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Selected AbstractsCountervailing Immigration and Domestic Migration in Gateway Cities: Australian and Canadian Variations on an American ThemeECONOMIC GEOGRAPHY, Issue 3 2007David Ley Abstract: This article addresses the spatial regularity of countervailing population flows of immigration and net domestic migration, respectively, into and out of large gateway cities. This regularity has been noted most often in the United States, and the argument presented here makes two new contributions. First, it extends the analysis to the principal Australian and Canadian gateway cities of Sydney and Toronto, making use of an extended time series of annual data. Second, it argues for the importance of the neglected effects of housing markets, in contrast to conventional accounts that stress cultural avoidance or labor market competition, in differentiating the two demographic streams. The article shows how trends in the housing market separate the locational preferences of immigrants from two diverse groups of domestic migrants. [source] Does Financial Liberalization Lower Problem Loans in Banks?ECONOMIC NOTES, Issue 2 2007Saibal Ghosh The paper explores whether financial liberalization promotes improved credit risk management in Indian banking in the form of fewer problem loans. Using annual data on state-owned banks for the period 1996,2005, the paper finds that, after controlling for a myriad of factors, financial liberalization is influential in lowering banks' problem loans. Robustness tests reinforce these findings. [source] Canadian Provincial Budget Outcomes: A Long,run and Short,run PerspectiveFINANCIAL ACCOUNTABILITY & MANAGEMENT, Issue 4 2002Christopher G. Reddick This paper tests a theory of public budgeting as a long,run and short,run process. In this model, political decision makers strive to achieve budgetary balance over the long,run but are constrained in the short,run and follow incremental decision,making. First, the budget equilibrium theory is elaborated upon and is used to explain the relationship between revenues, expenditures, and debt along with control variables one being provincial general elections. Second, the interaction between these variables is tested with a vector error correction model for each of the Canadian provinces using annual data between 1961 and 2000. The results show that in the long,run the driving force of provincial budgeting was expenditure control initiatives in seven of the ten provinces. In the short,run, incrementalism occurred in all of the provinces and a political business cycle was evident in six provinces. [source] Aggregate Dividend Behavior and Permanent Earnings HypothesisFINANCIAL REVIEW, Issue 1 2001Ming-Shiun Pan G35 Abstract The study examines the aggregate dividend behavior of U.S. corporations based on the permanent earnings hypothesis. Using annual data of aggregate earnings and dividends from 1871,1993, I find that although managers change dividends proportional to permanent earnings changes, they make revisions with a larger percentage change in dividends than in permanent earnings. The results from the post-war data show that firms follow a partial adjustment policy with a long-term dividend payout target in mind and make revisions with a delay. The quarterly data analysis yields results similar to those of the post-war annual data. [source] Public Sector Decentralisation: Measurement Concepts and Recent International Trends,FISCAL STUDIES, Issue 3 2005Dan Stegarescu Abstract This paper deals with the problems encountered in defining and measuring the degree of fiscal decentralisation. Drawing on a recent analytical framework of the OECD, different measures of tax autonomy and revenue decentralisation are presented which consider the tax-raising powers of sub-central governments. Taking account of changes in the assignment of decision-making competencies over the course of time, new time series of annual data on the degree of fiscal decentralisation are provided for 23 OECD countries over the period between 1965 and 2001. It is shown that common measures usually employed tend to overestimate the extent of fiscal decentralisation considerably. Evidence is also provided of increasing fiscal decentralisation in a majority of OECD countries during the last three decades. [source] Summer drought: a driver for crown condition and mortality of Norway spruce in NorwayFOREST PATHOLOGY, Issue 2 2004S. Solberg Summary Summer drought, i.e. unusually dry and warm weather, has been a significant stress factor for Norway spruce in southeast Norway during the 14 years of forest monitoring. Dry and warm summers were followed by increases in defoliation, discolouration of foliage, cone formation and mortality. The