bluuebunny/crossref_metadata_2025 huggingface dataset:
Consensus Among Experts and Research Synthesis: A Comparison of Methods
Authors: Wortman Paul M. , Smyth Joshua M. , Langenbrunner John C. , Yeaton William H.
Published: March 2009

A comparison of two assessment methods, consensus among experts and research synthesis of the scientific literature, was performed using a surgical procedure, carotid endarterectomy (CE), as an example. These two methods have been widely advocated as being scientifically valid. While the comparison revealed a number of areas of general agreement, important differences between the two methods emerged. For example, 30-day mortality for asymptomatic patients was considered an effective outcome (ranked first) by the synthesis, but only “quivocal” (ranked third) of six major indicators reported by the consensus method. The synthesis results are also consistent with other literature reviews as well as with recent large-scale randomized trial results. A number of factors that could account for differences between the two methods were examined. Overall, use of consensus panels may be appropriate early in the development of an intervention where the evidence is sparse, while quantitative research synthesis is preferable when a number of high-quality studies have been performed.
Evaluation of Benefits Related to Reduced Length of Stays in Postanesthesia Care Units
Authors: Tibi-lévy Yaël , De Pouvourville Gérard , Rozenholc Yves , Goursot Georges , Clergue François , Délémontey Bernard , Feiss Pierre , Laxenaire Marie-Claire , Marty Jean , Béresniak Ariel
Published: March 2009

The study's purpose was to estimate the potential economic benefit of the optimization of postanesthesia care units (PACUs). A simulation model was designed and used to test the economic impact of a reduction of length of stay. For the studied PACU, a reduction of 25% of length of stay is required to yield significant economic results.
Assessment of the Maximum Waiting Time Guarantee for Cataract Surgery: The Case of a Swedish Policy
Authors: Hanning Marianne , Lundström Mats
Published: March 2009

Cataract is the most common reason for visual problems in old age. The introduction of intraocular lens (IOL) implantation revolutionized cataract surgery. Since the IOL technique was established in Sweden in the early 1980s, the demand for surgery has been increasing, leading to lengthy waiting lists. To shorten some of the most troublesome waiting lists, national and local governments (county councils) in Sweden introduced a maximum waiting time guarantee in 1992. The assessment of the guarantee made in this article shows that ophthalmic surgery units vary in their adoption of the guarantee, leading to different levels of goal achievement in waiting times for their patients. The less successful units could be divided into two groups: one where the units have a low operation rate, and one where the units chose not to follow the recommendations in priority setting made in the guarantee.
Psychiatric Interventions for Prevention of Mental Disorders: A Psychosocial Perspective
Authors: Dalgard Odd Steffen , Sørensen Tom , Sandanger Inger , Brevik John Ivar
Published: March 2009

Technology for psychiatric prevention is poorly developed, and knowledge about the causes of mental Illness is difficult to apply to practical preventive work. As it would take many years before the effects of primary preventive efforts would be visible, secondary and tertiary prevention are essential to reducing the prevalence of mental illness. Recent studies on reducing the negative health consequences of acute stress seem to justify some optimism that psychosocially-oriented prevention is possible. Experience with the preventive benefits of social support at times of crisis suggests that active social support can prevent social disintegration at the community level and mental health problems for individuals.
Economic Incentives and the Distribution of Extracorporeal Shock wave Lithotripters and Linear Accelerators in Spain
Authors: Lázaro Pablo , Fitch Kathryn
Published: March 2009

We studied the role of economic incentives for private providers in explaining Spain's disproportionately large number of extracorporeal shock wave lithotripters (ESWLs) and low number of linear accelerators (linacs) per million population (pmp) in comparison to other countries of the Organization for Economic Cooperation and Development (OECD). We found that the reimbursement policy for 1990 allowed an average profit per private ESWL of $732,000, but no profit for linacs. Regional per-capita income was positively correlated with ESWLs pmp in Spain (R2 = 0.49; p =.001), but not with linacs. Sixty-nine percent of ESWLs were privately held versus only 16% of linacs. To avoid these types of distortions, financial incentives should be based on a reasonable relationship between cost and charges and should be associated with the appropriateness of medical care.
Cost-Effectiveness Analysis of Treatment for Esophageal Varices in Japan
Authors: Sasaki Akira , Eisenberg John M.
Published: March 2009

We analyzed the cost-effectiveness of nonemergent treatment for esophageal varices commonly used in Japan (endoscopic injection sclerotherapy, nonshunting direct interruption procedure, and selective shunt). We assessed the cost per survivor from the perspective of the Japanese government and other payors. Epidemiologic and economic data from published Japanese literature and from Japanese hospital-cost information were applied in decision analysis. While sclerotherapy is the most cost-effective treatment, the popular surgical procedures save the most lives, thus raising difficult ethical issues regarding trade-offs of cost and quality.
The Role of Pilot Studies in the Economic Evaluation of Health Technologies
Authors: Drummond Michael , Coyle Douglas
Published: March 2009

An increasing number of economic evaluations are being conducted alongside clinical trials. While this practice offers the prospect of collecting comprehensive and accurate cost data, it requires considerable time and effort. In the case of clinical data, key analytic decisions such as which data to collect and sample size are often made with reference to smaller (pilot) trials. However, this approach is not normally followed in the case of economic evaluation.

