A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread.

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Testing for non-linearity in daily sterling exchange rates

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure.

Cloud droplet size and liquid water path retrievals from zenith radiance measurements: examples from the Atmospheric Radiation Measurement Program and the Aerosol Robotic Network

The ground-based Atmospheric Radiation Measurement Program (ARM) and NASA Aerosol Robotic Net- work (AERONET) routinely monitor clouds using zenith ra- diances at visible and near-infrared wavelengths. Using the transmittance calculated from such measurements, we have developed a new retrieval method for cloud effective droplet size and conducted extensive tests for non-precipitating liquid water clouds. The underlying principle is to combine a liquid-water-absorbing wavelength (i.e., 1640 nm) with a non-water-absorbing wavelength for acquiring information on cloud droplet size and optical depth. For simulated stratocumulus clouds with liquid water path less than 300 g m−2 and horizontal resolution of 201 m, the retrieval method underestimates the mean effective radius by 0.8μm, with a root-mean-squared error of 1.7 μm and a relative deviation of 13%. For actual observations with a liquid water path less than 450 g m−2 at the ARM Oklahoma site during 2007– 2008, our 1.5-min-averaged retrievals are generally larger by around 1 μm than those from combined ground-based cloud radar and microwave radiometer at a 5-min temporal resolution. We also compared our retrievals to those from combined shortwave flux and microwave observations for relatively homogeneous clouds, showing that the bias between these two retrieval sets is negligible, but the error of 2.6 μm and the relative deviation of 22 % are larger than those found in our simulation case. Finally, the transmittance-based cloud effective droplet radii agree to better than 11 % with satellite observations and have a negative bias of 1 μm. Overall, the retrieval method provides reasonable cloud effective radius estimates, which can enhance the cloud products of both ARM and AERONET.

Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting

This paper proposes and implements a new methodology for forecasting time series, based on bicorrelations and cross-bicorrelations. It is shown that the forecasting technique arises as a natural extension of, and as a complement to, existing univariate and multivariate non-linearity tests. The formulations are essentially modified autoregressive or vector autoregressive models respectively, which can be estimated using ordinary least squares. The techniques are applied to a set of high-frequency exchange rate returns, and their out-of-sample forecasting performance is compared to that of other time series models

Active-control trials with binary data: a comparison of methods for testing superiority or non-inferiority using the odds ratio

This paper considers methods for testing for superiority or non-inferiority in active-control trials with binary data, when the relative treatment effect is expressed as an odds ratio. Three asymptotic tests for the log-odds ratio based on the unconditional binary likelihood are presented, namely the likelihood ratio, Wald and score tests. All three tests can be implemented straightforwardly in standard statistical software packages, as can the corresponding confidence intervals. Simulations indicate that the three alternatives are similar in terms of the Type I error, with values close to the nominal level. However, when the non-inferiority margin becomes large, the score test slightly exceeds the nominal level. In general, the highest power is obtained from the score test, although all three tests are similar and the observed differences in power are not of practical importance. Copyright (C) 2007 John Wiley & Sons, Ltd.

Tests of syntactic comprehension in aphasia: an investigation of task effects

Background: Consistency of performance across tasks that assess syntactic comprehension in aphasia has clinical and theoretical relevance. In this paper we add to the relatively sparse previous work on how sentence comprehension abilities are influenced by the nature of the assessment task. Aims: Our aims are: (1) to compare linguistic performance across sentence-picture matching, enactment, and truth-value judgement tasks; (2) to investigate the impact of pictorial stimuli on syntactic comprehension. Methods Procedures: We tested a group of 10 aphasic speakers (3 with fluent and 7 with non-fluent aphasia) in three tasks (Experiment 1): (i) sentence-picture matching with four pictures, (ii) sentence-picture matching with two pictures, and (iii) enactment. A further task of truth-value judgement was given to a subgroup of those speakers (n=5, Experiment 2). Similar sentence types across all tasks were used and included canonical (actives, subject clefts) and non-canonical (passives, object clefts) sentences. We undertook two types of analyses: (a) we compared canonical and non-canonical sentences in each task; (b) we compared performance between (i) actives and passives, (ii) subject and object clefts in each task. We examined the results of all participants as a group and as case-series. Outcomes Results: Several task effects emerged. Overall, the two-picture sentence-picture matching and enactment tasks were more discriminating than the four-picture condition. Group performance in the truth-value judgement task was similar to two-picture sentence-picture matching and enactment. At the individual level performance across tasks contrasted to some group results. Conclusions: Our findings revealed task effects across participants. We discuss reasons that could explain the diverse profiles of performance and the implications for clinical practice.

