Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

SPSA algorithms with measurement reuse

Four algorithms, all variants of Simultaneous Perturbation Stochastic Approximation (SPSA), are proposed. The original one-measurement SPSA uses an estimate of the gradient of objective function L containing an additional bias term not seen in two-measurement SPSA. As a result, the asymptotic covariance matrix of the iterate convergence process has a bias term. We propose a one-measurement algorithm that eliminates this bias, and has asymptotic convergence properties making for easier comparison with the two-measurement SPSA. The algorithm, under certain conditions, outperforms both forms of SPSA with the only overhead being the storage of a single measurement. We also propose a similar algorithm that uses perturbations obtained from normalized Hadamard matrices. The convergence w.p. 1 of both algorithms is established. We extend measurement reuse to design two second-order SPSA algorithms and sketch the convergence analysis. Finally, we present simulation results on an illustrative minimization problem.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

A one point shock capturing kinetic scheme for hyperbolic conservation laws

We have presented a new low dissipative kinetic scheme based on a modified Courant Splitting of the molecular velocity through a parameter φ. Conditions for the split fluxes derived based on equilibrium determine φ for a one point shock. It turns out that φ is a function of the Left and Right states to the shock and that these states should satisfy the Rankine-Hugoniot Jump condition. Hence φ is utilized in regions where the gradients are sufficiently high, and is switched to unity in smooth regions. Numerical results confirm a discrete shock structure with a single interior point when the shock is aligned with the grid.

From One Segment to a Segment of One - The Evolution of Market Segmentation Theory

The purpose of this study was to deepen the understanding of market segmentation theory by studying the evolution of the concept and by identifying the antecedents and consequences of the theory. The research method was influenced by content analysis and meta-analysis. The evolution of market segmentation theory was studied as a reflection of evolution of marketing theory. According to this study, the theory of market segmentation has its roots in microeconomics and it has been influenced by different disciplines, such as motivation research and buyer behaviour theory. Furthermore, this study suggests that the evolution of market segmentation theory can be divided into four major eras: the era of foundations, development and blossoming, stillness and stagnation, and the era of re-emergence. Market segmentation theory emerged in the mid-1950’s and flourished during the period between mid-1950’s and the late 1970’s. During the 1980’s the theory lost its interest in the scientific community and no significant contributions were made. Now, towards the dawn of the new millennium, new approaches have emerged and market segmentation has gained new attention.

Room temperature ferromagnetism in ZnO (core)/graphite (shell) nanowires fabricated by a one-step method

ZnO (core)/graphitic (shell) nanowires were successfully fabricated by a one-step method. Morphology of the as-grown nanowires was studied in detail by scanning electron microscopy, transmission electron microscopy (TEM), and energy dispersive X-ray analysis (EDS). High resolution TEM micrographs and selected area electron diffraction patterns reveal the core/shell morphology of the nanowires that grew along the c-axis of ZnO. EDS study of the nanowires confirms that there are no impurities within the detectable limit. Superconducting quantum interference device magnetometer measurements show room temperature ferromagnetic ordering in these core/shell nanowires. (C) 2010 Elsevier Ltd. All rights reserved.

One-dimensional fermions with incommensuration close to dimerization

We study a model of fermions hopping on a chain with a weak incommensuration close to dimerization; both q, the deviation of the wave number from pi, and delta, the strength of the incommensuration, are assumed to be small. For free fermions, we show that there are an infinite number of energy bands which meet at zero energy as q approaches zero. The number of states lying inside the q = 0 gap remains nonzero as q/delta --> 0. Thus the limit q --> 0 differs from q = 0, as can be seen clearly in the low-temperature specific heat. For interacting fermions or the XXZ spin-(1/2) chain, we use bosonization to argue that similar results hold. Finally, our results can be applied to the Azbel-Hofstadter problem of particles hopping on a two-dimensional lattice in the presence of a magnetic field.

Transfer of saline tolerance from one strain of rice to another by injection of DNA

Direct injection of genomic DNA from salt tolerant cv. Pokkali into developing floral tillers on IR20 produced transgenic seeds similar to Pokkali in husk colour and which germinated well in 0.2 M NaCl and had a 4-6-fold higher proline content.

