Testing the Prebisch–Singer hypothesis since 1650: Evidence from panel techniques that allow for multiple breaks

In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for endogenous multiple structural breaks. Results show that all the series are stationary after allowing for endogenous multiple breaks. Test results on the Prebisch–Singer hypothesis, which states that relative commodity prices follow a downward secular trend, are mixed but with a majority of series showing negative trends. We also make a first attempt at identifying the potential drivers of the structural breaks. We end by investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years.

Panel Stationarity Test with Structural Breaks

In this paper, we extend the heterogeneous panel data stationarity test of Hadri [Econometrics Journal, Vol. 3 (2000) pp. 148–161] to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. Two of the models have been already proposed by Carrion-i-Silvestre et al.[Econometrics Journal,Vol. 8 (2005) pp. 159–175]. The moments of the statistics corresponding to the four models are derived in closed form via characteristic functions.We also provide the exact moments of a modified statistic that do not asymptotically depend on the location of the break point under the null hypothesis. The cases where the break point is unknown are also considered. For the model with breaks in the level and no time trend and for the model with breaks in the level and in the time trend, Carrion-i-Silvestre et al. [Econometrics Journal, Vol. 8 (2005) pp. 159–175]showed that the number of breaks and their positions may be allowed to differ acrossindividuals for cases with known and unknown breaks. Their results can easily be extended to the proposed modified statistic. The asymptotic distributions of all the statistics proposed are derived under the null hypothesis and are shown to be normally distributed. We show by simulations that our suggested tests have in general good performance in finite samples except the modified test. In an empirical application to the consumer prices of 22 OECD countries during the period from 1953 to 2003, we found evidence of stationarity once a structural break and cross-sectional dependence are accommodated.

Structural Breaks in Mortality Models and their Consequences

In recent years, the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and, hence, life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and, hence, quantify the costs of providing for future aging populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age and cohort, and forecast these trends into the future using standard statistical methods. The modeling approaches used failed to capture the effects of any structural change in the trend and, thus, potentially produced incorrect forecasts of future mortality rates. In this paper, we look at a range of leading stochastic models of mortality and test for structural breaks in the trend time series.

Identifying Structural Breaks in Stochastic Mortality Models

In recent years, the issue of life expectancy has become of utmost importance to pension providers, insurance companies, and government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data to anticipate future life expectancy and hence quantify the costs of providing for future aging populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age, and cohort and forecast these trends into the future by using standard statistical methods. These approaches rely on the assumption that structural breaks in the trend do not exist or do not have a significant impact on the mortality forecasts. Recent literature has started to question this assumption. In this paper, we carry out a comprehensive investigation of the presence or of structural breaks in a selection of leading mortality models. We find that structural breaks are present in the majority of cases. In particular, we find that allowing for structural break, where present, improves the forecast result significantly.

Much Ado About Nothing: The Limitation of Liability and the Market for 19th century Irish Bank Stock

Abstract Limited liability is widely believed to be a prerequisite for the emergence of an active and liquid securities market because the transactions costs associated with trading ownership of unlimited liability firms are viewed as prohibitive. In this article, we examine the trading of shares in an Irish bank, which limited its liability in 1883. Using this bank’s archives, we assemble a time series of trading data, which we test for structural breaks. Our results suggest that the move to limited liability had a negligible impact upon the trading of this bank’s shares.

Models of Mortality - Analysing the Residuals

The area of mortality modelling has received significant attention over the last 20 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, professionals, insurance and actuarial professionals and individuals to be able to fund their old age. In particular, to quantify the costs of increasing longevity we need suitable model of mortality rates that capture the dynamics of the data and forecast them with sufficient accuracy to make them useful. In this paper we test several of those models by considering the fitting quality and in particular, testing the residuals of those models for normality properties. In a wide ranging study considering 30 countries we find that almost exclusively the residuals do not demonstrate normality. Further, in Hurst tests of the residuals we find evidence that structure remains that is not captured by the models.

Modelling mortality: Are we heading in the right direction?

