Linear vs. log-linear unit-root specification: an application of mis-specification encompassing

The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between linear and log-linear unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. It is shown that by focusing on the conditional process the sampling distributions of the relevant statistics are well behaved under both the null and alternative hypotheses. The proposed M-S encompassing test is illustrated using US total disposable income quarterly data.

Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit root in the presence of a structural break. We assessthe impact of degeneracy and integratedness of the conditional varianceindividually and find that, apart from in the limit, the testing procedure isinsensitive to the degree of degeneracy but does exhibit an increasingover-sizing as the process becomes more integrated. When we consider the GARCHspecifications that we are likely to encounter in empirical research, we findthat the Perron tests are reasonably robust to the presence of GARCH and donot suffer from severe over-or under-rejection of a correct null hypothesis.

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.

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.

Testing for unit roots in bounded time series

Many key economic and financial series are bounded either by construction or through policy controls. Conventional unit root tests are potentially unreliable in the presence of bounds, since they tend to over-reject the null hypothesis of a unit root, even asymptotically. So far, very little work has been undertaken to develop unit root tests which can be applied to bounded time series. In this paper we address this gap in the literature by proposing unit root tests which are valid in the presence of bounds. We present new augmented Dickey–Fuller type tests as well as new versions of the modified ‘M’ tests developed by Ng and Perron [Ng, S., Perron, P., 2001. LAG length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519–1554] and demonstrate how these tests, combined with a simulation-based method to retrieve the relevant critical values, make it possible to control size asymptotically. A Monte Carlo study suggests that the proposed tests perform well in finite samples. Moreover, the tests outperform the Phillips–Perron type tests originally proposed in Cavaliere [Cavaliere, G., 2005. Limited time series with a unit root. Econometric Theory 21, 907–945]. An illustrative application to U.S. interest rate data is provided

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.

Advances in sequential data assimilation and numerical weather forecasting: an Ensemble Transform Kalman-Bucy Filter, a study on clustering in deterministic Ensemble Square Root Filters, and a test of a new time stepping scheme in an atmospheric model

This dissertation deals with aspects of sequential data assimilation (in particular ensemble Kalman filtering) and numerical weather forecasting. In the first part, the recently formulated Ensemble Kalman-Bucy (EnKBF) filter is revisited. It is shown that the previously used numerical integration scheme fails when the magnitude of the background error covariance grows beyond that of the observational error covariance in the forecast window. Therefore, we present a suitable integration scheme that handles the stiffening of the differential equations involved and doesn’t represent further computational expense. Moreover, a transform-based alternative to the EnKBF is developed: under this scheme, the operations are performed in the ensemble space instead of in the state space. Advantages of this formulation are explained. For the first time, the EnKBF is implemented in an atmospheric model. The second part of this work deals with ensemble clustering, a phenomenon that arises when performing data assimilation using of deterministic ensemble square root filters in highly nonlinear forecast models. Namely, an M-member ensemble detaches into an outlier and a cluster of M-1 members. Previous works may suggest that this issue represents a failure of EnSRFs; this work dispels that notion. It is shown that ensemble clustering can be reverted also due to nonlinear processes, in particular the alternation between nonlinear expansion and compression of the ensemble for different regions of the attractor. Some EnSRFs that use random rotations have been developed to overcome this issue; these formulations are analyzed and their advantages and disadvantages with respect to common EnSRFs are discussed. The third and last part contains the implementation of the Robert-Asselin-Williams (RAW) filter in an atmospheric model. The RAW filter is an improvement to the widely popular Robert-Asselin filter that successfully suppresses spurious computational waves while avoiding any distortion in the mean value of the function. Using statistical significance tests both at the local and field level, it is shown that the climatology of the SPEEDY model is not modified by the changed time stepping scheme; hence, no retuning of the parameterizations is required. It is found the accuracy of the medium-term forecasts is increased by using the RAW filter.

Relating traits to diversification: A simple test

We describe a simple comparative method for determining whether rates of diversification are correlated with continuous traits in species-level phylogenies. This involves comparing traits of species with net speciation rate (number of nodes linking extant species with the root divided by the root to tip evolutionary distance), using a phylogenetically corrected correlation. We use simulations to examine the power of this test. We find that the approach has acceptable power to uncover relationships between speciation and a continuous trait and is robust to background random extinction; however, the power of the approach is reduced when the rate of trait evolution is decreased. The test has low power to relate diversification to traits when extinction rate is correlated with the trait. Clearly, there are inherent limitations in using only data on extant species to infer correlates of extinction; however, this approach is potentially a powerful tool in analyzing correlates of speciation.

