Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size

Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg and Stock (1996) the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models. Although the optimal tests constructed so far have asymptotic power that is indistinguishable from the power envelope, it is well known that they can have severe size distortions in finite samples. This paper proposes a simple and powerful test that can be used to test for unit root or for no cointegration when the cointegration vector is known. Although this test is not optimal in the sense of Elliott and Jansson (2003), it has better finite sample size properties while having asymptotic power curves that are indistinguishable from the power curves of optimal tests. Similarly to Hansen (1995), Elliott and Jansson (2003), Zivot (2000), and Elliott, Jansson and Pesavento (2005) the proposed test achieves higher power by using additional information contained in covariates correlated with the variable being tested. The test is constructed by applying Hansen’s test to variables that are detrended under the alternative in a regression augmented with leads and lags of the stationary covariates. Using local to unity parametrization, the asymptotic distribution of the test under the null and the local alternative is analytically computed.Unit Root Test, GLS detrending.

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?

This paper is a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response functions in the presence of high persistence. Monte Carlo results show that Kilian (1998a), Wright (2000), Gospodinov (2004) and Pesavento and Rossi (2005) have favorable coverage properties, although they differ in terms of robustness at various horizons, median unbiasedness, and reliability in the possible presence of a unit or mildly explosive root. On the other hand, methods like Runkleís (1987) bootstrap, Andrews and Chen (1994), and regressions in levels or first differences (even when based on pre-tests) may not have accurate coverage properties. The paper makes recommendations as to the appropriateness of each method in empirical work.Local to unity asymptotics, persistence, impulse response functions

Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to choose between a specification in levels or in first differences. We find that a positive productivity shock has a negative impact effect on hours, as in Francis and Ramey (2001), but the effect is much more short-lived, and disappears after two quarters. The effect becomes positive at business cycle frequencies, as in Christiano et al. (2003), although it is not significant.Technology shocks, persistence, impulse response functions, Real Business Cycle Theory

Do Technology Shocks Drive Hours Up or Down?

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to choose between a specification in levels or in first differences. The method uses alternative approximations based on local-to-unity asymptotic theory and allows the lead-time of the impulse response function to be a fixed fraction of the sample size. These devices provide better approximations in small samples and give confidence bands that have better coverage properties at medium and long horizons than existing methods. We find that a positive productivity shock has a negative effect on hours, as in Francis and Ramey (2001), but the effect is much more short-lived, and disappears after two quarters. The effect becomes positive at business cycle frequencies, as in Christiano et al. (2003)Technology shocks, persistence, impulse response functions, Real Business Cycle.

Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?

This paper is a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response functions in the presence of high persistence. Monte Carlo results show that Kilian (1998a), Wright (2000), Gospodinov (2004) and Pesavento and Rossi (2005) have favorable coverage properties, although they differ in terms of robustness at various horizons, median unbiasedness, and reliability in the possible presence of a unit or mildly explosive root. On the other hand, methods like Runkle’s (1987) bootstrap, Andrews and Chen (1994), and regressions in levels or first differences (even when based on pre-tests) may not have accurate coverage properties. The paper makes recommendations as to the appropriateness of each method in empirical work.Local to unity asymptotics, persistence, impulse response functions

Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

Existing methods for constructing confidence bands for multivatiate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been proposed in the literature may be computationally challenging. The goal of this paper is to propose a simple method for constructing confidence bands for impulse response functions that are robust to the presence of highly persistent processes. The method uses alternative approximations based on local-to-unity asymptotic theory and allows the lead time of the impulse response function to be a fixed fraction of the sample size. Monte Carlo simulations show that our method has better coverage properties than existing methods. We also investigate the properties of the various methods in terms of the length of their confidence bands. Finally, we show, with empirical applications, that our method may provide different economic interpretations of the data. Applications to real GDP and to nominal versus real sources of fluctuations in exchange rates are discussed.

Essential Oil from Origanum vulgare Completely Inhibits the Growth of Multidrug-Resistant Cystic Fibrosis Pathogens.

