) and compulsive drinking (OR=2.15, 95%CI 1.29-3.60). For those sexually active, binge drinking increased the risk of having three or more sexual partners (OR=3.37, 95%CI 1.11-10.26) and compulsive drinking increased the likelihood of regretted sex due to alcohol (OR=4.43, 95%CI 2.10-9.31). Excessive drinking was not associated with condom non-use.

Conclusion and implications

Risky sex – multiple sexual partners and regretted sex due to alcohol – and excessive drinking are highly prevalent and co-associated among Victorian late secondary students.

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This article investigates the impact of oil price volatility on six major emerging economies in Asia using time-series cross-section and time-series econometric techniques. To assess the robustness of the findings, we further implement such heterogeneous panel data estimation methods as Mean Group (MG), Common Correlated Effects Mean Group (CCEMG) and Augmented Mean Group (AMG) estimators to allow for cross-sectional dependence. The empirical results reveal that oil price volatility has a detrimental effect on these emerging economies. In the short run, oil price volatility influenced output growth in China and affected both GDP growth and inflation in India. In the Philippines, oil price volatility impacted on inflation, but in Indonesia, it impacted on both GDP growth and inflation before and after the Asian financial crisis. In Malaysia, oil price volatility impacted on GDP growth, although there is notably little feedback from the opposite side. For Thailand, oil price volatility influenced output growth prior to the Asian financial crisis, but the impact disappeared after the crisis. It appears that oil subsidization by the Thai Government via introduction of the oil fund played a significant role in improving the economic performance by lessening the adverse effects of oil price volatility on macroeconomic indicators.

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Using data on inequality for 21 OECD countries over the period 1870-2011 this paper tests the Piketty hypothesis that income inequality is likely to grow in the 21st century. It is shown that the null hypothesis of trend stationarity of inequality cannot be rejected at conventional significance levels, suggesting that shocks to income inequality are likely to be temporary.

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Background: Despite the high co-morbidity of depressive symptoms in patients with multiple somatic symptoms, the validity of the 9-item Patient Health Questionnaire (PHQ-9) has not yet been investigated in Chinese patients with multiple somatic symptoms. Methods: The multicenter cross-sectional study was conducted in ten outpatient departments located in four cities in China. The psychometric properties of the PHQ-9 were examined by confirmative factor analysis (CFA). Criterion validation was undertaken by comparing results with depression diagnoses obtained from the Mini International Neuropsychiatric Interview (MINI) as the gold standard. Results: Overall, 491 patients were recruited of whom 237 had multiple somatic symptoms (SOM+ group, PHQ-15 ≥ 10). Cronbach's α of the PHQ-9 was 0.87, 0.87, and 0.90 for SOM+ patients, SOM- patients, and total sample respectively. All items and the total score were moderately correlated. The factor models of PHQ-9 tested by CFA yielded similar diagnostic performance when compared to sum score estimation. Multi-group confirmatory factor analysis based on unidimensional model showed similar psychometric properties over the groups with low and high somatic symptom burden. The optimal cut-off point to detect depression in Chinese outpatients was 10 for PHQ-9 (sensitivity=0.77, specificity=0.76) and 3 for PHQ-2 (sensitivity=0.77, specificity=0.74). Limitations: Potential selection bias and nonresponse bias with applied sampling method. Conclusions: PHQ-9 (cut-off point=10) and PHQ-2 (cut-off point=3) were reliable and valid to detect major depression in Chinese patients with multiple somatic symptoms.

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This paper proposes a simple panel data test for stock return predictability that is flexible enough to accommodate three key salient features of the data, namely, predictor persistency and endogeneity, and cross-sectional dependence. Using a large panel of Chinese stock market data comprising more than one million observations, we show that most financial and macroeconomic predictors are in fact able to predict returns. We also show how the extent of the predictability varies across industries and firm sizes.

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We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional central limit theorem holds for the panel of differenced series. We provide a discussion of the relationships between our setting and the settings for which first- and second generation panel unit root tests are designed. In Monte Carlo simulations we illustrate the small-sample performance of our tests when they are used as panel unit root tests under the more restrictive DGPs for which panel unit root tests are typically designed, and for more general DGPs we also compare the small-sample performance of our nonparametric tests to parametric rank tests. Finally, we provide an empirical illustration by testing for income convergence among countries.

