Evaluating forecasts from SETAR models of exchange rates

We consider the forecasting performance of two SETAR exchange rate models proposed by Kräger and Kugler [J. Int. Money Fin. 12 (1993) 195]. Assuming that the models are good approximations to the data generating process, we show that whether the non-linearities inherent in the data can be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the ‘state of nature’. Evaluation based on traditional measures, such as (root) mean squared forecast errors, may mask the superiority of the non-linear models. Generalized impulse response functions are also calculated as a means of portraying the asymmetric response to shocks implied by such models.

The ocean's role in polar climate change: asymmetric Arctic and Antarctic responses to greenhouse gas and ozone forcing

In recent decades, the Arctic has been warming and sea ice disappearing. By contrast, the Southern Ocean around Antarctica has been (mainly) cooling and sea-ice extent growing. We argue here that interhemispheric asymmetries in the mean ocean circulation, with sinking in the northern North Atlantic and upwelling around Antarctica, strongly influence the sea-surface temperature (SST) response to anthropogenic greenhouse gas (GHG) forcing, accelerating warming in the Arctic while delaying it in the Antarctic. Furthermore, while the amplitude of GHG forcing has been similar at the poles, significant ozone depletion only occurs over Antarctica. We suggest that the initial response of SST around Antarctica to ozone depletion is one of cooling and only later adds to the GHG-induced warming trend as upwelling of sub-surface warm water associated with stronger surface westerlies impacts surface properties. We organize our discussion around ‘climate response functions’ (CRFs), i.e. the response of the climate to ‘step’ changes in anthropogenic forcing in which GHG and/or ozone-hole forcing is abruptly turned on and the transient response of the climate revealed and studied. Convolutions of known or postulated GHG and ozone-hole forcing functions with their respective CRFs then yield the transient forced SST response (implied by linear response theory), providing a context for discussion of the differing warming/cooling trends in the Arctic and Antarctic. We speculate that the period through which we are now passing may be one in which the delayed warming of SST associated with GHG forcing around Antarctica is largely cancelled by the cooling effects associated with the ozone hole. By mid-century, however, ozone-hole effects may instead be adding to GHG warming around Antarctica but with diminished amplitude as the ozone hole heals. The Arctic, meanwhile, responding to GHG forcing but in a manner amplified by ocean heat transport, may continue to warm at an accelerating rate.

Output sustainability to exogenous and endogenous shocks: evidence from emerging economies

This paper studies the impact of exogenous and endogenous shocks (exogenous shock is used interchangeably with external shock; endogenous shock is used interchangeably with domestic shock) on output fluctuations in post-communist countries during the 2000s. The first part presents the analytical framework and formulates a research hypothesis. The second part presents vector autoregressive estimation and analysis model proposed by Pesaran (2004) and Pesaran and Smith (2006) that relates bank real lending, the cyclical component of output and spreads and accounts for cross-sectional dependence (CD) across the countries. Impulse response functions show that exogenous positive shock lead to a drop in output sustainability for 9 over 12 Central Eastern European countries and Russia, when the endogenous shock is mild and ambiguous. Moreover, the effect of exogenous shock is more significant during the crises. Variance decompositions show that exogenous shock in the aftermath of crisis had a substantial impact on economic activity of emerging economies.

Triple- and quadruple-escape peaks in HPGe detectors: Experimental observation and Monte Carlo simulation

The triple- and quadruple-escape peaks of 6.128 MeV photons from the (19)F(p,alpha gamma)(16)O nuclear reaction were observed in an HPGe detector. The experimental peak areas, measured in spectra projected with a restriction function that allows quantitative comparison of data from different multiplicities, are in reasonably good agreement with those predicted by Monte Carlo simulations done with the general-purpose radiation-transport code PENELOPE. The behaviour of the escape intensities was simulated for some gamma-ray energies and detector dimensions; the results obtained can be extended to other energies using an empirical function and statistical properties related to the phenomenon. (C) 2010 Elsevier B.V. All rights reserved.

Statistical analysis of the Doppler broadening coincidence spectrum of electron-positron annihilation radiation in silicon

We report a statistical analysis of Doppler broadening coincidence data of electron-positron annihilation radiation in silicon using a (22)Na source. The Doppler broadening coincidence spectrum was fit using a model function that included positron annihilation at rest with 1s, 2s, 2p, and valence band electrons. In-flight positron annihilation was also fit. The response functions of the detectors accounted for backscattering, combinations of Compton effects, pileup, ballistic deficit, and pulse-shaping problems. The procedure allows the quantitative determination of positron annihilation with core and valence electron intensities as well as their standard deviations directly from the experimental spectrum. The results obtained for the core and valence band electron annihilation intensities were 2.56(9)% and 97.44(9)%, respectively. These intensities are consistent with published experimental data treated by conventional analysis methods. This new procedure has the advantage of allowing one to distinguish additional effects from those associated with the detection system response function. (C) 2009 Elsevier B.V. All rights reserved.

