What is what?: A simple time-domain test of long-memory vs. structural breaks

This paper proposes a new time-domain test of a process being I(d), 0 < d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between long-memory and structural breaks. Denoting by AB(t) the different types of structural breaks in the deterministic components of a time series considered by Perron (1989), the test statistic proposed here is based on the t-ratio (or the infimum of a sequence of t-ratios) of the estimated coefficient on yt-1 in an OLS regression of ?dyt on a simple transformation of the above-mentioned deterministic components and yt-1, possibly augmented by a suitable number of lags of ?dyt to account for serial correlation in the error terms. The case where d = 1 coincides with the Perron (1989) or the Zivot and Andrews (1992) approaches if the break date is known or unknown, respectively. The statistic is labelled as the SB-FDF (Structural Break-Fractional Dickey- Fuller) test, since it is based on the same principles as the well-known Dickey-Fuller unit root test. Both its asymptotic behavior and finite sample properties are analyzed, and two empirical applications are provided.

Insurance with frequent trading

This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature ofthe implied securities needed for Pareto optimality suggests that insuch contexts complete markets is a very reasonable assumption.

How quickly should we titrate antihypertensive medication? Systematic review modelling blood pressure response from trial data.

Context There are no evidence syntheses available to guide clinicians on when to titrate antihypertensive medication after initiation. Objective To model the blood pressure (BP) response after initiating antihypertensive medication. Data sources electronic databases including Medline, Embase, Cochrane Register and reference lists up to December 2009. Study selection Trials that initiated antihypertensive medication as single therapy in hypertensive patients who were either drug naive or had a placebo washout from previous drugs. Data extraction Office BP measurements at a minimum of two weekly intervals for a minimum of 4 weeks. An asymptotic approach model of BP response was assumed and non-linear mixed effects modelling used to calculate model parameters. Results and conclusions Eighteen trials that recruited 4168 patients met inclusion criteria. The time to reach 50% of the maximum estimated BP lowering effect was 1 week (systolic 0.91 weeks, 95% CI 0.74 to 1.10; diastolic 0.95, 0.75 to 1.15). Models incorporating drug class as a source of variability did not improve fit of the data. Incorporating the presence of a titration schedule improved model fit for both systolic and diastolic pressure. Titration increased both the predicted maximum effect and the time taken to reach 50% of the maximum (systolic 1.2 vs 0.7 weeks; diastolic 1.4 vs 0.7 weeks). Conclusions Estimates of the maximum efficacy of antihypertensive agents can be made early after starting therapy. This knowledge will guide clinicians in deciding when a newly started antihypertensive agent is likely to be effective or not at controlling BP.

Biases of the ordinary least squares and instrumental variables estimators of the intergenerational earnings elasticity : revisited in the light of panel data

The OLS estimator of the intergenerational earnings correlation is biased towards zero, while the instrumental variables estimator is biased upwards. The first of these results arises because of measurement error, while the latter rests on the presumption that the education of the parent family is an invalid instrument. We propose a panel data framework for quantifying the asymptotic biases of these estimators, as well as a mis-specification test for the IV estimator. [Author]

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Shot noise anomalies in elastic nondegenerate diffusive conductors

We present a theoretical investigation of shot-noise properties in nondegenerate elastic diffusive conductors. Both Monte Carlo simulations and analytical approaches are used. Two interesting phenomena are found: (i) the display of enhanced shot noise for given energy dependences of the scattering time, and (ii) the recovery of full shot noise for asymptotic high applied bias. The first phenomenon is associated with the onset of negative differential conductivity in energy space that drives the system towards a dynamical electrical instability in excellent agreement with analytical predictions. The enhancement is found to be strongly amplified when the dimensionality in momentum space is lowered from three to two dimensions. The second phenomenon is due to the suppression of the effects of long-range Coulomb correlations that takes place when the transit time becomes the shortest time scale in the system, and is common to both elastic and inelastic nondegenerate diffusive conductors. These phenomena shed different light in the understanding of the anomalous behavior of shot noise in mesoscopic conductors, which is a signature of correlations among different current pulses.

Influence of average size and interface passivation on the spectral emission of Si nanocrystals embedded in SiO2

The correlation between the structural (average size and density) and optoelectronic properties [band gap and photoluminescence (PL)] of Si nanocrystals embedded in SiO2 is among the essential factors in understanding their emission mechanism. This correlation has been difficult to establish in the past due to the lack of reliable methods for measuring the size distribution of nanocrystals from electron microscopy, mainly because of the insufficient contrast between Si and SiO2. With this aim, we have recently developed a successful method for imaging Si nanocrystals in SiO2 matrices. This is done by using high-resolution electron microscopy in conjunction with conventional electron microscopy in dark field conditions. Then, by varying the time of annealing in a large time scale we have been able to track the nucleation, pure growth, and ripening stages of the nanocrystal population. The nucleation and pure growth stages are almost completed after a few minutes of annealing time at 1100°C in N2 and afterward the ensemble undergoes an asymptotic ripening process. In contrast, the PL intensity steadily increases and reaches saturation after 3-4 h of annealing at 1100°C. Forming gas postannealing considerably enhances the PL intensity but only for samples annealed previously in less time than that needed for PL saturation. The effects of forming gas are reversible and do not modify the spectral shape of the PL emission. The PL intensity shows at all times an inverse correlation with the amount of Pb paramagnetic centers at the Si-SiO2 nanocrystal-matrix interfaces, which have been measured by electron spin resonance. Consequently, the Pb centers or other centers associated with them are interfacial nonradiative channels for recombination and the emission yield largely depends on the interface passivation. We have correlated as well the average size of the nanocrystals with their optical band gap and PL emission energy. The band gap and emission energy shift to the blue as the nanocrystal size shrinks, in agreement with models based on quantum confinement. As a main result, we have found that the Stokes shift is independent of the average size of nanocrystals and has a constant value of 0.26±0.03 eV, which is almost twice the energy of the Si¿O vibration. This finding suggests that among the possible channels for radiative recombination, the dominant one for Si nanocrystals embedded in SiO2 is a fundamental transition spatially located at the Si¿SiO2 interface with the assistance of a local Si-O vibration.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Linear least squares estimation of the first order moving average parameter

