Bayesian model averaging and identification of structural breaks in time series

Bayesian Model Averaging (BMA) is used for testing for multiple break points in univariate series using conjugate normal-gamma priors. This approach can test for the number of structural breaks and produce posterior probabilities for a break at each point in time. Results are averaged over specifications including: stationary; stationary around trend and unit root models, each containing different types and number of breaks and different lag lengths. The procedures are used to test for structural breaks on 14 annual macroeconomic series and 11 natural resource price series. The results indicate that there are structural breaks in all of the natural resource series and most of the macroeconomic series. Many of the series had multiple breaks. Our findings regarding the existence of unit roots, having allowed for structural breaks in the data, are largely consistent with previous work.

EU housing markets: the role of institutional factors

Using cluster analysis this study reveals significant heterogeneity in the institutional characteristics of European mortgage markets. Distinct clusters are formed which can be related to differences in the mortgage credit system, the relative importance of the owner-occupation and the property specific fiscal system. The paper then tests for multiple structural breaks. We find evidence that structural breaks in European housing markets often coincide with a changes in housing market policy.

Rapid model quality assessment for protein structure predictions using the comparison of multiple models without structural alignments

MOTIVATION: The accurate prediction of the quality of 3D models is a key component of successful protein tertiary structure prediction methods. Currently, clustering or consensus based Model Quality Assessment Programs (MQAPs) are the most accurate methods for predicting 3D model quality; however they are often CPU intensive as they carry out multiple structural alignments in order to compare numerous models. In this study, we describe ModFOLDclustQ - a novel MQAP that compares 3D models of proteins without the need for CPU intensive structural alignments by utilising the Q measure for model comparisons. The ModFOLDclustQ method is benchmarked against the top established methods in terms of both accuracy and speed. In addition, the ModFOLDclustQ scores are combined with those from our older ModFOLDclust method to form a new method, ModFOLDclust2, that aims to provide increased prediction accuracy with negligible computational overhead. RESULTS: The ModFOLDclustQ method is competitive with leading clustering based MQAPs for the prediction of global model quality, yet it is up to 150 times faster than the previous version of the ModFOLDclust method at comparing models of small proteins (<60 residues) and over 5 times faster at comparing models of large proteins (>800 residues). Furthermore, a significant improvement in accuracy can be gained over the previous clustering based MQAPs by combining the scores from ModFOLDclustQ and ModFOLDclust to form the new ModFOLDclust2 method, with little impact on the overall time taken for each prediction. AVAILABILITY: The ModFOLDclustQ and ModFOLDclust2 methods are available to download from: http://www.reading.ac.uk/bioinf/downloads/ CONTACT: l.j.mcguffin@reading.ac.uk.

Commodity futures prices: more evidence on forecast power, risk premia and the theory of storage

In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying parameters or structural breaks in these pricing relationships. Compared to previous studies, we find stronger evidence of seasonality in the basis, which supports the theory of storage. The power of the basis to forecast subsequent price changes is also strengthened, while results on the presence of a risk premium are inconclusive. In addition, we show that the forecasting power of commodity futures cannot be attributed to the extent to which they exhibit seasonality. We find that in most cases where structural breaks occur, only changes in the intercepts and not the slopes are detected, illustrating that the forecast power of the basis is stable over different economic environments.

Medieval foreign exchange: a time series analysis

This chapter applies rigorous statistical analysis to existing datasets of medieval exchange rates quoted in merchants’ letters sent from Barcelona, Bruges and Venice between 1380 and 1310, which survive in the archive of Francesco di Marco Datini of Prato. First, it tests the exchange rates for stationarity. Second, it uses regression analysis to examine the seasonality of exchange rates at the three financial centres and compares them against contemporary descriptions by the merchant Giovanni di Antonio da Uzzano. Third, it tests for structural breaks in the exchange rate series.

Are mortgage lenders guilty of the housing bubble? A UK perspective

Existing theoretical models of house prices and credit rely on continuous rationality of consumers, an assumption that has been frequently questioned in recent years. Meanwhile, empirical investigations of the relationship between prices and credit are often based on national-level data, which is then tested for structural breaks and asymmetric responses, usually with subsamples. Earlier author argues that local markets are structurally different from one another and so the coefficients of any estimated housing market model should vary from region to region. We investigate differences in the price–credit relationship for 12 regions of the UK. Markov-switching is introduced to capture asymmetric market behaviours and turning points. Results show that credit abundance had a large impact on house prices in Greater London and nearby regions alongside a strong positive feedback effect from past house price movements. This impact is even larger in Greater London and the South East of England when house prices are falling, which are the only instances where the credit effect is more prominent than the positive feedback effect. A strong positive feedback effect from past lending activity is also present in the loan dynamics. Furthermore, bubble probabilities extracted using a discrete Kalman filter neatly capture market turning points.

A structural time series approach to modelling multiple and resurgent meat scares in Italy

This paper exploits a structural time series approach to model the time pattern of multiple and resurgent food scares and their direct and cross-product impacts on consumer response. A structural time series Almost Ideal Demand System (STS-AIDS) is embedded in a vector error correction framework to allow for dynamic effects (VEC-STS-AIDS). Italian aggregate household data on meat demand is used to assess the time-varying impact of a resurgent BSE crisis (1996 and 2000) and the 1999 Dioxin crisis. The VEC-STS-AIDS model monitors the short-run impacts and performs satisfactorily in terms of residuals diagnostics, overcoming the major problems encountered by the customary vector error correction approach.

