bluuebunny/crossref_metadata_2025 huggingface dataset:
Assessing the Impact of Health Technology Assessment
Authors: Jacob Robert , Mcgregor Maurice
Published: March 2009

Methodology for evaluation of impact of health technology assessments (HTAs) is outlined and its use illustrated by applying it to 21 HTAs produced by CETS. Impact on policies and technology diffusion was identified in documents, through interviews, questionnaires, and use of data banks. There was evidence that all but three reports influenced policy and that cost-minimization studies caused savings of between $16 million and $27 million annually. Precise estimates of impact will seldom be possible, but systematic documentation of effects is feasible.
The Paradox of Decreasing Prices and Increasing Costs for Diagnostic Tests, Imaging, and Drugs in Japan
Authors: Ikegami Naoki , Ikeda Shunya
Published: March 2009

Analysis of the 1987–1991 national outpatient claims data shows that the percentage of patients undergoing sophisticated diagnostic tests tended to increase and was greater if the hospital was larger, in the public sector, or affiliated with an university. For imaging, the percentage that had CAT scans performed increased, while the percentage undergoing x-rays using contrast medium and other tomography decreased. However, for drugs, newer and more expensive ones tended to be preferred irrespective of the providers' characteristics. Although costs arising from the shift to more expensive and sophisticated technologies have been largely contained by reducing their prices in the fee schedule, this cost-containment strategy faces structural problems. We advocate the establishment of an infrastructure that offers incentives for providers to conduct technology assessment and to use the results.
EUR-ASSESS Project Subgroup Report on Coverage
Authors: Cranovsky Richard , Matillon Yves , Banta David
Published: March 2009

The issue of health benefits coverage—and its relation to health technology assessment (HTA)—has gained increasing attention in recent years. Economic constraints on health care, as well as the rapid pace of technological change, have forced European countries to face difficult choices in providing such care. The active use of coverage decision making has been proposed as a tool to help rationalize health care, and HTA has been advocated as a necessary activity to improve coverage decisions.
Speaking Up for Ourselves:The Evolution of Consumer Advocacy in Health Care
Authors: Bastian Hilda
Published: March 2009

Forces from communities and from health care are pushing toward more consumer involvement in health care internationally. This article addresses the philosophies and rationales behind this trend and traces the history and development of consumer advocacy in health care.
Developing Information Materials to Present the Findings of Technology Assessments to Consumers: The Experience of the NHS Centre for Reviews and Dissemination
Authors: Entwistle Vikki A. , Watt Ian S. , Davis Hilary , Dickson Rumona , Pickard Diane , Rosser Jilly
Published: March 2009

We discuss some of the issues that have arisen during the development and introduction into practice of information materials for health professionals and patients that aim to promote clinical effectiveness and informed patient participation in clinical decision making.
The Role of Media and Communication in Improving the Use of Drugs and Other Technologies
Authors: Sitthi-amorn Chitr , Ngamvithayapongse Jintana
Published: March 2009

Policy makers, health care providers, and the general public need valid information about the benefits and harmful effects of drugs and technologies to be able to make rational choices in their acquisition, distribution, and use. Effective communication is important for quality choices of drugs and other technologies. In effective communication, the choice of messages and media must correspond to the culture and beliefs of the target groups to make them comprehend and adopt the conclusions. Messages must be presented on a regular basis. Most regulatory agencies do not have enough resources to mount effective communication programs. Private advertising agencies and other stakeholders have definite roles. Valid knowledge must be the basis of dialogues to reduce emotional disputes among various benefit groups in society.
The Science and Politics of Dental Amalgam
Authors: Gelband Hellen
Published: March 2009

Dental amalgam—a mixture of elemental mercury and a silver-dominated metal alloy—has been the most widely used dental filling material for well over a century. Alternative materials exist but are not well suited for some important applications, and all are more expensive than amalgam. The toxic effects of occupational mercury exposure have long been known, but it was not until about 1980 that serious consideration was given to the possibility that mercury vapor escaping from amalgam fillings might be affecting health, specifically producing subtle effects on the central nervous system. Such effects have been reported among dentists and other dental personnel, whose exposures are well below industrial levels but above those from fillings alone. No large studies have been completed that examine the effects of mercury exposure from dental amalgam fillings. In the face of inadequate evidence on the possible risks of dental amalgam, countries have reacted disparately. Sweden is phasing out amalgam entirely, possibly by the end of 1997. Germany has produced guidelines for limiting its use, other countries have signaled their intention to reduce it, and others—the United States and Canada—have studied the matter but taken no action. Policy differences within Europe have made dental amalgam a test case for the European Community's new medical device regulations. Relatively little epidemiologic research has been initiated to try to answer the question of dental amalgam's possible health effects. An international effort to define and carry out a research agenda to guide public policy is called for.
Trials and Tribulations:Emerging Issues in Designing Economic Evaluations Alongside Clinical Trials
Authors: Coyle Douglas , Davies Linda , Drummond Michael F.
Published: March 2009

