Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

Differential equations driven by fractional Brownian motion

A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H> is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.

Symmetric Brownian motor

In this paper, we present a model of a symmetric Brownian motor which changes the sign of its velocity when the temperature gradient is inverted. The velocity, external work, and efficiency are studied as a function of the temperatures of the baths and other relevant parameters. The motor shows a current reversal when another parameter (a phase shift) is varied. Analytical predictions and results from numerical simulations are performed and agree very well. Generic properties of this type of motor are discussed.

Massless minimally coupled fields in de Sitter space: O(4)-symmetric states versus de Sitter invariant vacuum

The issue of de Sitter invariance for a massless minimally coupled scalar field is examined. Formally, it is possible to construct a de Sitterinvariant state for this case provided that the zero mode of the field is quantized properly. Here we take the point of view that this state is physically acceptable, in the sense that physical observables can be computed and have a reasonable interpretation. In particular, we use this vacuum to derive a new result: that the squared difference between the field at two points along a geodesic observers spacetime path grows linearly with the observers proper time for a quantum state that does not break de Sitter invariance. Also, we use the Hadamard formalism to compute the renormalized expectation value of the energy-momentum tensor, both in the O(4)-invariant states introduced by Allen and Follaci, and in the de Sitterinvariant vacuum. We find that the vacuum energy density in the O(4)-invariant case is larger than in the de Sitterinvariant case.

Collineations of a symmetric 2-covariant tensor: Ricci collineations

The infinitesimal transformations that leave invariant a two-covariant symmetric tensor are studied. The interest of these symmetry transformations lays in the fact that this class of tensors includes the energy-momentum and Ricci tensors. We find that in most cases the class of infinitesimal generators of these transformations is a finite dimensional Lie algebra, but in some cases exhibiting a higher degree of degeneracy, this class is infinite dimensional and may fail to be a Lie algebra. As an application, we study the Ricci collineations of a type B warped spacetime.

Assessment of the potential skin irritation of lysine-derivative anionic surfactants using mouse fibroblast and human keratinocytes as an alternative to animal testing

Purpose. The aim of this study was to identify new surfactants with low skin irritant properties for use in pharmaceutical and cosmetic formulations, employing cell culture as an alternative method to in vivo testing. In addition, we sought to establish whether potential cytotoxic properties were related to the size of the counterions bound to the surfactants. Methods. Cytotoxicity was assessed in the mouse fibroblast cell line 3T6, and the human keratinocyte cell line NCTC 2544, using the MTT assay and uptake of the vital dye neutral red 24 h after dosing (NRU). Results. Lysine-derivative surfactants showed higher IC50s than did commercial anionic irritant compounds such as sodium dodecyl sulphate, proving to be no more harmful than amphoteric betaines. The aggressiveness of the surfactants depended upon the size of their constituent counterions: surfactants associated with lighter counterions showed a proportionally higher aggressivity than those with heavier ones. Conclusions. Synthetic lysine-derivative anionic surfactants are less irritant than commercial surfactants such as sodium dodecyl sulphate and Hexadecyltrimethylammonium bromide and are similar to Betaines. These surfactants may offer promising applications in pharmaceutical and cosmetic preparations, representing a potential alternative to commercial anionic surfactants as a result of their low irritancy potential.

Power variation of some integral fractional processes

We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usdBHs, where BH is a fractional Brownian motion with Hurst parameter H E(0,1), and u is a process with finite q-variation, q<1/(1¿H). We establish the stable convergence of the corresponding fluctuations. These results provide new statistical tools to study and detect the long-memory effect and the Hurst parameter.

Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter H > 1/2. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann¿Stieltjes integral.

Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H 1/2

We consider the Cauchy problem for a stochastic delay differential equation driven by a fractional Brownian motion with Hurst parameter H>¿. We prove an existence and uniqueness result for this problem, when the coefficients are sufficiently regular. Furthermore, if the diffusion coefficient is bounded away from zero and the coefficients are smooth functions with bounded derivatives of all orders, we prove that the law of the solution admits a smooth density with respect to Lebesgue measure on R.

Generation of symmetric periodic orbits by a heteroclinic loop formed by two singular points and their invariant manifolds of dimension 1 and 2 in R3

In this paper we will find a continuous of periodic orbits passing near infinity for a class of polynomial vector fields in R3. We consider polynomial vector fields that are invariant under a symmetry with respect to a plane and that possess a “generalized heteroclinic loop” formed by two singular points e+ and e− at infinity and their invariant manifolds � and . � is an invariant manifold of dimension 1 formed by an orbit going from e− to e+, � is contained in R3 and is transversal to . is an invariant manifold of dimension 2 at infinity. In fact, is the 2–dimensional sphere at infinity in the Poincar´e compactification minus the singular points e+ and e−. The main tool for proving the existence of such periodic orbits is the construction of a Poincar´e map along the generalized heteroclinic loop together with the symmetry with respect to .

Symmetric periodic orbits near heteroclinic loops at infinity for a class of polynomial vector fields

For polynomial vector fields in R3, in general, it is very difficult to detect the existence of an open set of periodic orbits in their phase portraits. Here, we characterize a class of polynomial vector fields of arbitrary even degree having an open set of periodic orbits. The main two tools for proving this result are, first, the existence in the phase portrait of a symmetry with respect to a plane and, second, the existence of two symmetric heteroclinic loops.

Symmetric periodic orbits near a heteroclinic loop in R3 formed by two singular points, a semistable periodic orbit and their invariant manifolds

In this paper we consider C1 vector fields X in R3 having a “generalized heteroclinic loop” L which is topologically homeomorphic to the union of a 2–dimensional sphere S2 and a diameter connecting the north with the south pole. The north pole is an attractor on S2 and a repeller on . The equator of the sphere is a periodic orbit unstable in the north hemisphere and stable in the south one. The full space is topologically homeomorphic to the closed ball having as boundary the sphere S2. We also assume that the flow of X is invariant under a topological straight line symmetry on the equator plane of the ball. For each n ∈ N, by means of a convenient Poincar´e map, we prove the existence of infinitely many symmetric periodic orbits of X near L that gives n turns around L in a period. We also exhibit a class of polynomial vector fields of degree 4 in R3 satisfying this dynamics.