Econometric analysis of stuctural systems with permanent and transitory shocks

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah [1989. The dynamic effects of aggregate demand and supply disturbances. The American Economic Review 79, 655–673], and shows that structural equations with known permanent shocks cannot contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto [2001. Estimating shocks and impulse response functions. Journal of Applied Econometrics 16, 371–387], Shapiro and Watson [1988. Sources of business cycle fluctuations. NBER Macroeconomics Annual 3, 111–148], King et al. [1991. Stochastic trends and economic fluctuations. American Economic Review 81, 819–840], Gali [1992. How well does the ISLM model fit postwar US data? Quarterly Journal of Economics 107, 709–735; 1999. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review 89, 249–271] and Fisher [2006. The dynamic effects of neutral and investment-specific technology shocks. Journal of Political Economy 114, 413–451].

An Econometric Analysis of Inter-Firm Labour Mobility

This paper utilizes the Survey of Work History (1981) data to examine the importance of non-random sampling in the context of a model of interfirm labour mobility. The paper adopts Heckman's two-step procedure in order to estimate a three-equation model incorporating an individual's mobility status as endogenously determined. The main conclusion is that in estimating wage equations it is important to consider the role of job mobility and to correct for the effects of sample-selection bias. The results generally accord with those reported by Osberg et al. (1986) in the only previous Canadian study of job mobility in a sample-selection context.

Statistical and econometric analysis of the treatment of HIV/AIDS

The epidemic of HIV/AIDS in the United States is constantly changing and evolving, starting from patient zero to now an estimated 650,000 to 900,000 Americans infected. The nature and course of HIV changed dramatically with the introduction of antiretrovirals. This discourse examines many different facets of HIV from the beginning where there wasn't any treatment for HIV until the present era of highly active antiretroviral therapy (HAART). By utilizing statistical analysis of clinical data, this paper examines where we were, where we are and projections as to where treatment of HIV/AIDS is headed.

Chapter Two describes the datasets that were used for the analyses. The primary database utilized was collected by myself from an outpatient HIV clinic. The data included dates from 1984 until the present. The second database was from the Multicenter AIDS Cohort Study (MACS) public dataset. The data from the MACS cover the time between 1984 and October 1992. Comparisons are made between both datasets.

Chapter Three discusses where we were. Before the first anti-HIV drugs (called antiretrovirals) were approved, there was no treatment to slow the progression of HIV. The first generation of antiretrovirals, reverse transcriptase inhibitors such as AZT (zidovudine), DDI (didanosine), DDC (zalcitabine), and D4T (stavudine) provided the first treatment for HIV. The first clinical trials showed that these antiretrovirals had a significant impact on increasing patient survival. The trials also showed that patients on these drugs had increased CD4+ T cell counts. Chapter Three examines the distributions of CD4 T cell counts. The results show that the estimated distributions of CD4 T cell counts are distinctly non-Gaussian. Thus distributional assumptions regarding CD4 T cell counts must be taken, into account when performing analyses with this marker. The results also show the estimated CD4 T cell distributions for each disease stage: asymptomatic, symptomatic and AIDS are non-Gaussian. Interestingly, the distribution of CD4 T cell counts for the asymptomatic period is significantly below that of the CD4 T cell distribution for the uninfected population suggesting that even in patients with no outward symptoms of HIV infection, there exists high levels of immunosuppression.

Chapter Four discusses where we are at present. HIV quickly grew resistant to reverse transcriptase inhibitors which were given sequentially as mono or dual therapy. As resistance grew, the positive effects of the reverse transcriptase inhibitors on CD4 T cell counts and survival dissipated. As the old era faded a new era characterized by a new class of drugs and new technology changed the way that we treat HIV-infected patients. Viral load assays were able to quantify the levels of HIV RNA in the blood. By quantifying the viral load, one now had a faster, more direct way to test antiretroviral regimen efficacy. Protease inhibitors, which attacked a different region of HIV than reverse transcriptase inhibitors, when used in combination with other antiretroviral agents were found to dramatically and significantly reduce the HIV RNA levels in the blood. Patients also experienced significant increases in CD4 T cell counts. For the first time in the epidemic, there was hope. It was hypothesized that with HAART, viral levels could be kept so low that the immune system as measured by CD4 T cell counts would be able to recover. If these viral levels could be kept low enough, it would be possible for the immune system to eradicate the virus. The hypothesis of immune reconstitution, that is bringing CD4 T cell counts up to levels seen in uninfected patients, is tested in Chapter Four. It was found that for these patients, there was not enough of a CD4 T cell increase to be consistent with the hypothesis of immune reconstitution.

In Chapter Five, the effectiveness of long-term HAART is analyzed. Survival analysis was conducted on 213 patients on long-term HAART. The primary endpoint was presence of an AIDS defining illness. A high level of clinical failure, or progression to an endpoint, was found.

