Deterministic Versus Stochastic Seasonal Fractional Integration and structural breaks

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the series, and correctly detecting the break date. As an illustration, the model is estimated for four different US series (output, consumption, imports and exports). The results suggest that the seasonal patterns of these variables have changed over time: specifically, in the second subsample the systematic component of seasonality becomes insignificant, whilst the degree of persistence increases

The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0,1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.Luis Gil-Alana gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2014-55236). Juncal Cuñado gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2014-55496)

Oil dependence, quality of political institutions and economic growth: A panel VAR approach

This paper examines the resource curse hypothesis both within and between countries of different democratic footprint, based on a dynamic model that properly accounts for endogeneity issues. To achieve that, we apply a panel Vector Auto-Regressive (PVAR) approach along with panel impulse response functions to data on oil dependence variables, economic growth and several political institutional variables in 76 countries classified by different income groupings and level of development, over the period 1980–2012. Our results suggest that controlling for the quality of political institutions, and in particular the constraints to the executives, is important in rendering the resource curse hypothesis significant. Doing so, the resource curse hypothesis is documented mainly for developing economies and medium-high income countries. Specifically, when economies from the aforementioned groups are characterised by weak quality of political institutions, then oil dependence is not growth-enhancing

Real convergence in some emerging countries : a fractionally integrated approach

This article exanines the real convergence hypothesis in eleven emerging countries by means of fractionally integrated techniques. For this purpose, we examine the order of integration of the real GDP per capita series in Argentina. Brazil, Chile, Colombia, Mexico, Peru, Venezuela, India, Indonesia, Taiwan and South Korea as well as their differences with respect to the US and Japan. We find evidence of smaller degrees of integration in the differenced series only for sorne of the Latin American countries with respect to the US, and for ail the Asian countries with respect to both the US and Japan. However, we only find evidence of real convergence for the cases of Argentina and Chile with respect to the US, and Taiwan with respect to Japan. suggesting thus the possibility of different convergence clubs among both Latin American and Asian countries.Real convergence, Fractional integration

Oil volatility, oil and gas firms and portfolio diversification

This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies’ stock volatility. However, the spillover is usually unidirectional from oil and gas companies’ stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed

A bank of unscented Kalman filters for multimodal human perception with mobile service robots

A new generation of mobile service robots could be ready soon to operate in human environments if they can robustly estimate position and identity of surrounding people. Researchers in this field face a number of challenging problems, among which sensor uncertainties and real-time constraints. In this paper, we propose a novel and efficient solution for simultaneous tracking and recognition of people within the observation range of a mobile robot. Multisensor techniques for legs and face detection are fused in a robust probabilistic framework to height, clothes and face recognition algorithms. The system is based on an efficient bank of Unscented Kalman Filters that keeps a multi-hypothesis estimate of the person being tracked, including the case where the latter is unknown to the robot. Several experiments with real mobile robots are presented to validate the proposed approach. They show that our solutions can improve the robot's perception and recognition of humans, providing a useful contribution for the future application of service robotics

Extraction of bodily features for gait recognition and gait attractiveness evaluation

This is the author's accepted manuscript. The final publication is available at Springer via http://dx.doi.org/10.1007/s11042-012-1319-2. Copyright @ 2012 Springer.Although there has been much previous research on which bodily features are most important in gait analysis, the questions of which features should be extracted from gait, and why these features in particular should be extracted, have not been convincingly answered. The primary goal of the study reported here was to take an analytical approach to answering these questions, in the context of identifying the features that are most important for gait recognition and gait attractiveness evaluation. Using precise 3D gait motion data obtained from motion capture, we analyzed the relative motions from different body segments to a root marker (located on the lower back) of 30 males by the fixed root method, and compared them with the original motions without fixing root. Some particular features were obtained by principal component analysis (PCA). The left lower arm, lower legs and hips were identified as important features for gait recognition. For gait attractiveness evaluation, the lower legs were recognized as important features.Dorothy Hodgkin Postgraduate Award and HEFCE

Motives for corporate cash holdings:the CEO optimism effect

We examine the chief executive officer (CEO) optimism effect on managerial motives for cash holdings and find that optimistic and non-optimistic managers have significantly dissimilar purposes for holding more cash. This is consistent with both theory and evidence that optimistic managers are reluctant to use external funds. Optimistic managers hoard cash for growth opportunities, use relatively more cash for capital expenditure and acquisitions, and save more cash in adverse conditions. By contrast, they hold fewer inventories and receivables and their precautionary demand for cash holdings is less than that of non-optimistic managers. In addition, we consider debt conservatism in our model and find no evidence that optimistic managers’ cash hoarding is related to their preference to use debt conservatively. We also document that optimistic managers hold more cash in bad times than non-optimistic managers do. Our work highlights the crucial role that CEO characteristics play in shaping corporate cash holding policy