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.

Geochronology of weathering and landscape evolution, Dugald River valley, NW Queensland, Australia

40Ar/39Ar laser incremental heating analyses of individual grains of supergene jarosite, alunite, and cryptomelane from weathering profiles in the Dugald River area, Queensland, Australia, show a strong positive correlation between a sample’s age and its elevation. We analyzed 125 grains extracted from 35 hand specimens collected from weathering profiles at 11 sites located at 3 distinct elevations. The highest elevation profile hosts the oldest supergene minerals, whereas progressively younger samples occur at lower positions in the landscape. The highest elevation sampling sites (three sites), located on top of an elongated mesa (255 to 275 m elevation), yield ages in the 16 to 12 Ma range. Samples from an intermediate elevation site (225 to 230 m elevation) yield ages in the 6 to 4 Ma range. Samples collected at the lowest elevation sites (200 to 220 m elevation) yield ages in the 2.2 to 0.8 Ma interval. Grains of supergene alunite, jarosite, and cryptomelane analyzed from individual single hand specimens yield reproducible results, confirming the suitability of these minerals to 40Ar/39Ar geochronology. Multiple samples collected from the same site also yield reproducible results, indicating that the ages measured are true precipitation ages for the samples analyzed. Different sites, up to 3 km apart, sampled from weathering profiles at the same elevation again yield reproducible results. The consistency of results confirms that 40Ar/39Ar geochronology of supergene jarosite, alunite, and cryptomelane yields ages of formation of weathering profiles, providing a reliable numerical basis for differentiating and correlating these profiles. The age versus elevation relationship obtained suggest that the stepped landscapes in the Dugald River area record a progressive downward migration of a relatively flat weathering front. The steps in the landscape result from differential erosion of previously weathered bedrock displaying different susceptibility to weathering and contrasting resistance to erosion. Combined, the age versus elevation relationships measured yield a weathering rate of 3.8 m. Myr−1 (for the past 15 Ma) if a descending subhorizontal weathering front is assumed. The results also permit the calculation of the erosion rate of the more easily weathered and eroded lithologies, assuming an initially flat landscape as proposed in models of episodic landscape development. The average erosion rate for the past 15 Ma is 3.3 m. Myr−1, consistent with erosion rates obtained by cosmogenic isotope studies in the region.

Accelerating seismic energy release and evolution of event time and size statistics: Results from two heterogeneous cellular automaton models

The evolution of event time and size statistics in two heterogeneous cellular automaton models of earthquake behavior are studied and compared to the evolution of these quantities during observed periods of accelerating seismic energy release Drier to large earthquakes. The two automata have different nearest neighbor laws, one of which produces self-organized critical (SOC) behavior (PSD model) and the other which produces quasi-periodic large events (crack model). In the PSD model periods of accelerating energy release before large events are rare. In the crack model, many large events are preceded by periods of accelerating energy release. When compared to randomized event catalogs, accelerating energy release before large events occurs more often than random in the crack model but less often than random in the PSD model; it is easier to tell the crack and PSD model results apart from each other than to tell either model apart from a random catalog. The evolution of event sizes during the accelerating energy release sequences in all models is compared to that of observed sequences. The accelerating energy release sequences in the crack model consist of an increase in the rate of events of all sizes, consistent with observations from a small number of natural cases, however inconsistent with a larger number of cases in which there is an increase in the rate of only moderate-sized events. On average, no increase in the rate of events of any size is seen before large events in the PSD model.

Comparing predictions of extinction risk using models and subjective judgement

Models of population dynamics are commonly used to predict risks in ecology, particularly risks of population decline. There is often considerable uncertainty associated with these predictions. However, alternatives to predictions based on population models have not been assessed. We used simulation models of hypothetical species to generate the kinds of data that might typically be available to ecologists and then invited other researchers to predict risks of population declines using these data. The accuracy of the predictions was assessed by comparison with the forecasts of the original model. The researchers used either population models or subjective judgement to make their predictions. Predictions made using models were only slightly more accurate than subjective judgements of risk. However, predictions using models tended to be unbiased, while subjective judgements were biased towards over-estimation. Psychology literature suggests that the bias of subjective judgements is likely to vary somewhat unpredictably among people, depending on their stake in the outcome. This will make subjective predictions more uncertain and less transparent than those based on models. (C) 2004 Elsevier SAS. All rights reserved.