We propose an iterative procedure to minimize the sum of squares function which avoids the nonlinear nature of estimating the first order moving average parameter and provides a closed form of the estimator. The asymptotic properties of the method are discussed and the consistency of the linear least squares estimator is proved for the invertible case. We perform various Monte Carlo experiments in order to compare the sample properties of the linear least squares estimator with its nonlinear counterpart for the conditional and unconditional cases. Some examples are also discussed

Impact of incorrect assumptions on the covariance structure of random effects and/or residuals in nonlinear mixed models for repeated measures data

In this paper we analyse, using Monte Carlo simulation, the possible consequences of incorrect assumptions on the true structure of the random effects covariance matrix and the true correlation pattern of residuals, over the performance of an estimation method for nonlinear mixed models. The procedure under study is the well known linearization method due to Lindstrom and Bates (1990), implemented in the nlme library of S-Plus and R. Its performance is studied in terms of bias, mean square error (MSE), and true coverage of the associated asymptotic confidence intervals. Ignoring other criteria like the convenience of avoiding over parameterised models, it seems worst to erroneously assume some structure than do not assume any structure when this would be adequate.

Linear relation between deuteron matter radius and the scattering length

We explain the empirical linear relations between the triplet scattering length, or the asymptotic normalization constant, and the deuteron matter radius using the effective range expansion in a manner similar to a recent paper by Bhaduri et al. We emphasize the corrections due to the finite force range and to shape dependence. The discrepancy between the experimental values and the empirical line shows the need for a larger value of the wound extension, a parameter which we introduce here. Short-distance nonlocality of the n-p interaction is a plausible explanation for the discrepancy.

Energy and structure of dilute hard- and soft-sphere gases

The energy and structure of dilute hard- and soft-sphere Bose gases are systematically studied in the framework of several many-body approaches, such as the variational correlated theory, the Bogoliubov model, and the uniform limit approximation, valid in the weak-interaction regime. When possible, the results are compared with the exact diffusion Monte Carlo ones. Jastrow-type correlation provides a good description of the systems, both hard- and soft-spheres, if the hypernetted chain energy functional is freely minimized and the resulting Euler equation is solved. The study of the soft-sphere potentials confirms the appearance of a dependence of the energy on the shape of the potential at gas paremeter values of x~0.001. For quantities other than the energy, such as the radial distribution functions and the momentum distributions, the dependence appears at any value of x. The occurrence of a maximum in the radial distribution function, in the momentum distribution, and in the excitation spectrum is a natural effect of the correlations when x increases. The asymptotic behaviors of the functions characterizing the structure of the systems are also investigated. The uniform limit approach is very easy to implement and provides a good description of the soft-sphere gas. Its reliability improves when the interaction weakens.

Effects of small surface tension in Hele-Shaw multifinger dynamics: an analytical and numerical study

We study the singular effects of vanishingly small surface tension on the dynamics of finger competition in the Saffman-Taylor problem, using the asymptotic techniques described by Tanveer [Philos. Trans. R. Soc. London, Ser. A 343, 155 (1993)] and Siegel and Tanveer [Phys. Rev. Lett. 76, 419 (1996)], as well as direct numerical computation, following the numerical scheme of Hou, Lowengrub, and Shelley [J. Comput. Phys. 114, 312 (1994)]. We demonstrate the dramatic effects of small surface tension on the late time evolution of two-finger configurations with respect to exact (nonsingular) zero-surface-tension solutions. The effect is present even when the relevant zero-surface-tension solution has asymptotic behavior consistent with selection theory. Such singular effects, therefore, cannot be traced back to steady state selection theory, and imply a drastic global change in the structure of phase-space flow. They can be interpreted in the framework of a recently introduced dynamical solvability scenario according to which surface tension unfolds the structurally unstable flow, restoring the hyperbolicity of multifinger fixed points.

Diffusion in spatially and temporarily inhomogeneous media

In this paper we consider diffusion of a passive substance C in a temporarily and spatially inhomogeneous two-dimensional medium. As a realization for the latter we choose a phase-separating medium consisting of two substances A and B, whose dynamics is determined by the Cahn-Hilliard equation. Assuming different diffusion coefficients of C in A and B, we find that the variance of the distribution function of the said substance grows less than linearly in time. We derive a simple identity for the variance using a probabilistic ansatz and are then able to identify the interface between A and B as the main cause for this nonlinear dependence. We argue that, finally, for very large times the here temporarily dependent diffusion "constant" goes like t-1/3 to a constant asymptotic value D¿. The latter is calculated approximately by employing the effective-medium approximation and by fitting the simulation data to the said time dependence.

Phase-field model of Hele-Shaw flows in the high-viscosity contrast regime

A one-sided phase-field model is proposed to study the dynamics of unstable interfaces of Hele-Shaw flows in the high viscosity contrast regime. The corresponding macroscopic equations are obtained by means of an asymptotic expansion from the phase-field model. Numerical integrations of the phase-field model in a rectangular Hele-Shaw cell reproduce finger competition with the final evolution to a steady-state finger.