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.

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.

Ice crystals growing from vapor in supercooled clouds between −2.5° and −22°C: testing current parameterization methods using laboratory data

The physical and empirical relationships used by microphysics schemes to control the rate at which vapor is transferred to ice crystals growing in supercooled clouds are compared with laboratory data to evaluate the realism of various model formulations. Ice crystal growth rates predicted from capacitance theory are compared with measurements from three independent laboratory studies. When the growth is diffusion- limited, the predicted growth rates are consistent with the measured values to within about 20% in 14 of the experiments analyzed, over the temperature range −2.5° to −22°C. Only two experiments showed significant disagreement with theory (growth rate overestimated by about 30%–40% at −3.7° and −10.6°C). Growth predictions using various ventilation factor parameterizations were also calculated and compared with supercooled wind tunnel data. It was found that neither of the standard parameterizations used for ventilation adequately described both needle and dendrite growth; however, by choosing habit-specific ventilation factors from previous numerical work it was possible to match the experimental data in both regimes. The relationships between crystal mass, capacitance, and fall velocity were investigated based on the laboratory data. It was found that for a given crystal size the capacitance was significantly overestimated by two of the microphysics schemes considered here, yet for a given crystal mass the growth rate was underestimated by those same schemes because of unrealistic mass/size assumptions. The fall speed for a given capacitance (controlling the residence time of a crystal in the supercooled layer relative to its effectiveness as a vapor sink, and the relative importance of ventilation effects) was found to be overpredicted by all the schemes in which fallout is permitted, implying that the modeled crystals reside for too short a time within the cloud layer and that the parameterized ventilation effect is too strong.

Testing isotherm models and recovering empirical relationships for adsorption in microporous carbons using virtual carbon models and grand canonical Monte Carlo simulations

Using the plausible model of activated carbon proposed by Harris and co-workers and grand canonical Monte Carlo simulations, we study the applicability of standard methods for describing adsorption data on microporous carbons widely used in adsorption science. Two carbon structures are studied, one with a small distribution of micropores in the range up to 1 nm, and the other with micropores covering a wide range of porosity. For both structures, adsorption isotherms of noble gases (from Ne to Xe), carbon tetrachloride and benzene are simulated. The data obtained are considered in terms of Dubinin-Radushkevich plots. Moreover, for benzene and carbon tetrachloride the temperature invariance of the characteristic curve is also studied. We show that using simulated data some empirical relationships obtained from experiment can be successfully recovered. Next we test the applicability of Dubinin's related models including the Dubinin-Izotova, Dubinin-Radushkevich-Stoeckli, and Jaroniec-Choma equations. The results obtained demonstrate the limits and applications of the models studied in the field of carbon porosity characterization.

Stress testing credit risk: the Great Depression scenario

By employing Moody’s corporate default and rating transition data spanning the last 90 years we explore how much capital banks should hold against their corporate loan portfolios to withstand historical stress scenarios. Specifically, we will focus on the worst case scenario over the observation period, the Great Depression. We find that migration risk and the length of the investment horizon are critical factors when determining bank capital needs in a crisis. We show that capital may need to rise more than three times when the horizon is increased from 1 year, as required by current and future regulation, to 3 years. Increases are still important but of a lower magnitude when migration risk is introduced in the analysis. Further, we find that the new bank capital requirements under the so-called Basel 3 agreement would enable banks to absorb Great Depression-style losses. But, such losses would dent regulatory capital considerably and far beyond the capital buffers that have been proposed to ensure that banks survive crisis periods without government support.

