On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Lingual kinematic strategies used to increase speech rate: Comparisons between younger and older adults

The primary objective of this study was to assess the lingual kinematic strategies used by younger and older adults to increase rate of speech. It was hypothesised that the strategies used by the older adults would differ from the young adults either as a direct result of, or in response to a need to compensate for, age-related changes in the tongue. Electromagnetic articulography was used to examine the tongue movements of eight young (M526.7 years) and eight older (M567.1 years) females during repetitions of /ta/ and /ka/ at a controlled moderate rate and then as fast as possible. The younger and older adults were found to significantly reduce consonant durations and increase syllable repetition rate by similar proportions. To achieve these reduced durations both groups appeared to use the same strategy, that of reducing the distances travelled by the tongue. Further comparisons at each rate, however, suggested a speed-accuracy trade-off and increased speech monitoring in the older adults. The results may assist in differentiating articulatory changes associated with normal aging from pathological changes found in disorders that affect the older population.

Blood pressure and heart rate during tonic immobility in the black tipped reef shark, Carcharhinus melanoptera

Tonic immobility was induced in black tipped reef sharks (Carcharhinus melanoptera) and heart rate and ventral aortic blood pressure recorded. Without branchial irrigation, tonic immobility was correlated with a significant depression in blood pressure and heart rate irrespective of the sharks being in air or in water. Tonic immobility with branchial irrigation resulted in a significant increase in blood pressure in sharks in air, but not in water. Heart rate was unchanged when the gills were irrigated. Intra-arterial injections of atropine abolished the bradycardia and blood pressure rise associated with tonic immobility. We conclude that, during tonic immobility, sharks are able to receive afferent information from the ventilatory system and make appropriate responses via the vagus nerve.

Relationships between blood pressure and heart rate in the saltwater crocodile Crocodylus porosus

The cardiac limb of the baroreflex loop was studied in the saltwater crocodile Crocodylus porosus, The classical pharmacological methodology using phenylephrine and sodium nitroprusside was used to trigger blood pressure changes, and the resulting alterations in heart rate were analysed quantitatively using a logistic function. Interindividual differences in resting heart rates and blood pressures were observed, but all seven animals displayed clear baroreflex responses. Atropine and sotalol greatly attenuated the response. A maximal baroreflex gain of 7.2 beats min(-1) kPa(-1) was found at a mean aortic pressure of 6.1 kPa, indicating the active role of the baroreflex in a wide pressure range encompassing hypotensive and hypertensive states. At the lowest mean aortic pressures (5.0 kPa), the synergistic role of the pulmonary-to-systemic shunt in buffering the blood pressure drop also contributes to blood pressure regulation, Pulse pressure showed a better correlation,vith heart rate and also a higher gain than mean aortic, systolic or diastolic pressures, and this is taken as an indicator of the existence of a differential control element working simultaneously with a linear proportional element.

Perforin and interferon-gamma activities independently control tumor initiation, growth, and metastasis

Perforin (pfp) and interferon-gamma (IFN-gamma) together in C57BL/6 (B6) and BALB/c mouse strains provided optimal protection in 3 separate tumor models controlled by innate immunity. Using experimental (B6, RM-1 prostate carcinoma) and spontaneous (BALB/c, DA3 mammary carcinoma) models of metastatic cancer, mice deficient in both pfp and IFN-gamma were significantly less proficient than pfp- or IFN-gamma -deficient mice in preventing metastasis of tumor cells to the lung. Pfp and IFN-gamma -deficient mice were as susceptible as mice depleted of natural killer (NK) cells in both tumor metastasis models, and IFN-gamma appeared to play an early role in protection from metastasis, Previous experiments in a model of fibrosarcoma induced by the chemical carcinogen methylcholanthrene indicated an important role for NK1.1(+) T cells, Herein, both pfp and IFN-gamma played critical and independent roles in providing the host with protection equivalent to that mediated by NK1.1+ T cells, Further analysis demonstrated that IFN-gamma, but not pfp, controlled the growth rate of sarcomas arising in these mice. Thus, this is the first study to demonstrate that host IFN-gamma, and direct cytotoxicity mediated by cytotoxic lymphocytes expressing pfp independently contribute antitumor effector functions that together control the initiation, growth, and spread of tumors in mice, (C) 2001 by The American Society of Hematology.

