Forecast combinations under structural break uncertainty

This paper proposes two new weighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second weighting method simply assigns heavier weights to forecasts that use more recent information. Simulation results show that, when structural breaks are present, forecasts based on the first weighting scheme outperform those based on a procedure that simply uses ROC tests to choose and forecast from a single post-break estimation window. Combination forecasts based on our second weighting scheme outperform equally weighted combination forecasts. An empirical application based on a NAIRU Phillips curve model for the G7 countries illustrates these findings, and also shows that combination forecasts can outperform the random walk forecasting model.     

Does the labor-income process contain a unit root? Evidence from individual-specific time series

Calibrations of models related to life-cycle behavior of consumption and saving often invoke the important assumption of a unit root in individuals׳ labor-income process. We for the first time test this assumption using methods for univariate time series. Based on longitudinal register data from 1968 to 2005, we first estimate an autoregressive model for each individual using a method for approximately median-unbiased estimation. We then exploit the resulting distribution of the individual-specific estimates to draw inference about the presence of a unit root. Results indicate that earnings for the representative worker are governed by a process where shocks to earnings have moderate persistence and are both economically and statistically significantly different from having permanent effects. These results question the heavy use of unit-root processes for earnings.     

Public sector enterprise disinvestment in India: Efficiency gains in a political context

India instituted a program of state enterprise disinvestment in 1991 as part of a sweeping reform initiative. This study analyses the effect of disinvestment on enterprise performance, conditioned on political context as characterized by the ideological leanings of the parties in power at state and central levels. Using stochastic frontier analysis, measures of firm efficiency are generated for 238 central public sector enterprises for the period 1991–1992 to 2010–2011. The relationship between efficiency so measured and disinvestment is then estimated using a two-stage instrumental variables approach to control for endogeneity between firm efficiency and selection for disinvestment. Initial disinvestment is associated with substantial efficiency gains, but subsequent disinvestment much less so and the proportion of shares disinvested only loosely so. This may be explained by the transformative effect of initial stock market listing on accountability and profit orientation that is not repeated with further rounds of disinvestment. The effect of disinvestment on performance is stronger if the enterprise is located in a state governed by a right leaning party or one that is ideologically aligned with the party in power at the centre.     

The expected real yield and inflation components of the nominal yield curve

The term structure of real yields and expected inflation are two unobserved components of the nominal yield curve. The primary objectives of this study are to decompose nominal yields into their expected real yield and inflation components and to examine their behaviour using state-space and regime-switching frameworks. The dynamic yield-curve models capture three well-known latent factors – level, slope, and curvature – that accurately aggregate the information for the nominal yields and the expected real and inflation components for all maturities. The nominal yield curve is found to increase slightly with a slope of about 120 basis points, while the real yield curve slopes upward by about 20 basis points, and the expected inflation curve is virtually flat at slightly above 2 per cent. The regime-switching estimations reveal that the nominal yield, real yield and expected inflation curves have shifted down significantly since 1999.     

Is ex-post credit risk affected by the cycles? The case of Italian banks

The objective of this research is to empirically examine if both credit and business cycle affect the ex-post credit risk (i.e. non-performing loans) in the banking system of Italy for the period 1995Q1–2014Q1. The increase in NPLs post-2008 has put into question the robustness of many European banks and the stability of the whole sector. It still remains a serious challenge, especially in Italy which is one of the countries that hit by the financial crisis. By employing fixed and random effects and a dynamic GMM estimation as econometric methodologies I find results that underline common causes for NPLs. Higher NPLs in Italy are mostly due to worse macroeconomic conditions (i.e. bad phase of business cycle) and due to excess credit. Through a Granger causality test, my arguments found even more support. Such findings can be helpful when designing macro-prudential as well as NPL resolution policies.     

The cost-effectiveness of solifenacin vs. trospium in the treatment of patients with overactive bladder in the German National Health Service

Objective:

To carry out a cost–utility analysis comparing initial treatment of patients with overactive bladder (OAB) with solifenacin 5?mg/day versus either trospium 20?mg twice a day or trospium 60?mg/day from the perspective of the German National Health Service.