A genetic linkage map of an apple rootstock progeny anchored to the Malus genome sequence

An apple rootstock progeny raised from the cross between the very dwarfing ‘M.27’ and the more vigorous ‘M.116’ (‘M.M.106’ × ‘M.27’) was used for the construction of a linkage map comprising a total of 324 loci: 252 previously mapped SSRs, 71 newly characterised or previously unmapped SSR loci (including 36 amplified by 33 out of the 35 novel markers reported here), and the self-incompatibility locus. The map spanned the 17 linkage groups (LG) expected for apple covering a genetic distance of 1,229.5 cM, an estimated 91% of the Malus genome. Linkage groups were well populated and, although marker density ranged from 2.3 to 6.2 cM/SSR, just 15 gaps of more than 15 cM were observed. Moreover, only 17.5% of markers displayed segregation distortion and, unsurprisingly in a semi-compatible backcross, distortion was particularly pronounced surrounding the self-incompatibility locus (S) at the bottom of LG17. DNA sequences of 273 SSR markers and the S locus, representing a total of 314 loci in this investigation, were used to anchor to the ‘Golden Delicious’ genome sequence. More than 260 of these loci were located on the expected pseudo-chromosome on the ‘Golden Delicious’ genome or on its homeologous pseudo-chromosome. In total, 282.4 Mbp of sequence from 142 genome sequence scaffolds of the Malus genome were anchored to the ‘M.27’ × ‘M.116’ map, providing an interface between the marker data and the underlying genome sequence. This will be exploited for the identification of genes responsible for traits of agronomic importance such as dwarfing and water use efficiency.

Testing of fibre composite leaf spring for heavy axle loads

This paper presents the results of quasi-static and dynamic testing of glass fiber-reinforced polyester leaf suspension for rail freight vehicles named Euroleaf. The principal elements of the suspension's design and manufacturing process are initially summarized. Comparison between quasi-static tests and finite element predictions are then presented. The Euroleaf suspension have been mounted on a tipper wagon and tested dynamically at tare and full load on a purpose-built shaker rig. A shaker rig dynamic testing methodology has been pioneered for rail vehicles, which follows closely road vehicle suspension dynamic testing methodology. The use and evaluation of this methodology have demonstrated that the Euroleaf suspension is dynamically much softer than steel suspensions even though it is statically much stiffer. As a consequence, the suspension dynamic loading at laden loading conditions is reduced compared to the most advanced steel leaf suspension over shaker rig track tests.

Adaptive recursive control of a soil testing load frame

Recursive Learning Control (RLC) has the potential to significantly reduce the tracking error in many repetitive trajectory applications. This paper presents an application of RLC to a soil testing load frame where non-adaptive techniques struggle with the highly nonlinear nature of soil. The main purpose of the controller is to apply a sinusoidal force reference trajectory on a soil sample with a high degree of accuracy and repeatability. The controller uses a feedforward control structure, recursive least squares adaptation algorithm and RLC to compensate for periodic errors. Tracking error is reduced and stability is maintained across various soil sample responses.

Testing the statistical significance of sector & regional diversification

The question as to whether it is better to diversify a real estate portfolio within a property type across the regions or within a region across the property types is one of continuing interest for academics and practitioners alike. The current study, however, is somewhat different from the usual sector/regional analysis taking account of the fact that holdings in the UK real estate market are heavily concentrated in a single region, London. As a result this study is designed to investigate whether a real estate fund manager can obtain a statistically significant improvement in risk/return performance from extending out of a London based portfolio into firstly the rest of the South East of England and then into the remainder of the UK, or whether the manger would be better off staying within London and diversifying across the various property types. The results indicating that staying within London and diversifying across the various property types may offer performance comparable with regional diversification, although this conclusion largely depends on the time period and the fund manager’s ability to diversify efficiently.

Development of a dense SNP-based linkage map of an apple rootstock progeny using the Malus Infinium whole genome genotyping array