causal mechanisms are discussed. Most likely, the defoliation resulted from increased needle-fall in the autumn after dry summers. During the monitoring period 1988,2001, southeast Norway was repeatedly affected by summer drought, in particular, in the early 1990s. The dataset comprised 455 ,Forest officers' plots' with annual data on crown condition and mortality. Linear mixed models were used for estimation and hypothesis testing, including a variance,covariance structure for the handling of random effects and temporal autocorrelation. Résumé La sécheresse estivale, c'est à dire un temps exceptionnellement sec et chaud, a été un facteur significatif de stress pour l'Epicéa commun dans le sud-est de la Norvège au cours de 14 années de surveillance. Les étés secs et chauds ont été suivis d'une augmentation de la défoliation, des colorations anormales du feuillage, de la formation de cônes et de la mortalité. Les mécanismes causaux sont discutés. La défoliation peut probablement s'expliquer par une chute automnale des aiguilles après les étés secs. Pendant la période de suivi de 1988 à 2001, le sud-est de la Norvège a été affecté de façon répétée par des sécheresses estivales, en particulier au début des années 1990. La base de données comprend 455 ,parcelles d'agents forestiers' avec des données annuelles sur l'état des houppiers et la mortalité. Des modèles linéaires mixtes ont été utilisés pour tester les hypothèses et faire les estimations, en incluant une structure de variance-covariance pour prendre en compte les effets aléatoires et les auto-corrélations temporelles. Zusammenfassung Sommertrockenheit, d.h. ungewöhnlich trockenes und warmes Wetter, war ein wesentlicher Stressfaktor für die Fichte (Picea abies) in Südwestnorwegen während der 14 Jahre, in denen der Waldzustand bisher erfasst wurde. Nach trockenen und warmen Sommern nahmen der Nadelverlust, die Nadelverfärbung, die Zapfenbildung und die Mortalität zu. Die ursächlichen Mechanismen hierfür werden diskutiert. Am wahrscheinlichsten ist der Blattverlust das Ergebnis eines erhöhten Nadelfalles im Herbst nach einem trockenen Sommer. Während der Beobachtungsperiode von 1988 bis 2001 traten in Südwestnorwegen wiederholt trockene Sommer auf, insbesondere zu Beginn der 90er Jahre. Das Datenset umfasste 455 Stichprobeflächen mit jährlichen Angaben zum Kronenzustand und zur Mortalität. Für die statistische Analyse wurden lineare Modelle mit gemischten Effekten verwendet, einschliesslich einer Varianz-Kovarianzstruktur für die zeitreihenbedingten Autokorrelationen. [source] Competition Tests with a Non-Structural Model: the Panzar,Rosse Method Applied to Germany's Savings BanksGERMAN ECONOMIC REVIEW, Issue 1 2009Horst Gischer Banking; competition; market behaviour Abstract. In this paper we adopt the Panzar,Rosse approach to assess the competitive conditions in the German banking market for the period from 1993 to 2002. We suggest several improvements to the empirical application of the approach and show that frequently used empirical models that apply price rather than revenue functions lead to biased results. Using disaggregated annual data from more than 400 savings banks (Sparkassen) the empirical findings indicate monopolistic competition, the cases of monopoly and perfect competition are strongly rejected. Furthermore, small banks seem to enjoy even more market power than larger institutions. [source] Have newer cardiovascular drugs reduced hospitalization?HEALTH ECONOMICS, Issue 5 2009Evidence from longitudinal country-level data on 20 OECD countries Abstract This study examines the effect of changes in the vintage distribution of cardiovascular system drugs on hospitalization and mortality due to cardiovascular disease using longitudinal country-level data. The vintage of a drug is the first year in which it was marketed anywhere in the world. We use annual data on the utilization of over 1100 cardiovascular drugs (active ingredients) in 20 OECD countries during the period 1995,2003. Countries with larger increases in the share of cardiovascular drug doses that contained post-1995 ingredients had smaller increases in the cardiovascular disease hospital discharge rate, controlling for the quantity of cardiovascular medications consumed per person, the use of other medical innovations (computed tomography scanners and magnetic resonance imaging units), potential risk factors (average consumption of calories, tobacco, and alcohol), and demographic variables (population size and age structure, income, and educational attainment). The estimates also indicate that the use of newer cardiovascular drugs has reduced the average length of stay and the age-adjusted cardiovascular mortality rate, but not the number of potential years of life lost due to