This study was based on a recently completed health technology assessment comparing conventional radiotherapy with continuous hyperfractionated accelerated radiotherapy (CHART) for patients with head and neck cancer or carcinoma of the bronchus. In the full health technology assessment, cost data were available for 526 head and neck patients (314 CHART and 212 conventional therapy) and 286 bronchus patients (175 CHART and 109 conventional therapy). In order to simulate a pilot study, data were extracted for the patients recruited to both trials in the first 3 months. These were then compared with the full data set in order to assess whether such a pilot study would have given useful guidance on: a) the usefulness of undertaking a full study; b) the sample size required; and c) the important resource items for which comprehensive data collection would be required.

Pilot studies can be helpful in determining the likely advantages of undertaking full economic evaluations and in identifying important resource items. Therefore, it is important that clinical researchers and research funding bodies create the necessary time window to enable such studies to take place. However, formal sample size calculations are more difficult to perform on limited data, since they also require knowledge of the unit cost (or prices) to be attached to the resource items and the correlation between costs and clinical effects.
Generalizing Costs from Trials: Analyzing Center Selection Bias in a Breast Screening Trial
Authors: Johnston Katharine , Gerard Karen , Brown Jackie
Published: March 2009

With a growing number of economic evaluations being conducted alongside trials, there is a need to address, and if necessary, investigate the generalizability of results derived from trials. This paper explores the generalizability of costs from a trial investigating the frequency of breast cancer screening in the United Kingdom.
The Cost-Effectiveness of Octreotide Acetate in the Treatment of Carcinoid Syndrome and Vipoma
Authors: Schonfeld Warren H. , Elkin Eric P. , Woltering Eugene A. , Modlin Irvin M. , Anthony Lowell , Villa Kathleen F. , Zagari Martin
Published: March 2009

Markov modeling was used to evaluate the cost-effectiveness of octreotide in treating carcinoid syndrome and VIPoma. For each condition, using octreotide was associated with doubled survival time. Octreotide was cost-effective for treating carcinoid tumor ($752 per additional year of life, two additional years on average), and cost saving for VIPoma.
Drugs for AIDS/HIV:Assessing the Evidence
Authors: Jones Jan L.
Published: March 2009

This article highlights factors that may cause bias in individual controlled trials or meta-analysis of zidovudine (AZT) in HIV disease. The overall benefit of AZT and antiretroviral drug combinations in the progression of HIV disease is probably greater than has been or can ever be shown in an ethical controlled trial.
Strategies for Reducing Medical Costs by Changing Physicians' Behavior: Efficacy and Impact on Quality of Care
Authors: Schroeder Steven A.
Published: March 2009

During the past two decades a great deal has been learned about the role of physicians in generating medical costs and about ways of changing physicians' behavior so as to reduce those costs (8;10;19;30;34). Unfortunately, very little is known about how cost reductions affect the quality of care.
The Costs and Benefits of Primary Total Hip Replacement:How Likely Are New Prostheses To Be Cost-effective?
Authors: Briggs Andrew , Sculpher Mark , Britton Annie , Murray David , Fitzpatrick Ray
Published: March 2009

Many new hip prostheses are now available for use in total hip replacement. The majority remain untested relative to standard prostheses; however, many new prostheses are substantially more costly. We examine how much more effective new prostheses must be, in terms of reducing the need for revision operations, in order to justify this increased cost.
Medical Malpractice in Twentieth Century United States:The Interaction of Technology, Law, and Culture
Authors: De Ville Kennethe
Published: March 2009

Although medical malpractice litigation in the United States has generated extensive professional and scholarly attention, few analyses of the issue have explored its underlying causes. This essay develops and employs an historical framework to explain the late 20th century phenomenon and concludes that widespread medical malpractice suits are the result of a combination of short-term topical causes and long-term cultural changes that are ignored or left untouched by most reform efforts. Most importantly, however, the development and proliferation of new and improved medical technologies has played a pivotal role throughout the entire history of the litigation, an effect that has become most prominent and important in the last third of the 20th century.
The Use of Societal Criteria in Priority Setting for Health Technology Assessment in the Netherlands: Initial Experiences and Future Challenges
Authors: Oortwijn Wija J. , Vondeling Hindrik , Bouter Lex
Published: March 2009