Decisions relating to designing and implementing economic evaluations alongside clinical trials are dependent on a number of issues. Initial consideration should focus on whether an economic evaluation is appropriate, whether a randomized controlled trial (RCT) is a suitable vehicle, and whether the design of the specific RCT is appropriate for integration of economic evaluation. If an economic evaluation is appropriate, decisions are required on how economic data are to be collected and analyzed. This paper discusses these and other issues and, where appropriate, provides recommendations for future studies.
Commentary
Authors: Stocking Barbara
Published: March 2009

There is no doubt that the U.S. Office of Technology Assessment was the leading body in getting technology assessment (TA) into health care. But it was an idea whose time had come. Several people around the world had all begun to look at the same issues, particularly focusing on the introduction of computed tomography (CT) scanners. I sometimes wonder what would have happened to TA if CT scanners had not appeared just at that time!
Commentary
Authors: Sisk Jane E.
Published: March 2009

Technology assessment in health care seeks to evaluate intended and unintended consequences of the use of technology across a broad range that includes health, economic, legal, ethical, and other social implications. In conducting such evaluations, analysts draw on methods and information from an equally broad range of disciplines. The field of technology assessment thus itself conforms to the definition of a technology, that is, the application of knowledge to a purpose.
Schizophrenia and Antipsychotic Somatic Treatment
Authors: Lindström Leif H. , Wieselgren Ing-Marie
Published: March 2009

Schizophrenia typically affects individuals in early life and leads to long-term suffering at high cost to both the individual and the community. Structural, functional, and biochemical factors may play a role in the pathogenesis, and perhaps the course, of schizophrenia. Although early research into the treatment of schizophrenia was not fruitful, the results of recent research, particularly the use of narcoleptics combined with new clinical appreciation of psychosocial factors in chronic psychotic disorders, give reason for hope and optimism.
Technologies for the Delivery of Mental Health Care
Authors: Mechanic David
Published: March 2009

Mental health services depend both on efficacious drug and interpersonal interventions and strategies for financing, organizing, and delivering these services. In recent years, much attention has been devoted to approaches that seek to coordinate needed care and to provide it in the most cost-effective ways. Cost constraints encourage the substitution of alternative community treatments for expensive inpatient care and the identification of appropriate ways to link effectively the varying care components. The mechanism most commonly advocated is case management, but the concept is applied in diverse ways and has little agreed upon meaning and disparate outcomes. This paper discusses and evaluates concepts of case management and a variety of other systems interventions designed to reduce fragmentation. It also reviews approaches to managed care, including mental health capitation and utilization management. New organizational technologies are likely to change dramatically professional practices and standards and the future provision of mental health care.
Economic Analysis Alongside Clinical Trials: Bias in the Assessment of Economic Outcomes
Authors: Ellwein Leon B. , Drummond Michael F.
Published: March 2009

Clnical trial randomization schemes to control patient characteristics that can influence clinical response are not sufficient to control for their effects on operational efficiency and cost within the provider institution. This variation can result in biased economic findings when patients are allowed to select a provider themselves.
Using Research Synthesis in Medical Technology Assessment
Authors: Wortman Paul M. , Yeaton William H.
Published: March 2009

This article describes the use of research synthesis procedures (e.g., meta-analysis) in evaluating medical technologies. The synthesis process involves retrieval, extraction, and analysis of pertinent information from a set of research studies. There are several advantages of research synthesis: determining overall effectiveness, explaining seemingly contradictory findings, providing a standard measure of effect, and increasing statistical power. In addition, such syntheses provide timely results that can assist various policy decisions such as initiating clinical trials at NIH, reimbursement at HCFA, and answering NIH consensus conference questions. The authors' synthesis of the research literature on coronary artery bypass graft surgery (CABGS) illustrates how this method can address the various elements of a technology assessment such as safety, efficacy, and cost-effectiveness. The paper concludes by noting how research synthesis can be particularly advantageous in assessing technologies that are rapidly evolving (e.g., lytic agents for acute myocardial infarction).
A Note on Confidence Intervals in Cost-Effectiveness Analysis
Authors: Tambour Magnus , Zethraeus Niklas , Johannesson Magnus
Published: March 2009

