Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach

We reconsider the out-of-sample forecasting ability of a large number of financial variables with respect to real output growth over the 1985:1–1999:4 period. We show that models including financial variables display almost no forecasting ability relative to an autoregressive benchmark model over this period according to a mean squared forecast error metric. However, tests based on forecast encompassing indicate that many financial variables do, in fact, contain information that is useful for forecasting real output growth over the 1985:1–1999:4 out-of-sample period. Our results suggest that the extant literature exaggerates the demise of the forecasting power of financial variables with respect to real activity since the mid-1980s.     

A review and discussion of prospective statistical surveillance in public health

Summary. A review of methods suggested in the literature for sequential detection of changes in public health surveillance data is presented. Many researchers have noted the need for prospective methods. In recent years there has been an increased interest in both the statistical and the epidemiological literature concerning this type of problem. However, most of the vast literature in public health monitoring deals with retrospective methods, especially spatial methods. Evaluations with respect to the statistical properties of interest for prospective surveillance are rare. The special aspects of prospective statistical surveillance and different ways of evaluating such methods are described. Attention is given to methods that include only the time domain as well as methods for detection where observations have a spatial structure. In the case of surveillance of a change in a Poisson process the likelihood ratio method and the Shiryaev–Roberts method are derived.     

Binomial AR(1) processes: moments,cumulants, and estimation

The modelling and analysis of count-data time series are areas of emerging interest with various applications in practice. We consider the particular case of the binomial AR(1) model, which is well suited for describing binomial counts with a first-order autoregressive serial dependence structure. We derive explicit expressions for the joint (central) moments and cumulants up to order 4. Then, we apply these results for expressing moments and asymptotic distribution of the squared difference estimator as an alternative to the sample autocovariance. We also analyse the asymptotic distribution of the conditional least-squares estimators of the parameters of the binomial AR(1) model. The finite-sample performance of these estimators is investigated in a simulation study, and we apply them to real data about computerized workstations.     

Towards Understanding Variations in Social Care for Older People in England

Indicators of the public provision of old age social care are routinely recorded in England and have been used for diverse purposes including performance monitoring. Despite long‐term policy guidance promoting more homogeneous service provision, large variations can still be observed between local authorities (the providers of state‐funded social care). Our aim is to better understand such variations in a small selection of key aggregate indicators. Drawing on multiple data sources and pursuing a two‐step strategy, we first assess the explanatory power of a set of structural predictors and then add to the models a set of specific care management ‘process’ predictors. We find that structural factors beyond the control of local authorities explain a considerable share of the observable variation. The additional explanatory power of care management characteristics is small in comparison. Therefore, our findings suggest that caution must be taken when aggregate indicators of service provision are used for performance monitoring purposes, as a degree of autonomy over outcomes may be implied which in light of the empirical evidence is unrealistic. Past attempts to influence the aggregate pattern of service provision – apparently seeking greater ‘territorial justice’– are likely to have had adverse implications for service users and the uniformity of service delivery across England. Questions are raised about the adequate role of central government in a policy environment characterized by longstanding local government responsibility.     

Risk and choice: A research saga

The economic theory of decision making under risk has seen remarkable advances over the 50 years since Pratt’s (1964) characterization of risk aversion under expected utility. We review developments in three key areas to which Louis Eeckhoudt has made significant contributions: (1) increases in risk and risk taking; (2) self-protection and risk aversion; and (3) higher (and lower) order derivatives of utility. For each, we identify seminal papers, puzzles, and recent developments. The saga of research on these topics reveals that important contributions were made long ago and yet significant gains in understanding continue to be made. Recent advances often have roots in early results and researchers can profit by examining the old as well as the new papers.     

Innerbetriebliche Subventionen zur Koordination und Steuerung dezentraler Unternehmenseinheiten bei Absatzinterdependenzen

The kind of interdependencies between decentralized departments determines the objective of coordination as well as the applicability of several coordination instruments. This paper examines two decentralized departments of one company joining a cross-firm value network with existing sales interdependencies. It compares a contribution margin based, a revenue based and a quantity based compensatory payment as coordination instruments for inducing efficient quantity and investment decisions. As a general result, conditions are identified for which ordained coordination instruments dominate other mechanisms with respect to the expected firm wide profit.