Methods:

A decision analytic model with a 3 month cycle was developed to follow a cohort of OAB patients treated with either solifenacin or trospium during a 1 year period. Costs and utilities were accumulated as patients transitioned through the four cycles in the model. Some of the solifenacin patients were titrated from 5?mg to 10?mg/day at 3 months. Utility values were obtained from the published literature and pad use was based on a US resource utilization study. Adherence rates for individual treatments were derived from a United Kingdom general practitioner database review. The change in the mean number of urgency urinary incontinence episodes/day from after 12 weeks was the main outcome measure. Baseline effectiveness values for solifenacin and trospium were calculated using the Poisson distribution. Patients who failed second-line therapy were referred to a specialist visit. Results were expressed in terms of incremental cost–utility ratios.

Results:

Total annual costs for solifenacin, trospium 20?mg and trospium 60?mg were €970.01, €860.05 and €875.05 respectively. Drug use represented 43%, 28% and 29% of total costs and pad use varied between 45% and 57%. Differences between cumulative utilities were small but favored solifenacin (0.6857 vs. 0.6802 to 0.6800). The baseline incremental cost–effectiveness ratio ranged from €16,657 to €19,893 per QALY.

Limitations:

The difference in cumulative utility favoring solifenacin was small (0.0055–0.0057 QALYs). A small absolute change in the cumulative utilities can have a marked impact on the overall incremental cost-effectiveness ratios (ICERs) and care should be taken when interpreting the results.

Conclusion:

Solifenacin would appear to be cost-effective with an ICER of no more than €20,000/QALY. However, small differences in utility between the alternatives means that the results are sensitive to adjustments in the values of the assigned utilities, effectiveness and discontinuation rates.     

Some Variants of Constrained Estimation in Finite Population Sampling

This is a review article that unifies several important examples using constrained optimisation techniques. The basic tools are three simple mathematical optimisation results subject to certain constraints. Applications include calibration, benchmarking in small area estimation and imputation. A final illustration is constrained optimisation under a general divergence loss.     

重叠滤波多音系统的频偏性能分析及优化

重叠滤波多音(O-FMT)是针对滤波多音(FMT)系统频谱利用率低的缺点而根据超奈奎斯特(FTN)概念引入子载波重叠得到的方案。鉴于O-FMT系统在频偏环境下的性能缺陷，理论分析了频偏对系统信号各部分的影响，比较了O-FMT与正交频分复用（OFDM）系统的抗频偏性能。针对频偏性能优化问题，提出了基于最佳线性无偏估计（BLUE）的改进盲估计算法，设计了基于频域滤波器系数的内嵌结构进行频偏补偿。仿真实验表明，O-FMT相比OFDM具有更好的抗频偏能力，改进的盲估计算法估计值精度更高，抗干扰、抗衰落能力更强，设计的频偏补偿结构可以使系统获得更好的性能。     

较差质量数据下的返回弹道计算及对落点影响的分析

针对某老式卫星返回时雷达跟踪数据曾发生的测量异常及质量较差等情况，为解决此类数据在返回弹道及落点计算中出现的实际困难以及给出应对措施，基于工程实际情况给出了三种不同建模类型下的弹道计算方法——当前统计解耦扩展卡尔曼滤波（EKF）、动力学建模无迹卡尔曼滤波（UKF）、多项式滑窗最小二乘估计算法，并应用该次质量较差的实际观测数据进行了算法应用效果分析与落点计算情况对比，对计算中的经验及教训进行了总结。研究结果表明，所给出的三种算法在面对较差质量数据时性能差异较大，在工程实际应用中可考虑将多种算法互为参考。研究结果及其经验教训对卫星返回弹道及落点的实时估计的工程实施有一定的参考价值。     

Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model

New Keynesian model in which households have Epstein–Zin preferences with time‐varying risk aversion and the central bank has a time‐varying inflation target can match the dynamics of nominal bond prices in the U.S. economy well. The model generates a large steady‐state term spread and its fitting errors for bond yields are comparable to those obtained from a nonstructural three‐factor model, and one‐third smaller than in models with a constant inflation target or risk aversion. Including data on interest rates has large effects on variance decompositions, making investment technology shocks much less important than found in other recent papers.