How to obtain confidence intervals for cost-effectiveness ratios is complicated by the statistical problems of obtaining a confidence interval for a ratio of random variables. Different approaches have been suggested in the literature, but no consensus has been reached. We propose an alternative simple solution to this problem. By multiplying the effectiveness units by the price per effectiveness unit, both costs and benefits can be expressed in monetary terms and standard statistical techniques can be used to estimate a confidence interval for net benefits. This approach avoids the ratio estimation problem and explicitly recognizes that the price per effectiveness unit has to be known to provide cost-effectiveness analysis with a useful decision rule.
Physicians' Patterns of Using a Computerized Collection of Guidelines for Primary Care
Authors: Jousimaa Jukkapekka , Kunnamo Ilkka , Mäkelä Marjukka
Published: March 2009

Physician's Desk Reference and Database is a Finnish collection of computerized primary care guidelines. The program has been in clinical use since 1989. For this study, a function producing a log file of all searches was added to the program. Two hundred twenty-seven users returned log files that contained 15,267 searches. The users made 3.12 (range 1–10.4) searches per day. The average time needed to find and read an article was 4.9 minutes. Sufficient facts were found in 71% of the searches. Dermatology was the most popular field of interest, followed by infectious diseases and cardiology.
High Technology Medicine and Quality of Life
Authors: Jennett Bryan
Published: March 2009

A common criticism of high technology is that therapeutic objectives are sometimes secured at too high a price in loss of quality of life. Certainly some interventions serve only to prolong life that is already of unacceptable quality to the patient (some rescues in intensive care and salvage surgery for cancer). Others leave the patient with less good quality of life than he enjoyed before treatment, either because the crisis that called for rescue had lasting effects (incomplete recovery from severe head injury) or because the intervention itself had inevitable adverse effects (mastectomy, laryngectomy, colostomy). Yet some life-extending technologies can improve dramatically the quality of a patient's life (renal and heart transplantation), while others are directed primarily at improving quality of life (hip replacement and coronary bypass surgery). When the ultimate result of technological intervention is improved quality of life or a reasonable extension of life of quality, then some temporary impairment of life's quality may be justifiable. The problem is to discover in which clinical circumstances the benefits expected from high technology are both great enough, and are also likely enough to be realized, to justify the resources that have to be expended by society and the inevitable burdens that have to be borne by the patient (11).
The Medical Computing “lag”: Perceptions of Barriers to the Application of Computers to Medicine
Authors: Kaplan Bonnie
Published: March 2009

Since the early days of medical computing, medical computer researchers have envisioned how computers could benefit medical research and practice and have deplored the inability of medicine to take full advantage of the computer's power. They, and others, have analyzed the causes for the medical computing “lag.” These analyses identify a wide range of difficulties that the introduction of computers into medicine faced, and continues to face.
Internet Information Sources for the Identification of Emerging Health Technologies: A Starting Point
Authors: Trindade Evelinda , Topfer Leigh-Ann , De Giusti Mara
Published: March 2009

The basis of an early warning system for new and emerging health technologies is information, and in particular, information that has been selectively extracted from the huge quantity of data in the fields of medicine, science, and biobusiness. The information will be useful only if presented in a format suitable to the needs of health care decision makers and produced at the time most likely to influence the introduction or diffusion of new technologies. In 1997 the Canadian Coordinating Office for Health Technology Assessment (CCOHTA) began a one-year pilot project to identify and provide information on developments in medical technologies that may have a significant impact on health care in Canada. We began by examining the information available to us through the Internet, based on the assumption that electronic sources can offer more timely access to a greater range of information, often with little or no cost involved. It was important to identify the sites that offered the most relevant information in the least amount of time.
The Preliminary Economic Evaluation of Health Technologies for the Prioritization of Health Technology Assessments: A Discussion
Authors: Harper Gareth , Townsend Joy , Buxton Martin
Published: March 2009

This paper critically evaluates methods for the preliminary economic evaluation of health technologies and the prioritization of health technology assessment projects. It reports on the literature, and considers methods currently employed and the purposes of preliminary appraisal. It concludes that a preliminary economic appraisal needs to be applied to the two main stages of the prioritization process; to have transparent criteria; to allow for an appropriate range of potential outcomes; to be practicable, flexible, and efficient; and to be relevant to the assessment of different research projects.
Scanning the Horizon for Emerging Health Technologies: Conclusions from a European Workshop
Authors: Carlsson Per , Jorgensen Torben
Published: March 2009