Priority setting for the evaluation of health technologies in the Netherlands is exclusively based on the scientific merits of individual research proposals. This process has not resulted in satisfactory allocation of resources. Therefore, societal criteria for setting priorities for health technology assessment have been proposed as an adjunct to scientific criteria. These societal criteria include the burden of disease, uncertainty about the (cost-)effectiveness of the intervention at issue, the potential benefits of the research project, and its potential impact on health care. To realize the full potential of this model for priority setting, a number of methodological issues need to be addressed. Joint efforts of researchers and policy makers in this field are necessary for future progress.
Fecal Occult Blood Tests: A Cost-effectiveness Analysis
Authors: Gyrd-Hansen Dorte
Published: March 2009

A range of fecal occult blood tests are presently on the market and could potentially be used in population screening programs for the detection of colorectal neoplasms. This paper estimates the relative cost-effectiveness of alternative tests and concludes that the unhydrated Hemoccult II is the most cost-effective. However, the incremental costs per life-year of the HemeSelect test and the rehydrated Hemoccult II test are in line with incremental costs observed in breast cancer and cervical cancer programs.
A Cost-Utility Analysis of Abdominal Hysterectomy Versus Transcervical Endometrial Resection for the Surgical Treatment of Menorrhagia
Authors: Sculpher Mark
Published: March 2009

Menorrhagia, or heavy regular menstrual bleeding, represents a major health burden to women. Trials comparing abdominal hysterectomy (AH) with transcervical resection of the endometrium (TCRE) for the condition have shown that, although the duration and severity of convalescence is less with TCRE, AH produces a permanent solution to heavy bleeding while TCRE fails in a proportion of women by 2 years. However, by 2 years, TCRE costs only 71% that of AH. This paper presents a cost-utility analysis to assess which procedure is more cost-effective overall. Under most plausible parameter values and on the basis of health state values elicited from a sample of women with menorrhagia, AH is likely to be considered more cost-effective than TCRE if purchasers are willing to pay an additional cost of at least £6,500 per extra quality-adjusted life-year generated by AH.
Legal Issues in Neonatal Intensive Care
Authors: Rhoden Nancy K.
Published: March 2009

The United States, unlike most European countries, has had substantial legal, regulatory, and legislative activity concerning treatment decisions for newborns. This activity began as a result of the highly publicized “Baby Doe” case, in which parents of a child born in 1982 with Down syndrome and esophageal atresia refused consent for surgery, and the Indiana state courts refused to intervene (1). Initially, the Department of Health and Human Services promulgated a series of “Baby Doe” regulations intended to prohibit nontreatment. The regulations were at all times invoking the theory that it is discriminatory to fail to provide treatment to a handicapped infant if such treatment would be provided to a child without such handicap (2). This theory worked well for the department's paradigm case, where the handicap was one such as Down syndrome, and there was an associated physical defect that could be corrected and that would be treated were the infant of normal mental capacity. But a nondiscrimination theory here is extremely rigid: it appeared that even devastating levels of handicap— indeed, even the most extreme “handicap” of unconsciousness — would be irrelevant to treatment decisions.
Swedish Law and Neonatal Intensive Care
Authors: Widman Bertil
Published: March 2009

Over a number of centuries, philosophers, theologians, and other scientists have debated upon what is meant by a living person. The reverse — i.e., what is meant by a dead person — has not been considered so difficult to define. The questions of when life begins and when death takes place, and of what criteria should be applied in these connections, involve several difficult considerations — ethical, practical, and legal.
Randomized Controlled Trials in the Evaluation of Antenatal Care
Authors: Enkin Murray W.
Published: March 2009

Many of the practices carried out during antenatal care improve the well-being of mother or baby and reduce the burden of adverse perinatal outcome. Other practices have either not been evaluated or have been shown to be ineffective. Evidence from randomized clinical trials provides the best evidence about the effectiveness of these practices.
Problems and Prospects in the Economic Evaluation of Antenatal Care
Authors: Buhaug Harald
Published: March 2009

Economic evaluations can be used to compare alternative antenatal care programs in terms of cost and outcome. The cost of routine antenatal care is small compared to the total cost associated with pregnancy and childbirth. The main problem in economic evaluations is related to outcome measurement.
Epidemiology of Hypertension During Pregnancy
Authors: Lindberg Bo S.
Published: March 2009

Hypertension during pregnancy, defined as a diastolic blood pressure of at least 90 mm Hg, occurs in about 7% of Western countries. Primiparity and familial factors are the most important risk factors. Fifty percent of women experienced blood pressure elevation as late as the last month of pregnancy.
Smoking During Pregnancy: Pregnancy Risks and Socio-demographic Characteristics among Pregnant Smokers
Authors: Cnattingius Sven
Published: March 2009

