scholarly journals COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE

2009 ◽  
Vol 25 (1) ◽  
pp. 63-116 ◽  
Author(s):  
Alex Maynard ◽  
Katsumi Shimotsu
Keyword(s):  
Stock Returns ◽  
Alternative Hypothesis ◽  
Small Sample ◽  
Price Ratio ◽  
Test Statistic ◽  
Short Term ◽  
Size Distortion ◽  
Predictive Regression ◽  
Standard Normal ◽  
Regression Tests

This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard predictive regression tests can suffer from well-documented size distortion. Moreover, under the alternative hypothesis, they force the dependent variable to share the same order of integration as the predictor, whereas in practice the dependent variable often appears stationary and the predictor may be near-nonstationary. By contrast, the new test does not enforce the same orders of integration and is therefore capable of detecting a rich set of alternatives to orthogonality that are excluded by the standard predictive regression model. Moreover, the test statistic has a standard normal limit distribution for both unit root and local-to-unity conditioning variables, without prior knowledge of the local-to-unity parameter. If the conditioning variable is stationary, the test remains conservative and consistent. Simulations suggest good small-sample performance. As an empirical application, we test for the predictability of stock returns using two persistent predictors, the dividend-price ratio and short-term interest rate.

scholarly journals The Relationship between Body Mass Index and Mammographic Density during a Premenopausal Weight Loss Intervention Study

Cancers ◽  
2021 ◽  
Vol 13 (13) ◽  
pp. 3245
Author(s):  
Emma C. Atakpa ◽  
Adam R. Brentnall ◽  
Susan Astley ◽  
Jack Cuzick ◽  
D. Gareth Evans ◽  
...  
Keyword(s):  
Body Mass Index ◽  
Weight Loss ◽  
Body Mass ◽  
Breast Density ◽  
Small Sample ◽  
Weight Loss Intervention ◽  
Short Term ◽  
Dense Area ◽  
Short Term Change ◽  
Term Change

We evaluated the association between short-term change in body mass index (BMI) and breast density during a 1 year weight-loss intervention (Manchester, UK). We included 65 premenopausal women (35–45 years, ≥7 kg adult weight gain, family history of breast cancer). BMI and breast density (semi-automated area-based, automated volume-based) were measured at baseline, 1 year, and 2 years after study entry (1 year post intervention). Cross-sectional (between-women) and short-term change (within-women) associations between BMI and breast density were measured using repeated-measures correlation coefficients and multivariable linear mixed models. BMI was positively correlated with dense volume between-women (r = 0.41, 95%CI: 0.17, 0.61), but less so within-women (r = 0.08, 95%CI: −0.16, 0.28). There was little association with dense area (between-women r = −0.12, 95%CI: −0.38, 0.16; within-women r = 0.01, 95%CI: −0.24, 0.25). BMI and breast fat were positively correlated (volume: between r = 0.77, 95%CI: 0.69, 0.84, within r = 0.58, 95%CI: 0.36, 0.75; area: between r = 0.74, 95%CI: 0.63, 0.82, within r = 0.45, 95%CI: 0.23, 0.63). Multivariable models reported similar associations. Exploratory analysis suggested associations between BMI gain from 20 years and density measures (standard deviation change per +5 kg/m2 BMI: dense area: +0.61 (95%CI: 0.12, 1.09); fat volume: −0.31 (95%CI: −0.62, 0.00)). Short-term BMI change is likely to be positively associated with breast fat, but we found little association with dense tissue, although power was limited by small sample size.

scholarly journals The impact of the COVID-19 outbreak on Chinese-listed tourism stocks

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Wenmin Wu ◽  
Chien-Chiang Lee ◽  
Wenwu Xing ◽  
Shan-Ju Ho
Keyword(s):  
Stock Returns ◽  
Cultural Differences ◽  
Stock Price ◽  
Negative Impact ◽  
Tourism Industry ◽  
Regression Analyses ◽  
Short Term ◽  
Tourism Sector ◽  
Event Study Method ◽  
The Impact

AbstractThis research explored the effects of the coronavirus disease (COVID-19) outbreak on stock price movements of China’s tourism industry by using an event study method. The results showed that the crisis negatively impacted tourism sector stocks. Further quantile regression analyses supported the non-linear relationship between the government’s responses and stock returns. The results present that the resurgence of the virus in Beijing did bring about a short-term negative impact on the tourism industry. The empirical results can be used for future researchers to conduct a comparative study of cultural differences concerning government responses to the COVID-19.

