Critical values for unit root and cointegration test statistics - the use of response surface equations

This note considers the value of surface response equations which can be used to calculate critical values for a range of unit root and cointegration tests popular in applied economic research.

Nonstationary brand variables in category management: A cointegration perspective

Category-management models serve to assist in the development of plans for pricing and promotions of individual brands. Techniques to solve the models can have problems of accuracy and interpretability because they are susceptible to spurious regression problems due to nonstationary time-series data. Improperly stated nonstationary systems can reduce the accuracy of the forecasts and undermine the interpretation of the results. This is problematic because recent studies indicate that sales are often a nonstationary time-series. Newly developed correction techniques can account for nonstationarity by incorporating error-correction terms into the model when using a Bayesian Vector Error-Correction Model. The benefit of using such a technique is that shocks to control variates can be separated into permanent and temporary effects and allow cointegration of series for analysis purposes. Analysis of a brand data set indicates that this is important even at the brand level. Thus, additional information is generated that allows a decision maker to examine controllable variables in terms of whether they influence sales over a short or long duration. Only products that are nonstationary in sales volume can be manipulated for long-term profit gain, and promotions must be cointegrated with brand sales volume. The brand data set is used to explore the capabilities and interpretation of cointegration.

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.

Vector Error-Correction Models in a consumer packaged goods category forecasting decision support system

A framework for developing marketing category management decision support systems (DSS) based upon the Bayesian Vector Autoregressive (BVAR) model is extended. Since the BVAR model is vulnerable to permanent and temporary shifts in purchasing patterns over time, a form that can correct for the shifts and still provide the other advantages of the BVAR is a Bayesian Vector Error-Correction Model (BVECM). We present the mechanics of extending the DSS to move from a BVAR model to the BVECM model for the category management problem. Several additional iterative steps are required in the DSS to allow the decision maker to arrive at the best forecast possible. The revised marketing DSS framework and model fitting procedures are described. Validation is conducted on a sample problem.

Energy consumption, economic growth and prices: A reassessment using panel VECM for developed and developing countries

This paper reinvestigates the energy consumption-GDP growth nexus in a panel error correction model using data on 20 net energy importers and exporters from 1971 to 2002. Among the energy exporters, there was bidirectional causality between economic growth and energy consumption in the developed countries in both the short and long run, while in the developing countries energy consumption stimulates growth only in the short run. The former result is also found for energy importers and the latter result exists only for the developed countries within this category. In addition, compared to the developing countries, the developed countries' elasticity response in terms of economic growth from an increase in energy consumption is larger although its income elasticity is lower and less than unitary. Lastly. the implications for energy policy calling for a more holistic approach are discussed. (c) 2006 Elsevier Ltd. All rights reserved.

Prospective independent validation of APACHE III models in an Australian tertiary adult intensive care unit

Evaluation of the performance of the APACHE III (Acute Physiology and Chronic Health Evaluation) ICU (intensive care unit) and hospital mortality models at the Princess Alexandra Hospital, Brisbane is reported. Prospective collection of demographic, diagnostic, physiological, laboratory, admission and discharge data of 5681 consecutive eligible admissions (1 January 1995 to 1 January 2000) was conducted at the Princess Alexandra Hospital, a metropolitan Australian tertiary referral medical/surgical adult ICU. ROC (receiver operating characteristic) curve areas for the APACHE III ICU mortality and hospital mortality models demonstrated excellent discrimination. Observed ICU mortality (9.1%) was significantly overestimated by the APACHE III model adjusted for hospital characteristics (10.1%), but did not significantly differ from the prediction of the generic APACHE III model (8.6%). In contrast, observed hospital mortality (14.8%) agreed well with the prediction of the APACHE III model adjusted for hospital characteristics (14.6%), but was significantly underestimated by the unadjusted APACHE III model (13.2%). Calibration curves and goodness-of-fit analysis using Hosmer-Lemeshow statistics, demonstrated that calibration was good with the unadjusted APACHE III ICU mortality model, and the APACHE III hospital mortality model adjusted for hospital characteristics. Post hoc analysis revealed a declining annual SMR (standardized mortality rate) during the study period. This trend was present in each of the non-surgical, emergency and elective surgical diagnostic groups, and the change was temporally related to increased specialist staffing levels. This study demonstrates that the APACHE III model performs well on independent assessment in an Australian hospital. Changes observed in annual SMR using such a validated model support an hypothesis of improved survival outcomes 1995-1999.