Maternal smoking during pregnancy is causally related to fetal growth retardation. Smoking more than doubles the risk for the birth of a small-for-gestational-age infant. About 30% of the Swedish pregnant population smoke in early pregnancy. Despite that practically all pregnant women in Sweden today are aware of the hazards of smoking, about 70% of the smokers continue to smoke during pregnancy. Women who continue to smoke during pregnancy differ in terms of socio-demographic characteristics from those who stop smoking during pregnancy.
Prediction of Fetal Growth Deviations by Use of Symphysis-Fundus Height Measurements
Authors: Jacobsen Geir
Published: March 2009

The development of various symphysis fundus (SF) growth charts and the use of SF height measurements in the diagnosis of small-for-gestational-age (SGA) births and the prediction of newborn complications are reviewed. Measurement precision and accuracy are also discussed. It is concluded that further research of this simple, low cost, harmless, and widespread technology to detect fetal growth disturbances in routine prenatal care is warranted.
Detection of Intrauterine Growth Deviation:A Comparison between Symphysis-Fundus Height and Ultrasonic Measurements
Authors: Jacobsen Geir
Published: March 2009

Efficacy of ultrasonography to detect fetal growth retardation is reviewed. Ultrasound dating is held as a prerequisite. Abdominal anthropometry is reported to reflect fetal growth best. Efficacy of symphysis-fundus (SF) height measurements is reviewed similarly. Proposed protocols that include ultrasound and SF height measurements and other maternal characteristics with known prognostic properties are reported. Preferably, both kinds of measurements should be analyzed longitudinally.
The Prognostic Significance of Antenatal Diagnosis of Fetal Growth Retardation
Authors: Leijon Ingemar
Published: March 2009

Intrauterine growth retardation is associated with high risk of perinatal asphyxia. The neonatal mortality rate of small-for-gestational-age (SGA) infants (birthweight ≤ 2 SD) in Sweden decreased from 5.6% in 1973 to 2.0% in 1987. During the same period, the number SGA infants with postnatal asphyxia (5 min Apgar score <7) decreased from 10% to 5%. Based on antenatal diagnosis of fetal growth retardation, an optimal time of delivery reduces the risk of major neurological and developmental sequelae of the individual infant.
Nonuniform Bounds for Nonparametrict-Tests
Authors: Dufour Jean-Marie , Hallin Marc
Published: March 2009

This paper gives simple nonuniform bounds on the tail areas of the permutation distribution of the usual Student'st-statistic when the observations are independent with symmetric distributions. As opposed to uniform bounds, nonuniform bounds depend on the observed sample. It is shown that the nonuniform bounds proposed are always tighter than uniform exponential bounds previously suggested. The use of the bounds to perform nonparametrict-tests is discussed and numerical examples are presented. Further, the bounds are extended tot-tests in the context of a simple linear regression.
On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle
Authors: Jeganathan P.
Published: March 2009

Some asymptotic properties of the least-squares estimator of the parameters of an AR model of order p, p ≥ 1, are studied when the roots of the characteristic polynomial of the given AR model are on or near the unit circle. Specifically, the convergence in distribution is established and the corresponding limiting random variables are represented in terms of functionals of suitable Brownian motions.

Further, the preceding convergence in distribution is strengthened to that of convergence uniformly over all Borel subsets. It is indicated that the method employed for this purpose has the potential of being applicable in the wider context of obtaining suitable asymptotic expansions of the distributions of leastsquares estimators.
On the Estimated Variances of Regression Coefficients in Misspecified Error Components Models
Authors: Deschamps Philippe J.
Published: March 2009

In a regression model with an arbitrary number of error components, the covariance matrix of the disturbances has three equivalent representations as linear combinations of matrices. Furthermore, this property is invariant with respect to powers, matrix addition, and matrix multiplication. This result is applied to the derivation and interpretation of the inconsistency of the estimated coefficient variances when the error components structure is improperly restricted. This inconsistency is defined as the difference between the asymptotic variance obtained when the restricted model is correctly specified, and the asymptotic variance obtained when the restricted model is incorrectly specified; when some error components are improperly omitted, and the remaining variance components are consistently estimated, it is always negative. In the case where the time component is improperly omitted from the two-way model, we show that the difference between the true and estimated coefficient variances is of order greater than N–1 in probability.
The Concentration Ellipsoid of a Random Vector Revisited
Authors: Nordström Kenneth
Published: March 2009