cardiovascular disease before age 70 per 100,000 population. The estimates indicate that if drug vintage had not increased during 1995,2004, hospitalization and mortality would have been higher in 2004. We estimate that per capita expenditure on cardiovascular hospital stays would have been 70% ($89) higher in 2004 had drug vintage not increased during 1995,2004. Per capita expenditure on cardiovascular drugs would have been lower in 2004 had drug vintage not increased during 1995,2004. However, our estimate of the increase in expenditure on cardiovascular hospital stays is about 3.7 times as large as our estimate of the reduction in per capita expenditure for cardiovascular drugs that would have occurred ($24). Copyright © 2008 John Wiley & Sons, Ltd. [source] Homogeneity analysis of Turkish meteorological data setHYDROLOGICAL PROCESSES, Issue 8 2010Sinan Sahin Abstract The missing value interpolation and homogeneity analysis were performed on the meteorological data of Turkey. The data set has the observations of six variables: the maximum air temperature, the minimum air temperature, the mean air temperature, the total precipitation, the relative humidity and the local pressure of 232 stations for the period 1974,2002. The missing values on the monthly data set were estimated using two methods: the linear regression (LR) and the expectation maximization (EM) algorithm. Because of higher correlations between test and reference series, EM algorithm results were preferred. The homogeneity analysis was performed on the annual data using a relative test and four absolute homogeneity tests were used for the stations where non-testable series were found due to the low correlation coefficients between the test and the reference series. A comparison was accomplished by the graphics where relative and absolute tests provided different outcomes. Absolute tests failed to detect the inhomogeneities in the precipitation series at the significance level 1%. Interestingly, most of the inhomogeneities detected on the temperature variables existed in the Aegean region of Turkey. It is considered that theseinhomogeneities were mostly caused by non-natural effects such as relocation. Because of changes at topography at short distance in this region intensify non-random characteristics of the temperature series when relocation occurs even in small distances. The marine effect, which causes artifical cooling effect due to sea breezes has important impact on temperature series and the orograhpy allows this impact go through the inner parts in this region. Copyright © 2010 John Wiley & Sons, Ltd. [source] Annual streamflow modelling with asymmetric distribution functionHYDROLOGICAL PROCESSES, Issue 17 2008Nermin Sarlak Abstract Classical autoregressive models (AR) have been used for forecasting streamflow data in spite of restrictive assumptions, such as the normality assumption for innovations. The main reason for making this assumption is the difficulties faced in finding model parameters for non-normal distribution functions. However, the modified maximum likelihood (MML) procedure used for estimating autoregressive model parameters assumes a non-normally distributed residual series. The aim in this study is to compare the performance of the AR(1) model with asymmetric innovations with that of the classical autoregressive model for hydrological annual data. The models considered are applied to annual streamflow data obtained from two streamflow gauging stations in K,z,l,rmak Basin, Turkey. Copyright © 2008 John Wiley & Sons, Ltd. [source] The Lag from Monetary Policy Actions to Inflation: Friedman RevisitedINTERNATIONAL FINANCE, Issue 3 2001Nicoletta Batini This paper updates and extends Friedman's (1972) evidence on the lag between monetary policy actions and the response of inflation. Our evidence is based on UK and US data for the period 1953,2001 on money growth rates, inflation and interest rates, as well as annual data on money growth and inflation. We reaffirm Friedman's result that it takes over a year before monetary policy actions have their peak effect on inflation. This result has persisted despite numerous changes in monetary policy arrangements in both countries. Similarly, advances in information processing and in financial market sophistication do not appear to have substantially shortened the lag. The empirical evaluation of dynamic general equilibrium models needs to be extended to include an assessment of these models' ability to account for the monetary transmission lags found in the data. [source] Long-term memory of the hydrological cycle and river runoffs in China in a high-resolution climate modelINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 12 2006Richard Blender Abstract The hydrological cycle