Background A whole-genome genotyping array has previously been developed for Malus using SNP data from 28 Malus genotypes. This array offers the prospect of high throughput genotyping and linkage map development for any given Malus progeny. To test the applicability of the array for mapping in diverse Malus genotypes, we applied the array to the construction of a SNPbased linkage map of an apple rootstock progeny. Results Of the 7,867 Malus SNP markers on the array, 1,823 (23.2 %) were heterozygous in one of the two parents of the progeny, 1,007 (12.8 %) were heterozygous in both parental genotypes, whilst just 2.8 % of the 921 Pyrus SNPs were heterozygous. A linkage map spanning 1,282.2 cM was produced comprising 2,272 SNP markers, 306 SSR markers and the S-locus. The length of the M432 linkage map was increased by 52.7 cM with the addition of the SNP markers, whilst marker density increased from 3.8 cM/marker to 0.5 cM/marker. Just three regions in excess of 10 cM remain where no markers were mapped. We compared the positions of the mapped SNP markers on the M432 map with their predicted positions on the ‘Golden Delicious’ genome sequence. A total of 311 markers (13.7 % of all mapped markers) mapped to positions that conflicted with their predicted positions on the ‘Golden Delicious’ pseudo-chromosomes, indicating the presence of paralogous genomic regions or misassignments of genome sequence contigs during the assembly and anchoring of the genome sequence. Conclusions We incorporated data for the 2,272 SNP markers onto the map of the M432 progeny and have presented the most complete and saturated map of the full 17 linkage groups of M. pumila to date. The data were generated rapidly in a high-throughput semi-automated pipeline, permitting significant savings in time and cost over linkage map construction using microsatellites. The application of the array will permit linkage maps to be developed for QTL analyses in a cost-effective manner, and the identification of SNPs that have been assigned erroneous positions on the ‘Golden Delicious’ reference sequence will assist in the continued improvement of the genome sequence assembly for that variety.

Testing the sustainability and sensitivity to climatic change of terrace agricultural systems in the Peruvian Andes: a pilot study

The results of an integrated geoarchaeological and palaeoecological pilot study of a prehistoric agricultural terrace and nearby mire basin are presented. They reveal two stages of terrace construction for the cultivation of Zea mays during the Middle Horizon (615–695 AD) and late, Late Intermediate Period (1200–1400 AD). These stages were strongly associated with evidence for vegetation succession, destabilisation and erosion of the surrounding landscape, and changes in mire surface wetness. The reasons for agricultural terrace abandonment and/or reconstruction are uncertain, with only circumstantial evidence for climatically induced agricultural change.

The determination of total nitrogen and total phosphorus concentrations in freshwaters from land use, stock headage and population data: testing of a model for use in conservation and water quality management

1. Nutrient concentrations (particularly N and P) determine the extent to which water bodies are or may become eutrophic. Direct determination of nutrient content on a wide scale is labour intensive but the main sources of N and P are well known. This paper describes and tests an export coefficient model for prediction of total N and total P from: (i) land use, stock headage and human population; (ii) the export rates of N and P from these sources; and (iii) the river discharge. Such a model might be used to forecast the effects of changes in land use in the future and to hindcast past water quality to establish comparative or baseline states for the monitoring of change. 2. The model has been calibrated against observed data for 1988 and validated against sets of observed data for a sequence of earlier years in ten British catchments varying from uplands through rolling, fertile lowlands to the flat topography of East Anglia. 3. The model predicted total N and total P concentrations with high precision (95% of the variance in observed data explained). It has been used in two forms: the first on a specific catchment basis; the second for a larger natural region which contains the catchment with the assumption that all catchments within that region will be similar. Both models gave similar results with little loss of precision in the latter case. This implies that it will be possible to describe the overall pattern of nutrient export in the UK with only a fraction of the effort needed to carry out the calculations for each individual water body. 4. Comparison between land use, stock headage, population numbers and nutrient export for the ten catchments in the pre-war year of 1931, and for 1970 and 1988 show that there has been a substantial loss of rough grazing to fertilized temporary and permanent grasslands, an increase in the hectarage devoted to arable, consistent increases in the stocking of cattle and sheep and a marked movement of humans to these rural catchments. 5. All of these trends have increased the flows of nutrients with more than a doubling of both total N and total P loads during the period. On average in these rural catchments, stock wastes have been the greatest contributors to both N and P exports, with cultivation the next most important source of N and people of P. Ratios of N to P were high in 1931 and remain little changed so that, in these catchments, phosphorus continues to be the nutrient most likely to control algal crops in standing waters supplied by the rivers studied.