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This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The test is general enough to allow for dependence both within and between the cross-sectional units, and is shown to work well in small samples. © 2007 Elsevier B.V. All rights reserved.

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This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. A small simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis. © Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2008.

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In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples. Copyright © Taylor & Francis, Inc.

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This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. © 2008 Elsevier B.V. All rights reserved.

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This article describes a new Stata command called xtwest, which implements the four error-correction-based panel cointegration tests developed by Westerlund (2007). The tests are general enough to allow for a large degree of heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics, and dependence within as well as across the cross-sectional units.

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Time series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997) find that inflation is stationary. In this article, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for cross-sectional dependence and structural change.

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Very little is known about the local power of second generation panel unit root tests that are robust to cross-section dependence. This article derives the local asymptotic power functions of the cross-section argumented Dickey–Fuller Cross-section Augmented Dickey-Fuller (CADF) and CIPS tests of Pesaran (2007), which are among the most popular tests around.

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BACKGROUND: Recent evidence suggests that a substantial subgroup of the population who have a high-risk waist circumference (WC) do not have an obese body mass index (BMI). This study aimed to explore whether including those with a non-obese BMI but high risk WC as 'obese' improves prediction of adiposity-related metabolic outcomes.

METHODS: Eleven thousand, two hundred forty-seven participants were recruited. Height, weight and WC were measured. Ten thousand, six hundred fifty-nine participants with complete data were included. Adiposity categories were defined as: BMI(N)/WC(N), BMI(N)/WC(O), BMI(O)/WC(N), and BMI(O)/WC(O) (N = non-obese and O = obese). Population attributable fraction, area under the receiver operating characteristic curve (AUC), and odds ratios (OR) were calculated.

RESULTS: Participants were on average 48 years old and 50 % were men. The proportions of BMI(N)/WC(N), BMI(N)/WC(O), BMI(O)/WC(N) and BMI(O)/WC(O) were 68, 12, 2 and 18 %, respectively. A lower proportion of diabetes was attributable to obesity defined using BMI alone compared to BMI and WC combined (32 % vs 47 %). AUC for diabetes was also lower when obesity was defined using BMI alone (0.62 vs 0.66). Similar results were observed for all outcomes. The odds for hypertension, dyslipidaemia, diabetes and CVD were increased for those with BMI(N)/WC(O) (OR range 1.8-2.7) and BMI(O)/WC(O) (OR 1.9-4.9) compared to those with BMI(N)/WC(N).

CONCLUSIONS: Current population monitoring, assessing obesity by BMI only, misses a proportion of the population who are at increased health risk through excess adiposity. Improved identification of those at increased health risk needs to be considered for better prioritisation of policy and resources.

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PURPOSE: Discrimination is a social determinant of health; however, the pathways linking discrimination to ill-health are under-researched. This study investigated the mediators through which discrimination affects health behaviours and physical health outcomes, as well as assessed whether sex moderated these mechanisms. METHODS: Data from a representative survey (n = 1023) of undergraduate students enrolled in a Brazilian university in 2012 were used. Structural equation models were applied to assess the following mediation mechanisms--(1) discrimination influences self-rated health and body mass index via anxiety/depression; (2) discrimination affects behaviours (alcohol consumption, problem drinking, smoking, fruit/vegetable consumption, and physical activity) through discomfort associated with discriminatory experiences. The potential of sex to act as an effect-modifying variable was also explored in each of the postulated pathways. RESULTS: The effect of discrimination on self-rated poor health was totally (100.0%) mediated by anxiety/depression, while body mass index was not correlated with discrimination. Self-reported discrimination was associated with some behaviours via discomfort. Particularly, discomfort partially mediated the positive association between discrimination, leisure time physical activity (43.3%), and fruit/vegetable consumption (52.2%). Sex modified the association between discrimination, discomfort and physical activity in that such mechanism (more discrimination → more discomfort → more physical activity) was statistically significant in the entire sample and among females, but not among males. CONCLUSIONS: This is one of the first studies to demonstrate that discrimination is associated with physical health outcomes and behaviours via distinct pathways. Future investigations should further explicate the mediational pathways between discrimination and key health outcomes.