To share the existing, albeit limited, experience among nations and to explore the feasibility of international collaboration on the identification and early evaluation of health care technologies, an workshop was arranged in September 1997. Twenty-seven policy makers and researchers from twelve countries attended the meeting and concluded that: the policy environment in most European countries is characterized by insufficient data on safety, effectiveness, and cost-effectiveness of health care innovations; that an early warning system is perceived as an essential mechanism for facilitating communication among policy makers, technology experts, and health professionals; and that collaboration on early warning activities might be even more useful than traditional collaboration in health technology assessment.
Assessing the Predictive Validity of the RAND/UCLA Appropriateness Method Criteria for Performing Carotid Endarterectomy
Authors: Shekelle Paul G. , Chassin Mark R. , Park R. E.
Published: March 2009

We assessed the predictive validity of an expert panel's ratings of the appropriateness of carotid endarterectomy by comparing ratings to the results of subsequent randomized clinical trials. We found the trials confirmed the ratings for 44 indications (covering almost 30% of operations performed in 1981) and refuted the ratings for none.
A Training Course in Health Technology Assessment in Malaysia
Authors: Sivalal Sadasivan , Banta H. David , 't Hoen Ellen F. M. , Rusilawati Jaudin
Published: March 2009

This article describes a 1-week training course in health technology assessment (HTA) presented in Malaysia by the Ministry of Health in 1996. Malaysia established an HTA unit in the Ministry of Health in 1995 and a National Health Technology Assessment Program in 1996. The purpose of the course was to develop HTA knowledge and skills in Malaysia, since these are largely lacking. The course consisted of didactic sessions and group work. Didactic sessions covered the principles of HTA. Group work was for the purpose of developing practical skills, and was based on reports from HTA agencies, published articles, and candidates for assessment suggested by course participants. Course participants were a mix of physicians, nurses, hospital administrators, and Ministry of Health officials. Experiences in this course may be helpful to others who wish to organize training courses in developing countries.
The Costs of Treating Breast Cancer in the United Kingdom: Implications for Screening
Authors: Wolstenholme Jane L. , Smith Sarah J. , Whynes David K.
Published: March 2009

Total treatment costs by stage at diagnosis are estimated for a sample of breast cancer patients. At 4 years, stage 4 cancers emerge as being more expensive to treat than those at earlier stages, although this difference fails to achieve significance when expected lifetime costs are considered. The inclusion of treatment cost estimates in a screening model indicates that screening may increase expected treatment costs by a marginal amount, although the model also suggests that the cost effectiveness ratio of breast cancer screening might be better than had originally been thought.
Indications for Continuous Positive Airway Pressure and Respirator Therapy
Authors: Jonzon Anders
Published: March 2009

Continuous positive airway pressure was rediscovered and described by Gregory et al. (13) and has since been accepted as an aid in the treatment of newborn infants with pulmonary disease. A variety of technical solutions with beneficial effects for the newborn infant with respiratory distress has been described. Early treatment with continuous positive airway pressure is reported to reduce the length of time in which the demand for oxygen is increased and to make it possible, during a subsequent period on mechanical ventilation, to ventilate the infants at lower airway pressures than when continuous positive airway pressure is started late and the pulmonary disease is allowed to progress more rapidly (8;19).
Persistent Pulmonary Hypertension of the Newborn
Authors: Lister George
Published: March 2009

Persistent pulmonary hypertension of the newborn or persistent fetal circulation is a clinical syndrome that is usually apparent within the first 2 days after birth because of the presence of hypoxemia (2;12;19). The syndrome was first described in an abstract by Gersony, Due, and Sinclair (6) in 1969. Two infants were reported who had “RV decompensation, cyanosis and clear lung fields… in the absence of recognizable cardiac, pulmonary, hematologic or CNS disease.” The syndrome has been associated with aspiration of meconium, diaphragmatic hernia, asphyxia, hemorrhage, shock, and maternal infection (4;18). In other cases, there is no clear antecedent event. Despite considerable interest in the problem and a wealth of research related to pulmonary vasoregulation and vascular development in the fetus and newborn, the etiology of the syndrome remains obscure 20 years since its recognition.
Persistent Patent Ductus Arteriosus
Authors: Clyman Ronald I.
Published: March 2009

Two observations about the ductus arteriosus are established: most normally developed infants will have a patent ductus arteriosus (PDA) at the time of delivery, and most fullterm infants will have anatomic obliteration of the ductus lumen by 3–6 months of age. Studies designed to determine how a PDA contributes to an infant's morbidity or when a PDA becomes a persistently patent ductus arteriosus have been hampered by the lack of consistent diagnostic criteria for defining the condition. Ellison et al. (22) attempted to evaluate several commonly used criteria for diagnosing a large leftto-right shunt through the ductus arteriosus by noting the occurrence of each sign both before and 36–48 hours after surgical ligation. No single criterion sufficed as an indicator of PDA. Certain signs, such as continuous murmur or hyperactive left ventricular impulse, were specific for a PDA, but lacked sensitivity; conversely, M-mode echocardiography and ventilatory support criteria were very sensitive but lacked specificity.
What is the Cost of a Handicapped Child in Sweden?
Authors: Svenningsen Nils W.
Published: March 2009