Structure and dynamics of benzene in one-dimensional channels

Molecular dynamics investigation of benzene in one-dimensional channel systems A1PO(4)-5, VPI-5, and carbon nanotube is reported. The results suggest that, in all the three host systems, the plane of benzene is almost perpendicular to the channel axis when the molecule is near the center of the channel and the plane of benzene is parallel to the channel axis when the molecule is near the wall of the channel. The density distribution of benzene as a function of channel length, z and the radial distance, r, from the channel axis is also different in the three host structures. Anisotropy in translational diffusion coefficient, calculated in body-fixed frame of benzene, suggests that benzene prefers to move with its plane parallel to the direction of motion in A1PO(4)-5 and VPI-5 whereas in carbon nanotube the motion occurs predominantly with the plane of the benzene perpendicular to the direction of motion.;Anisotropy associated with the rotational motion is seen to alter significantly in confinement as compared to liquid benzene. In A1PO(4)-5, the rotational anisotropy is reversed as compared to liquid benzene thereby suggesting that anisotropy arising out of molecular geometry can be reduced. Reorientational correlation times for C-6 and C-2 axes Of benzene are reported. Apart from the inertial decay of reorientational correlation function due to free, rotation, two other distinct regimes of decay are observed in narrower channels (AIPO(4)-5 and carbon nanotube): (i) an initial fast decay (0.5-2 ps) and (ii) a slower decay (>2 ps) of reorientational correlation function where C-6 decays slower than C-2 Similar to what is observed in liquid benzene. In the initial fast decay, it is seen that the decay for C-6 is faster than C-2 which is in contrast to what is observed in liquid benzene or for benzene confined in VPI-5.

Ultimate Strength of RC Wall Panels in One-Way In-Plane Action

Test results of 24 reinforced concrete wall panels in one-way in-plane action are presented. The panels were loaded at a small eccentricity to reflect possible eccentric loading in practice. Influences of slenderness ratio, aspect ratio, vertical steel, and horizontal steel on the ultimate load are studied. An empirical equation modifying two existing methods is proposed for the prediction of ultimate load. The modified equation includes the effects of slenderness ratio, amount of vertical steel, and aspect ratio. The results predicted by the proposed modified method and five other available equations are compared with 48 test data. The proposed modified equation is found to be satisfactory and, additionally, includes the effect of aspect ratio which is not present in other methods.

A molecular theory of collective orientational relaxation in pure and binary dipolar liquids

A molecular theory of collective orientational relaxation of dipolar molecules in a dense liquid is presented. Our work is based on a generalized, nonlinear, Smoluchowski equation (GSE) that includes the effects of intermolecular interactions through a mean‐field force term. The effects of translational motion of the liquid molecules on the orientational relaxation is also included self‐consistently in the GSE. Analytic expressions for the wave‐vector‐dependent orientational correlation functions are obtained for one component, pure liquid and also for binary mixtures. We find that for a dipolar liquid of spherical molecules, the correlation function ϕ(k,t) for l=1, where l is the rank of the spherical harmonics, is biexponential. At zero wave‐vector, one time constant becomes identical with the dielectric relaxation time of the polar liquid. The second time constant is the longitudinal relaxation time, but the contribution of this second component is small. We find that polar forces do not affect the higher order correlation functions (l>1) of spherical dipolar molecules in a linearized theory. The expression of ϕ(k,t) for a binary liquid is a sum of four exponential terms. We also find that the wave‐vector‐dependent relaxation times depend strongly on the microscopic structure of the dense liquid. At intermediate wave vectors, the translational diffusion greatly accelerates the rate of orientational relaxation. The present study indicates that one must pay proper attention to the microscopic structure of the liquid while treating the translational effects. An analysis of the nonlinear terms of the GSE is also presented. An interesting coupling between the number density fluctuation and the orientational fluctuation is uncovered.

Crystal structure of 2-thiophene-2-yl-3(thiophene-2-carboxylideneamino)-1,2-dihydroquinazolin-4(3H)-one and the synthesis, spectral and thermal studies of its transition metal(II) complexes

The synthesis of manganese(II), cobalt(II), nickel(II), copper(II), zinc(II) and cadmium(II) complexes of a new ligand 2-thiophene-2-yl-3(thiophene-2-carboxylidene-amino)-1,2-dihydroquinazolin-4(3H)-one (TTCADQ) is described. The ligand and metal complexes were characterized by elemental analysis, conductivity measurements, spectral (u.v.-vis., i.r., 1D n.m.r., 2D hetcor and e.p.r.) and thermal studies. The formation of 1,2-dihydroquinazolin-4(3H)-one rather than hydrazone, in the reaction of aromatic aldehyde and o-aminobenzoylhydrazide is proved by single crystal X-ray diffraction and 2D hetcor n.m.r. studies. On the basis of elemental analysis, u.v.-vis.spectroscopy and magnetic moment studies, six coordinate geometry for all the complexes was proposed. The i.r. spectral studies reveal the bidentate behaviour of the ligand.