Predicting life expectancy has become of upmost importance in society. Pension providers, insurance companies, government bodies and individuals in the developed world have a vested interest in understanding how long people will live for. This desire to better understand life expectancy has resulted in an explosion of stochastic mortality models many of which identify linear trends in mortality rates by time. In making use of such models for forecasting purposes we rely on the assumption that the direction of the linear trend (determined from the data used for fitting purposes) will not change in the future, recent literature has started to question this assumption. In this paper we carry out a comprehensive investigation of these types of models using male and female data from 30 countries and using the theory of structural breaks to identify changes in the extracted trends by time. We find that structural breaks are present in a substantial number of cases, that they are more prevalent in male data than in female data, that the introduction of additional period factors into the model reduces their presence, and that allowing for changes in the trend improves the fit and forecast substantially.

Multiple cutout optimization in composite plates using evolutionary structural optimization

The optimization of cutouts in composite plates was investigated by implementing a procedure known as Evolutionary Structural Optimization. Perforations were introduced into a finite element mesh of the plate from which one or more cutouts of a predetermined size were evolved. In the examples presented, plates were rejected from around each evolving cutout based on a predefined rejection criterion. The Limiting ply within each plate element around the cutout was determined based on the Tsai-Hill failure criterion. Finite element plates with values below the product of the average Tsai-Hill number and a rejection criterion were subsequently removed. This process was iterated until a steady state was reached and the rejection criterion was then incremented by an evolutionary rate and the above steps repeated until the desired cutout area was achieved. Various plates with differing lay-up and loading parameters were investigated to demonstrate the generality and robustness of this optimization procedure.

Concertedness and solvent effects in multiple proton transfer reactions: The formic acid dimer in solution

The issue of multiple proton transfer (PT) reactions in solution is addressed by performing molecular dynamics simulations for a formic acid dimer embedded in a water cluster. The reactant species is treated quantum mechanically, within a density functional approach, while the solvent is represented by a classical model. By constraining different distances within the dimer we analyze the PT process in a variety of situations representative of more complex environments. Free energy profiles are presented, and analyzed in terms of typical solvated configurations extracted from the simulations. A decrease in the PT barrier height upon solvation is rationalized in terms of a transition state which is more polarized than the stable states. The dynamics of the double PT process is studied in a low-barrier case and correlated with solvent polarization fluctuations. Cooperative effects in the motion of the two protons are observed in two different situations: when the solvent polarization does not favor the transfer of one of the two protons and when the motion of the two protons is not synchronized. This body of observations is correlated with local structural and dynamical properties of the solvent in the vicinity of the reactant. (C) 2000 American Institute of Physics. [S0021-9606(00)51121-0].

Bradykinin-related peptides, including a novel structural variant, (Val1)-bradykinin, from the skin secretion of Guenther's frog, Hylarana guentheri and their molecular precursors.

Multiple bradykinin-related peptides including a novel bradykinin structural variant, (Val1)-bradykinin, have been identified from the defensive skin secretion of Guenther's frog, Hylarana guentheri by a tandem mass spectrometry method. Subsequently, four different preprobradykinin cDNAs, which encoded multiple bradykinin copies and its structural variants, were consistently cloned from a skin derived cDNA library. These preprobradykinin cDNAs showed little structural similarity with mammalian kininogens and the kininogens from the skin of toads, but have regions that are highly conserved in the kininogens from another ranid frog, Odorrana schmackeri. Alignment of these preprobradykinins revealed that preprobradykinin 1, 2 and 3 may derive from a single gene by alternative exon splicing.

Multiple Evidence for Gold(I)center dot center dot center dot Silver(I) Interactions in Solution

[AuAg3(C6F5)(CF3CO2)(3)(CH2PPh3)](n) (2) was prepared by reaction of [Au(C6F5)(CH2PPh3)] (1) and [Ag(CF3CO2)] (1:3). The crystal structures of complexes I and 2 were determined by X-ray diffraction, and the latter shows a polymeric 2D arrangement built by Au - Ag, Ag - Ag, and Ag - O contacts. The metallophilic interactions observed in 2 in the solid state seem to be preserved in concentrated THF solutions, as suggested by EXAFS, pulsed-gradient spin-echo NMR, and photophysical studies, which showed that the structural motif [AuAg3(C6F5)(CF3CO2)(3)(CH2PPh3)] is maintained under such conditions. Time-dependent DFT calculations agree with the experimental photophysical energies and suggest a metal-to-ligand charge-transfer phosphorescence process. Ab initio calculations give an estimated interaction energy of around 60 kJ mol(-1) for each Au - Ag interaction.

