Information Set (information + set)

Distribution by Scientific Domains
Distribution within Business, Economics, Finance and Accounting


Selected Abstracts


Managed Care Quality of Care and Plan Choice in New York SCHIP

HEALTH SERVICES RESEARCH, Issue 3 2009
Hangsheng Liu
Objective. To examine whether low-income parents of children enrolled in the New York State Children's Health Insurance Program (SCHIP) choose managed care plans with better quality of care. Data Sources. 2001 New York SCHIP evaluation data; 2001 New York State Managed Care Plan Performance Report; 2000 New York State Managed Care Enrollment Report. Study Design. Each market was defined as a county. A final sample of 2,325 new enrollees was analyzed after excluding those in markets with only one SCHIP plan. Plan quality was measured using seven Consumer Assessment of Health Plans Survey (CAHPS) and three Health Plan Employer Data and Information Set (HEDIS) scores. A conditional logit model was applied with plan and individual/family characteristics as covariates. Principle Findings. There were 30 plans in the 45 defined markets. The choice probability increased 2.5 percentage points for each unit increase in the average CAHPS score, and the association was significantly larger in children with special health care needs. However, HEDIS did not show any statistically significant association with plan choice. Conclusions. Low-income parents do choose managed care plans with higher CAHPS scores for their newly enrolled children, suggesting that overall quality could improve over time because of the dynamics of enrollment. [source]


Assessment and Interpretation of Comorbidity Burden in Older Adults with Cancer

JOURNAL OF AMERICAN GERIATRICS SOCIETY, Issue 2009
Siran M. Koroukian PhD
OBJECTIVES: To evaluate the associations between comorbidities, functional limitations, geriatric syndromes, treatment patterns, and outcomes in a population-based cohort of older patients diagnosed with colorectal cancer and receiving home health care. DESIGN: Retrospective study. SETTING: Data from the Ohio Cancer Incidence Surveillance System, Medicare claims and enrollment files, and the home health care Outcome and Assessment Information Set. PARTICIPANTS: Ohio residents diagnosed with incident colorectal cancer in 1999 to 2001 and receiving home health care in the 30 days before or after cancer diagnosis (N=957). MEASUREMENTS: Outcome measures included receipt of cancer treatment and survival through 2005. RESULTS: Not having surgery was associated negatively with comorbidities but positively with functional limitations and geriatric syndromes. Receipt of chemotherapy was negatively associated with comorbidities and functional limitations. The presence of two or more geriatric syndromes was significantly associated with unfavorable survival outcomes when analyzing overall survival and disease-specific survival (DSS). Having limitations in two or more activities of daily living was associated with unfavorable overall survival but not with DSS. Comorbity was associated with favorable DSS at borderline level of statistical significance but not with overall survival. CONCLUSION: The findings highlight the importance of incorporating functional limitations and geriatric syndrome data in geriatric oncology outcomes studies. [source]


Accuracy in the outcomes and assessment information set (OASIS): Results of a video simulation

RESEARCH IN NURSING & HEALTH, Issue 4 2003
Elizabeth A. Madigan
Abstract There is little information regarding the accuracy of the Outcomes and Assessment Information Set (OASIS), the patient assessment tool mandated for use in Medicare-funded home health care. The purposes of this study were to evaluate the accuracy of OASIS completion by home health nurses and rehabilitation therapists, to compare responses of nurses and therapists, and to determine whether dispersion of answers would affect the home health resource group (HHRG) to which patients were assigned for Medicare home health care payments to agencies. Using a video simulation of admission and discharge visits, 436 clinicians from 29 Ohio home health care agencies scored selected OASIS items. Although the majority of the items were rated accurately, discrepancies were found between clinician responses and the "correct" answer on several items. Nurses and therapists provided similar ratings on most items studied, but for most cases in which discrepancies were found, nurses were more likely to agree with the "correct" answer. Discrepancies most often led to patients being assigned to lower-payment HHRGs. Continued monitoring of OASIS data collection accuracy is recommended to maximize the value of the OASIS instrument in home health care research, practice, and policy. © 2003 Wiley Periodicals, Inc. Res Nurs Health 26:273,283, 2003 [source]


Modelling Probabilities of Devaluations

ECONOMICA, Issue 281 2004
Gabriela Mundaca
I show why, when the realized rates of depreciation within the exchange rate band are regressed on a given information set and conditioned on (ex post) actual no realignment (à la drift adjustment), a ,peso problem' is still encountered. The reason is that the frequency of realignments in the data need not be the same as the frequency of the (even small) subjective probabilities that a realignment may take place. I suggest an alternative approach to solve the peso problem and provide consistent estimates. My estimates of the expected realignment rates are greater than the ones obtained using the drift adjustment method. [source]