Adventitious root formation in anacardium occidentale L. in response to phytohormones and removal of roots

Despite advances in tissue culture techniques, propagation by leafy, softwood cuttings is the preferred, practical system for vegetative reproduction of many tree and shrub species. Species are frequently defined as 'difficult'- or 'easy-to-root' when propagated by conventional cuttings. Speed of rooting is often linked with ease of propagation, and slow-to-root species may be 'difficult' precisely because tissues deteriorate prior to the formation of adventitious roots. Even when roots form, limited development of these may impair the establishment of a cutting. In this study we used softwood cuttings of cashew (Anacardium occidentale), a species considered as 'difficult-to-root'. We aimed to test the hypothesis that speed, and extent of early rooting, is critical in determining success with this species; and that the potential to form adventitious roots will decrease with time in the propagation environment. Using two genotypes, initial rooting rates were examined in the presence or absence of exogenous auxin. In cuttings that formed adventitious roots, either entire roots or root tips were removed, to determine if further root formation/development was feasible. To investigate if subsequent root responses were linked to phytohormone action, a number of cuttings were also treated with either exogenous auxin (indole-3-butyric acid-IBA) or cytokinin (zeatin). Despite the reputation of Anacardium as being 'difficult-to-root', we found high rooting rates in two genotypes (AC 10 and CCP 1001). Removing adventitious roots from cuttings and returning them to the propagation environment, resulted in subsequent re-rooting. Indeed, individual cuttings could develop new adventitious roots on four to five separate occasions over a 9 week period. Data showed that rooting potential increased, not decreased with time in the propagation environment and that cutting viability was unaffected. Root expression was faster (8-15 days) after the removal of previous roots compared to when the cuttings were first stuck (21 days). Exposing cuttings to IBA at the time of preparation, improved initial rooting in AC 10, but not in CCP 1001. Application of IBA once roots had formed had little effect on subsequent development, but zeatin reduced root length and promoted root number and dry matter accumulation. These results challenge our hypothesis, and indicate that rooting potential remains high in Anacardium. The precise mechanisms that regulate the number of adventitious roots expressed, remain to be determined. Nevertheless, results indicate that rooting potential can be high in 'difficult-to-root' species, and suggest that providing supportive environments is the key to expressing this potential. (c) 2006 Elsevier B.V. All rights reserved.

A refined LEED analysis of water on Ru{0001}: an experimental test of the partial dissociation model

Despite a number of earlier studies which seemed to confirm molecular adsorption of water on close-packed surfaces of late transition metals, new controversy has arisen over a recent theoretical work by Feibelman, according to which partial dissociation occurs on the Ru{0001} surface leading to a mixed (H2O + OH + H) superstructure. Here, we present a refined LEED-IV analysis of the (root3 x root3)R30degrees-D2O-Ru{0001} structure, testing explicitly this new model by Feibelman. Our results favour the model proposed earlier by Held and Menzel assuming intact water molecules with almost coplanar oxygen atoms and out-of-plane hydrogen atoms atop the slightly higher oxygen atoms. The partially dissociated model with an almost identical arrangement of oxygen atoms can, however, not unambiguously be excluded, especially when the single hydrogen atoms are not present in the surface unit cell. In contrast to the earlier LEED-IV analysis, we can, however, clearly exclude a buckled geometry of oxygen atoms.

Postprandial lipoprotein lipase, insulin and gastric inhibitory polypeptide responses to test meals of different fatty acid composition: comparison of saturated, n-6 and n-3 polyunsaturated fatty acids

OBJECTIVE: The present study was carried out to investigate effects of meals, rich in either saturated fatty acids (SFA), or n-6 or n-3 fatty acids, on postprandial plasma lipid and hormone concentrations as well as post-heparin plasma lipoprotein lipase (LPL) activity. DESIGN: The study was a randomized single-blind study comparing responses to three test meals. SETTING: The volunteers attended the Clinical Investigation Unit of the Royal Surrey County Hospital on three separate occasions in order to consume the meals. SUBJECTS: Twelve male volunteers with an average age of 22.5 +/- 1.4 years (mean +/- SD), were selected from the University of Surrey student population; one subject dropped out of the study because he found the test meal unpalatable. INTERVENTIONS: Three meals were given in the early evening and postprandial responses were followed overnight for 11h. The oils used to prepare each of the three test meals were: a mixed oil rich in saturated fatty acids (SFA) which mimicked the fatty acid composition of the current UK diet, corn oil, rich in n-6 fatty acids and a fish oil concentrate (MaxEPA) rich in n-3 fatty acids. The oil under investigation (40 g) was incorporated into the test meals which were otherwise identical [208 g carbohydrates, 35 g protein, 5.65 MJ (1350 kcal) energy]. Postprandial plasma triacylglycerol (TAG), gastric inhibitory polypeptide (GIP), and insulin responses, as well as post-heparin LPL activity (measured at 12 h postprandially only) were investigated. RESULTS: Fatty acids of the n-3 series significantly reduced plasma TAG responses compared to the mixed oil meal (P < 0.05) and increased post-heparin LPL activity 15 min after the injection of heparin (P < 0.01). A biphasic response was observed in TAG, with peak responses occurring at 1 h and between 3-7 h postprandially. GIP and insulin showed similar responses to the three test meals and no significant differences were observed. CONCLUSION: We conclude that fish oils can decrease postprandial plasma TAG levels partly through an increase in post-heparin LPL activity, which however, is not due to increased GIP or insulin concentrations.

