Short run and long run causality in time series: Inference

We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses considered are nonlinear, the proposed methods only require linear regression techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case of integrated processes, we propose extended regression methods that avoid nonstandard asymptotics. The methods are applied to a VAR model of the U.S. economy.

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry-Esséen-Zolotarev bounds. The bounds are exact in finite samples, distribution-free and easy to compute. The performance of the bounds is evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied to U.S. data on interest rates (commercial paper rate).

Estimation of the ground state correlation energy for isoelectronic series of 2 to 20 electrons

Correlation energies for all isoelectronic sequences of 2 to 20 electrons and Z = 2 to 25 are obtained by taking differences between theoretical total energies of Dirac-Fock calculations and experimental total energies. These are pure relativistic correlation energies because relativistic and QED effects are already taken care of. The theoretical as well as the experimental values are analysed critically in order to get values as accurate as possible. The correlation energies obtained show an essentially consistent behaviour from Z = 2 to 17. For Z > 17 inconsistencies occur indicating errors in the experimental values which become very large for Z > 25.

Evolution of clinical and functional results after arthroscopic treatment of Discoid Meniscus. A case series study of 31 cases.

Purpose: To evaluate the evolution of clinical and functional outcomes of symptomatic discoid lateral meniscus treated arthroscopically over time and to investigate the relationship between associated intra-articular findings and outcomes. Methods: Of all patients treated arthroscopically between 1995 and 2010, patients treated for symptomatic discoid meniscus were identified in the hospital charts. Baseline data (demographics, previous trauma of ipsilateral knee, and associated intra-articular findings) and medium term outcome data from clinical follow-up examinations (pain, locking, snapping and instability of the operated knee) were extracted from clinical records. Telephone interviews were conducted at long term in 28 patients (31 knees). Interviews comprised clinical outcomes as well as functional outcomes as assessed by the International Knee Documentation Committee Subjective Knee Evaluation Form (IKDC). Results: All patients underwent arthroscopic partial meniscectomy. The mean follow-up time for data extracted from clinical records was 11 months (SD ± 12). A significant improvement was found for pain in 77% (p<0.001), locking in 13%, (p=0.045) and snapping in 39 % (p<0.005). The mean follow-up time of the telephone interview was 60 months (SD ± 43). Improvement from baseline was generally less after five years than after one year and functional outcomes of the IKDC indicated an abnormal function after surgery (IKDC mean= 84.5, SD ± 20). In some patients, 5 year-outcomes were even worse than their preoperative condition. Nonetheless, 74% of patients perceived their knee function as improved. Furthermore, better results were seen in patients without any associated intra-articular findings. Conclusions: Arthroscopical partial meniscectomy is an effective intervention to relieve symptoms in patients with discoid meniscus in the medium-term; however, results trend to deteriorate over time. A trend towards better outcome for patients with no associated intra-articular findings was observed.

Analysis of molecular determinants of affinity and relative efficacy of a series of R- and S-2-(dipropylamino)tetralins at the 5-HT1A serotonin receptor

1 Factors influencing agonist affinity and relative efficacy have been studied for the 5-HT1A serotonin receptor using membranes of CHO cells expressing the human form of the receptor and a series of R-and S-2-(dipropylamino)tetralins (nonhydroxylated and monohydroxylated (5-OH, 6-OH, 7-OH, 8-OH) species). 2 Ligand binding studies were used to determine dissociation constants for agonist binding to the 5HT(1A) receptor: (a) K-i values for agonists were determined in competition versus the binding of the agonist [H-3]-8-OH DPAT. Competition data were all fitted best by a one-binding site model. (b) K-i values for agonists were also determined in competition versus the binding of the antagonist [H-3]-NAD-199. Competition data were all fitted best by a two-binding site model, and agonist affinities for the higher (K-h) and lower affinity (K-1) sites were determined. 3 The ability of the agonists to activate the 5-HT1A receptor was determined using stimulation of [S-35]-GTPgammaS binding. Maximal effects of agonists (E-max) and their potencies (EC50) were determined from concentration/response curves for stimulation of [S-35]-GTPgammaS binding. 4 K-1/K-h determined from ligand binding assays correlated with the relative efficacy (relative Em) of agonists determined in [S-35]-GTPgammaS binding assays. There was also a correlation between K-1/K-h and K-1/EC50 for agonists determined from ligand binding and [S-35]-GTPgammaS binding assays. 5 Simulations of agonist binding and effect data were performed using the Ternary Complex Model in order to assess the use of K-1/K-h for predicting the relative efficacy of agonists. British Journal of Pharmacology (2003) 138, 1129-1139. doi: 10. 1038/sj.bjp.705085.