Degenerate Two-Photon Absorption in All-Trans Retinal: Nonlinear Spectrum and Theoretical Calculations

In this work we investigate the degenerate two-photon absorption spectrum of all-trans retinal ill ethanol employing the Z-scan technique with femtosecond pulses, The two-photon absorption (2PA) spectrum presents a monotonous increase as the excitation wavelength approaches the one-photon absorption band and it peak at 790 nm. We attribute the 2PA hand to the mixing of states (1)B(u)+-like and vertical bar S(1)>, which are strongly allowed by one- and two-photon, respectively. We modeled the 2PA spectrum by using the sum-over-states approach and obtained spectroscopic parameters of the electronic transitions to vertical bar S >, vertical bar S(2)> (""(1)Bu(+)""), vertical bar S(3)>, and vertical bar S(4)> singlet-excited states. The results were compared with theoretical predictions of one- and two-photon transition calculations using the response Functions formalism within the density functional theory framework with the aid of the CAM-B3LYP functional.

Optimization of a method for determination of phenolic acids in exotic fruits by capillary electrophoresis

In this work, the separation of nine phenolic acids (benzoic, caffeic, chlorogenic, p-coumaric, ferulic, gallic, protocatechuic, syringic, and vanillic acid) was approached by a 32 factorial design in electrolytes consisting of sodium tetraborate buffer(STB) in the concentration range of 10-50 mmol L(-1) and methanol in the volume percentage of 5-20%. Derringer`s desirability functions combined globally were tested as response functions. An optimal electrolyte composed by 50 mmol L(-1) tetraborate buffer at pH 9.2, and 7.5% (v/v) methanol allowed baseline resolution of all phenolic acids under investigation in less than 15 min. In order to promote sample clean up, to preconcentrate the phenolic fraction and to release esterified phenolic acids from the fruit matrix, elaborate liquid-liquid extraction procedures followed by alkaline hydrolysis were performed. The proposed methodology was fully validated (linearity from 10.0 to 100 mu g mL(-1), R(2) > 0.999: LOD and LOQ from 1.32 to 3.80 mu g mL(-1) and from 4.01 to 11.5 mu g mL(-1), respectively; intra-day precision better than 2.8% CV for migration time and 5.4% CV for peak area; inter-day precision better than 4.8% CV for migration time and 4.8-11% CV for peak area: recoveries from 81% to 115%) and applied successfully to the evaluation of phenolic contents of abiu-roxo (Chrysophyllum caimito), wild mulberry growing in Brazil (Morus nigra L.) and tree tomato (Cyphomandra betacea). Values in the range of 1.50-47.3 mu g g(-1) were found, with smaller amounts occurring as free phenolic acids. (C) 2009 Elsevier B.V. All rights reserved.

Retinal sensitivity loss in third-generation n-3 PUFA-deficient rats

A previous study conducted in guinea pigs suggested that ingestion of diets high in EPA and DHA may result in suboptimal retinal function. The aim of the present study was to evaluate retinal function in pigmented (Long-Evans) rats, raised to a third generation on diets that were either deficient in n-3 PUFA or adequate (with the addition of DHA). Electroretinographic assessment employed full-field white flash stimulation. Photoreceptor responses were evaluated in terms of peak amplitudes and implicit times (a-wave, b-wave), intensity-response functions (Naka-Rushton), and the parameters of a model of transduction (P3). Retinal phospholipid FA composition was measured by capillary GLC. DHA levels were reduced by 55% in n-3-deficient animals compared with the n-3-adequate group, whereas the levels of docosapentaenoic acid n-6 were 44 times higher in n-3-deficient animals. The level of arachidonic acid was marginally higher (12.8%) in n-6-adequate animals. The n-3-deficient animals exhibited significantly reduced retinal sensitivity (σ and S values were both affected by 0.29 log units) and increased b-wave implicit times compared with those fed the n-3-adequate diet. These data suggest that n-3 PUFA are required for development of retinal sensitivity, more so than other indices of retinal function assessed by current methods, such as maximal response amplitude. However, the benefit for retinal function of adding preformed DHA to diets already replete in n-3 PUFA remains unclear.

Female labour force participation, fertility and infant mortality in Australia : some empirical evidence from Granger causality tests

This study applies Granger causality tests within a multivariate error correction framework to examine the relationship between female participation rates, infant mortality rates and fertility rates for Australia using annual data from 1960 to 2000. Decomposition of variance and impulse response functions are also considered. The main findings are twofold. First, in the short run there is unidirectional Granger causality running from the fertility rate to female labour force participation and from the infant mortality rate to female labour force participation while there is neutrality between the fertility rate and infant mortality rate. Second, in the long run both the fertility rate and infant mortality rate Granger cause female labour participation.