in China is analysed on the basis of a 250-years present-day climate simulation with a high-resolution (T63, ,2° × 2° ) coupled atmosphere-ocean circulation model (ECHAM5/MPI-OM). The analysis of the annual data in the model simulation reveals long-term memory (LTM) on decadal time scales in some components of the hydrological cycle. LTM is characterised by a scaling exponent , > 0 in the power spectrum S(f) , f,, for low frequencies f and is determined by detrended fluctuation analysis (DFA). The simulated annual precipitation and atmospheric near-surface temperature fields show, as in the observations, a white low-frequency spectrum and, hence, no long-term memory in East Asia. However, simulated river flows of the Yangtze and the Huang He reveal LTM with scaling exponents , = 0.3,0.4 (similar to the observations and that of the river Nile) extending beyond the decadal time scale. The model soil temperature indicates restricted memory up to time scales of approximately 30 years. In addition, the model's soil wetness, evaporation, and local runoff show memory on this time scale in a zonal belt at the latitude of Mongolia. Copyright © 2006 Royal Meteorological Society. [source] Antarctic climate change during the last 50 yearsINTERNATIONAL JOURNAL OF CLIMATOLOGY, Issue 3 2005John Turner Abstract An erratum has been published for this article in International Journal of Climatology 25 (8) 2005, 1147,1148. The Reference Antarctic Data for Environmental Research (READER) project data set of monthly mean Antarctic near-surface temperature, mean sea-level pressure (MSLP) and wind speed has been used to investigate trends in these quantities over the last 50 years for 19 stations with long records. Eleven of these had warming trends and seven had cooling trends in their annual data (one station had too little data to allow an annual trend to be computed), indicating the spatial complexity of change that has occurred across the Antarctic in recent decades. The Antarctic Peninsula has experienced a major warming over the last 50 years, with temperatures at Faraday/Vernadsky station having increased at a rate of 0.56 °C decade,1 over the year and 1.09 °C decade,1 during the winter; both figures are statistically significant at less than the 5% level. Overlapping 30 year trends of annual mean temperatures indicate that, at all but two of the 10 coastal stations for which trends could be computed back to 1961, the warming trend was greater (or the cooling trend less) during the 1961,90 period compared with 1971,2000. All the continental stations for which MSLP data were available show negative trends in the annual mean pressures over the full length of their records, which we attribute to the trend in recent decades towards the Southern Hemisphere annular mode (SAM) being in its high-index state. Except for Halley, where the trends are constant, the MSLP trends for all stations on the Antarctic continent for 1971,2000 were more negative than for 1961,90. All but two of the coastal stations have recorded increasing mean wind speeds over recent decades, which is also consistent with the change in the nature of the SAM. Copyright © 2005 Royal Meteorological Society [source] Real exchange rate fluctuations and monetary shocks: a revisitINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2004Shiu-Sheng Chen Abstract In this paper, I first estimate a structural VAR model by following Clarida and Gali (1994) and obtain results indicating that the variance of real exchange rates can be attributed more to monetary shocks when the sample span is extended. In order to further investigate this aspect, I then employ a VAR model with long-run US,UK annual data from 1889 to 1995. According to the variance decompositions, I find that monetary shocks can explain nearly 50% of real exchange rate variance in the long-run sample periods. All the evidence suggests that monetary shocks are indeed more important in a larger sample set. Copyright © 2003 John Wiley & Sons, Ltd. [source] International tourism and economic development in South Africa: a Granger causality testINTERNATIONAL JOURNAL OF TOURISM RESEARCH, Issue 2 2010Oludele A. Akinboade Abstract One of the major objectives of macroeconomic policies in many developing countries is sustained economic growth, and South Africa has been striving to achieve and maintain this in various ways. One of these is through international tourism. Although international tourism contributes to the growth of many economies, it is in turn, impacted by growth in many developed countries. Real gross domestic product (GDP), international tourism earnings, real effective exchange rate and exports were analysed within a multivariate vector auto regressive model using annual data covering 1980,2005. The