Alternative definitions of the concentration ellipsoid of a random vector are surveyed, and an extension of the concentration ellipsoid of Darmois is suggested as being the most convenient and natural definition. The advantage of the proposed definition in providing substantially simplified proofs of results in (linear) estimation theory is discussed, and is illustrated by new and short proofs of two key results. A not-so-well-known, but elementary, extremal representation of a nonnegative definite quadratic form, together with the corresponding Cauchy-Schwarẓ-type inequality, is seen to play a crucial role in these proofs.
From Characteristic Function to Distribution Function: A Simple Framework for the Theory
Authors: Shephard N.G.
Published: March 2009

A unified framework is established for the study of the computation of the distribution function from the characteristic function. A new approach to the proof of Gurland's and Gil-Pelaez's univariate inversion theorem is suggested. A multivariate inversion theorem is then derived using this technique.
Time Series Regression With a Unit Root and Infinite-Variance Errors
Authors: Phillips P.C.B.
Published: March 2009

In [4] Chan and Tran give the limit theory for the least-squares coefficient in a random walk with i.i.d. (identically and independently distributed) errors that are in the domain of attraction of a stable law. This paper discusses their results and provides generalizations to the case of I(1) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. General unit root tests are also studied. It is shown that the semiparametric corrections suggested by the author in other work [22] for the finite-variance case continue to work when the errors have infinite variance. Surprisingly, no modifications to the formulas given in [22] are required. The limit laws are expressed in terms of ratios of quadratic functional of a stable process rather than Brownian motion. The correction terms that eliminate nuisance parameter dependencies are random in the limit and involve multiple stochastic integrals that may be written in terms of the quadratic variation of the limiting stable process. Some extensions of these results to models with drifts and time trends are also indicated.
Perspectives in the History of Econometrics: A Review Essay of R. J. Epstein: A History of Econometrics
Authors: Morgan Mary S.
Published: March 2009

Only in the last few years has the history of econometrics become established as an accepted field of research, with its own doctoral students and sessions at professional meetings. Yet, the first written histories of econometrics appeared as far back as the 1950s, when Carl Christ [4] reviewed the first 20 years' econometric work of the Cowles Commission and George Stigler [37] surveyed the early econometric analyses of consumer demand. Contributions in the intervening years have been sparse, with historical accounts such as Stigler [38], Humphrey [23], and Cargill [3] providing helpful landmarks, and additional insights coming from papers such as Gold-berger [16] and Griliches [17]. Now we have a new monograph on the history of the Cowles Commission by Hildreth [22], a number of journal articles, and Roy Epstein's 1987 book, A History of Econometrics, as further contributions to this small but rapidly expanding field.
Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions
Authors: Newey Whitney K. , Powell James L.
Published: March 2009

We consider the linear regression model with censored dependent variable, where the disturbance terms are restricted only to have zero conditional median (or other prespecified quantile) given the regressors and the censoring point. Thus, the functional form of the conditional distribution of the disturbances is unrestricted, permitting heteroskedasticity of unknown form. For this model, a lower bound for the asymptotic covariance matrix for regular estimators of the regression coefficients is derived. This lower bound corresponds to the covariance matrix of an optimally weighted censored least absolute deviations estimator, where the optimal weight is the conditional density at zero of the disturbance. We also show how an estimator that attains this lower bound can be constructed, via nonparametric estimation of the conditional density at zero of the disturbance. As a special case our results apply to the (uncensored) linear model under a conditional median restriction.
Model-free Asymptotically Best Forecasting of Stationary Economic Time Series
Authors: Bierens Herman J.
Published: March 2009

Given observations on a stationary economic vector time series process we show that the best h-step ahead forecast (best in the sense of having minimal mean square forecast error) of one of the variables can be consistently estimated by nonparametric regression on an ARMA memory index. Our approach is based on a combination of the ARMA memory index modeling approach of Bierens [7] with a modification to time series of the nonparametric kernel regression approach of Devroye and Wagner [16]. This approach is truly model-free, as no explicit specification of the distribution of the data generating process is needed.
Professor Michio Hatanaka
Authors: Maekawa Koichi , Tanaka Katsuto
Published: March 2009

This interview with Michio Hatanaka is the first in this series given in the East, of which we are very proud. Hatanaka is a pioneer of econometrics in Japan. In the early 1950s he traveled to the United States to study as a graduate student at Vanderbilt University. That step was really unusual in the Japanese profession at that time. His stay in the States was extended to 1966, during which time he taught at Princeton and Rochester. His pathfinding behavior influenced and encouraged many Japanese scholars. Hatanaka started his academic career as a mathematical economist. This may partly explain why his research papers suggest deep economic thought as well as deep understanding of mathematics and statistics. His early contributions to econometrics are concerned with applying the spectral method to various economic problems. These contributions include the associate authorship of Spectral Analysis of Economic Time Series by C. W. J. Granger. His other contributions cover theoretical work on identification and estimation problems for dynamic econometric models, among which Hatanaka's efficient two-step estimator is well known. His research also includes empirical work on the Japanese economy and economic policy, which is relatively less known to people outside of Japan. His attitude toward research has set a standard for Japanese econometricians. His research papers are always a product of deep and full thought, and imbued with his own originality.

