Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models *

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/101814/1/1468-2354.t01-1-00016.pd

Evaluation of bottom-up and top-down strategies for aggregated forecasts: state space models and arima applications

Abstract. In this research, we consider monthly series from the M4 competition to study the relative performance of top-down and bottom-up strategies by means of implementing forecast automation of state space and ARIMA models. For the bottomup strategy, the forecast for each series is developed individually and then these are combined to produce a cumulative forecast of the aggregated series. For the top-down strategy, the series or components values are first combined and then a single forecast is determined for the aggregated series. Based on our implementation, state space models showed a higher forecast performance when a top-down strategy is applied. ARIMA models had a higher forecast performance for the bottom-up strategy. For state space models the top-down strategy reduced the overall error significantly. ARIMA models showed to be more accurate when forecasts are first determined individually. As part of the development we also proposed an approach to improve the forecasting procedure of aggregation strategies

Comparison of high versus low frequency cerebral physiology for cerebrovascular reactivity assessment in traumatic brain injury: a multi-center pilot study

Current accepted cerebrovascular reactivity indices suffer from the need of high frequency data capture and export for post-acquisition processing. The role for minute-by-minute data in cerebrovascular reactivity monitoring remains uncertain. The goal was to explore the statistical time-series relationships between intra-cranial pressure (ICP), mean arterial pressure (MAP) and pressure reactivity index (PRx) using both 10-s and minute data update frequency in TBI. Prospective data from 31 patients from 3 centers with moderate/severe TBI and high-frequency archived physiology were reviewed. Both 10-s by 10-s and minute-by-minute mean values were derived for ICP and MAP for each patient. Similarly, PRx was derived using 30 consecutive 10-s data points, updated every minute. While long-PRx (L-PRx) was derived via similar methodology using minute-by-minute data, with L-PRx derived using various window lengths (5, 10, 20, 30, 40, and 60 min; denoted L-PRx_5, etc.). Time-series autoregressive integrative moving average (ARIMA) and vector autoregressive integrative moving average (VARIMA) models were created to analyze the relationship of these parameters over time. ARIMA modelling, Granger causality testing and VARIMA impulse response function (IRF) plotting demonstrated that similar information is carried in minute mean ICP and MAP data, compared to 10-s mean slow-wave ICP and MAP data. Shorter window L-PRx variants, such as L-PRx_5, appear to have a similar ARIMA structure, have a linear association with PRx and display moderate-to-strong correlations (r ~ 0.700, p Peer reviewe

Do dividends signal future earnings in the Nordic stock markets?

We study the informational content of dividends on three Nordic civil law markets, where other simultaneous but blurring motives for dividends may be weaker. Using aggregate data on real earnings per share and payout ratios, long time series from 1969 to 2010, and methodologies which address problems of endogeneity, non-stationarity and autocorrelation (including a Vector Error Correction Model approach), we find evidence on dividend signaling in Nordic markets. However, we also find heterogeneity in the relationship between dividends and earnings on markets similar in many respects, suggesting that even small variations in the institutional surroundings may be important for the results