main focus of this study therefore was to demonstrate the direction of causality between international tourism earnings and long-run economic growth of South Africa, among other variables, using Granger causality analysis. The result obtained showed a unidirectional causality running from international tourism earnings to real GDP, both in the short run and in the long run. The error correction mechanism carried out also supported this causality. Copyright © 2009 John Wiley & Sons, Ltd. [source] Modelling inbound international tourism demand to PortugalINTERNATIONAL JOURNAL OF TOURISM RESEARCH, Issue 3 2002Ana Cristina M. Daniel Abstract In this paper the Johansen cointegration analysis of time series is used to model the Portuguese inbound international tourism demand from five countries of origin,France, Germany, The Netherlands, Spain and UK. This approach examines the long-run relationships between the demand for holiday visits and the variables that affect holiday travel such as income, destination prices and travel costs (airfares and road costs). Demand functions, for each country of origin, are estimated using annual data on tourism flows from 1975 to 1997. Copyright © 2002 John Wiley & Sons, Ltd. [source] Market power in tobacco: Measuring multiple marketsAGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 1 2007Kellie Curry Raper Traditional market power analyses of the U.S. cigarette manufacturing industry consider monopoly power exertion by manufacturers in selling cigarettes to consumers. Market characteristics combined with government policy make it plausible that manufacturers exert monopsony market power in procuring tobacco. We investigate this possibility in the U.S. and international tobacco markets by extending nonparametric tests to include simultaneously potential monopoly market power with potential monopsony market power in multiple input markets, allowing both Hicks-neutral and biased technical change. We use annual data from the cigarette manufacturing industry from 1977 to 1993. Results indicate substantial departures from competitive pricing in the procurement of domestic tobacco, supporting the postulate that cigarette manufacturers appropriate monopsony rents despite, and perhaps at times through, U.S. tobacco farm policy. Results are less clear with respect to monopsony market power exertion in imported leaf tobacco procurement by cigarette manufacturers. Finally, results indicate that monopoly market power exertion is relatively small and that, when the possibility of monopsony market power exertion is admitted, monopoly market power exertion is no longer problematic.[EconLit citations: L100, L660]. © 2007 Wiley Periodicals, Inc. Agribusiness 23: 35,55, 2007. [source] An error corrected almost ideal demand system for major cereals in KenyaAGRICULTURAL ECONOMICS, Issue 1 2010Jonathan M. Nzuma Error correction model; AIDS; Cereal consumption; Kenya Abstract Despite significant progress in theory and empirical methods, the analysis of food consumption patterns in developing countries, particularly those in Sub-Saharan Africa (SSA), has received very limited attention. An attempt is made in this article to estimate an Error Corrected Almost Ideal Demand System for four major cereals consumed in Kenya employing annual data from 1963 to 2005. This demand system performs well on both theoretical and empirical grounds. The symmetry and homogeneity conditions are supported by the data and the,Le Chatelier,principle holds. Empirically, all own-price elasticities are negative and significant at 5% level and irrespective of the time horizon, maize, wheat, rice, and sorghum may be considered as necessities in Kenya. While the expenditure elasticities of all four cereals are positive, they are inelastic both in the short run and in the long run. Finally, wheat and rice complement maize consumption in Kenya while sorghum acts as a substitute. Since cereal consumers have price and income inelastic responses, a combination of income and price-oriented policies could improve cereal consumption in Kenya. [source] Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th centuryAGRICULTURAL ECONOMICS, Issue 1 2001Johan F.M. Swinnen Abstract This empirical study uses 100 years of annual data on 11 agricultural commodities from Belgium to measure the impact of structural changes coinciding with economic development and changes in political institutions on agricultural protection. The analysis shows that changes in agricultural protection are caused by a combination of factors. Governments have increased protection and support to farmers when world market prices for their commodities fell, and vice versa, offsetting market effects on producer incomes. Other economic determinants were the share