Thiocyanate complexes of uranium in multiple oxidation states: a combined structural, magnetic, spectroscopic, spectroelectrochemical, and theoretical study

A comprehensive study of the complexes A4[U(NCS)8] (A = Cs, Et4N, nBu4N) and A3[UO2(NCS)5] (A = Cs, Et4N) is described, with the crystal structures of [nBu4N]4[U(NCS)8]·2MeCN and Cs3[UO2(NCS)5]·O0.5 reported. The magnetic properties of square antiprismatic Cs4[U(NCS)8] and cubic [Et4N]4[U(NCS)8] have been probed by SQUID magnetometry. The geometry has an important impact on the low-temperature magnetic moments: at 2 K, μeff = 1.21 μB and 0.53 μB, respectively. Electronic absorption and photoluminescence spectra of the uranium(IV) compounds have been measured. The redox chemistry of [Et4N]4[U(NCS)8] has been explored using IR and UV–vis spectroelectrochemical methods. Reversible 1-electron oxidation of one of the coordinated thiocyanate ligands occurs at +0.22 V vs Fc/Fc+, followed by an irreversible oxidation to form dithiocyanogen (NCS)2 which upon back reduction regenerates thiocyanate anions coordinating to UO22+. NBO calculations agree with the experimental spectra, suggesting that the initial electron loss of [U(NCS)8]4– is delocalized over all NCS– ligands. Reduction of the uranyl(VI) complex [Et4N]3[UO2(NCS)5] to uranyl(V) is accompanied by immediate disproportionation and has only been studied by DFT methods. The bonding in [An(NCS)8]4– (An = Th, U) and [UO2(NCS)5]3– has been explored by a combination of DFT and QTAIM analysis, and the U–N bonds are predominantly ionic, with the uranyl(V) species more ionic that the uranyl(VI) ion. Additionally, the U(IV)–NCS ion is more ionic than what was found for U(IV)–Cl complexes.

Global hydrology modelling and uncertainty: running multiple ensembles with a campus grid.

Uncertainties associated with the representation of various physical processes in global climate models (GCMs) mean that, when projections from GCMs are used in climate change impact studies, the uncertainty propagates through to the impact estimates. A complete treatment of this ‘climate model structural uncertainty’ is necessary so that decision-makers are presented with an uncertainty range around the impact estimates. This uncertainty is often underexplored owing to the human and computer processing time required to perform the numerous simulations. Here, we present a 189-member ensemble of global river runoff and water resource stress simulations that adequately address this uncertainty. Following several adaptations and modifications, the ensemble creation time has been reduced from 750 h on a typical single-processor personal computer to 9 h of high-throughput computing on the University of Reading Campus Grid. Here, we outline the changes that had to be made to the hydrological impacts model and to the Campus Grid, and present the main results. We show that, although there is considerable uncertainty in both the magnitude and the sign of regional runoff changes across different GCMs with climate change, there is much less uncertainty in runoff changes for regions that experience large runoff increases (e.g. the high northern latitudes and Central Asia) and large runoff decreases (e.g. the Mediterranean). Furthermore, there is consensus that the percentage of the global population at risk to water resource stress will increase with climate change.

The ModFOLD server for the quality assessment of protein structural models

The reliable assessment of the quality of protein structural models is fundamental to the progress of structural bioinformatics. The ModFOLD server provides access to two accurate techniques for the global and local prediction of the quality of 3D models of proteins. Firstly ModFOLD, which is a fast Model Quality Assessment Program (MQAP) used for the global assessment of either single or multiple models. Secondly ModFOLDclust, which is a more intensive method that carries out clustering of multiple models and provides per-residue local quality assessment.

Rapid parallel expression in E-coli and insect cells: Analysis of five lef gene products of the Autographa californica multiple nuclear polyhedrosis virus (AcMNPV)

A number of strategies are emerging for the high throughput (HTP) expression of recombinant proteins to enable structural and functional study. Here we describe a workable HTP strategy based on parallel protein expression in E. coli and insect cells. Using this system we provide comparative expression data for five proteins derived from the Autographa californica polyhedrosis virus genome that vary in amino acid composition and in molecular weight. Although the proteins are part of a set of factors known to be required for viral late gene expression, the precise function of three of the five, late expression factors (lefs) 6, 7 and 10, is unknown. Rapid expression and characterisation has allowed the determination of their ability to bind DNA and shown a cellular location consistent with their properties. Our data point to the utility of a parallel expression strategy to rapidly obtain workable protein expression levels from many open reading frames (ORFs).

Structural adjustment and subsistence industry: artisanal gold mining in Ghana

Since the implementation of Ghana's national Structural Adjustment Programme (SAP), policies associated with the programme have been criticized for perpetuating poverty within the country's subsistence economy. This article brings new evidence to bear on the contention that the SAP has both fuelled the uncontrolled growth of informal, poverty-driven artisanal gold mining and further marginalized its impoverished participants. Throughout the adjustment period, it has been a central goal of the government to promote the expansion of large-scale gold mining through foreign investment. Confronted with the challenge of resuscitating a deteriorating gold mining industry, the government introduced a number of tax breaks and policies in an effort to create an attractive investment climate for foreign multinational mining companies. The rapid rise in exploration and excavation activities that has since taken place has displaced thousands of previously-undisturbed subsistence artisanal gold miners. This, along with a laissez faire land concession allocation procedure, has exacerbated conflicts between mining parties. Despite legalizing small-scale mining in 1989, the Ghanaian government continues to implement procedurally complex and bureaucratically unwieldy regulations and policies for artisanal operators which have the effect of favouring the interests of established large-scale miners.