In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

https://www.thelancet.com/pdfs/journals/lancet/PIIS0140-6736(09)61124-7.pdf

The public health effect of economic crises and alternative policy responses in Europe: an empirical analysis

Although researchers have documented that many financial crises are associated with severe recessions (Graciela Kaminsky and Carmen Reinhart 1999), very little attention has been paid to whether countries recover from such large negative shocks in the sense that output losses are reversed. A few recent papers show persistent output loss from financial crises in a small set of countries. For instance, Cerra and Saxena (2005a) demonstrate that six Asian countries suffered permanent output loss from the Asian crisis, and Cerra and Saxena (2005b) show that only a tiny fraction of the output loss from Sweden's banking crisis in the early 1990s was recuperated. The graphs in Figure 1 illustrate persistent output loss for selected countries following the 1997-1998 Asian financial crisis and the debt crisis of the early 1980s. In addition to financial crises, many countries experience large negative political shocks, which could include violent conflicts such as civil wars, as well as a deterioration in the country's governance. Such political shocks have the potential for significant disruption to economic activ? ity, as illustrated for a few episodes of civil war (Figure 2). This paper systematically documents the behavior of output following financial and political crises in a large set of 190 countries. While the graphs in Figures 1 and 2 are suggestive, our aim is to formally analyze the impact of financial and political shocks on output in a broad set of countries, particularly whether output losses are recovered. Financial shocks comprise currency, banking, and twin financial crises. For political shocks, we examine civil wars, a deterioration in the quality of political governance, and twin political crises comprising both shocks. We choose civil wars rather than interstate conflicts to ensure that the war occurs on the country's own soil. The military theater for some interstate conflicts may not directly encompass all parties to the conflict. In addition, the increase in wartime spending for an international conflict may boost economic activity in some countries. We also examine the economic impact of a deterioration in a country's political governance or institutional quality. Daron Acemoglu, Simon Johnson, and James Robinson (2001) and Acemoglu et al. (2003) use constraints on the power of the political executive as a measure of institutional quality, and find that it is linked to growth and volatility. Thus, we use this measure to study the shock to political governance. Potential endogeneity of the financial or political crisis is an important issue in estimating the output impact of the crisis. That is, the crisis itself may be a function of a slowdown of economic growth or changes in expectations of future growth. We attempt to address this issue using a few methods that are far from definite, but nonetheless uncover some interesting facts. In particular, we find that the forecasts of growth from an autoregressive model and from consensus surveys are optimistic relative to actual growth occurring during and after a crisis.

/pdf/growth-dynamics-the-myth-of-economic-recovery-2oygm12qh6.pdf

Growth Dynamics: The Myth of Economic Recovery

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example.

/pdf/real-time-measurement-of-business-conditions-22hf8s1pt1.pdf

Real-Time Measurement of Business Conditions

Antimicrobial stewardship programs in hospitals seek to optimize antimicrobial prescribing in order to improve individual patient care as well as reduce hospital costs and slow the spread of antimicrobial resistance. With antimicrobial resistance on the rise worldwide and few new agents in development, antimicrobial stewardship programs are more important than ever in ensuring the continued efficacy of available antimicrobials. The design of antimicrobial management programs should be based on the best current understanding of the relationship between antimicrobial use and resistance. Such programs should be administered by multidisciplinary teams composed of infectious diseases physicians, clinical pharmacists, clinical microbiologists, and infection control practitioners and should be actively supported by hospital administrators. Strategies for changing antimicrobial prescribing behavior include education of prescribers regarding proper antimicrobial usage, creation of an antimicrobial formulary with restricted prescribing of targeted agents, and review of antimicrobial prescribing with feedback to prescribers. Clinical computer systems can aid in the implementation of each of these strategies, especially as expert systems able to provide patient-specific data and suggestions at the point of care. Antibiotic rotation strategies control the prescribing process by scheduled changes of antimicrobial classes used for empirical therapy. When instituting an antimicrobial stewardship program, a hospital should tailor its choice of strategies to its needs and available resources.

Antimicrobial Stewardship Programs in Health Care Systems

https://www.mnb.hu/letoltes/perez-quiros.pdf

Are European business cycles close enough to be just one

Similar to many hospitals worldwide, Aberdeen Royal Infirmary has had an outbreak of methicillin-resistant Staphylococcus aureus (MRSA). In this setting, the outbreak is attributable to two major clones. The relationships between antimicrobial use and MRSA prevalence were analyzed by time-series analysis. From June 1997 to December 2000, dynamic, temporal relationships were found between monthly %MRSA and previous %MRSA, macrolide use, third-generation cephalosporin use, and fluoroquinolone use. This study suggests that use of antimicrobial drugs to which the MRSA outbreak strains are resistant may be an important factor in perpetuating the outbreak. Moreover, this study confirmed the ecologic effect of antimicrobial drug use (i.e., current antimicrobial use) may have an effect on resistance in future patients. Although these results may not be generalized to other hospitals, they suggest new directions for control of MRSA, which has thus far proved difficult and expensive.

/pdf/antimicrobial-drug-use-and-methicillin-resistant-3v9tc6masx.pdf

Antimicrobial Drug Use and Methicillin-resistant Staphylococcus aureus, Aberdeen, 1996–2000

We propose a model to compute short-term forecasts of the Euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context, we provide examples that show how data revisions and data availability affect point forecasts and forecast uncertainty.

/pdf/introducing-the-euro-sting-short-term-indicator-of-euro-area-2fw13p1g3k.pdf

Introducing the euro‐sting: Short‐term indicator of euro area growth

This paper analyzes if each European country presents business cycles that are similar enough to validate what some authors call the European cycle. Contrary to the majority of papers on business cycles, we concentrate on the appearance of the cycle, not on the synchronization. We provide a robust methodology for dating and characterizing business cycles and their phases and adopt the model-based cluster analysis to test the existence of an unique cluster (a common cycle) against more than one. We find evidence against a common cycle. Finally, we find no clear relation between similarities in business cycle appearance and synchronization across countries.

Do european business cycles look like one

In this paper, I extend to a multiple-equation context the linearity, model selection and model adequacy tests recently proposed for univariate smooth transition regression models. Using this result, I examine the nonlinear forecasting power of the Conference Board composite index of leading indicators to predict both output growth and the business-cycle phases of the US economy in real time. Copyright © 2004 John Wiley & Sons, Ltd.

/pdf/vector-smooth-transition-regression-models-for-us-gdp-and-1v69edlvra.pdf

Maximo Camacho

Papers

Are European business cycles close enough to be just one

Antimicrobial Drug Use and Methicillin-resistant Staphylococcus aureus, Aberdeen, 1996–2000

Introducing the euro‐sting: Short‐term indicator of euro area growth

Do european business cycles look like one

Vector smooth transition regression models for US GDP and the composite index of leading indicators