of the commodities in total consumer expenditures (negative effect) and in total output of the economy (positive effect). With Belgium a small economy, there was no impact of the trade position. Changes in political institutions have affected agricultural protection. Democratic reforms which induced a significant shift in the political balance towards agricultural interests, such as the introduction of the one-man-one-vote system, led to an increase in agricultural protection. The integration of Belgian agricultural policies in the Common Agricultural Policy in 1968 coincided with an increase in protection, ceteris paribus. Both institutional factors, related to changes in access to and information about the decision-making at the EU level, and structural changes in the agricultural and food economy may explain this effect. [source] Foreign aid and long-run economic growth: empirical evidence for a panel of developing countriesJOURNAL OF INTERNATIONAL DEVELOPMENT, Issue 1 2006Georgios Karras Abstract This paper investigates the relationship between foreign aid and growth in per capita GDP using annual data from the 1960 to 1997 period for a sample of 71 aid-receiving developing economies. The results show that the effect of foreign aid on economic growth is positive, permanent, statistically significant, and sizable: raising foreign aid by $20 per person of the receiving country results in a permanent increase in the growth rate of real GDP per capita by approximately 0.16,per,cent. Using an alternative foreign-aid measure, a permanent increase in aid by 1,per,cent of the receiving economy's GDP permanently raises the per capita growth rate by 0.14 to 0.26,per,cent. Copyright © 2006 John Wiley & Sons, Ltd. [source] Testing Stochastic Cycles in Macroeconomic Time SeriesJOURNAL OF TIME SERIES ANALYSIS, Issue 4 2001L. A. Gil-Alana A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the power of the tests against different alternatives, and the results are compared with those based on other tests. An empirical application using historical US annual data is also carried out at the end of the article. [source] Temporal dynamics of marginal steppic vegetation over a 26-year period of substantial environmental changeJOURNAL OF VEGETATION SCIENCE, Issue 2 2009Silvia Matesanz Abstract Questions: (1) Is climate a strong driver of vegetation dynamics, including interannual variation, in a range margin steppic community? (2) Are there long-term trends in cover and species richness in this community, and are these consistent across species groups and species within groups? (3) Can long-term trends in plant community data be related to variation in local climate over the last three decades? Location: A range margin steppic grassland community in central Germany. Methods: Cover, number and size of all individuals of all plant species present in three permanent 1-m2 plots were recorded in spring for 26 years (1980,2005). Climatic data for the study area were used to determine the best climatic predictor for each plant community, functional group and species variable (annual data and interannual variation) using best subsets regression. Results: April and autumn temperature showed the highest correlation with total cover and species richness and with interannual variations of cover and richness. However, key climate drivers differed between the five most abundant species. Similarly, total cover and number and cover of perennials significantly decreased over time, while no trend was found for the cover and number of annuals. However, within functional groups there were also contrasting species-specific responses. Long-term temperature increases and high interannual variability in both temperature and precipitation were strongly related to long-term trends and interannual variations in plant community data. Conclusions: Temporal trends in vegetation were strongly associated with temporal trends in climate at the study site, with key roles for autumn and spring temperature and precipitation. Dynamics of functional groups and species within groups and their relationships to changes in temperature and precipitation reveal complex long-term and interannual patterns that cannot be inferred from short-term studies with only one or a few individual species. Our results also highlight that responses detected at the functional group level may mask contrasting responses within functional groups. We discuss the implications of these findings for attempts to predict the future response of biodiversity to climate change. [source] THE SOCIAL STRUCTURE OF BOTTLENOSE DOLPHINS, TURSIOPS TRUNCATUS, IN THE BAHAMASMARINE MAMMAL SCIENCE, Issue 4 2004Cindy A. Rogers Abstract The social structure of coastal ecotype bottlenose dolphins, Tursiops