Predicting the signs of forecast errors

JOURNAL OF FORECASTING, Issue 5 2010
Nazaria Solferino
Abstract The signs of forecast errors can be predicted using the difference between individuals' forecasts and the average of earlier forecasts of the same variable. It is possible to improve forecasts without worsening any. It is difficult to reconcile this result with the rational expectations hypothesis because the average of earlier forecasts is in the information set of the forecasters. Copyright © 2009 John Wiley & Sons, Ltd. [source]


Forecasting key macroeconomic variables from a large number of predictors: a state space approach

JOURNAL OF FORECASTING, Issue 4 2010
Arvid Raknerud
Abstract We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2,2005Q4. The model is used to obtain forecasts for 22 key variables that can be derived from the original variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using the dynamic factor model, but that the gain is notable only for a few of the key variables. Copyright © 2009 John Wiley & Sons, Ltd. [source]


Selection of the relevant information set for predictive relationships analysis between time series

JOURNAL OF FORECASTING, Issue 8 2002
Umberto Triacca
Abstract In time series analysis, a vector Y is often called causal for another vector X if the former helps to improve the k -step-ahead forecast of the latter. If this holds for k=1, vector Y is commonly called Granger-causal for X. It has been shown in several studies that the finding of causality between two (vectors of) variables is not robust to changes of the information set. In this paper, using the concept of Hilbert spaces, we derive a condition under which the predictive relationships between two vectors are invariant to the selection of a bivariate or trivariate framework. In more detail, we provide a condition under which the finding of causality (improved predictability at forecast horizon 1) respectively non-causality of Y for X is unaffected if the information set is either enlarged or reduced by the information in a third vector Z. This result has a practical usefulness since it provides a guidance to validate the choice of the bivariate system {X, Y} in place of {X, Y, Z}. In fact, to test the ,goodness' of {X, Y} we should test whether Z Granger cause X not requiring the joint analysis of all variables in {X, Y, Z}. Copyright © 2002 John Wiley & Sons, Ltd. [source]


Data Revisions Are Not Well Behaved

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 2-3 2008
AN ARUOBA, S. BORA
forecasting; news and noise; real-time data; NIPA variables We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased. We also find that the revisions are quite large compared to the original variables and they are predictable using the information set at the time of the initial announcement, which means that the initial announcements of statistical agencies are not rational forecasts. [source]


The Determinants of Foreign Direct Investments: Sensitivity Analyses of Cross-Country Regressions

KYKLOS INTERNATIONAL REVIEW OF SOCIAL SCIENCES, Issue 1 2001
Avik Chakrabarti
A vast empirical literature has used ad hoc linear cross-country regressions to search for the determinants of FDI. The literature is extensive and controversial. Can policy-makers use this body of research to learn anything that can help them stimulate FDI? The author uses Extreme Bound Analysis (EBA) to examine if any of the conclusions from the existing studies is robust to small changes in the conditioning information set. The EBA upholds the robustness of the correlation between FDI and market-size, as measured by per-capita GDP, but indicates that the relation between FDI and many of the controversial variables (namely, tax, wage, openness, exchange rate, tariff, growth, and trade balance)bare highly sensitive to small alterations in the conditioning information set. The author also studies the distribution of the estimated coefficients of the controversial explanatory variables to rank them in order of their likelihood of their being correlated with FDI. [source]


Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs.

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 1 2009
Discretion
Abstract Relationships between the Federal funds rate, unemployment, inflation and the long-term bond rate are investigated with cointegration techniques. We find a stable long-term relationship between the Federal funds rate, unemployment and the bond rate. This relationship is interpretable as a policy target because deviations are corrected via the Federal funds rate. Deviations of the actual Federal funds rate from the estimated target give simple indications of discretionary monetary policy, and the larger deviations relate to special episodes outside the current information set. A more traditional Taylor-type target, where inflation appears instead of the bond rate, does not seem congruent with the data. [source]


Accuracy in the outcomes and assessment information set (OASIS): Results of a video simulation

RESEARCH IN NURSING & HEALTH, Issue 4 2003
Elizabeth A. Madigan
Abstract There is little information regarding the accuracy of the Outcomes and Assessment Information Set (OASIS), the patient assessment tool mandated for use in Medicare-funded home health care. The purposes of this study were to evaluate the accuracy of OASIS completion by home health nurses and rehabilitation therapists, to compare responses of nurses and therapists, and to determine whether dispersion of answers would affect the home health resource group (HHRG) to which patients were assigned for Medicare home health care payments to agencies. Using a video simulation of admission and discharge visits, 436 clinicians from 29 Ohio home health care agencies scored selected OASIS items. Although the majority of the items were rated accurately, discrepancies were found between clinician responses and the "correct" answer on several items. Nurses and therapists provided similar ratings on most items studied, but for most cases in which discrepancies were found, nurses were more likely to agree with the "correct" answer. Discrepancies most often led to patients being assigned to lower-payment HHRGs. Continued monitoring of OASIS data collection accuracy is recommended to maximize the value of the OASIS instrument in home health care research, practice, and policy. © 2003 Wiley Periodicals, Inc. Res Nurs Health 26:273,283, 2003 [source]