A Comparison of Bayesian and Sampling Theory Inferences in a Probit Model

HE PROBIT MODEL IS A POPULAR DEVICE for explaining binary choice decisions in econometrics. It has been used to describe choices such as labor force participation, travel mode, home ownership, and type of education. These and many more examples can be found in papers by Amemiya (1981) and Maddala (1983). Given the contribution of economics towards explaining such choices, and given the nature of data that are collected, prior information on the relationship between a choice probability and several explanatory variables frequently exists. Bayesian inference is a convenient vehicle for including such prior information. Given the increasing popularity of Bayesian inference it is useful to ask whether inferences from a probit model are sensitive to a choice between Bayesian and sampling theory techniques. Of interest is the sensitivity of inference on coefficients, probabilities, and elasticities. We consider these issues in a model designed to explain choice between fixed and variable interest rate mortgages. Two Bayesian priors are employed: a uniform prior on the coefficients, designed to be noninformative for the coefficients, and an inequality restricted prior on the signs of the coefficients. We often know, a priori, whether increasing the value of a particular explanatory variable will have a positive or negative effect on a choice probability. This knowledge can be captured by using a prior probability density function (pdf) that is truncated to be positive or negative. Thus, three sets of results are compared:those from maximum likelihood (ML) estimation, those from Bayesian estimation with an unrestricted uniform prior on the coefficients, and those from Bayesian estimation with a uniform prior truncated to accommodate inequality restrictions on the coefficients.

Control of heart rate during thermoregulation in the heliothermic lizard Pogona barbata: importance of cholinergic and adrenergic mechanisms

During thermo regulation in the bearded dragon Pogona barbata, heart rate when heating is significantly faster than when cooling at any given body temperature (heart rate hysteresis), resulting in faster rates of heating than cooling. However, the mechanisms that control heart rate during heating and cooling are unknown. The aim of this study was to test the hypothesis that changes in cholinergic and adrenergic tone on the heart are responsible for the heart rate hysteresis during heating and cooling in P. barbata. Heating and cooling trials were conducted before and after the administration of atropine, a muscarinic antagonist, and sotalol, a beta-adrenergic antagonist. Cholinergic and beta-adrenergic blockade did not abolish the heart rate hysteresis, as the heart rate during heating was significantly faster than during cooling in all cases. Adrenergic tone was extremely high (92.3%) at the commencement of heating, and decreased to 30.7% at the end of the cooling period. Moreover, in four lizards there was an instantaneous drop in heart rate (up to 15 beats min(-1)) as the heat source was switched off, and this drop in heart rate coincided with either a drop in beta-adrenergic tone or an increase in cholinergic tone. Rates of heating were significantly faster during the cholinergic blockade, and least with a combined cholinergic and beta-adrenergic blockade. The results showed that cholinergic and beta-adrenergic systems are not the only control mechanisms acting on the heart during heating and cooling, but they do have a significant effect on heart rate and on rates of heating and cooling.

An in situ study of photosynthetic oxygen exchange and electron transport rate in the marine macroalga Ulva lactuca (Chlorophyta)

