The estimation of continuous time models with mixed frequency data

This paper derives exact representations for discrete time mixed frequency data generated by an underlying multivariate continuous time model. Allowance is made for different combinations of stock and flow variables as well as deterministic trends, and the variables themselves may be stationary or nonstationary (and possibly cointegrated). The resulting discrete time representations allow for the information contained in high frequency data to be utilised alongside the low frequency data in the estimation of the parameters of the continuous time model. Monte Carlo simulations explore the finite sample performance of the maximum likelihood estimator of the continuous time system parameters based on mixed frequency data, and a comparison with extant methods of using data only at the lowest frequency is provided. An empirical application demonstrates the methods developed in the paper and it concludes with a discussion of further ways in which the present analysis can be extended and refined

Testing the predictability and efficiency of securitized real estate markets

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real estate index returns and to test the hypothesis that public real estate stock prices follow a random walk, the single variance ratio tests of Lo and MacKinlay (1988) as well as the multiple variance ratio test of Chow and Denning (1993) are employed. Weak-form market efficiency is tested directly using non-parametric runs tests. Empirical evidence shows that weekly stock prices in major securitized real estate markets do not follow a random walk. The empirical findings of return predictability suggest that investors might be able to develop trading strategies allowing them to earn excess returns compared to a buy-and-hold strategy

Further evidence on the (in-) efficiency of the U.S. housing market

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.S. housing market. In addition to conducting parametric and non-parametric tests, we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based trading strategies compared to a buy-and-hold strategy

Risk Communication: The Over-Looked Factor in the Nigeria Polio Immunization Boycott Crisis

The 2003 - 2004 polio vaccination boycotts in Nigeria threatened the global polio eradication initiative of having a polio-free world by 2005. Encouraged by the global eradication of smallpox from the world in 1980, World Health Organization (WHO) launched the Global Polio Eradication Initiative in 1988 seeking to eradicate polio from the world by the year 2000. In 2003, some Nigerian states boycotted national polio vaccination campaigns threatening the impending success of the global eradication initiative. By the end of 2003, Nigeria accounted for 45% of all global cases of polio and 70% of all cases in 2004. Within ten months, twelve polio free countries confirmed polio cases resulting from a poliovirus genetically linked to that endemic in Northern Nigeria. The situation appeared to have been fully resolved when Kano the last state holding out resumed polio vaccination in July 2004. However, some concerns remained. This paper considers the question on the safety of the vaccine and the role of religion in the boycott. It seeks to show that although the boycott is no longer in effect; low participation during vaccination may persist reflecting a failure to implement risk communication. The Nigerian Medical Practitioner Vol. 51 (3) 2007: pp. 40-4

Some topics in continuous time econometrics

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Bayesian analysis of output gap in Barbados

This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not for the model that does not. The best model is the correlated UC model with two breaks: 1981 and 2008. Estimates show that the trend and cycle innovations are positively correlated. There is evidence suggesting that trend output growth has slowdown in the past decade. The Bayes factor result indicates that the GDP trend is better modeled as a stochastic process rather than a deterministic one