truncatus, is largely unknown as they inhabit regions far from shore. This study reports on a community of bottlenose dolphins , 27 km from Grand Bahama Island (May-September, 1993,2002). Resident and non-resident dolphins occurred in the area. Some dolphins traveled over 320 km between communities; others showed long- term site fidelity up to 17 yr. Average group size was 3,5, and was significantly larger with calves present and significantly smaller when traveling. The half-weight index was used to determine coefficients of association (COA) for individuals of known sex annually and for pooled years. Permutation tests revealed non-random associations and presence of preferred/avoided companions in all data sets. Annual COAs were low: female-female ,= 0.31, male-male ,= 0.30, and mixed-sex ,= 0.26. Mother-calf associations showed the highest values. Some males formed strong, long-term bonds. Female COAs fluctuated with reproductive status. Using pooled data, COAs were lower and the same basic trends were evident. However, strong associations seen in the annual data were not evident in pooled data. Bottlenose dolphins that inhabit offshore, shallow water show many of the same social structure characteristics as in well-studied coastal populations. [source] The impact of the budget deficit on inflation in the Islamic Republic of IranOPEC ENERGY REVIEW, Issue 1 2005Abbas Alavirad In this paper, we measure and analyse the impact of budget deficit on inflation in the Islamic Republic of Iran. After briefly reviewing the theoretical background, we use univariate cointegration tests, such as the autoregressive distributed lag model (ARDL) and Phillips-Hansen methods, to study the relationship between the two in the long term. Additionally, we use the error correction model to study the behaviour of the model in the short run. Our analysis is based on time series annual data from 1963 to 1999 and our results show that budget deficits, as well as liquidity, do have a significant impact on inflation rates in the Islamic Republic of Iran. [source] OMITTED VARIABLES, CONFIDENCE INTERVALS, AND THE PRODUCTIVITY OF EXCHANGE RATESPACIFIC ECONOMIC REVIEW, Issue 1 2007Jonathan E. Leightner This paper develops confidence intervals for BD-RTPLS and uses BD-RTPLS to estimate the relationship between the exchange rate (e) and gross domestic product (GDP) using annual data from 1984 to 2000 for 23 developing Asian and Pacific countries. BD-RTPLS produces estimates for the exchange rate multiplier (dGDP/de) for these countries and shows how omitted variables affected these multipliers across countries and over time. [source] MEAN REVERSION OF THE FISCAL CONDUCT IN 24 DEVELOPING COUNTRIESTHE MANCHESTER SCHOOL, Issue 4 2010AHMAD ZUBAIDI BAHARUMSHAH In this paper, we examine the mean reverting behaviour of fiscal deficit by analysing the fiscal position of 24 developing countries. Using annual data over the period 1970,2003 and the series-specific panel unit root test developed by Breuer et al. (Oxford Bulletin of Economics and Statistics, Vol. 64 (2002), pp. 527,546), we found the budget process for most developing countries fails to satisfy the strong-form sustainability condition. Further investigation shows the budget process for a majority of the countries is on a sustainable path (weak form) when a one-time, structural break is allowed in the model. Therefore, our empirical results suggest that the budget process in most of the sample countries is in accordance with the intertemporal budget constraint. [source] Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolioAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 3 2008Claudia Czado Abstract The internal-rating-based Basel II approach increases the need for the development of more realistic default probability models. In this paper, we follow the approach taken in McNeil A and Wendin J 7 (J. Empirical Finance 2007) by constructing generalized linear mixed models for estimating default probabilities from annual data on companies with different credit ratings. The models considered, in contrast to McNeil A and Wendin J 7 (J. Empirical Finance 2007), allow parsimonious parametric models to capture simultaneously dependencies of the default probabilities on time and credit ratings. Macro-economic variables can also be included. Estimation of all model parameters are facilitated with a Bayesian approach using Markov chain Monte Carlo methods. Special emphasis is given to the investigation of predictive capabilities of the models considered. In particular, predictable model specifications are used. The empirical study using default data from Standard and Poor's gives evidence that the correlation between credit ratings further apart decreases and is higher than the one induced