A Test for Functional Form Against Nonparametric Alternatives

1992 ◽  
Vol 8 (4) ◽  
pp. 452-475 ◽  
Author(s):  
Jeffrey M. Wooldridge
Keyword(s):  
Alternative Model ◽  
Regression Models ◽  
Functional Form ◽  
Parametric Model ◽  
Finite Sample ◽  
Test Statistic ◽  
Sieve Estimation ◽  
Finite Sample Properties ◽  
Standard Normal ◽  
Nonparametric Alternatives

A test for neglected nonlinearities in regression models is proposed. The test is of the Davidson-MacKinnon type against an increasingly rich set of non-nested alternatives, and is based on sieve estimation of the alternative model. For the case of a linear parametric model, the test statistic is shown to be asymptotically standard normal under the null, while rejecting with probability going to one if the linear model is misspecified. A small simulation study suggests that the test has adequate finite sample properties, but one must guard against over fitting the nonparametric alternative.

scholarly journals Short-Term Exuberance and Long-Term Stability: A Simultaneous Optimization of Stock Return Predictions for Short and Long Horizons

Mathematics ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 620
Author(s):  
Ioannis Kyriakou ◽  
Parastoo Mousavi ◽  
Jens Perch Nielsen ◽  
Michael Scholz
Keyword(s):  
Stock Returns ◽  
Simultaneous Optimization ◽  
Investment Risk ◽  
Short Term ◽  
Fundamental Interest ◽  
Long Term Stability ◽  
Risk Appetite ◽  
Short And Long Term ◽  
Excess Stock Returns

The fundamental interest of investors in econometric modeling for excess stock returns usually focuses either on short- or long-term predictions to individually reduce the investment risk. In this paper, we present a new and simple model that contemporaneously accounts for short- and long-term predictions. By combining the different horizons, we exploit the lower long-term variance to further reduce the short-term variance, which is susceptible to speculative exuberance. As a consequence, the long-term pension-saver avoids an over-conservative portfolio with implied potential upside reductions given their optimal risk appetite. Different combinations of short and long horizons as well as definitions of excess returns, for example, concerning the traditional short-term interest rate but also the inflation, are easily accommodated in our model.

On the Short-Term Predictability of Stock Returns: A Quantile Boosting Approach

2016 ◽  
Author(s):  
Riza Demirer ◽  
Christian Pierdzioch ◽  
Huacheng Zhang
Keyword(s):  
Stock Returns ◽  
Short Term

Cervical cord magnetization transfer ratio and clinical changes over 18 months in patients with relapsing-remitting multiple sclerosis: a preliminary study

2006 ◽  
Vol 12 (5) ◽  
pp. 662-665 ◽  
Author(s):  
A Charil ◽  
D Caputo ◽  
R Cavarretta ◽  
M P Sormani ◽  
P Ferrante ◽  
...  
Keyword(s):  
Multiple Sclerosis ◽  
Relapse Rate ◽  
Magnetization Transfer ◽  
Small Sample ◽  
Cervical Cord ◽  
Magnetization Transfer Ratio ◽  
Short Term ◽  
Disease Evolution ◽  
Transfer Ratio ◽  
Relapsing Remitting

Background Magnetization transfer ratio (MTR) permits the quantitative estimation of cervical cord tissue damage in patients with multiple sclerosis (MS). Objective To determine whether a single time-point MTR scan of the cervical cord is associated with short-term disease evolution in patients with relapsing-remitting (RR) MS. Methods Using a 1.5-T magnetic resonance imaging (MRI) system with a tailored cervical cord phased array coil, fast short-tau inversion recovery (fast-STIR) and MTR scans were obtained from 14 untreated patients with RRMS at baseline. Cervical cord MTR histograms were derived. Over the 18- month follow-up period, relapse rate was measured and disability assessed by the Expanded Disability Status Scale (EDSS) score. Results Average cervical cord MTR was correlated with relapse rate ( r= -0.56, P = 0.037). A moderate correlation ( r values ranging from -0.33 to -0.36) between baseline cervical cord MTR metrics and EDSS changes over 18 months was also noted, albeit statistical significance was not reached ( P = 0.26 and 0.21, respectively) perhaps because of the relatively small sample size. Conclusions This study suggests that a ‘snapshot’ MT MRI assessment of the cervical cord may detect cervical cord tissue changes associated with short-term disease evolution in RRMS.

