Structural Change in (Economic) Time Series

Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data. The exposition is confined to retrospective methods for univariate time series. Several recent methods for dating structural changes are compared using a time series of oil prices spanning more than 60 years. The methods broadly agree for the first part of the series up to the mid-1980s, for which changes are associated with major historical events, but provide somewhat different solutions thereafter, reflecting a gradual increase in oil prices that is not well described by a step function. As a further illustration, 1990s data on the volatility of the Hang Seng stock market index are reanalyzed.Comment: 12 pages, 6 figure

Height Fluctuations and Intermittency of V2O5V_2 O_5 Films by Atomic Force Microscopy

The spatial scaling law and intermittency of the $V_2 O_5$ surface roughness by atomic force microscopy has been investigated. The intermittency of the height fluctuations has been checked by two different methods, first, by measuring scaling exponent of q-th moment of height-difference fluctuations i.e. $C_q =$ and the second, by defining generating function $Z(q,N)$ and generalized multi-fractal dimension $D_q$. These methods predict that there is no intermittency in the height fluctuations. The observed roughness and dynamical exponents can be explained by the numerical simulation on the basis of forced Kuramoto-Sivashinsky equation.Comment: 6 pages (two columns), 11 eps. figures, late

Structural breaks in panel data: large number of panels and short length time series

The detection of (structural) breaks or the so called change point problem has drawn increasing attention from the theoretical, applied economic and financial fields. Much of the existing research concentrates on the detection of change points and asymptotic properties of their estimators in panels when N, the number of panels, as well as T, the number of observations in each panel are large. In this paper we pursue a different approach, i.e., we consider the asymptotic properties when N→∞ while keeping T fixed. This situation is typically related to large (firm-level) data containing financial information about an immense number of firms/stocks across a limited number of years/quarters/months. We propose a general approach for testing for break(s) in this setup. In particular, we obtain the asymptotic behavior of test statistics. We also propose a wild bootstrap procedure that could be used to generate the critical values of the test statistics. The theoretical approach is supplemented by numerous simulations and by an empirical illustration. We demonstrate that the testing procedure works well in the framework of the four factors CAPM model. In particular, we estimate the breaks in the monthly returns of US mutual funds during the period January 2006 to February 2010 which covers the subprime crises

Optimism bias and its relation to scenario valence, gender, sociality, and insecure attachment.

Optimism bias refers to the tendency to display unjustified high/low expectations of future positive/negative events. This study asked 202 participants to estimate the likelihood of 96 different events. We investigated optimism biases for both oneself and the general population, and how these biases are influenced by gender, valence of the event, sociality of the event, as well as attachment anxiety and attachment avoidance. We found that sociality interacted with gender, with the difference in optimism bias for social vs. alone events being larger among women than among men. Attachment anxiety mainly reduced the optimism bias among men deliberating over future alone situations, while attachment avoidance primarily reduced optimism bias among female respondents deliberating over future social interactions. These results may have implications for the well-being and motivation of differently attached men and women and ultimately inspire psychotherapy interventions

Enhanced sensitivity to optimistic cues is manifested in brain structure: A voxel-based morphometry study

Recent research shows that congruent outcomes are more rapidly (and incongruent less rapidly) detected when individuals receive optimistic rather than pessimistic cues, an effect that was termed optimism robustness. In the current voxel-based morphometry study, we examined whether optimism robustness has a counterpart in brain structure. The participants’ task was to detect two different letters (symbolizing monetary gain or loss) in a visual search matrix. Prior to each onset of the search matrix, two different verbal cues informed our participants about a high probability to gain (optimistic expectancy) or lose (pessimistic expectancy) money. The target presented was either congruent or incongruent with these induced expectancies. Optimism robustness revealed in the participants’ reaction times correlated positively with gray matter volume (GMV) in brain regions involved in selective attention (medial visual association area, intraparietal sulcus), emphasizing the strong intertwinement of optimistic expectancies and attention deployment. In addition, GMV in the primary visual cortex diminished with increasing optimism robustness, in line with the interpretation of optimism robustness arising from a global, context-oriented perception. Future studies should address the malleability of these structural correlates of optimism robustness. Our results may assist in the identification of treatment targets in depression

Predictive modeling of optimism bias using gray matter cortical thickness.

People have been shown to be optimistically biased when their future outcome expectancies are assessed. In fact, we display optimism bias (OB) toward our own success when compared to a rival individual's (personal OB [POB]). Similarly, success expectancies for social groups we like reliably exceed those we mention for a rival group (social OB [SOB]). Recent findings suggest the existence of neural underpinnings for OB. Mostly using structural/functional MRI, these findings rely on voxel-based mass-univariate analyses. While these results remain associative in nature, an open question abides whether MRI information can accurately predict OB. In this study, we hence used predictive modelling to forecast the two OBs. The biases were quantified using a validated soccer paradigm, where personal (self versus rival) and social (in-group versus out-group) forms of OB were extracted at the participant level. Later, using gray matter cortical thickness, we predicted POB and SOB via machine-learning. Our model explained 17% variance (R2 = 0.17) in individual variability for POB (but not SOB). Key predictors involved the rostral-caudal anterior cingulate cortex, pars orbitalis and entorhinal cortex-areas that have been associated with OB before. We need such predictive models on a larger scale, to help us better understand positive psychology and individual well-being

Why Are Outcomes Different for Registry Patients Enrolled Prospectively and Retrospectively? Insights from the Global Anticoagulant Registry in the FIELD-Atrial Fibrillation (GARFIELD-AF).

Background: Retrospective and prospective observational studies are designed to reflect real-world evidence on clinical practice, but can yield conflicting results. The GARFIELD-AF Registry includes both methods of enrolment and allows analysis of differences in patient characteristics and outcomes that may result. Methods and Results: Patients with atrial fibrillation (AF) and ≥1 risk factor for stroke at diagnosis of AF were recruited either retrospectively (n = 5069) or prospectively (n = 5501) from 19 countries and then followed prospectively. The retrospectively enrolled cohort comprised patients with established AF (for a least 6, and up to 24 months before enrolment), who were identified retrospectively (and baseline and partial follow-up data were collected from the emedical records) and then followed prospectively between 0-18 months (such that the total time of follow-up was 24 months; data collection Dec-2009 and Oct-2010). In the prospectively enrolled cohort, patients with newly diagnosed AF (≤6 weeks after diagnosis) were recruited between Mar-2010 and Oct-2011 and were followed for 24 months after enrolment. Differences between the cohorts were observed in clinical characteristics, including type of AF, stroke prevention strategies, and event rates. More patients in the retrospectively identified cohort received vitamin K antagonists (62.1% vs. 53.2%) and fewer received non-vitamin K oral anticoagulants (1.8% vs . 4.2%). All-cause mortality rates per 100 person-years during the prospective follow-up (starting the first study visit up to 1 year) were significantly lower in the retrospective than prospectively identified cohort (3.04 [95% CI 2.51 to 3.67] vs . 4.05 [95% CI 3.53 to 4.63]; p = 0.016). Conclusions: Interpretations of data from registries that aim to evaluate the characteristics and outcomes of patients with AF must take account of differences in registry design and the impact of recall bias and survivorship bias that is incurred with retrospective enrolment. Clinical Trial Registration: - URL: http://www.clinicaltrials.gov . Unique identifier for GARFIELD-AF (NCT01090362)