Semantic priming in Alzheimer's dementia: Evidence for dissociation of automatic and attentional processes

The nature of the semantic memory deficit in dementia of the Alzheimer's type (DAT) was investigated in a semantic priming task which was designed to assess both automatic and attention-induced priming effects. Ten DAT patients and 10 age-matched control subjects completed a word naming semantic priming task in which both relatedness proportion (RP) and stimulus-onset asynchrony (SOA) were varied. A clear dissociation between automatic and attentional priming effects in both groups was demonstrated; however, the DAT subjects pattern of priming deviated significantly from that of the normal controls. The DAT patients failed to produce any priming under conditions which encouraged automatic semantic processing and produced facilitation only when the RP was high. In addition, the DAT group produced hyperpriming, with significantly larger facilitation effects than the control group. These results suggest an impairment of automatic spreading activation in DAT and have implications for theories of semantic memory impairment in DAT as well as models of normal priming. (C) 2001 Academic Press.

A role for the dominant thalamus in language? A linguistic comparison of two cases subsequent to unilateral thalamotomy procedures in the dominant and non-dominant hemispheres

Background: Thalamotomy has been reported to be successful in ameliorating the motor symptoms of tremor and/or rigidity in people with Parkinson's disease (PD), emphasising the bona fide contribution of this subcortical nucleus to the neural circuitry subserving motor function. Despite evidence of parallel yet segregated associative and motor cortico-subcortical-cortical circuits, comparatively few studies have investigated the effects of this procedure on cognitive functions. In particular, research pertaining to the impact of thalamotomy on linguistic processes is fundamentally lacking. Aims: The purpose of this research was to investigate the effects of thalamotomy in the language dominant and non-dominant hemispheres on linguistic functioning, relative to operative theoretical models of subcortical participation in language. This paper compares the linguistic profiles of two males with PD, aged 75 years (10 years of formal education) and 62 years (22 years of formal education), subsequent to unilateral thalamotomy procedures within the language dominant and non-dominant hemispheres, respectively. Methods & Procedures: Comprehensive linguistic profiles comprising general and high-level linguistic abilities in addition to on-line semantic processing skills were compiled up to 1 month prior to surgery and 3 months post-operatively, within perceived on'' periods (i.e., when optimally medicated). Pre- and post-operative language performances were compared within-subjects to a group of 16 non-surgical Parkinson's controls (NSPD) and a group of 16 non-neurologically impaired adults (NC). Outcomes & Results: The findings of this research suggest a laterality effect with regard to the contribution of the thalamus to high-level linguistic abilities and, potentially, the temporal processing of semantic information. This outcome supports the application of high-level linguistic assessments and measures of semantic processing proficiency to the clinical management of individuals with dominant thalamic lesions. Conclusions: The results reported lend support to contemporary theories of dominant thalamic participation in language, serving to further elucidate our current understanding of the role of subcortical structures in mediating linguistic processes, relevant to cortical hemispheric dominance.

The phylogeography and connectivity of the latitudinally widespread scleractinian coral Plesiastrea versipora in the Western Pacific

Whereas terrestrial animal populations might show genetic connectivity within a continent, marine species, such as hermatypic corals, may have connectivity stretching to all corners of the planet. We quantified the genetic variability within and among populations of the widespread scleractinian coral, Plesiastrea versipora along the eastern Australian seaboard (4145 km) and the Ryukyu Archipelago (Japan, 681 km) using sequences of internal transcribed spacers (ITS1-2) from ribosomal DNA. Geographic patterns in genetic variability were deduced from a nested clade analysis (NCA) performed on a parsimony network haplotype. This analysis allowed the establishment of geographical associations in the distribution of haplotypes within the network cladogram, therefore allowing us to deduce phylogeographical patterns based under models of restricted gene flow, fragmentation and range expansion. No significant structure was found among Ryukyu Archipelago populations. The lack of an association between the positions of haplotypes in the cladogram with geographical location of these populations may be accounted for by a high level of gene flow of P. versipora within this region, probably due to the strong Kuroshio Current. In contrast, strong geographical associations were apparent among populations of P. versipora along the south-east coast of Australia. This pattern of restricted genetic connectivity among populations of P. versipora on the eastern seaboard of Australia seems to be associated with the present surface ocean current (the East Australian Current) on this side of the south-western Pacific Ocean.