Direct comparisons between photosynthetic O-2 evolution rate and electron transport rate (ETR) were made in situ over 24 h using the benthic macroalga Ulva lactuca (Chlorophyta), growing and measured at a depth of 1.8 m, where the midday irradiance rose to 400-600 mumol photons m(-2) s(-1). O-2 exchange was measured with a 5-chamber data-logging apparatus and ETR with a submersible pulse amplitude modulated (PAM) fluorometer (Diving-PAM). Steady-state quantum yield ((Fm'-Ft)/Fm') decreased from 0.7 during the morning to 0.45 at midday, followed by some recovery in the late afternoon. At low to medium irradiances (0-300 mumol photons m(-2) s(-1)), there was a significant correlation between O-2 evolution and ETR, but at higher irradiances, ETR continued to increase steadily, while O-2 evolution tended towards an asymptote. However at high irradiance levels (600-1200 mumol photons m-(2) s(-1)) ETR was significantly lowered. Two methods of measuring ETR, based on either diel ambient light levels and fluorescence yields or rapid light curves, gave similar results at low to moderate irradiance levels. Nutrient enrichment (increases in [NO3-], [NH4+] and [HPO42-] of 5- to 15-fold over ambient concentrations) resulted in an increase, within hours, in photosynthetic rates measured by both ETR and O-2 evolution techniques. At low irradiances, approximately 6.5 to 8.2 electrons passed through PS II during the evolution of one molecule of O-2, i.e., up to twice the theoretical minimum number of four. However, in nutrient-enriched treatments this ratio dropped to 5.1. The results indicate that PAM fluorescence can be used as a good indication of the photosynthetic rate only at low to medium irradiances.

The association between auditory memory span and speech rate in children from kindergarten to sixth grade

This study reexamined the association between speech rate and memory span in children from kindergarten to sixth grade (N = 152) in order to potentially account for the inconsistencies within the published literature on this topic. Some of the inconsistencies in past research may reflect the different methods adopted in assessing speech rate. In particular, repeating word triples may itself involve memory demands, contaminating the correlation between speech rate and memory span in younger children. Analyses using composite speech rate and memory span measures showed that speech rate for word triples shared variance with memory span that was independent of speech rate for single words. Moreover, speech rate for word triples was largely redundant with age in explaining additional variation in memory span once the effects of speech rate for single words were controlled. (C) 2002 Elsevier Science.

Rates of spread of marine pathogens

Epidemics of marine pathogens can spread at extremely rapid rates. For example, herpes virus spread through pilchard populations in Australia at a rate in excess of 10 000 km year(-1), and morbillivirus infections in seals and dolphins have spread at more than 3000 km year(-1). In terrestrial environments, only the epidemics of myxomatosis and calicivirus in Australian rabbits and West Nile Virus in birds in North America have rates of spread in excess of 1000 km year(-1). The rapid rates of spread of these epidemics has been attributed to flying insect vectors, but flying vectors have not been proposed for any marine pathogen. The most likely explanation for the relatively rapid spread of marine pathogens is the lack of barriers to dispersal in some parts of the ocean, and the potential for long-term survival of pathogens outside the host. These findings caution that pathogens may pose a particularly severe problem in the ocean. There is a need to develop epidemic models capable of generating these high rates of spread and obtain more estimates of disease spread rate.

Are there non-linearities in short-term interest rates?

The present paper investigates the characteristics of short-term interest rates in several countries. We examine the importance of nonlinearities in the mean reversion and volatility of short-term interest rates. We examine various models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate.We find that different markets require different models. In particular, we find evidence of nonlinear mean reversion in some of the countries that we examine, linear mean reversion in others and no mean reversion in some countries. For all countries we examine, there is strong evidence of the need for the volatility of interest rate changes to be highly sensitive to the level of the short-term interest rate. Out-of-sample forecasting performance of one-factor short rate models is poor, stemming from the inability of the models to accommodate jumps and discontinuities in the time series data.