For several reasons, the question posed by the title of this article cannot be answered in simple terms of monetary values or quality of life. The main reason is that it is impossible to define the concept “handicapped” in a clearcut manner. The definition of handicap will change with time and place and with “the eyes of the beholder,” whether he or she is a family member, relative, employer, administrator, or a representative, politically or otherwise of the society.
Assessing the Scientific Basis of Antenatal Care The Case of Sweden
Authors: Lindmark Gunilla
Published: March 2009

The Swedish routine program for antenatal care is based on a number of scheduled visits for the detection of symptomless complications, as well as psychosocial support and health education. The scientific evidence to support the present timing and contents of routine visits is unsatisfactory, and there is a great need for evaluation both of single diagnostic procedures and interventions and of programs of antenatal care.
Methodological Problems and Possible Endpoints in the Evaluation of Antenatal Care
Authors: Bakketeig Leiv S.
Published: March 2009

Antenatal care is evaluated based on observational trend studies, geographical comparisons, medical audits, and randomized trials. The last method is preferable and should be applied whenever feasible. Most components of antenatal care have not been properly evaluated. In order to evaluate an antenatal care program, a randomized study is suggested using geographical areas as units of randomization.
Register Studies and Clinical Studies in the Evaluation of Antenatal Care
Authors: Meirik Olav
Published: March 2009

The advantages and limitations of national registers containing individual identification numbers in clinical epidemiological research are reviewed. The author concludes that such registers are very valuable for epidemiological research and for formulation of research questions of public health importance.
Alcohol and Narcotics:Epidemiology and Pregnancy Risks
Authors: Olegård Ragnar
Published: March 2009

Among alcohol and narcotics, alcohol is most comprehensively documented as a teratogen. However, for all other narcotics, data are continuously accumulating, convincingly displaying the teratogenic effects. The proportions between “somatic” teratogenicity and “behavioral” teratogenicity vary between the different agents. Preventive work in prenatal clinics and among social workers, as well as objective mass media attention to the problem, seems to have lowered the incidence of severe fetal alcohol syndrome where the above-mentioned activities have been practiced. The female alcohol consumption in Sweden decreased from 1976 to 1985; thereafter, a slow continuous increase is underway again, in Sweden the number of recruits to narcotic abuse peaked in the 1970s and early 1980s. Thereafter, the number of recruits among females decreased, but abuse has continued among the members of the older age groups.
A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
Authors: Perron Pierre
Published: March 2009

We consider the least-squares estimator in a strictly stationary first-order autoregression without an estimated intercept. We study its continuous time asymptotic distribution based on an asymptotic framework where the sampling interval converges to zero as the sample size increases. We derive a momentgenerating function which permits the calculation of percentage points and moments of this asymptotic distribution and assess the adequacy of the approximation to the finite sample distribution. In general, the approximation is excellent for values of the autoregressive parameter near one. We also consider the behavior of the power function of tests based on the normalized leastsquares estimator. Interesting nonmonotonic properties are uncovered. This analysis extends the study of Perron [15] and helps to provide explanations for the finite sample results established by Nankervis and Savin [13].
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
Authors: Lütkepohl Helmut , Poskitt D.S.
Published: March 2009

Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time series generated by possibly infinite order processes. The resulting asymptotic distributions of forecast error variance decompositions are also given.
Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988
Authors: Hall A. D.
Published: March 2009

Fourteen leading international journals that publish econometrics articles are used to provide data on institutional activity in econometrics over the period 1980–1988. From this data base, institutional rankings are constructed separately for theoretical econometrics and all econometrics publications, according to standardized page counts of articles published in these journals. Some indication is given as to how institutional rankings have changed over this period.
Unbiased Estimation of the MSE Matrix of Stein-Rule Estimators, Confidence Ellipsoids, and Hypothesis Testing
Authors: Carter R.A.L. , Srivastava M.S. , Srivastava V.K. , Ullah A.
Published: March 2009

We first present an unbiased estimator of the MSE matrix of the Stein-rule estimator of the coefficient vector in a normal linear regression model. The Steinrule estimator can be used with both its estimated MSE matrix and with the least-squares MSE matrix to form confidence ellipsoids. We derive the approximate expected squared volumes and coverage probabilities of these confidence sets and discuss their ranking. These results can be applied to the conditional prediction of the mean of the endogenous variable. We also consider the power of F-tests which employ the Stein-rule estimator in place of the least-squares estimator.
Asymptotic Expansions of the Distributions of Statistics Related to the Spectral Density Matrix in Multivariate Time Series and Their Applications
Authors: Taniguchi Masanobu , Maekawa Koichi
Published: March 2009