Chapter Six yields insights into where we are going. New technology such as viral genotypic testing, that looks at the genetic structure of HIV and determines where mutations have occurred, has shown that HIV is capable of producing resistance mutations that confer multiple drug resistance. This section looks at resistance issues and speculates, ceterus parabis, where the state of HIV is going. This section first addresses viral genotype and the correlates of viral load and disease progression. A second analysis looks at patients who have failed their primary attempts at HAART and subsequent salvage therapy. It was found that salvage regimens, efforts to control viral replication through the administration of different combinations of antiretrovirals, were not effective in 90 percent of the population in controlling viral replication. Thus, primary attempts at therapy offer the best change of viral suppression and delay of disease progression. Documentation of transmission of drug-resistant virus suggests that the public health crisis of HIV is far from over. Drug resistant HIV can sustain the epidemic and hamper our efforts to treat HIV infection. The data presented suggest that the decrease in the morbidity and mortality due to HIV/AIDS is transient. Deaths due to HIV will increase and public health officials must prepare for this eventuality unless new treatments become available. These results also underscore the importance of the vaccine effort.

The final chapter looks at the economic issues related to HIV. The direct and indirect costs of treating HIV/AIDS are very high. For the first time in the epidemic, there exists treatment that can actually slow disease progression. The direct costs for HAART are estimated. It is estimated that the direct lifetime costs for treating each HIV infected patient with HAART is between $353,000 to $598,000 depending on how long HAART prolongs life. If one looks at the incremental cost per year of life saved it is only $101,000. This is comparable with the incremental costs per year of life saved from coronary artery bypass surgery.

Policy makers need to be aware that although HAART can delay disease progression, it is not a cure and HIV is not over. The results presented here suggest that the decreases in the morbidity and mortality due to HIV are transient. Policymakers need to be prepared for the eventual increase in AIDS incidence and mortality. Costs associated with HIV/AIDS are also projected to increase. The cost savings seen recently have been from the dramatic decreases in the incidence of AIDS defining opportunistic infections. As patients who have been on HAART the longest start to progress to AIDS, policymakers and insurance companies will find that the cost of treating HIV/AIDS will increase.

Modeling the Links between Biodiversity, Ecosystem Services and Human Wellbeing in the Context of Climate Change: Results from an Econometric Analysis on the European Forest Ecosystems

25 p.

An econometric analysis of international air travel demand in Saudi Arabia

Abed, S. Y., Ba-Fail, A. O., & Jasimuddin, S. (2001). An econometric analysis of international air travel demand in Saudi Arabia. Journal of Air Transport Management, 7(3), 143-148 RAE2008

Econometric analysis of microscopic simulation models

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized. For each class of characteristics, the appropriate techniques are presented. We illustrate the methodology by comparing the MS model developed by He and Li [J. Econ. Dynam. Control, 2007, 31, 3396-3426, Quant. Finance, 2008, 8, 59-79] with actual data.

Banks and sovereigns: An econometric analysis of an entangled relationship

In this discussion OLS regressions are used to study the factors that influence sovereign yield spreads and domestic bank indeces for a set of euro area countries. The results show that common factors explain changes in bank indeces better than in the yields. Moreover, although there is some country differentiation, a common pattern among all is visible. A contemporary spillover effect between banks and sovereigns emerged after bank bailouts and became stronger with the burst of the sovereign debt crisis. The vicious cycle between the two has contributed to the escalation of spreads and to painful austerity measures.

Expenditures on Lotteries: What Do People Say and Wht They Do? a Econometric Analysis.

Underdeclarations Are Typical When Alcohol, Tobacco and Gambling Consumptions Are Questioned in Surveys. Recent Surveys on Expenditures on Lotteries Have Similar Problems: the Declared Expenditures Equal Between 60 to 65 Percent of the Revenues of the Various State-Run Lottery Entreprises. by Using the Relatively Accurate Data on the Revenue Side of This Industry One Can Deal with the Problem of Underdeclarations of Consumption Patterns in Suveys and Obtain Better Income Elasticity Estimates. the Statistical Analysis Permits to Test Specific Hypotheses on a Lottery Model Developed by Brenner, and Suggests Broader Implications Both for Future Econometric Analysis and the Confidence One Gives to Elasticity Estimates Derived From Aggregate Sectorial Data for All Consumption Expenditures.

Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rationalexpectations assumption, and a modification to the latter which consists in using survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behavior, and (ii) the frequency of price adjustments. Overall, we find that there is some support for the hybrid NKPC for the U.S., whereas the model is not suited to Canada. Our findings underscore the need for employing identificationrobust inference methods in the estimation of expectations-based dynamic macroeconomic relations.

An econometric analysis of the determinants of fertility for China, 1952-2000

This study investigates the determinants of the fertility rate in China over the 1952-2000 period. Consistent with theory, the key explanatory variables in our fertility model are real per capita income, infant mortality rate, female illiteracy and female labour force participation rates. The long-run results and the test for cointegration are based on the Johansen (1988) and Johansen & Juselius (1990) approach. Our long-run results conform to theory in that all variables appear with their expected signs, and the dummy variable used to capture the effects of the family planning policy indicates that in the years of the policy, fertility rates have been falling by around 10-12%. Our results suggest that socio-economic development - consistent with the traditional structural hypothesis - played a key role in China's fertility transition.

The sustainability of Fiji's budget deficit : an econometric analysis

The sustainability of Fiji's budget deficit is examined here within the framework of inter-temporal budget constraint theory, where government revenue is modelled as a function of government expenditure. An error-correction mechanism test for cointegration finds that government revenue and expenditure are cointegrated, which provides some support for the position that Fiji's budget deficit is sustainable in the long run. It is argued that more government expenditure on capital investment will ensure a broader revenue base and reduce the risk of a budget deficit explosion.

An econometric analysis of private-sector investment in Brazil

Includes bibliography