His achievements in administration are also impressive. During 1969–1971 and 1979–1980, he was director of the Institute of Social and Economic Research of Osaka University. And during 1983–1985 he was the dean of the faculty of economics at the same university. In addition, he served on the boards of several committees for the Japanese government and the Council of Science of Japan. Among his achievements in administration is the reform of the university entrance examination system, which was notoriously competitive and selective. This was really pathbreaking and led other universities to reform their systems.

This interview, which was given in Japanese, took place on November 20, 1989 in the Economics Department of Osaka University. What follows is a translated version of an edited transcript of that interview. We hope that the readers will share with us the privilege of hearing about the evolution of econometrics as encountered by him since just after the second world war.
The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models
Authors: Tanaka Katsuto
Published: March 2009

A unified approach which I call the Fredholm approach is suggested for the study of asymptotic behavior of estimators and" test statistics arising from nonstationary and/or noninvertible time series models. Some limit theorems are given concerning the distribution of (the ratio of) quadratic (plus linear) forms in random variables generated by a linear process that is not necessarily stationary. Especially, the limiting characteristic function is derived explicitly via the Fredholm determinant and resolvent of a given kernel. Some examples are also shown to illustrate our methodology.
Testing for a Moving Average Unit Root
Authors: Tanaka Katsuto
Published: March 2009

Testing for a unit root in the moving average model is discussed. First, for the stationary MA(1) model, we suggest a score type test which is locally best invariant and unbiased. Performance of the test for finite samples is compared with the most powerful test. The asymptotic behavior of the test is also considered by computing the limiting power under a sequence of local alternatives. We then extend the model to an infinite order MA and suggest a test for this extended case.
Strong Consistency in Nonlinear Regression
Authors: Richardson G.D. , Bhattacharyya B.B.
Published: March 2009

Sufficient conditions are given to ensure the existence of a sequence of strongly consistent estimators of an unknown parameter for a nonlinear regression model. The parameter space includes all separable metric spaces but is not assumed to be compact.
Semiparametric Estimation of Location and Other Discrete Choice Moments
Authors: Lewbel Arthur
Published: March 2009

Latent variable discrete choice model estimation and interpretation depend on the density function of the latent variable's unobserved random component. This paper provides a simple semiparametric estimator of the moments of this density. The results can be used as starting values for parametric estimators, to estimate the appropriate location and scaling for semiparametric estimators, for specification testing including tests of latent error skewness and kurtosis, and to estimate coefficients of discrete explanatory variables in the model.
Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems
Authors: Paruolo Paolo
Published: March 2009

This paper addresses the problem of inference on the moving average impact matrix and on its row and column spaces in cointegrated 1(1) VAR processes. The choice of bases (i.e., the identification) of these spaces, which is of interest in the definition of the common trend structure of the system, is discussed. Maximum likelihood estimators and their asymptotic distributions are derived, making use of a relation between properly normalized bases of orthogonal spaces, a result that may be of separate interest. Finally, Wald-type tests are given, and their use in connection with existing likelihood ratio tests is discussed.
Cointegration Testing Using Pseudolikelihood Ratio Tests
Authors: Lucas André
Published: March 2009

This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These estimators are used to determine the cointegration rank of a multivariate time series process using pseudolikelihood ratio tests. The asymptotic distributions of these tests depend on nuisance parameters if the pseudolikelihood is non-Gaussian. This even holds if the likelihood is correctly specified. The nuisance parameters have a natural interpretation and can be consistently estimated. Some simulation results illustrate the usefulness of the tests: non-Gaussian pseudolikelihood ratio tests generally have a higher power than the Gaussian test of Johansen if the innovations demonstrate leptokurtic behavior.
Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances
Authors: Chaturvedi Anoop , Hasegawa Hikaru , Chaturvedi Ajit , Shukla Govind
Published: March 2009

In this present paper, considering a linear regression model with nonspherical disturbances, improved confidence sets for the regression coefficients vector are developed using the Stein rule estimators. We derive the large-sample approximations for the coverage probabilities and the expected volumes of the confidence sets based on the feasible generalized least-squares estimator and the Stein rule estimator and discuss their ranking.
Weak Convergence to a Matrix Stochastic Integral with Stable Processes
Authors: Caner Mehmet
Published: March 2009