Mean anisotropy of homogeneous Gaussian random fields and anisotropic norms of linear translation-invariant operators on multidimensional integer lattices

Sensitivity of output of a linear operator to its input can be quantified in various ways. In Control Theory, the input is usually interpreted as disturbance and the output is to be minimized in some sense. In stochastic worst-case design settings, the disturbance is considered random with imprecisely known probability distribution. The prior set of probability measures can be chosen so as to quantify how far the disturbance deviates from the white-noise hypothesis of Linear Quadratic Gaussian control. Such deviation can be measured by the minimal Kullback-Leibler informational divergence from the Gaussian distributions with zero mean and scalar covariance matrices. The resulting anisotropy functional is defined for finite power random vectors. Originally, anisotropy was introduced for directionally generic random vectors as the relative entropy of the normalized vector with respect to the uniform distribution on the unit sphere. The associated a-anisotropic norm of a matrix is then its maximum root mean square or average energy gain with respect to finite power or directionally generic inputs whose anisotropy is bounded above by a≥0. We give a systematic comparison of the anisotropy functionals and the associated norms. These are considered for unboundedly growing fragments of homogeneous Gaussian random fields on multidimensional integer lattice to yield mean anisotropy. Correspondingly, the anisotropic norms of finite matrices are extended to bounded linear translation invariant operators over such fields.

The 'muscle-bone unit' during the pubertal growth spurt

Mechanostat theory postulates that developmental changes in bone strength are secondary to the increasing loads imposed by larger muscle forces. Therefore, the increase in muscle strength should precede the increase in bone strength. We tested this prediction using densitometric surrogate measures of muscle force (lean body mass, LBM) and bone strength (bone mineral content, BMC) in a study on 70 boys and 68 girls who were longitudinally examined during pubertal development. On the level of the total body, the peak in LBM accrual preceded the peak in BMC accretion by an average of 0.51 years in girls and by 0.36 years in boys. In the arms, the maximal increase in LBM was followed by arm peak BMC accrual after an interval of 0.71 years in girls and 0.63 years in boys. In the lower extremities, the maximal increase in LBM was followed by peak BMC accrual after an interval of 0.22 years in girls and 0.48 years in boys. A multiple regression model revealed that total body peak LBM velocity, but not peak height velocity and sex, was independently associated with total body peak BMC velocity (r(2) = 0.50; P < 0.001). Similarly, arm and leg peak LBM velocity, but not peak height velocity and sex, were independently associated with arm and leg peak BMC velocity, respectively (r(2) = 0.61 for arms, r(2) = 0.41 for legs; P < 0.001 in both cases). These results are compatible with the view that bone development is driven by muscle development, although the data do not exclude the hypothesis that the two processes are independently determined by genetic mechanisms. (C) 2004 Elsevier Inc. All rights reserved.

Fine root respiration in the mangrove Rhizophora mangle over variation in forest stature and nutrient availability