A behavioral comparison between motorcyclists and a matched group of non-motorcycling car drivers: factors influencing accident risk

Motorcyclists and a matched group of non-motorcycling car drivers were assessed on behavioral measures known to relate to accident involvement. Using a range of laboratory measures, we found that motorcyclists chose faster speeds than the car drivers, overtook more, and pulled into smaller gaps in traffic, though they did not travel any closer to the vehicle in front. The speed and following distance findings were replicated by two further studies involving unobtrusive roadside observation. We suggest that the increased risk-taking behavior of motorcyclists was only likely to account for a small proportion of the difference in accident risk between motorcyclists and car drivers. A second group of motorcyclists was asked to complete the simulator tests as if driving a car. They did not differ from the non-motorcycling car drivers on the risk-taking measures but were better at hazard perception. There were also no differences for sensation seeking, mild social deviance, and attitudes to riding/driving, indicating that the risk-taking tendencies of motorcyclists did not transfer beyond motorcycling, while their hazard perception skill did. (C) 2002 Elsevier Science Ltd. All rights reserved.

Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates

In this paper we examine the order of integration of EuroSterling interest rates by employing techniques that can allow for a structural break under the null and/or alternative hypothesis of the unit-root tests. In light of these results, we investigate the cointegrating relationship implied by the single, linear expectations hypothesis of the term structure of interest rates employing two techniques, one of which allows for the possibility of a break in the mean of the cointegrating relationship. The aim of the paper is to investigate whether or not the interest rate series can be viewed as I(1) processes and furthermore, to consider whether there has been a structural break in the series. We also determine whether, if we allow for a break in the cointegration analysis, the results are consistent with those obtained when a break is not allowed for. The main results reported in this paper support the conjecture that the ‘short’ Euro-currency rates are characterised as I(1) series that exhibit a structural break on or near Black Wednesday, 16 September 1992, whereas the ‘long’ rates are I(1) series that do not support the presence of a structural break. The evidence from the cointegration analysis suggests that tests of the expectations hypothesis based on data sets that include the ERM crisis period, or a period that includes a structural break, might be problematic if the structural break is not explicitly taken into account in the testing framework.

Non-D9-tetrahydrocannabinol phytocannabinoids stimulate feeding in rats

Cannabinoid type 1 receptor-mediated appetite stimulation by D9tetrahydrocannabinol (D9THC) is well understood. Recently, it has become apparent that non-D9THC phytocannabinoids could also alter feeding patterns. Here, we show definitively that non-D9THC phytocannabinoids stimulate feeding. Twelve male, Lister-Hooded rats were prefed to satiety prior to administration of a standardized cannabis extract or to either of two mixtures of pure phytocannabinoids (extract analogues) comprising the phytocannabinoids present in the same proportions as the standardized extract (one with and one without D9THC). Hourly intake and meal pattern data were recorded and analysed using two-way analysis of variance followed by one-way analysis of variance and Bonferroni post-hoc tests. Administration of both extract analogues significantly increased feeding behaviours over the period of the test. All three agents increased hour-one intake and meal-one size and decreased the latency to feed, although the zero-D9THC extract analogue did so to a lesser degree than the high-D9THC analogue. Furthermore, only the analogue containing D9THC significantly increased meal duration. The data confirm that at least one non-D9THC phytocannabinoid induces feeding pattern changes in rats, although further trials using individual phytocannabinoids are required to fully understand the observed effects.

Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration

We investigate for 26 OECD economies whether their current account imbalances to GDP are driven by stochastic trends. Regarding bounded stationarity as the more natural counterpart of sustainability, results from Phillips–Perron tests for unit root and bounded unit root processes are contrasted. While the former hint at stationarity of current account imbalances for 12 economies, the latter indicate bounded stationarity for only six economies. Through panel-based test statistics, current account imbalances are diagnosed as bounded non-stationary. Thus, (spurious) rejections of the unit root hypothesis might be due to the existence of bounds reflecting hidden policy controls or financial crises.

Some implications of a sample of practical Turing tests

A series of imitation games involving 3-participant (simultaneous comparison of two hidden entities) and 2-participant (direct interrogation of a hidden entity) were conducted at Bletchley Park on the 100th anniversary of Alan Turing’s birth: 23 June 2012. From the ongoing analysis of over 150 games involving (expert and non-expert, males and females, adults and child) judges, machines and hidden humans (foils for the machines), we present six particular conversations that took place between human judges and a hidden entity that produced unexpected results. From this sample we focus on features of Turing’s machine intelligence test that the mathematician/code breaker did not consider in his examination for machine thinking: the subjective nature of attributing intelligence to another mind.

Knowledge of A/A'-dependencies on subject extraction with two types of infinitives in non-native Portuguese adult bilingualism

Within generative L2 acquisition research there is a longstanding debate as to what underlies observable differences in L1/L2 knowledge/ performance. On the one hand, Full Accessibility approaches maintain that target L2 syntactic representations (new functional categories and features) are acquirable (e.g., Schwartz & Sprouse, 1996). Conversely, Partial Accessibility approaches claim that L2 variability and/or optionality, even at advanced levels, obtains as a result of inevitable deficits in L2 narrow syntax and is conditioned upon a maturational failure in adulthood to acquire (some) new functional features (e.g., Beck, 1998; Hawkins & Chan, 1997; Hawkins & Hattori, 2006; Tsimpli & Dimitrakopoulou, 2007). The present study tests the predictions of these two sets of approaches with advanced English learners of L2 Brazilian Portuguese (n = 21) in the domain of inflected infinitives. These advanced L2 learners reliably differentiate syntactically between finite verbs, uninflected and inflected infinitives, which, as argued, only supports Full Accessibility approaches. Moreover, we will discuss how testing the domain of inflected infinitives is especially interesting in light of recent proposals that Brazilian Portuguese colloquial dialects no longer actively instantiate them (Lightfoot, 1991; Pires, 2002, 2006; Pires & Rothman, 2009; Rothman, 2007).

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Tests of sunspot number sequences: 3. Effects of regression procedures on the calibration of historic sunspot data

We use sunspot group observations from the Royal Greenwich Observatory (RGO) to investigate the effects of intercalibrating data from observers with different visual acuities. The tests are made by counting the number of groups RB above a variable cut-off threshold of observed total whole-spot area (uncorrected for foreshortening) to simulate what a lower acuity observer would have seen. The synthesised annual means of RB are then re-scaled to the full observed RGO group number RA using a variety of regression techniques. It is found that a very high correlation between RA and RB (rAB > 0.98) does not prevent large errors in the intercalibration (for example sunspot maximum values can be over 30 % too large even for such levels of rAB). In generating the backbone sunspot number (RBB), Svalgaard and Schatten (2015, this issue) force regression fits to pass through the scatter plot origin which generates unreliable fits (the residuals do not form a normal distribution) and causes sunspot cycle amplitudes to be exaggerated in the intercalibrated data. It is demonstrated that the use of Quantile-Quantile (“Q  Q”) plots to test for a normal distribution is a useful indicator of erroneous and misleading regression fits. Ordinary least squares linear fits, not forced to pass through the origin, are sometimes reliable (although the optimum method used is shown to be different when matching peak and average sunspot group numbers). However, other fits are only reliable if non-linear regression is used. From these results it is entirely possible that the inflation of solar cycle amplitudes in the backbone group sunspot number as one goes back in time, relative to related solar-terrestrial parameters, is entirely caused by the use of inappropriate and non-robust regression techniques to calibrate the sunspot data.