Let {X(t)} be a multivariate Gaussian stationary process with the spectral density matrix f0(ω), where θ is an unknown parameter vector. Using a quasi-maximum likelihood estimator θ̂ of θ, we estimate the spectral density matrix f0(ω) by fθ̂(ω). Then we derive asymptotic expansions of the distributions of functions of fθ̂(ω). Also asymptotic expansions for the distributions of functions of the eigenvalues of fθ̂(ω) are given. These results can be applied to many fundamental statistics in multivariate time series analysis. As an example, we take the reduced form of the cobweb model which is expressed as a two-dimensional vector autoregressive process of order 1 (AR(1) process) and show the asymptotic distribution of θ̂, the estimated coherency, and contribution ratio in the principal component analysis based on θ̂ in the model, up to the second-order terms. Although our general formulas seem very involved, we can show that they are tractable by using REDUCE 3.
Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models
Authors: Hall Peter , Horowitz Joel L.
Published: March 2009

Quantile and semiparametric M estimation are methods for estimating a censored linear regression model without assuming that the distribution of the random component of the model belongs to a known parametric family. Both methods require estimating derivatives of the unknown cumulative distribution function of the random component. The derivatives can be estimated consistently using kernel estimators in the case of quantile estimation and finite difference quotients in the case of semiparametric M estimation. However, the resulting estimates of derivatives, as well as parameter estimates and inferences that depend on the derivatives, can be highly sensitive to the choice of the kernel and finite difference bandwidths. This paper discusses the theory of asymptotically optimal bandwidths for kernel and difference quotient estimation of the derivatives required for quantile and semiparametric M estimation, respectively. We do not present a fully automatic method for bandwidth selection.
The Effect of Nonnormality
Authors: Lieberman Offer
Published: March 2009

A typical statistic encountered can be characterized as a ratio of polynomials of arbitrary degree in a random vector. This vector may possess any admissible cumulant structure. We provide in this paper general formulae for the effect of nonnormality on the density and distribution functions of this ratio. The results appear in terms of generalized cumulants, a theory developed by McCullagh (1984,Biometrika71, 461–476). With the aid of suitable notation, the expressions are applied to the distributions of tests for heteroskedasticity and autocorrelation, the least-squares estimator of the autoregressive coefficient in a dynamic model, and tests for linear restrictions.
Central Limit Theorems for Dependent Heterogeneous Random Variables
Authors: de Jong Robert M.
Published: March 2009

This paper presents central limit theorems for triangular arrays of mixingale and near-epoch-dependent random variables. The central limit theorem for near-epoch-dependent random variables improves results from the literature in various respects. The approach is to define a suitable Bernstein blocking scheme and apply a martingale difference central limit theorem, which in combination with weak dependence conditions renders the result. The most important application of this central limit theorem is the improvement of the conditions that have to be imposed for asymptotic normality of minimization estimators.
Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data
Authors: Bergstrom A.R.
Published: March 2009

This paper develops an algorithm for the exact Gaussian estimation of a mixed-order continuous-time dynamic model, with unobservable stochastic trends, from a sample of mixed stock and flow data. Its application yields exact maximum likelihood estimates when the innovations are Brownian motion and either the model is closed or the exogenous variables are polynomials in time of degree not exceeding two, and it can be expected to yield very good estimates under much more general circumstances. The paper includes detailed formulae for the implementation of the algorithm, when the model comprises a mixture of first- and second-order differential equations and both the endogenous and exogenous variables are a mixture of stocks and flows.
On Asymptotic Inference in Linear Cointegrated Time Series Systems
Authors: Jeganathan P.
Published: March 2009

This paper considers vector-valued nonstationary time series models, in particular, autoregressive models, whose nonstationarity is driven by a few nonstationary (induced by “unit roots”) trends, in such a way that some of the linear combinations of the components of the vector model will be stationary. Models of this form are called cointegrated models. These stationary linear combinations are called cointegrating relationships. Asymptotic inference problems associated with the parameters of the cointegrating relationships when the remaining parameters are treated as unknown nuisance parameters are considered. Similarly, inference problems associated with the unit roots are considered. All possible unit roots, including complex ones, together with their possible multiplicities, are allowed. The framework under which the asymptotic inference problems are dealt with is the one described in LeCam (1986,Asymptotic Methods in Statistical Decision Theory) and LeCam and Yang (1990,Asymptotics in Statistics: Some Basic Concepts), though it will be seen that the usual normal or mixed normal situations do not apply in the present context.
Multivariate Linear Rational Expectations Models
Authors: Binder Michael , Pesaran M. Hashem
Published: March 2009