Peer Group Formation in an Adverse Selection Model

THE ECONOMIC JOURNAL, Issue 465 2000
Beatriz Armendariz De Aghion
This paper develops an adverse selection model where peer group systems are shown to trigger lower interest rates and remove credit rationing in the case where borrowers are uninformed about their potential partners and ex post state verification (or auditing) by banks is costly. Peer group formation reduces interest rates due to a ,collateral effect', namely, cross subsidisation amongst borrowers acts as collateral behind a loan. By uncovering such a collateral effect, this paper shows that peer group systems can be viewed as an effective risk pooling mechanism, and thus enhance efficiency, not just in the full information set up. [source]


The use of term structure information in the hedging of mortgage-backed securities

THE JOURNAL OF FUTURES MARKETS, Issue 7 2005
Jason Fink
This article examines the importance of term structure variables in the hedging of mortgage-backed securities (MBS) with Treasury futures. Koutmos, G., Kroner, K., and Pericli, A. (1998) find that the optimal hedge ratio is time varying; we determine the effect of yield levels and slopes on this variation. As these variables are closely tied with mortgage refinancing, intuition suggests them to be relevant determinants of the hedge ratio. It was found that a properly specified model of the time varying hedge ratio that excludes the level and slope of the yield curve from the information set would provide similar out-of-sample hedging results to a model in which term structure information is included. Thus, both the level of interest rates and the slope of the yield curve are unimportant variables in determining the empirically optimal hedge ratio between MBS and Treasury futures contracts. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:661,678, 2005 [source]


Implied correlation index: A new measure of diversification

THE JOURNAL OF FUTURES MARKETS, Issue 2 2005
Vasiliki D. Skintzi
Most approaches in forecasting future correlation depend on the use of historical information as their basic information set. Recently, there have been some attempts to use the notion of "implied" correlation as a more accurate measure of future correlation. This study proposes an innovative methodology for backing-out implied correlation measures from index options. This new measure called implied correlation index reflects the market view of the future level of the diversification in the market portfolio represented by the index. The methodology is applied to the Dow Jones Industrial Average index, and the statistical properties and the dynamics of the proposed implied correlation measure are examined. The evidence of this study indicates that the implied correlation index fluctuates substantially over time and displays strong dynamic dependence. Moreover, there is a systematic tendency for the implied correlation index to increase when the market index returns decrease and/or the market volatility increases, indicating limited diversification when it is needed most. Finally, the forecast performance of the implied correlation index is assessed. Although the implied correlation index is a biased forecast of realized correlation, it has a high explanatory power, and it is orthogonal to the information set compared to a historical forecast. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:171,197, 2005 [source]


Natural gas prices and the gas storage report: Public news and volatility in energy futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 3 2004
Scott C. Linn
This study examines the short-term volatility of natural gas prices through an examination of the intraday prices of the nearby natural gas futures contract traded on the New York Mercantile Exchange. The influence on volatility of what many regard as a key element of the information set influencing the natural gas market is investigated. Specifically, we examine the impact on natural gas futures price volatility of the Weekly American Gas Storage Survey report compiled and issued by the American Gas Association during the period January 1, 1999 through May 3, 2002 and the subsequent weekly report compiled and issued by the U.S. Energy Information Administration after May 6, 2002. We find that the weekly gas storage report announcement was responsible for considerable volatility at the time of its release and that volatility up to 30 minutes following the announcement was also higher than normal. Aside from these results, we document pronounced price volatility in this market both at the beginning of the day and at the end of the day and offer explanations for such behavior. Our results are robust to the manner in which the mean percentage change in the futures price is estimated and to correlation of these changes both within the day and across days. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:283,313, 2004 [source]


Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words

ECONOMIC NOTES, Issue 1-2 2009
Carlo Rosa
This paper evaluates the predictive power of different information sets for the European Central Bank (ECB) interest-rate-setting behaviour. We employ an ordered probit model, i.e. a limited dependent variable framework, to take into account the discreteness displayed by policy rate changes. The results show that the forecasting ability of standard Taylor-type variables, such as inflation and output gap, is fairly low both in-sample and out-of-sample, and is comparable to the performance of the random walk model. Instead by using broader information sets that include measures of core inflation, exchange rates, monetary aggregates and financial conditions, the accuracy of the forecasts about ECB future actions substantially improves. Moreover, ECB rhetoric considerably contributes to a better understanding of its policy reaction function. Finally, we find that that the ECB has been fairly successful in educating the public to anticipate the overall future direction of its monetary policy, but has been less successful in signalling the exact timing of rate changes. [source]