Probabilistic evaluation of time series models : a comparison of several approaches

Several methods are examined which allow to produce forecasts for time series in the form of probability assignments. The necessary concepts are presented, addressing questions such as how to assess the performance of a probabilistic forecast. A particular class of models, cluster weighted models (CWMs), is given particular attention. CWMs, originally proposed for deterministic forecasts, can be employed for probabilistic forecasting with little modification. Two examples are presented. The first involves estimating the state of (numerically simulated) dynamical systems from noise corrupted measurements, a problem also known as filtering. There is an optimal solution to this problem, called the optimal filter, to which the considered time series models are compared. (The optimal filter requires the dynamical equations to be known.) In the second example, we aim at forecasting the chaotic oscillations of an experimental bronze spring system. Both examples demonstrate that the considered time series models, and especially the CWMs, provide useful probabilistic information about the underlying dynamical relations. In particular, they provide more than just an approximation to the conditional mean.

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

On the predictive content of leading indicators: the case of U.S. real estate markets

This paper employs a probit and a Markov switching model using information from the Conference Board Leading Indicator and other predictor variables to forecast the signs of future rental growth in four key U.S. commercial rent series. We find that both approaches have considerable power to predict changes in the direction of commercial rents up to two years ahead, exhibiting strong improvements over a naïve model, especially for the warehouse and apartment sectors. We find that while the Markov switching model appears to be more successful, it lags behind actual turnarounds in market outcomes whereas the probit is able to detect whether rental growth will be positive or negative several quarters ahead.

Contribution of SHRIMP U-Pb zircon geochronology to unravelling the evolution of Brazilian Neoproterozoic fold belts

The South-American continent is constituted of three major geologic-geotectonic entities the homonym platform (consolidated at the end of the Cambrian) the Andean chain (essentially Meso-Cenozoic) and the Patagonian terrains affected by tectonism and magmatism through almost all of the Phanerozoic The platform is constituted by a series of cratonic nuclei (pre-Tonian fragments of the Rodinia fission) surrounded by a complex fabric of Neoproterozoic structural provinces Two major groups of orogenic processes (plate interaction cycles) constitute the evolution of these provinces the older occurred in the Tonian (smaller in area) and the younger Brasiliano that is present in all provinces The Tonian cycles (pre-Rodinia fission?) are still being sorted out and many questions still need to be answered The Brasiliano orogenic collage events (post-Rodinia fission?) developed in three main stages in part coeval from a province to another and are 650-600 580-560 and 540-500 Ma respectively (the late event reaching the Ordovician) The first group of orogenies is recorded in practically all provinces The third group is restricted to part of the Mantiqueira Province (southeast of the platform Buzios Orogeny) and present in the Pampean province (SW of the platform) For all these groups of orogenic events there are considerable records of rock assemblages related to processes of convergent plate interaction opening accretion collision and further extrusion There is a good correlation between the geologic and geotectonic data and geochemical and isotopic data The late tectonic processes (post-orogenic magmatism foreland basins etc) of the first two groups compete in time in distinct spaces with the peak of orogenic processes in the third group The introduction of the SHRIMP U-Pb methodology was fundamental to separate the Tonian and post-Tonian orogenic groups and their respective divisions in time and space Thus there are still many open points/problems which lead to expectations of addressing these issues in the near future with the more Intense use of this methodology (C) 2010 Elsevier B V All rights reserved

The determinants of internationalstudent mobility : An empirical study on U.S. Data

The increase in foreign students in countries such as the US, the UK and Francesuggests that the international ‘education industry’ is growing in importance. Thepurpose of this paper is to investigate the empirical determinants of internationalstudent mobility. A secondary purpose is to give tentative policy suggestions to hostcountry, source country and also to provide some recommendations to students whowant to study abroad. Using pooled cross-sectional time series data for the US overthe time period 1993-2006, we estimate an econometric model of enrolment rates offoreign students in the US. Our results suggest that tuition fees, US federal support ofeducation, and the size of the ‘young’ generation of source countries have asignificant influence on international student mobility. We also consider other factorsthat may be relevant in this context.

Time-series properties and empirical evidence of growth and infraestructure: revised version

After more than forty years studying growth, there are two classes of growth models that have emerged: exogenous and endogenous growth models. Since both try to mimic the same set of long-run stylized facts, they are observationally equivalent in some respects. Our goals in this paper are twofold First, we discuss the time-series properties of growth models in a way that is useful for assessing their fit to the data. Second, we investigate whether these two models successfully conforms to U.S. post-war data. We use cointegration techniques to estimate and test long-run capital elasticities, exogeneity tests to investigate the exogeneity status of TFP, and Granger-causality tests to examine temporal precedence of TFP with respect to infrastructure expenditures. The empirical evidence is robust in confirming the existence of a unity long-run capital elasticity. The analysis of TFP reveals that it is not weakly exogenous in the exogenous growth model Granger-causality test results show unequivocally that there is no evidence that TFP for both models precede infrastructure expenditures not being preceded by it. On the contrary, we find some evidence that infras- tructure investment precedes TFP. Our estimated impact of infrastructure on TFP lay rougbly in the interval (0.19, 0.27).