This paper generalizes the univariate results of Chan and Tran (1989, Econometric Theory 5, 354–362) and Phillips (1990, Econometric Theory 6, 44–62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(l) for a random walk with independent and identically distributed errors and for I(1) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. The limit laws are represented by functional of a stable process. A semiparametric correction is used in order to asymptotically eliminate the “bias” term in the limit law. These results are also an extension of the multivariate limit theory for square-integrable disturbances derived by Phillips and Durlauf (1986, Review of Economic Studies 53, 473–495). Potential applications include tests for multivariate unit roots and cointegration.
An Asymptotic Expansion in the GARCH(l, 1) Model
Authors: Linton Oliver
Published: March 2009

We develop orderT−1asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximations.
Multiplicative Panel Data Models Without the Strict Exogeneity Assumption
Authors: Wooldridge Jeffrey M.
Published: March 2009

This paper considers estimation of multiplicative, unobserved components panel data models without imposing a strict exogeneity assumption on the conditioning variables. The method of moments estimators proposed have significant robustness properties. They require only a conditional mean assumption and apply to models with lagged dependent variables and to finite distributed lag models with arbitrary feedback from the explained to future values of the explanatory variables. The model is particularly suited to nonnegative explained variables, including count variables, continuously distributed nonnegative outcomes, and even binary variables. The general model can also be applied to certain nonlinear Euler equations.
Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test
Authors: Cheung Yin-Wong , Lai Kon S.
Published: March 2009

This study examines several important practical issues concerning nonparametric estimation of the innovation variance for the Phillips-Perron (PP) test. A Monte Carlo study is conducted to evaluate the potential effects of kernel choice, databased bandwidth selection, and prewhitening on the power property of the PP test in finite samples. The Monte Carlo results are instructive. Although the kernel choice is found to make little difference, data-based bandwidth selection and prewhitening can lead to power gains for the PP test. The combined use of both the Andrews (1991,Ecpnometrica59, 817–858) data-based bandwidth selection procedure and the Andrews and Monahan (1992,Econometrica60, 953–966) prewhitening procedure performs particularly well. With the combined use of these two procedures, the PPtest displays relatively good power in comparison with the augmented Dickey-Fuller test.
Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
Authors: Vogelsang Timothy J.
Published: March 2009

In this paper, test statistics for detecting a break at an unknown date in the trend function of a dynamic univariate time series are proposed. The tests are based on the mean and exponential statistics of Andrews and Ploberger (1994,Econometrica62, 1383–1414) and the supremum statistic of Andrews (1993,Econometrica61, 821–856). Their results are extended to allow trending and unit root regressors. Asymptotic results are derived for bothI(0) andI(1) errors. When the errors are highly persistent and it is not known which asymptotic theory (I(0) orI(1)) provides a better approximation, a conservative approach based on nearly integrated asymptotics is provided. Power of the mean statistic is shown to be nonmonotonic with respect to the break magnitude and is dominated by the exponential and supremum statistics. Versions of the tests applicable to first differences of the data are also proposed. The tests are applied to some macroeconomic time series, and the null hypothesis of a stable trend function is rejected in many cases.
Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle
Authors: Davis Richard A. , Dunsmuir William T.M.
Published: March 2009

This paper considers maximum likelihood estimation for the moving average parameter θ in an MA(1) model when θ is equal to or close to 1. A derivation of the limit distribution of the estimate θLM, defined as the largest of the local maximizers of the likelihood, is given here for the first time. The theory presented covers, in a unified way, cases where the true parameter is strictly inside the unit circle as well as the noninvertible case where it is on the unit circle. The asymptotic distribution of the maximum likelihood estimator subMLE is also described and shown to differ, but only slightly, from that of θLM. Of practical significance is the fact that the asymptotic distribution for either estimate is surprisingly accurate even for small sample sizes and for values of the moving average parameter considerably far from the unit circle.
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
Authors: Linton Oliver
Published: March 2009

We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989, Semiparametric Econometric Models: I. Estimation, Discussion paper 908, Cowles Foundation). We derive an ordern−1stochastic expansion and give a theorem justifying ordern−1distributional approximation of the Edgeworth type.
Nonparametric Two-Stage Estimation of Simultaneous Equations with Limited Endogenous Regressors
Authors: Lee Myoung-Jae
Published: March 2009

Estimation of simultaneous equations with limited (or transformed) endogenous regressors has been difficult in the parametric literature for various reasons. In this paper, we propose a nonparametric two-stage method that is analogous to two-stage least-squares estimation. A simultaneous censored model is used to illustrate our approach, and then its generalization to other cases is developed. The technical highlight is in handling a nondifferentiable second-stage minimand with an infinite-dimensional first-stage nuisance parameter when the first-stage error is not orthogonal to the second.
The Estimation of Continuous Parameter Long-Memory Time Series Models
Authors: Chambers Marcus J.
Published: March 2009