Temporal causality and the dynamics of judicial appellate caseload, real income and socio-economic complexity in Australia

This study applies Granger causality tests within a multivariate error correction framework to examine the relationship between judicial caseload, real income and urbanization for Australia using annual data from 1904 to 2001. Decomposition of variance and impulse response functions are also considered. The Granger causality results as well as the decomposition of variance and impulse response functions suggest that urbanization is the most exogenous of the three variables in both the long run and short run while judicial caseload and real income are relatively exogenous in the short run.

Higher education, real income and real investment in China : evidence from Granger causality tests

This paper employs cointegration and error-correction modelling to test the causal relationship between real income, real investment and tertiary education using data for the People's Republic of China over the period 1952-1999. To proxy tertiary education we use higher education enrolments and higher education graduates in alternative empirical specifications. One of the paper's main findings is that real income, real investment and tertiary education are cointegrated when real investment is the dependent variable, but are not cointegrated when either tertiary education or real income is the dependent variable. We also extend the in-sample analysis to examine the decomposition of variance and impulse response functions.

Temporal causality and the dynamics of democracy, emigration and real income in Fiji

This study is the first to explore temporal causality between democracy, emigration and real income in Fiji within a multivariate cointegration model. We find three long run relationships between democracy, emigration and real income. In the long run there is evidence that migration and democracy Granger cause real GDP in Fiji; real GDP and democracy Granger cause migration from Fiji and that real GDP and migration Granger cause democracy in Fiji. In the short run we find unidirectional Granger causality running from migration to real GDP and from democracy to real GDP, but neutrality between democracy and migration in the short run. We also extend the analysis to examine the degree of exogeneity of the variables beyond the sample period through considering the decomposition of variance and impulse response functions.

A factor-augmented VAR approach : the effect of a rise in the US personal income tax rate on the US and Canada

In this paper a factor-augmented vector autoregressive (FAVAR) model is estimated to characterize the dynamic effects of shocks in the personal income tax rate in the United States on United States and Canadian economies. The representation and the estimate of the FAVAR model is based on Stock and Watson (2005) and the shocks are recovered applying the identification scheme proposed by Bernanke et al. (2005); this method allows impulse response functions to be generated for all the variables in the dataset and provides a description of the domestic and international transmission mechanisms of United States movements in the personal income tax rate. A distinguishing feature of our model is the disaggregation of traded goods sector where imports and exports are disaggregated into 12 and 13 industries, respectively. This provides extra information on the domestic and international transmission mechanism across the two countries. The results show that the FAVAR approach generates a reasonable characterisation of the effects of United States movements in the US personal income tax rate on the United States economy and its transmission to the Canadian economy.

Ripple effects of house prices : considering spatial correlations in geography and demography

Purpose: Studies into ripple effects have previously focused on the interconnections between house price movements across cities over space and time. These interconnections were widely investigated in previous research using vector autoregression models. However, the effects generated from spatial information could not be captured by conventional vector autoregression models. This research aimed to incorporate spatial lags into a vector autoregression model to illustrate spatial-temporal interconnections between house price movements across the Australian capital cities. Design/methodology/approach: Geographic and demographic correlations were captured by assessing geographic distances and demographic structures between each pair of cities, respectively. Development scales of the housing market were also used to adjust spatial weights. Impulse response functions based on the estimated SpVAR model were further carried out to illustrate the ripple effects. Findings: The results confirmed spatial correlations exist in housing price dynamics in the Australian capital cities. The spatial correlations are dependent more on the geographic rather than the demographic information. Originality/value: This research investigated the spatial heterogeneity and autocorrelations of regional house prices within the context of demographic and geographic information. A spatial vector autoregression model was developed based on the demographic and geographic distance. The temporal and spatial effects on house prices in Australian capital cities were then depicted.

A panel error correction approach to explore spatial correlation patterns of the dominant housing market in Australian capital cities

Purpose - A panel error correction model has been developed to investigate the spatial correlation patterns among house prices. This paper aims to identify a dominant housing market in the ripple down process. Design/methodology/approach - Seemingly unrelated regression estimators are adapted to deal with the contemporary correlations and heterogeneity across cities. Impulse response functions are subsequently implemented to simulate the spatial correlation patterns. The newly developed approach is then applied to the Australian capital city house price indices. Findings - The results suggest that Melbourne should be recognised as the dominant housing market. Four levels were classified within the Australian house price interconnections, namely: Melbourne; Adelaide, Canberra, Perth and Sydney; Brisbane and Hobart; and Darwin. Originality/value - This research develops a panel regression framework in addressing the spatial correlation patterns of house prices across cities. The ripple-down process of house price dynamics across cities was explored by capturing both the contemporary correlations and heterogeneity, and by identifying the dominant housing market.