Testing for unit roots in time series models with non-stationary volatility

Many of the key macro-economic and financial variables in developed economies are characterized by permanent volatility shifts. It is known that conventional unit root tests are potentially unreliable in the presence of such behaviour, depending on a particular function (the variance profile) of the underlying volatility process. Somewhat surprisingly then, very little work has been undertaken to develop unit root tests which are robust to the presence of permanent volatility shifts. In this paper we fill this gap in the literature by proposing tests which are valid in the presence of a quite general class of permanent variance changes which includes single and multiple (abrupt and smooth-transition) volatility change processes as special cases. Our solution uses numerical methods to simulate the asymptotic null distribution of the statistics based on a consistent estimate of the variance profile which we also develop. The practitioner is not required to specify a parametric model for volatility. An empirical illustration using producer price inflation series from the Stock–Watson database is reported.     

Economic forecast quality: information timeliness and data vintage effects

This paper investigates the impact of the timeliness of information releases and data vintage variation on economic forecast quality. Specifically, using a set of 63 key US economic series, we provide a concise measure of the forecast accuracy associated with use of economic activity indices with different publication lags. A forecasting model based on an economic activity index that is subject to a short publication lag (viz. the Aruoba-Diebold-Scotti index) is more efficient than competing models. Moreover, if this publication lag advantage is removed (by artificially imposing a publication lag restriction comparable to that of a competing indicator) this efficiency largely disappears. The final part of the analysis employs a novel (simulation-based) method of assessing the impact of data vintage variation on forecast accuracy, and finds that the results are somewhat sensitive to such variation.     

THE HARROD–BALASSA–SAMUELSON HYPOTHESIS: REAL EXCHANGE RATES AND THEIR LONG‐RUN EQUILIBRIUM*

Frictions and perturbations may influence currency values in the short run, but it is generally acknowledged that real‐exchange rates eventually settle toward equilibrium. The puzzle then is how gradually this parity is reached given the fluidity in foreign exchange markets. Persistent differences in the relative productivity of countries—a broad characterization of the Harrod–Balassa–Samuelson hypothesis—may help explain this puzzle. This article introduces methods to estimate equilibrium adjustment paths semiparametrically, and then sort how each of these components influences the dynamics of exchange rates. This is done in a dynamic panel setting by introducing novel local projections methods for cointegrated systems. Productivity shocks affect dynamics, and after adjusting for these factors, adjustment toward equilibrium is relatively rapid.     

Primary vs secondary prophylaxis with pegfilgrastim for the reduction of febrile neutropenia risk in patients receiving chemotherapy for non-Hodgkin’s lymphoma: cost-effectiveness analyses

Objective:

Evaluate the cost-effectiveness of primary vs secondary prophylaxis (PP vs SP) with pegfilgrastim to reduce the risk of febrile neutropenia (FN) in Non-Hodgkin’s Lymphoma (NHL) patients receiving myelosuppressive chemotherapy from a US payer perspective.

Methods:

A Markov model was used to compare PP vs SP with pegfilgrastim in a cohort of patients receiving six cycles of cyclophosphamide, vincristine, doxorubicin, and prednisone (CHOP) or CHOP plus rituximab (CHOP-R) chemotherapy. Model inputs, including efficacy of pegfilgrastim in reducing risk of FN and costs, were estimated from publicly available sources and peer-reviewed publications. Incremental cost-effectiveness was evaluated in terms of net cost per life-year saved (LYS), per quality-adjusted life-year (QALY) gained, and per FN event avoided over a lifetime horizon. Deterministic and probabilistic analyses were performed to assess sensitivity and robustness of results.

Results:

Lifetime costs for PP were $5000 greater than for SP; however, PP was associated with fewer FN events and more LYs and QALYs gained vs SP. Incremental cost-effectiveness ratios (ICERs) for PP vs SP for CHOP were $13,400 per FN event avoided, $29,500 per QALY gained, and $25,800 per LYS. CHOP-R results were similar ($15,000 per FN event avoided, $33,000 per QALY gained, and $28,900 per LYS). Results were most sensitive to baseline FN risk, cost per FN episode, and odds ratio for reduced relative dose intensity due to prior FN event. PP was cost-effective vs SP in 85% of simulations at a $50,000 per QALY threshold.

Limitations:

In the absence of NHL-specific data, estimates for pegfilgrastim efficacy and relative risk reduction of FN were based on available data for neoadjuvant TAC in patients with breast cancer. Baseline risks of FN for CHOP and CHOP-R were assumed to be equivalent.