A class of univariate fractional ARIMA models with a continuous time parameter is developed for the purpose of modeling long-memory time series. The spectral density of discretely observed data is derived for both point observations (stock variables) and integral observations (flow variables). A frequency domain maximum likelihood method is proposed for estimating the longmemory parameter and is shown to be consistent and asymptotically normally distributed, and some issues associated with the computation of the spectral density are explored.
The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series
Authors: Abadir Karim M. , Larsson Rolf
Published: March 2009

Let (X1) be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (m.g.f.) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of interest, including the m.g.f. of functional of multivariate Ornstein-Uhlenbeck processes that arise asymptotically from more general (X1) processes as well.
The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test
Authors: Burridge Peter , Guerre Emmanuel
Published: March 2009

We derive the limit distribution of the number of crossings of a level by a random walk with continuously distributed increments, using a Brownian motion local time approximation. This complements the well-known result for the random walk on the integers. Use of the frequency of level crossings to test for a unit root is examined.
The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients
Authors: McCall Brian P.
Published: March 2009

This paper establishes conditions for the nonparametric identifiability of the mixed proportional hazards model with time-varying coefficients. Unlike the mixed proportional hazards model, a regressor with two distinct values is not sufficient to identify this model. An unbounded regressor, however, is sufficient for identification.
Spectral Analysis for Bivariate Time Series with Long Memory
Authors: Hidalgo J.
Published: March 2009

This paper provides limit theorems for spectral density matrix estimators and functionals of it for a bivariate covariance stationary process whose spectral density matrix has singularities not only at the origin but possibly at some other frequencies and, thus, applies to time series exhibiting long memory. In particular, we show that the consistency and asymptotic normality of the spectral density matrix estimator at a frequency, say λ, which hold for weakly dependent time series, continue to hold for long memory processes when λ lies outside any arbitrary neighborhood of the singularities. Specifically, we show that for the standard properties of spectral density matrix estimators to hold, only local smoothness of the spectral density matrix is required in a neighborhood of the frequency in which we are interested. Therefore, we are able to relax, among other conditions, the absolute summability of the autocovariance function and of the fourth-order cumulants or summability conditions on mixing coefficients, assumed in much of the literature, which imply that the spectral density matrix is globally smooth and bounded.
Estimation of Cointegration Vectors with Linear Restrictions
Authors: Saikkonen Pentti
Published: March 2009

A general approach for the estimation of cointegration vectors with linear restrictions is described. In the special case of zero restrictions, the cointegration relations of the paper are formally similar to the structural form of a traditional simultaneous equation model. The proposed estimation procedures require a conventional rank condition of identification but no exogeneity assumption. In place of exogenous variables there are series that are not cointegrated and can therefore describe the common trends in the system. The estimators of the paper are flexible and simple to use. They can be combined with several recent estimators developed for cointegration regressions which in the present context are formally similar to the reduced form of a simultaneous equation model. After the coefficient matrix of a cointegration regression has been estimated, the estimators of the paper can be obtained by simple generalized least squares. Both single equation estimators and more efficient system estimators are developed. The asymptotic distributions of the estimators are shown to be mixed normal so that Wald tests with asymptotic chi-square distributions under the null hypothesis can be obtained in the usual way. Convenient test procedures for checking the validity of overidentification restrictions are also provided.
Variable Augmentation Specification Tests in the Exponential Family
Authors: Gurmu Shiferaw , Trivedi Pravin K.
Published: March 2009

This paper motivates, exposits, and develops the variable augmentation specification test (VAST) approach from the perspective of generalized linear exponential family, which includes several parametric families widely used in applied econometrics and statistics. The approach is equivalent to score tests and link tests and serves to both unify and simplify the computation of score tests in such models using the Engle-Davidson-MacKinnon technique of artificial regression. Specification tests for both the mean and the variance components are treated symmetrically. Several theoretical applications are discussed.
Testing Identifiability and Specification in Instrumental Variable Models
Authors: Cragg John G. , Donald Stephen G.
Published: March 2009

The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.
A Curious Result on Exact FIML and Instrumental Variables
Authors: Calzolari Giorgio , Sampoli Letizia
Published: March 2009

The iterative application of an instrumental variable method to a system of simultaneous equations may exactly produce FIML, upon convergence. Instruments achieving this target do not need to be either uncorrelated with the error terms or correlated as much as possible with the replaced explanatory variables. This curious mathematical result, which contradicts some common wisdom and intuition, is proved in our paper. Our proof also provides a unified scheme that covers the available traditional instrumental variable interpretations of FIML, whether the model is linear or nonlinear, and whether covariance restrictions are or are not imposed.