This paper considers the solution of multivariate linear rational expectations models. It is described how all possible classes of solutions (namely, the unique stable solution, multiple stable solutions, and the case where no stable solution exists) of such models can be characterized using the quadratic determinantal equation (QDE) method of Binder and Pesaran (1995, in M.H. Pesaran & M. Wickens [eds.], Handbook of Applied Econometrics: Macroeconomics, pp. 139–187. Oxford: Basil Blackwell). To this end, some further theoretical results regarding the QDE method expanding on previous work are presented. In addition, numerical techniques are discussed allowing reasonably fast determination of the dimension of the solution set of the model under consideration using the QDE method. The paper also proposes a new, fully recursive solution method for models involving lagged dependent variables and current and future expectations. This new method is entirely straightforward to implement, fast, and applicable also to high-dimensional problems possibly involving coefficient matrices with a high degree of singularity.
A Note on the Normalized Errors in ARCH and Stochastic Volatility Models
Authors: Nelson Daniel B.
Published: March 2009

It is well-known that conditional heteroskedasticity thickens the tails of the unconditional distribution of an error term relative to its conditional distribution. To what extent do imperfect forecasts of the conditional variance undo this tail thickening? This note considers the effect of changing the quality of the information embodied in a forecast of a conditional variance. Adding noise of a certain form thickens the tails of the normalized errors, but decreasing the amount of information used in the forecast may or may not thicken the tails. We also explore the relation between tail thickness and various notions of “optimal” volatility forecasts. The relationship is surprisingly complicated.
A Note on Bootstrapping Generalized Method of Moments Estimators
Authors: Hahn Jinyong
Published: March 2009

Recently, Arcones and Giné (1992, pp. 13–47, in R. LePage & L. Billard [eds.], Exploring the Limits of Bootstrap, New York: Wiley) established that the bootstrap distribution of the M-estimator converges weakly to the limit distribution of the estimator in probability. In contrast, Brown and Newey (1992, Bootstrapping for GMM, Seminar note) discovered that the bootstrap distribution of the GMM overidentification test statistic does not converge weakly to the x2 distribution. In this paper, it is shown that the bootstrap distribution of the GMM estimator converges weakly to the limit distribution of the estimator in probability. Asymptotic coverage probabilities of the confidence intervals based on the bootstrap percentile method are thus equal to their nominal coverage probability.
Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples
Authors: Ghysels Eric , Lieberman Offer
Published: March 2009

It is common for an applied researcher to use filtered data, like seasonally adjusted series, for instance, to estimate the parameters of a dynamic regression model. In this paper, we study the effect of (linear) filters on the distribution of parameters of a dynamic regression model with a lagged dependent variable and a set of exogenous regressors. So far, only asymptotic results are available. Our main interest is to investigate the effect of filtering on the small sample bias and mean squared error. In general, these results entail a numerical integration of derivatives of the joint moment generating function of two quadratic forms in normal variables. The computation of these integrals is quite involved. However, we take advantage of the Laplace approximations to the bias and mean squared error, which substantially reduce the computational burden, as they yield relatively simple analytic expressions. We obtain analytic formulae for approximating the effect of filtering on the finite sample bias and mean squared error. We evaluate the adequacy of the approximations by comparison with Monte Carlo simulations, using the Census X-11 filter as a specific example
BAYESIAN ECONOMETRICS: The First Twenty Years
Authors: QIN Duo
Published: March 2009

This paper sketches the history of how Bayesian inference was adopted and utilized in econometrics during its first 20 years. It focuses on the causes of the Bayesian movement, the ways in which Bayesian inference was applied, the problems that the application was intended to solve, and the results achieved. It shows that Bayesian research has largely followed mainstream econometric development as far as the major econometric ideas and methods are concerned and that Bayesian reformulation of mainstream econometrics has nevertheless helped in deepening econometricians' understanding of many modeling problems by presenting them from a different angle.
Robust Model Selection and M-Estimation
Authors: Machado José A.F.
Published: March 2009

This paper studies the qualitative robustness properties of the Schwarz information criterion (SIC) based on objective functions defining M-estimators. A definition of qualitative robustness appropriate for model selection is provided and it is shown that the crucial restriction needed to achieve robustness in model selection is the uniform boundedness of the objective function. In the process, the asymptotic performance of the SIC for general M-estimators is also studied. The paper concludes with a Monte Carlo study of the finite sample behavior of the SIC for different specifications of the sample objective function.
Consistency of a Method of Moments Estimator Based on Numerical Solutions to Asset Pricing Models
Authors: Burnside Craig
Published: March 2009