Discovery of multiple neuropeptide families in the phylum Platyhelminthes

Available evidence shows that short amidated neuropeptides are widespread and have important functions within the nervous systems of all flatworms (phylum Platyhelminthes) examined, and could therefore represent a starting point for new lead drug compounds with which to combat parasitic helminth infections. However, only a handful of these peptides have been characterised, the rigorous exploration of the flatworm peptide signalling repertoire having been hindered by the dearth of flatworm genomic data. Through searches of both expressed sequence tags and genomic resources using the basic local alignment search tool (BLAST), we describe 96 neuropeptides on 60 precursors from 10 flatworm species. Most of these (51 predicted peptides on 14 precursors) are novel and are apparently restricted to flatworms; the remainder comprise nine recognised peptide families including FMRFamide-like (FLPs), neuropeptide F (NPF)-like, myomodulin-like, buccalin-like and neuropeptide FF (NPFF)-like peptides; notably, the latter have only previously been reported in vertebrates. Selected peptides were localised immunocytochemically to the Schistosoma mansoni nervous system. We also describe several novel flatworm NPFs with structural features characteristic of the vertebrate neuropeptide Y (NPY) superfamily, previously unreported characteristics which support the common ancestry of flatworm NPFs with the NPY-superfamily. Our dataset provides a springboard for investigation of the functional biology and therapeutic potential of neuropeptides in flatworms, simultaneously launching flatworm neurobiology into the post-genomic era. (C) 2009 Australian Society for Parasitology Inc. Published by Elsevier Ltd. All rights reserved.

A topological algorithm for identification of structural domains of proteins

Background: Identification of the structural domains of proteins is important for our understanding of the organizational principles and mechanisms of protein folding, and for insights into protein function and evolution. Algorithmic methods of dissecting protein of known structure into domains developed so far are based on an examination of multiple geometrical, physical and topological features. Successful as many of these approaches are, they employ a lot of heuristics, and it is not clear whether they illuminate any deep underlying principles of protein domain organization. Other well-performing domain dissection methods rely on comparative sequence analysis. These methods are applicable to sequences with known and unknown structure alike, and their success highlights a fundamental principle of protein modularity, but this does not directly improve our understanding of protein spatial structure.

Comparative tracing experiments to investigate epikarst structural and compositional heterogeneity

Comparative tracer testing may be used to evaluate the vulnerability of groundwater to specific contaminants by comparing reactive tracer response to that of a simultaneously injected non-reactive “conservative” substance. Conversely, knowledge of tracer reaction with specific materials permits information about subsurface heterogeneity to be inferred. A series of tests completed in the vadose zone overlying a limestone aquifer employed a cocktail of particles along with reactive and non-reactive solute tracers to investigate transport rates between the ground surface and monitoring points approximately 10 m below ground. Short pulse tests revealed both solutes and particulate contaminants could travel at rates of over 10 m/h. Comparison of particle (microorganisms) and non-reactive solute tracer breakthrough revealed that particle tracers experience pore exclusion resulting in higher peak relative concentrations which arrive earlier than those of the solute. Prolonged tracer injection during subsequent experiments confirmed the response observed and illustrated that over 40 % of flow paths between injection and monitoring points were inaccessible to particles, but could allow solutes to pass through them. Similarly, the difference in response between various reactive tracers demonstrated tracers reached monitoring points via multiple flow paths and suggests geochemical heterogeneity plays an important role in influencing tracer behaviour. The results of this investigation highlight the complexity of water flow through the epikarst and the vulnerability of groundwater in karst aquifers to contamination when soil cover is thin to absent.

A multiple-radical model for radiation action on DNA and the dependence of OER on LET

We have a developed a multiple-radical model of the chemical modification reactions involving oxygen and thiols relevant to the interactions of ionizing radiations with DNA. The treatment is based on the Alper and Howard-Flanders equation but considers the case where more than one radical may be involved in the production of lesions in DNA. This model makes several predictions regarding the induction of double strand breaks in DNA by ionizing radiation and the role of sensitizers such as oxygen and protectors such as thiols which act at the chemical phase of radiation action via the involvement of free radicals. The model predicts a decreasing OER with increasing LET on the basis that as radical multiplicity increases so will the probability that, even under hypoxia, damage will be fixed and lead to lesion production. The model can be considered to provide an alternative hypothesis to those of 'interacting radicals' or of 'oxygen-in-the-track'.