Conclusions:

PP with pegfilgrastim is cost-effective compared to SP with pegfilgrastim in NHL patients receiving CHOP or CHOP-R.     

Comprehensive assessment of patients with irritable bowel syndrome with constipation and chronic idiopathic constipation using deterministically linked administrative claims and patient-reported data: the Chronic Constipation and IBS-C Treatment and Outcomes Real-World Research Platform (CONTOR)

Abstract

Aims

To characterize a US population of patients with irritable bowel syndrome with constipation (IBS-C) or chronic idiopathic constipation (CIC) using CONTOR, a real-world longitudinal research platform that deterministically linked administrative claims data with patient-reported outcomes data among patients with these conditions.     

Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*

We consider unit root testing allowing for a break in trend when partial information is available regarding the location of the break date. This takes the form of knowledge of a relatively narrow window of data within which the break takes place, should it occur at all. For such circumstances, we suggest employing a union of rejections strategy, which combines a unit root test that allows for a trend break somewhere within the window with a unit root test that makes no allowance for a trend break. Asymptotic and finite sample evidence shows that our suggested strategy works well, provided that, when a break does occur, the partial information is correct. An empirical application to UK interest rate data containing the 1973 ‘oil shock’ is also considered.     

Knowledge transformation in project networks: A speech act level cross‐boundary analysis

Researchers stress the importance of understanding knowledge transformation in projects. To explore how knowledge is transformed across organizational and specialization boundaries in project networks, we observed 22 knowledge transformation cases in two project networks. We found that new knowledge was created across specialization boundaries and that knowledge was altered across organizational boundaries. When both organizational and specialization boundaries were crossed, new knowledge was created. From these findings, we developed a set of propositions and formulated these into a model of knowledge transformation in project networks. This research contributes to a better understanding of knowledge transformation processes and outcomes in project networks.     

Market Risk Disclosures and Investment Efficiency: International Evidence from the Gulf Cooperation Council Financial Firms

This study examines the association between market risk disclosures (MRDs) and the investment efficiency of financial firms from six emerging markets in the Gulf Cooperation Council (GCC) region. Based on a sample of 553 firm‐year observations over the 2007–2011 period, we find that MRDs are significantly and negatively associated with both under‐investment and over‐investment and that this association is more pronounced for larger firms. We also find that the association between MRDs and under‐investment is moderated during periods of economic distress such as the Global Financial Crisis of 2008 and that the association between MRDs and over‐investment is magnified during periods of reduced financial distress. Our results are consistent with the idea that MRDs reduce information asymmetry, which ultimately improves investment efficiency. We contribute to the literature in an emerging market context by providing empirical evidence on the association between MRDs and investment efficiency across six emerging GCC capital markets. This study also fills a gap in the literature by providing evidence on the factors affecting the investment efficiency of financial firms.     

Examining the success of women of color-owned small and medium-sized enterprises in the United States: A system dynamics perspective

The objective of this study was to unravel the challenges confronting women of color (WoC)-owned small and medium-sized enterprises (SMEs) in the United States. This is based on findings that most WoC-owned SMEs fail within the first few years of establishment. The impact of the global financial crisis resulting from the COVID-19 pandemic on WoC-owned SMEs was also explored. System Dynamics (SD) is a computational modeling approach useful for understanding changes in a system over time and is applied in this study to illustrate WoC entrepreneurs' navigation through the startup and maturation of SMEs. The authors calibrated and validated the model with publicly available data. Findings revealed that more emphasis should be placed on failure reduction in the early years of establishment of these businesses. Also, there is the need for early intervention rather than focusing on the improvement of the successful business exit from the system. Results indicated that the creation of new businesses by WoC after the failure of existing businesses produced an increase in the number of failed enterprises. The authors assert that attention must be paid at the individual level through support to the entrepreneur. This study contributes to the extant literature by providing the first known SD model useful in depicting the SME system for WoC entrepreneurs in the US. The model serves as a potentially useful tool for informing effective policy making, education, and programmatic approaches to support the success of WoC entrepreneurs in the US.

     

On measuring the utilization rate of employed labour

This paper deals with the factors that influence plans to retire from the labour force. We use a theoretical model to explain the empirical findings from a bivariate probit model relating economic, demographic, and social characteristics to retirement plans for over 7000 women and men between the ages of 40 and 64. The results of the analysis concerning retirement intentions suggest that personal, economic and household characteristics are more important determinants of retirement plans for women than men.