Essential oils (EOs) are known to inhibit the growth of a wide range of microorganisms. Particularly interesting is the possible use of EOs to treat multidrug-resistant cystic fibrosis (CF) pathogens. We tested the essential oil (EO) from Origanum vulgare for in vitro antimicrobial activity, against three of the major human opportunistic pathogens responsible for respiratory infections in CF patients; these are methicillin-resistant Staphylococcus aureus, Stenotrophomonas maltophilia and Achromobacter xylosoxidans. Antibiotic susceptibility of each strain was previously tested by the standard disk diffusion method. Most strains were resistant to multiple antibiotics and could be defined as multi-drug-resistant (MDR). The antibacterial activity of O. vulgare EO (OEO) against a panel of 59 bacterial strains was evaluated, with MIC and MBC determined at 24, 48 and 72 hours by a microdilution method. The OEO was effective against all tested strains, although to a different extent. The MBC and MIC of OEO for S. aureus strains were either lower or equal to 0.50%, v/v, for A. xylosoxidans strains were lower or equal to 1% and 0.50%, v/v, respectively; and for S. maltophilia strains were lower or equal to 0.25%, v/v. The results from this study suggest that OEO might exert a role as an antimicrobial in the treatment of CF infections

Pancreatic hyperamylasemia during acute gastroenteritis: incidence and clinical relevance

BACKGROUND: Many case reports of acute pancreatitis have been reported but, up to now, pancreatic abnormalities during acute gastroenteritis have not been studied prospectively. OBJECTIVES: To evaluate the incidence and the clinical significance of hyperamylasemia in 507 consecutive adult patients with acute gastroenteritis. METHODS: The clinical significance of hyperamylasemia, related predisposing factors and severity of gastroenteritis were assessed. RESULTS: Hyperamylasemia was detected in 10.2 % of patients studied. Although amylasemia was found over four times the normal values in three cases, the clinical features of acute pancreatitis were recorded in only one case (0.1%). Hyperamylasemia was more likely (17%) where a microorganism could be identified in the stools (p < 0.01). Among patients with positive stool samples, Salmonella spp. and in particular S. enteritidis, was the microorganism most frequently associated with hyperamylasemia [17/84 (20.2 %) and 10/45 (22.2%), respectively], followed by Rotavirus, Clostridium difficile and Campylobacter spp. Patients with hyperamylasemia had more severe gastroenteritis with an increased incidence of fever (80 % vs 50.6 %, O.R. 3.0; P < 0.01), dehydration (18% vs 8.5%; O.R. 2.5; P < 0.05), and a higher mean number of evacuations per day (9.2 vs 7.5; P < 0.05) than those with amylasemia in the normal range. Hyperamylasemia was significantly associated with cholelithiasis, (30.0 % vs 10.7%, O.R. 3.5; P < 0.01) and chronic gastritis or duodenal ulceration (22.0 % vs 10.2%, O.R. 2.4, P < 0.05). CONCLUSIONS: Hyperamylasemia is relatively frequent, and is associated with severe gastroenteritis. However, acute pancreatitis in the setting of acute gastroenteritis, is a rare event

Exploring the Anti-Burkholderia cepacia Complex Activity of Essential Oils: A Preliminary Analysis

In this work we have checked the ability of the essential oils extracted from six different medicinal plants (Eugenia caryophyllata, Origanum vulgare, Rosmarinus officinalis, Lavandula officinalis, Melaleuca alternifolia, and Thymus vulgaris) to inhibit the growth of 18 bacterial type strains belonging to the 18 known species of the Burkholderia cepacia complex (Bcc). These bacteria are opportunistic human pathogens that can cause severe infection in immunocompromised patients, especially those affected by cystic fibrosis (CF), and are often resistant to multiple antibiotics. The analysis of the aromatograms produced by the six oils revealed that, in spite of their different chemical composition, all of them were able to contrast the growth of Bcc members. However, three of them (i.e., Eugenia caryophyllata, Origanum vulgare, and Thymus vulgaris) were particularly active versus the Bcc strains, including those exhibiting a high degree or resistance to ciprofloxacin, one of the most used antibiotics to treat Bcc infections. These three oils are also active toward both environmental and clinical strains (isolated from CF patients), suggesting that they might be used in the future to fight B. cepacia complex infections

Comparison of seven prognostic tools to identify low-risk pulmonary embolism in patients aged <50 years

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