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Bekiros S.D.,University of Florence | Bekiros S.D.,Athens University of Economics and Business | Bekiros S.D.,Rimini Center for Economic Analysis | Paccagnini A.,University of Milan Bicocca
Computational Statistics and Data Analysis

Advanced Bayesian methods are employed in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be taken directly to the data and often yield weak prediction results. Hybrid models can deal with some of the DSGE model misspecifications. Major advances in Bayesian estimation methodology could allow these models to outperform well-known time series models and effectively deal with more complex real-world problems as richer sources of data become available. A comparative evaluation of the out-of-sample predictive performance of many different specifications of estimated DSGE models and various classes of VAR models is performed, using datasets from the US economy. Simple and hybrid DSGE models are implemented, such as DSGE-VAR and Factor Augmented DSGEs and tested against standard, Bayesian and Factor Augmented VARs. Moreover, small scale models including the real gross domestic product, the harmonized consumer price index and the nominal short-term federal funds interest rate, are comparatively assessed against medium scale models featuring additionally sticky nominal prices, wage contracts, habit formation, variable capital utilization and investment adjustment costs. The investigated period spans 1960:Q4-2010:Q4 and forecasts are produced for the out-of-sample testing period 1997:Q1-2010:Q4. This comparative validation can be useful to monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods. © 2013 Elsevier B.V. All rights reserved. Source

Leon-Gonzalez R.,National Graduate Institute for Policy Studies | Leon-Gonzalez R.,Rimini Center for Economic Analysis | Tseng F.M.,University of Nottingham
Health Policy

There is a very large literature that examines the relationship between health and income. Two main hypotheses have been investigated: the income inequality hypothesis and the absolute income hypothesis. Most of previous studies that used mortality data have been criticized for estimating an aggregate model that does not account for non-linear links between health and income at the individual level. In this paper we follow a novel approach to avoid this bias, combining aggregate mortality data with individual-level data on socio-economic characteristics. We test the income inequality and absolute income hypotheses using county-level mortality data from Life Statistic of Department of Health and individual-level data from Taiwan census Family Income and Expenditure Survey (FIES) for 1976-2004. We find the evidence to support the absolute income hypothesis but not income inequality hypothesis in the case of the general population. We also find strong evidence that education does have significant effects on individuals' health and the estimates are not sensitive to income equivalent scales. © 2010 Elsevier Ireland Ltd. Source

Pierard E.,University of Waterloo | Pierard E.,Rimini Center for Economic Analysis
Complementary Therapies in Medicine

Objectives: We explore how alternative and complementary care use is affected by wait list length and availability of conventional care in Canada. Design: We use data from the 2003 Canadian Community Health Survey, Statistics Canada and the Fraser Institute to explore the effect of longer wait times on the use of alternative therapies in general and for specific therapies: Registered Massage Therapy, Chiropractics, Physiotherapy, Homeopathy and Acupuncture. Outcome measures: We use binary variables indicating whether the individual used various types of alternative care in the year preceding the survey. Results: Wait times for specialists are associated with lower probabilities of using alternative care, but the effect are usually not statistically significant. Longer wait times for non-emergency surgery are associated with lower probabilities of using alternative care when using data from CANSIM, but very small higher probabilities of using alternative care when using data from the Fraser Institute which includes wait times for treatments for other procedures than non-emergency surgery. We find positive but extremely small effects for total wait times from the Fraser Institute. Individuals reporting unmet health care needs are more likely to use alternative care while individuals who do not have a regular physician are less likely to use it. Conclusions: Reporting unmet health care needs or no family physician have more of an impact on the use of alternative therapies than wait lists do. The evidence is not clear as to whether alternative care is sometimes used as a substitute to conventional care rather than a complement. © 2012 Elsevier Ltd. Source

Milas C.,University of Liverpool | Milas C.,Rimini Center for Economic Analysis | Naraidoo R.,University of Pretoria
Computational Statistics and Data Analysis

Our purpose is to investigate how the European Central Bank (ECB) sets interest rates in the context of both linear and nonlinear policy reaction functions. This work contributes to the current debate on central banks having additional objectives over and above control of inflation and output. Three findings emerge. First, the ECB takes financial conditions into account when setting interest rates. Second, amongst Taylor rule models, linear and nonlinear models are empirically indistinguishable within sample, and model specifications with real-time data provide the best description of in-sample ECB interest rate setting behaviour. Third, the 20072009 financial crisis witnessed a shift from inflation targeting to output stabilization, and a shift from an asymmetric policy response to financial conditions at high inflation rates to a more symmetric response regardless of the state of inflation. Finally, guidance is provided as regards models for forecasting interest rates in the Eurozone area. Without imposing an a priori choice of the parametric functional form, semiparametric models and autoregressive processes forecast the out-of-sample ECB interest rate setting behaviour better than linear and nonlinear Taylor rule models. © 2011 Elsevier B.V. All rights reserved. Source

Papailias F.,Queens University of Belfast | Papailias F.,Quantf Research | Thomakos D.D.,Quantf Research | Thomakos D.D.,University of Peloponnese | Thomakos D.D.,Rimini Center for Economic Analysis
Physica A: Statistical Mechanics and its Applications

This paper proposes a modified version of the widely used price and moving average cross-over trading strategies. The suggested approach (presented in its 'long only' version) is a combination of cross-over 'buy' signals and a dynamic threshold value which acts as a dynamic trailing stop. The trading behaviour and performance from this modified strategy are different from the standard approach with results showing that, on average, the proposed modification increases the cumulative return and the Sharpe ratio of the investor while exhibiting smaller maximum drawdown and smaller drawdown duration than the standard strategy. © 2015 Elsevier B.V. All rights reserved. Source

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