Slowing down a pine invasion despite uncertainty in demography and dispersal

1. Management decisions regarding invasive plants often have to be made quickly and in the face of fragmentary knowledge of their population dynamics. However, recommendations are commonly made on the basis of only a restricted set of parameters. Without addressing uncertainty and variability in model parameters we risk ineffective management, resulting in wasted resources and an escalating problem if early chances to control spread are missed. 2. Using available data for Pinus nigra in ungrazed and grazed grassland and shrubland in New Zealand, we parameterized a stage-structured spread model to calculate invasion wave speed, population growth rate and their sensitivities and elasticities to population parameters. Uncertainty distributions of parameters were used with the model to generate confidence intervals (CI) about the model predictions. 3. Ungrazed grassland environments were most vulnerable to invasion and the highest elasticities and sensitivities of invasion speed were to long-distance dispersal parameters. However, there was overlap between the elasticity and sensitivity CI on juvenile survival, seedling establishment and long-distance dispersal parameters, indicating overlap in their effects on invasion speed. 4. While elasticity of invasion speed to long-distance dispersal was highest in shrubland environments, there was overlap with the CI of elasticity to juvenile survival. In shrubland invasion speed was most sensitive to the probability of establishment, especially when establishment was low. In the grazed environment elasticity and sensitivity of invasion speed to the severity of grazing were consistently highest. Management recommendations based on elasticities and sensitivities depend on the vulnerability of the habitat. 5. Synthesis and applications. Despite considerable uncertainty in demography and dispersal, robust management recommendations emerged from the model. Proportional or absolute reductions in long-distance dispersal, juvenile survival and seedling establishment parameters have the potential to reduce wave speed substantially. Plantations of wind-dispersed invasive conifers should not be sited on exposed sites vulnerable to long-distance dispersal events, and trees in these sites should be removed. Invasion speed can also be reduced by removing seedlings, establishing competitive shrubs and grazing. Incorporating uncertainty into the modelling process increases our confidence in the wide applicability of the management strategies recommended here.

A modelling approach to estimate the effect of exotic pollinators on exotic weed population dynamics: bumblebees and broom in Australia

The role of mutualisms in contributing to species invasions is rarely considered, inhibiting effective risk analysis and management options. Potential ecological consequences of invasion of non-native pollinators include increased pollination and seed set of invasive plants, with subsequent impacts on population growth rates and rates of spread. We outline a quantitative approach for evaluating the impact of a proposed introduction of an invasive pollinator on existing weed population dynamics and demonstrate the use of this approach on a relatively data-rich case study: the impacts on Cytisus scoparius (Scotch broom) from proposed introduction of Bombus terrestris. Three models have been used to assess population growth (matrix model), spread speed (integrodifference equation), and equilibrium occupancy (lattice model) for C. scoparius. We use available demographic data for an Australian population to parameterize two of these models. Increased seed set due to more efficient pollination resulted in a higher population growth rate in the density-independent matrix model, whereas simulations of enhanced pollination scenarios had a negligible effect on equilibrium weed occupancy in the lattice model. This is attributed to strong microsite limitation of recruitment in invasive C. scoparius populations observed in Australia and incorporated in the lattice model. A lack of information regarding secondary ant dispersal of C. scoparius prevents us from parameterizing the integrodifference equation model for Australia, but studies of invasive populations in California suggest that spread speed will also increase with higher seed set. For microsite-limited C. scoparius populations, increased seed set has minimal effects on equilibrium site occupancy. However, for density-independent rapidly invading populations, increased seed set is likely to lead to higher growth rates and spread speeds. The impacts of introduced pollinators on native flora and fauna and the potential for promoting range expansion in pollinator-limited 'sleeper weeds' also remain substantial risks.

Comparative susceptibility of indigenous and improved pig breeds to Classical swine fever virus infection: Practical and epidemiological implications in a subsistence-based, developing country setting

This study investigated the comparative susceptibility of indigenous Moo Laat and improved Large White/Landrace pig breeds to infection with classical swine fever virus (CSFV) under controlled conditions in the Lao People's Democratic Republic (Lao PDR). The Moo Laat (ML) and Large White/Landrace crossbreed (LWC) pigs were inoculated with a standard challenge strain designated Lao/Kham225 (infectivity titre of 10(2.75) TCID50/ml). The results demonstrated that both the native breed and an improved pig breed are fully susceptible to CSFV infection and the mortality rate is high. LWC pigs demonstrated lower (or shorter) survival times (50% survival time: 11 days), earlier and higher pyrexia and earlier onset of viraemia compared to ML pigs (50% survival time: 18 days). In the context of village-based pig production, the longer time from infection to death in native ML pigs means that incubating or early sick pigs are likely to be sold once an outbreak of CSF is recognized in a village. This increased longevity probably contributes to the maintenance and spread of disease in a population where generally the contact rate is low.