The Effect of Information Quality on Optimal Portfolio Choice

FINANCIAL REVIEW, Issue 2 2006
Frederik Lundtofte
C13; G11 Abstract Three types of agents acting on different information sets are considered: fully informed agents, insiders, and outsiders. Differences in information quality are shown to affect the properties of their optimal portfolios. For an outsider, the share of wealth invested in the stock is decreasing in the variance of the stock. However, for an insider, the effect of an increasing stock variance on the optimal portfolio weight is ambiguous. In a calibration to U.S. data, the confidence intervals of the insider's demand for the stock converge, whereas the outsider's confidence intervals become wider. [source]


Aggregate Earnings and Asset Prices

JOURNAL OF ACCOUNTING RESEARCH, Issue 5 2009
RAY BALL
ABSTRACT A principal-components analysis demonstrates that common earnings factors explain a substantial portion of firm-level earnings variation, implying earnings shocks have substantial systematic components and are not almost fully diversifiable as prior literature has concluded. Furthermore, the principal components of earnings and returns are highly correlated, implying aggregate earnings risks and return risks are related. In contrast to previous studies, the correlation we report between the systematic components of earnings and returns is stable over time. We also show that the earnings factors are priced, in the sense that the sensitivities of securities' returns to the earnings factors explain a significant portion of the cross-sectional variation in returns, even controlling for return risk. This suggests earnings performance is an underlying source of priced risk. Our evidence that the information sets of returns and earnings are jointly determined implies cash flow risk and return risk are not fully separable, and raises the possibility that it is the common variation of earnings and returns that is priced. [source]


Measuring predictability: theory and macroeconomic applications

JOURNAL OF APPLIED ECONOMETRICS, Issue 6 2001
Francis X. Diebold
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or multivariate information sets, and covariance stationary or difference stationary processes. We propose a simple estimator, and we suggest resampling methods for inference. We then provide several macroeconomic applications. First, we illustrate the implementation of predictability measures based on fitted parametric models for several US macroeconomic time series. Second, we analyze the internal propagation mechanism of a standard dynamic macroeconomic model by comparing the predictability of model inputs and model outputs. Third, we use predictability as a metric for assessing the similarity of data simulated from the model and actual data. Finally, we outline several non-parametric extensions of our approach. Copyright © 2001 John Wiley & Sons, Ltd. [source]


An assessment of the EU growth forecasts under asymmetric preferences

JOURNAL OF FORECASTING, Issue 6 2008
George A. Christodoulakis
Abstract EU Commission forecasts are used as a benchmark within the framework of the Stability and Growth Pact, aimed at providing a prudential view of economic outlook, especially for member states in an Excessive Deficit Procedure. Following Elliott et al. (2005), we assess whether there exist asymmetries in the loss preference of the Commission's GDP growth forecasts from 1969 to 2004. Our empirical evidence is robust across information sets and reveals that the loss preferences tend to show some variation in terms of asymmetry across member states. Given certain conditions concerning the time horizon of forecasts and the functional form of the loss preferences, the evidence further reveals that the Commission forecasting exercise could be subject to caveats. Copyright © 2008 John Wiley & Sons, Ltd. [source]


Forecasting changes in UK interest rates

JOURNAL OF FORECASTING, Issue 1 2008
Tae-Hwan Kim
Abstract Making accurate forecasts of the future direction of interest rates is a vital element when making economic decisions. The focus on central banks as they make decisions about the future direction of interest rates requires the forecaster to assess the likely outcome of committee decisions based on new information since the previous meeting. We characterize this process as a dynamic ordered probit process that uses information to decide between three possible outcomes for interest rates: an increase, decrease or no change. When we analyse the predictive ability of two information sets, we find that the approach has predictive ability both in-sample and out-of-sample that helps forecast the direction of future rates. Copyright © 2008 John wiley & Sons, Ltd. [source]


Non-linear finance,growth nexus

THE ECONOMICS OF TRANSITION, Issue 3 2009
A threshold with instrumental variable approach
Financial development; economic growth; instrumental variable; threshold regression Abstract This paper revisits the question of whether the finance,growth nexus varies with the stages of economic development. Using a novel threshold regression with the instrumental variables approach proposed by Caner and Hansen (2004) to the dataset used in Levine et al. (2000) we detect overwhelming evidence in support of a positive linkage between financial development and economic growth, and this positive effect is larger in the low-income countries than in the high-income ones. The data also reveal that financial development tends to have stronger impacts on capital accumulation and productivity growth in the low-income countries than in the high-income ones. The findings are robust to alternative financial development measures and conditioning information sets. [source]