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on cointegration,namelyon long-run co-movements, has been so prevalent that it is often over-looked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. This amounts to investigate whether short-run co-movememts steming from common cyclical feature restrictions are also present in such a system. In this paper we test for the presence of such co-movement on long- and short-term interest rates and on price and dividend for the U.S. economy. We focuss on the potential improvement in forecasting accuracies when imposing those two types of restrictions coming from economic theory.

Time-series-based maximization of distributed wind power generation integration

Energy policies and technological progress in the development of wind turbines have made wind power the fastest growing renewable power source worldwide. The inherent variability of this resource requires special attention when analyzing the impacts of high penetration on the distribution network. A time-series steady-state analysis is proposed that assesses technical issues such as energy export, losses, and short-circuit levels. A multiobjective programming approach based on the nondominated sorting genetic algorithm (NSGA) is applied in order to find configurations that maximize the integration of distributed wind power generation (DWPG) while satisfying voltage and thermal limits. The approach has been applied to a medium voltage distribution network considering hourly demand and wind profiles for part of the U.K. The Pareto optimal solutions obtained highlight the drawbacks of using a single demand and generation scenario, and indicate the importance of appropriate substation voltage settings for maximizing the connection of MPG.

U-Pb geochronology of the southern Brasília belt (SE-Brazil): Sedimentary provenance, Neoproterozoic orogeny and assembly of West Gondwana

The Brasília belt borders the western margin of the São Francisco Craton and records the history of ocean opening and closing related to the formation of West Gondwana. This study reports new U-Pb data from the southern sector of the belt in order to provide temporal limits for the deposition and ages of provenance of sediments accumulated in passive margin successions around the south and southwestern margins of the São Francisco Craton, and date the orogenic events leading to the amalgamation of West Gondwana. Ages of detrital zircons (by ID-TIMS and LA-MC-ICPMS) were obtained from metasedimentary units of the passive margin of the São Francisco Craton from the main tectonic domains of the belt: the internal allochthons (Araxá Group in the Áraxá and Passos Nappes), the external allochthons (Canastra Group, Serra da Boa Esperança Metasedimentary Sequence and Andrelândia Group) and the autochthonous or Cratonic Domain (Andrelândia Group). The patterns of provenance ages for these units are uniform and are characterised as follows: Archean- Paleoproterozoic ages (3.4-3.3, 3.1-2.7, and 2.5-2.4Ga); Paleoproterozoic ages attributed to the Transamazonian event (2.3-1.9Ga, with a peak at ca. 2.15Ga) and to the ca. 1.75Ga Espinhaço rifting of the São Francisco Craton; ages between 1.6 and 1.2Ga, with a peak at 1.3Ga, revealing an unexpected variety of Mesoproterozoic sources, still undetected in the São Francisco Craton; and ages between 0.9 and 1.0Ga related to the rifting event that led to the individualisation of the São Francisco paleo-continent and formation of its passive margins. An amphibolite intercalation in the Araxá Group yields a rutile age of ca. 0.9Ga and documents the occurrence of mafic magmatism coeval with sedimentation in the marginal basin. Detrital zircons from the autochthonous and parautochthonous Andrelândia Group, deposited on the southern margin of the São Francisco Craton, yielded a provenance pattern similar to that of the allochthonous units. This result implies that 1.6-1.2Ga source rocks must be present in the São Francisco Craton. They could be located either in the cratonic area, which is mostly covered by the Neoproterozoic epicontinental deposits of the Bambuí Group, or in the outer paleo-continental margin, buried under the allochthonous units of the Brasília belt. Crustal melting and generation of syntectonic crustal granites and migmatisation at ca. 630Ma mark the orogenic event that started with westward subduction of the São Francisco plate and ended with continental collision against the Paraná block (and Goiás terrane). Continuing collision led to the exhumation and cooling of the Araxá and Passos metamorphic nappes, as indicated by monazite ages of ca. 605Ma and mark the final stages of tectonometamorphic activity in the southern Brasília belt. Whilst continent-continent collision was proceeding on the western margin of the São Francisco Craton along the southern Brasília belt, eastward subduction in the East was generating the 634-599Ma Rio Negro magmatic arc which collided with the eastern São Francisco margin at 595-560Ma, much later than in the Brasília belt. Thus, the tectonic effects of the Ribeira belt reached the southernmost sector of the Brasília belt creating a zone of superposition. The thermal front of this event affected the proximal Andrelândia Group at ca. 588Ma, as indicated by monazite age. The participation of the Amazonian craton in the assembly of western Gondwana occurred at 545-500Ma in the Paraguay belt and ca. 500Ma in the Araguaia belt. This, together with the results presented in this work lead to the conclusion that the collision between the Paraná block and Goiás terrane with the São Francisco Craton along the Brasília belt preceded the accretion of the Amazonian craton by 50-100 million years. © 2003 Elsevier B.V. All rights reserved.