scholarly journals Monitoring Persistence Change in Heavy-Tailed Observations

Symmetry ◽  
2021 ◽  
Vol 13 (6) ◽  
pp. 936
Author(s):  
Dan Wang
Keyword(s):  
Kernel Method ◽  
Alternative Hypothesis ◽  
Null Distribution ◽  
Real Data ◽  
Ratio Test ◽  
Finite Sample ◽  
Test Statistic ◽  
Bootstrap Approximation ◽  
Heavy Tailed ◽  
Better Than

In this paper, a ratio test based on bootstrap approximation is proposed to detect the persistence change in heavy-tailed observations. This paper focuses on the symmetry testing problems of I(1)-to-I(0) and I(0)-to-I(1). On the basis of residual CUSUM, the test statistic is constructed in a ratio form. I prove the null distribution of the test statistic. The consistency under alternative hypothesis is also discussed. However, the null distribution of the test statistic contains an unknown tail index. To address this challenge, I present a bootstrap approximation method for determining the rejection region of this test. Simulation studies of artificial data are conducted to assess the finite sample performance, which shows that our method is better than the kernel method in all listed cases. The analysis of real data also demonstrates the excellent performance of this method.

scholarly journals Asymmetric Reactions of China’s Stock Market to Short-Term Interest Rates

2016 ◽  
Vol 8 (5) ◽  
pp. 260 ◽  
Author(s):  
Fang Fang ◽  
Weijia Dong ◽  
Xin Lv
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Returns ◽  
Regime Switching ◽  
Developed Countries ◽  
Short Term ◽  
Bear Market ◽  
Bull Market ◽  
Negative Effect ◽  
Markov Regime Switching Model

This paper investigates how China’s stock market reacts to short-term interest rates, as represented by the Shanghai Interbank Offered Rate (Shibor). We adopt the Markov Regime Switching model to divide China’s stock market into Medium, Bull and Bear market; and then examine how Shibor influences market returns and risk in different market regimes. We find that short-term interest rates have a significant negative effect on stock returns in Medium and Bull market, but could not affect stock returns in Bear market. In addition, different maturities of Shibor have different effects on stock returns. Furthermore, we find that the short-term interest rates have a negative effect on market risk in Bull market, but a positive effect in Bear market. Our findings show that China’s market is quite peculiar and distinctive from the U.S. market or other developed countries’ markets in many ways.

Endoscopic pituitary surgery: a systematic review and meta-analysis

2009 ◽  
Vol 111 (3) ◽  
pp. 545-554 ◽  
Author(s):  
Abtin Tabaee ◽  
Vijay K. Anand ◽  
Yolanda Barrón ◽  
David H. Hiltzik ◽  
Seth M. Brown ◽  
...  
Keyword(s):  
Systematic Review ◽  
Meta Analysis ◽  
Pituitary Surgery ◽  
Small Sample ◽  
Csf Leak ◽  
Tumor Control ◽  
Published Data ◽  
Complication Rates ◽  
Short Term ◽  
The Impact

Object Surgery on the pituitary gland is increasingly being performed through an endoscopic approach. However, there is little published data on its safety and relative advantages over traditional microscope-based approaches. Published reports are limited by small sample size and nonrandomized study design. A meta-analysis allows for a description of the impact of endoscopic surgery on short-term outcomes. Methods The authors performed retrospective review of data from their institution as well as a systematic review of the literature. The pooled data were analyzed for descriptive statistics on short-term outcomes. Results Nine studies (821 patients) met inclusion criteria. Overall, the pooled rate of gross tumor removal was 78% (95% CI 67–89%). Hormone resolution was achieved in 81% (95% CI 71–91%) of adrenocorticotropic hormone secreting tumors, 84% (95% CI 76–92%) of growth hormone secreting tumors, and 82% (95% CI 70–94%) of prolactin secreting tumors. The pooled complication rates were 2% (95% CI 0–4%) for CSF leak and 1% (95% CI 0–2%) for permanent diabetes insipidus. There were 2 deaths reported in the literature that were both related to vascular injury, giving an overall mortality rate of 0.24%. Conclusions The results of this meta-analysis support the safety and short-term efficacy of endoscopic pituitary surgery. Future studies with long-term follow-up are required to determine tumor control.

scholarly journals Contrarian and Momentum Strategies in the Indian Capital Market

2002 ◽  
Vol 27 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Sanjay Sehgal ◽  
I Balakrishnan
Keyword(s):  
Stock Returns ◽  
Indian Market ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Holding Period ◽  
The Us ◽  
One Year

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in conformity with those for developed capital markets such as the US.

Sign in / Sign up

Export Citation Format

Share Document