Brett Inder

Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased and efficient.

Testing convergence in economic growth for OECD countries

This article explores tests for absolute convergence in economic activity among a set of countries. It proposes a new test procedure that allows the researcher to identify particular countries within the group, which might not be converging. It also proposes that convergence among a set of similar countries is better thought of as movement toward a group leader, rather than movement towards a group mean. Applying the new procedure to 22 OECD countries it finds strong evidence for absolute convergence for the vast majority of countries towards their common steady state level. This article also points out why using standard unit root or cointegration tests with Bernard and Durlaufs definition of convergence is inappropriate.

Is Chinese provincial real GDP per capita nonstationary?: Evidence from multiple trend break unit root tests

Abstract This article examines the unit root hypothesis for real GDP per capita in 25 of Chinas provinces. When we test for unit roots assuming either no structural breaks or one structural break, the evidence supports the unit root hypothesis. With multiple structural breaks, the evidence against a unit root is mixed. When both breaks in the trend function are restricted to the intercept, there is no additional evidence against the unit root hypothesis. However, with breaks in the intercept and the slope of the trend function, the unit root hypothesis can be rejected for just under half of the provinces.

The Endowment Effect and the Role of Uncertainty

This paper explains the endowment effect, whereby sellers generally demand considerably more for a good than buyers are prepared to pay, and related anomalies. Many decisions, including nominating buying or selling prices, involve uncertainty, and we assert that people experience negative psychological reactions to uncertainty. These reactions can affect a persons valuation of the various options, biasing the persons actions towards the status quo, thus producing the endowment effect. Our model also proposes positive or negative reactions to unlikely prospects, which are able to explain commonly observed behaviour in the presence of ambiguity.

Diagnostic test for structural change in cointegrated regression models

Abstract We derive the asymptotic distribution of the OLS-based CUSUM test in the context of cointegrated regression models and tabulate its critical values. It is also found that the test has non-trivial local power irrespective of the particular type of structure change.

An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables

We consider testing for autoregressive disturbances in the linear regression model with a lagged dependent variable. An approximation to the null distribution of the Durbin—Watson statistic is developed using small-disturbance asymptotics, and is used to obtain test critical values. We also obtain nonsimilar critical values for the Durbin—Watson and Durbins h and t tests. Monte Carlo results are reported comparing the performances of the tests under the null and alternative hypotheses. The Durbin–Watson test is found to be more powerful and to perform more consistently than either of Durbins tests under H o .

Better access to mental health care and the failure of the Medicare principle of universality.

OBJECTIVES To examine whether adult use of mental health services subsidised by Medicare varies by measures of socioeconomic and geographic disadvantage in Australia. DESIGN, SETTING AND PARTICIPANTS A secondary analysis of national Medicare data from 1 July 2007 to 30 June 2011 for all mental health services subsidised by Better Access to Mental Health Care (Better Access) and Medicare - providers included general practitioners, psychiatrists, clinical psychologists and mental health allied health practitioners. MAIN OUTCOME MEASURES Service use rates followed by measurement of inequity using the concentration curve and concentration index. RESULTS Increasing remoteness was consistently associated with lower service activity; eg, per 1000 population, the annual rate of use of GP items was 79 in major cities and 25 and 8 in remote and very remote areas, respectively. Apart from GP usage, higher socioeconomic disadvantage in areas was typically associated with lower usage; eg, per 1000 population per year, clinical psychologist consultations were 68, 40 and 23 in the highest, middle and lowest advantaged quintiles, respectively; and non-Better Access psychiatry items were 117, 55 and 45 in the highest, middle and lowest advantaged quintiles, respectively. CONCLUSIONS Our results highlight important socioeconomic and geographical disparities associated with the use of Better Access and related Medicare services. This can inform Australias policymakers about these priority gaps and help to stimulate targeted strategies both nationally and regionally that work towards the universal and equitable delivery of mental health care for all Australians.

Finite-sample power of tests for autocorrelation in models containing lagged dependent variables

Abstract Monte Carlo evidence is presented to indicate that for a given size of the test, the Durbin-Watson test is more powerful than Durbins h test in testing for autocorrelation in models with a lagged dependent variable.

Does the Fisher Effect Apply in Australia

The Fisher hypothesis claims that changes in the expected inflation rate will be fully reflected in nominal interest rates, and hence that real interest rates will remain constant over time. Evidence with Australian data from 1965 to 1990 suggests that the Fisher effect does not hold in the long-run. Analysis is performed using recently developed econometric techniques which take account of possible nonstationarity in the date. Attention is also given to the effects of financial market deregulation on interest rates.

Long‐run Relationships Between World Vegetable Oil Prices

In the international edible oil markets, there is believed to be high substitutability between vegetable oils and fats produced under different conditions. In light of this, we consider the question: what is the nature of the long‐run relationships between vegetable oil prices? Long‐run co‐movements among oil prices are analysed, based on a multivariate cointegration model. The empirical finding is that most co‐movements are consistent with the predictions of market theory. Prices of oils tend to be grouped according to their different end‐uses. Some policy implications of a buffer stock scheme are discussed.