by the autoregressive time dynamics. Copyright © 2008 John Wiley & Sons, Ltd. [source] The Bayesian method of moments (BMOM) in some aggregation problems in econometricsAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 2 2006Enrique de Alba Abstract The BMOM is particularly useful for obtaining post-data moments and densities for parameters and future observations when the form of the likelihood function is unknown and thus a traditional Bayesian approach cannot be used. Also, even when the form of the likelihood is assumed known, in time series problems it is sometimes difficult to formulate an appropriate prior density. Here, we show how the BMOM approach can be used in two, nontraditional problems. The first one is conditional forecasting in regression and time series autoregressive models. Specifically, it is shown that when forecasting disaggregated data (say quarterly data) and given aggregate constraints (say in terms of annual data) it is possible to apply a Bayesian approach to derive conditional forecasts in the multiple regression model. The types of constraints (conditioning) usually considered are that the sum, or the average, of the forecasts equals a given value. This kind of condition can be applied to forecasting quarterly values whose sum must be equal to a given annual value. Analogous results are obtained for AR(p) models. The second problem we analyse is the issue of aggregation and disaggregation of data in relation to predictive precision and modelling. Predictive densities are derived for future aggregate values by means of the BMOM based on a model for disaggregated data. They are then compared with those derived based on aggregated data. Copyright © 2006 John Wiley & Sons, Ltd. [source] Decline in rheumatoid vasculitis prevalence among US veterans: A retrospective cross-sectional studyARTHRITIS & RHEUMATISM, Issue 9 2009Christie Bartels Objective To examine trends in the prevalence of rheumatoid vasculitis in a national US population comprising both hospitalized and ambulatory patients with rheumatoid arthritis (RA). Methods In this serial cross-sectional study, we analyzed data on hospitalized and ambulatory patients spanning 22 years (1985,2006) and 10 years (1997,2006), respectively, to determine the prevalence of rheumatoid vasculitis, as defined by the International Classification of Diseases, Ninth Revision. Our search encompassed data collected on a predominantly male study population during 10 million hospitalizations and outpatient visits, and included annual data on >37,000 RA patients. To test for a decrease in rheumatoid vasculitis prevalence, breakpoint analysis was performed using stepwise Chow and Durbin-Watson tests. Results There was a clear decline in the prevalence of rheumatoid vasculitis, and this decline remained evident even after accounting for a decreased number of hospitalizations among RA patients. Peak prevalence occurred among hospitalized patients in the 1980s, and prevalence gradually declined throughout the 1990s. Furthermore, simultaneous breakpoints representing a significant drop in rheumatoid vasculitis prevalence between the years 2000 and 2001 were demonstrated for both inpatients (P < 0.000) and outpatients (P < 0.003). The prevalence of vasculitis dropped 53% among inpatients and 31% among outpatients between 2000 and 2001. Conclusion Our results demonstrate a significant decline in rheumatoid vasculitis prevalence after 2000 in this nationwide sample of hospitalized and ambulatory patients. The clear, consistent drop in prevalence provides an opportunity for the formulation of causal hypotheses, including consideration of the impact of biologic agents used to treat RA, on rheumatoid vasculitis. [source] ARE LABOUR FORCE PARTICIPATION RATES NON-STATIONARY?AUSTRALIAN ECONOMIC PAPERS, Issue 2 2008EVIDENCE FROM 130 YEARS FOR G7 COUNTRIES This paper applies a unit root test with a non-linear threshold to examine whether labour force participation rates are mean reverting for G7 countries using annual data over a 130 year period. We find some evidence of mean reversion for just over half the sample; however, this result is sensitive to regime shifts. We also examine whether the labour force participation rate is trend reverting through employing a lagrange multiplier (LM) unit root test with one and two structural breaks in the intercept and slope. The LM unit root test provides no additional evidence in support of stationarity. On the basis of the unit root tests for mean reversion we conclude that there is at best mixed evidence that long-term changes in unemployment rates translate into long-term changes in employment rates and that the unemployment rate is a useful indicator of joblessness. [source] | |||||||||||||||||||||||||||||||||||||