High-throughput root phenotyping screens identify genetic loci associated with root architectural traits in Brassica napus under contrasting phosphate availabilities

Background and Aims: Phosphate (Pi) deficiency in soils is a major limiting factor for crop growth worldwide. Plant growth under low Pi conditions correlates with root architectural traits and it may therefore be possible to select these traits for crop improvement. The aim of this study was to characterize root architectural traits, and to test quantitative trait loci (QTL) associated with these traits, under low Pi (LP) and high Pi (HP) availability in Brassica napus. Methods: Root architectural traits were characterized in seedlings of a double haploid (DH) mapping population (n = 190) of B. napus 'Tapidor' x 'Ningyou 7' (TNDH) using high-throughput phenotyping methods. Primary root length (PRL), lateral root length (LRL), lateral root number (LRN), lateral root density (LRD) and biomass traits were measured 12 d post-germination in agar at LP and HP. Key Results: In general, root and biomass traits were highly correlated under LP and HP conditions. 'Ningyou 7' had greater LRL, LRN and LRD than 'Tapidor', at both LP and HP availability, but smaller PRL. A cluster of highly significant QTL for LRN, LRD and biomass traits at LP availability were identified on chromosome A03; QTL for PRL were identified on chromosomes A07 and C06. Conclusions: High-throughput phenotyping of Brassica can be used to identify root architectural traits which correlate with shoot biomass. It is feasible that these traits could be used in crop improvement strategies. The identification of QTL linked to root traits under LP and HP conditions provides further insights on the genetic basis of plant tolerance to P deficiency, and these QTL warrant further dissection.

Root distributions of Australian herbaceous perennial legumes in response to phosphorus placement

Many Australian plant species have specific root adaptations for growth in phosphorus-impoverished soils, and are often sensitive to high external P concentrations. The growth responses of native Australian legumes in agricultural soils with elevated P availability in the surface horizons are unknown. The aim of these experiments was to test the hypothesis that increased P concentration in surface soil would reduce root proliferation at depth in native legumes. The effect of P placement on root distribution was assessed for two Australian legumes, Kennedia prorepens F. Muell. and Lotus australis Andrews, and the exotic Medicago sativa L. Three treatments were established in a low-P loam soil: amendment of 0.15 g mono-calcium phosphate in either (i) the top 50 mm (120 µg P g–1) or (ii) the top 500 mm (12 µg P g–1) of soil, and an unamended control. In the unamended soil M. sativa was shallow rooted, with 58% of the root length of in the top 50 mm. K. prorepens and L. australis had a more even distribution down the pot length, with only 4 and 22% of their roots in the 0–50 mm pot section, respectively. When exposed to amendment of P in the top 50 mm, root length in the top 50 mm increased 4-fold for K. prorepens and 10-fold for M. sativa, although the pattern of root distribution did not change for M. sativa. L. australis was relatively unresponsive to P additions and had an even distribution of roots down the pot. Shoot P concentrations differed according to species but not treatment (K. prorepens 2.1 mg g–1, L. australis 2.4 mg g–1, M. sativa 3.2 mg g–1). Total shoot P content was higher for K. prorepens than for the other species in all treatments. In a second experiment, mono-ester phosphatases were analysed from 1-mm slices of soil collected directly adjacent to the rhizosphere. All species exuded phosphatases into the rhizosphere, but addition of P to soil reduced phosphatase activity only for K. prorepens. Overall, high P concentration in the surface soil altered root distribution, but did not reduce root proliferation at depth. Furthermore, the Australian herbaceous perennial legumes had root distributions that enhanced P acquisition from low-P soils.