This paper considers the properties of estimators based on numerical solutions to a class of economic models. In particular, the numerical methods discussed are those applied in the solution of linear integral equations, specifically Fredholm equations of the second kind. These integral equations arise out of economic models in which endogenous variables appear linearly in the Euler equations, but for which easily characterized solutions do not exist. Tauchen and Hussey [24] have proposed the use of these methods in the solution of the consumption-based asset pricing model. In this paper, these methods are used to construct method of moments estimators where the population moments implied by a model are approximated by the population moments of numerical solutions. These estimators are shown to be consistent if the accuracy of the approximation is increased with the sample size. This result depends on the solution method having the property that the moments of the approximate solutions converge uniformly in the model parameters to the moments of the true solutions.
Determination of Estimators with Minimum Asymptotic Covariance Matrices
Authors: Bates Charles E. , White Halbert
Published: March 2009

We give a straightforward condition sufficient for determining the minimum asymptotic variance estimator in certain classes of estimators relevant to econometrics. These classes are relatively broad, as they include extremum estimation with smooth or nonsmooth objective functions; also, the rate of convergence to the asymptotic distribution is not required to ben−½. We present examples illustrating the content of our result. In particular, we apply our result to a class of weighted Huber estimators, and obtain, among other things, analogs of the generalized least-squares estimator for leastLp-estimation, 1 ≤p< ∞.
A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
Authors: Shin Yongcheol
Published: March 2009

This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned, and detrended cases. Combining results from our test for cointegration with results from the Phillips-Ouliaris test for no cointegration, we find that there is evidence of cointegration between real consumption and real disposable income over the postwar period.
Some Exact Distribution Results for the Partially Restricted Reduced form Estimator
Authors: Kinal Terrence W. , Knight John L.
Published: March 2009

This paper considers some finite sample properties of the partially restricted reduced form estimators in a general (n + 1) endogenous variable model. In particular, the characteristic functions, density functions, and moments are examined for both the vector of estimators and a linear combination. The approach utilizes both invariant polynomials of matrix argument (see Chikuse and Davis [4] and Davis [6]) and fractional calculus techniques (see Phillips [20,25,26]).
Haavelmo's Identification Theory
Authors: Aldrich John
Published: March 2009

This paper treats the theory of identification presented in Haavelmo's classic work,The Probability Approach in Econometrics. This was the first identification theory for stochastic models to be developed in econometrics. The paper presents a detailed commentary on Haavelmo's analysis. It also examines the development of Haavelmo's theory from Frisch's analysis of multicollinearity and also the relationship between Haavelmo's analysis and later work on identification.
Power of Tests for Nonlinear Transformation in Regression Analysis
Authors: Kobayashi Masahito
Published: March 2009

This paper compares the local power of tests for a nonlinear transformation of the dependent variable in a regression model against the alternative hypothesis of a linear transformation. It is shown that the local power of the Cox test is higher than those of the extended projection test of MacKinnon, White, and Davidson, and Bera and McAleer's test. The theoretical result is supported by a Monte-Carlo experiment in testing for a regression model with a logarithmically transformed dependent variable against a linear regression model.
Priors For The Ar(1) Model: Parameterization Issues and Time Series Considerations
Authors: Schotman Peter C.
Published: March 2009

Two issues have come up in the specification of a prior in the Bayesian analysis of time series with possible unit roots. The first issue deals with the singularity that is due to the local identification problem of the unconditional mean of an AR(1) process in the limit of a random walk. This singularity problem is related to the difference between a structural parameterization and the linear reduced form in a standard regression model with fixed regressors. The second is related to the time series nature of the regressor in an AR(1) model. In this paper we will concentrate on the parameterization issue. First, it is shown that the posterior of the autoregressive parameter can be very sensitive to the degree of prior dependence between the unconditional mean and the autocorrelation parameter. Second, the time series nature of the problem suggests a particular form of this dependence.
What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective
Authors: Uhlig Harald
Published: March 2009

This paper summarizes recent Bayesian research on unit roots for the applied macroeconomist in the way Campbell and Perron [8] summarized the classical unit roots perspective. The appropriate choice of a prior is discussed. In recognizing a consensus distaste for explosive roots, I find the popular Normal-Wishart priors centered at the unit root to be reasonable provided they are modified by concentrating the prior mass for the time trend coefficient toward zero as the largest root approaches unit from below. I discuss that the tails of the predictive density can be sensitive to the prior treatment of explosive roots. Because the focus of an investigation often is on a particular persistence property or medium-term forecasting property of the data, I conclude that Bayesian methods often deliver natural answers to macroeconomic questions.