Root respiration uses a significant proportion of photosynthetically fixed carbon (C) and is a globally important source of C liberated from soils. Mangroves, which are an important and productive forest resource in many tropical and subtropical countries, sustain a high ratio of root to shoot biomass which may indicate that root respiration is a particularly important component in mangrove forest carbon budgets. Mangroves are often exposed to nutrient pollution from coastal waters. Here we assessed the magnitude of fine root respiration in mangrove forests in Belize and investigated how root respiration is influenced by nutrient additions. Respiration rates of excised fine roots of the mangrove, Rhizophora mangle L., were low (4.01 +/- 0.16 nmol CO2 g(-1) s(-1)) compared to those measured in temperate tree species at similar temperatures. In an experiment where trees where fertilized with nitrogen (N) or phosphorus (P) in low productivity dwarf forests (1-2 m height) and more productive, taller (47 m height) seaward fringing forests, respiration of fine roots did not vary consistently with fertilization treatments or with forest stature. Fine roots of taller fringe trees had higher concentrations of both N and P compared to dwarf trees. Fertilization with P enhanced fine root P concentrations in both dwarf and fringe trees, but reduced root N concentrations compared to controls. Fertilization with N had no effect on root N or P concentrations. Unlike photosynthetic C gain and growth, which is strongly limited by P availability in dwarf forests at this site, fine root respiration (expressed on a mass basis) was variable, but showed no significant enhancements with nutrient additions. Variation in fine root production and standing biomass are, therefore, likely to be more important factors determining C efflux from mangrove sediments than variations in fine root respiration per unit mass.

Aboriginal and Torres Strait Islander Studies Unit Annual Report

Welcome to the 2002 Aboriginal and Torres Strait Islander Studies Unit Annual Report. This report is a brief summary of Unit activities during the 2002 calendar year. The Unit provides personal and academic support for Aboriginal and Torres Strait Islander students and specifically aims to increase the recruitment, retention, academic performance and graduation rates of Indigenous students. The Unit also administers schemes to help Indigenous students gain access to, and receive support in, tertiary studies such as the Alternative Entry scheme and the federally funded Aboriginal Tutorial Assistance Scheme (ATAS). The Unit is also the focus for teaching and research in Aboriginal and Torres Strait Islander Studies at the University of Queensland.

Aboriginal and Torres Strait Islander Studies Unit Annual Report 2003

Welcome to the 2003 Aboriginal and Torres Strait Islander Studies Unit Annual Report. This report is a brief summary of Unit activities during the 2003 calendar year. The Unit provides personal and academic support for Aboriginal and Torres Strait Islander students and specifically aims to increase the recruitment, retention, academic performance and graduation rates of Indigenous students. The Unit also administers schemes to help Indigenous students gain access to, and receive support in, tertiary studies such as the Alternative Entry scheme and the federally funded Aboriginal Tutorial Assistance Scheme (ATAS). The Unit is also the focus for teaching and research in Aboriginal and Torres Strait Islander Studies at the University of Queensland.

Aboriginal and Torres Strait Islander Studies Unit Annual Report 2005

Welcome to the 2005 Aboriginal and Torres Strait Islander Studies Unit Annual Report. This report is a brief summary of Unit activities during the 2005 calendar year. The Unit provides personal and academic support for Aboriginal and Torres Strait Islander students and specifically aims to increase the recruitment, retention, academic performance and graduation rates of Indigenous students. The Unit also administers schemes to help Indigenous students gain access to, and receive support in, tertiary studies such as the Alternative Entry scheme and the federally-funded Indigenous Tutorial Assistance Scheme (ITAS). The Unit is also the focus for teaching and research in Aboriginal and Torres Strait Islander Studies at the University of Queensland.

Radiative Relaxation Quantum Yields for Synthetic Eumelanin

We report absolute values for the radiative relaxation quantum yield of synthetic eumelanin as a function of excitation energy. These values were determined by correcting for pump beam attenuation and emission reabsorption in both eumelanin samples and fluorescein standards over a large range of concentrations. Our results confirm that eumelanins are capable of dissipating >99.9% of absorbed UV and visible radiation through nonradiative means. Furthermore, we have found that the radiative quantum yield of synthetic eumelanin is excitation energy dependent. This observation is supported by corrected emission spectra, which also show a clear dependence of both peak position and peak width on excitation energy. Our findings indicate that photoluminescence emission in eumelanins is derived from ensembles of small chemically distinct oligomeric units that can be selectively pumped. This hypothesis lends support to the theory that the basic structural unit of eumelanin is oligomeric rather than heteropolymeric.