Synergy Between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests, with two Applications

This paper proposes the use of an improved covariate unit root test which exploits the cross-sectional dependence information when the panel data null hypothesis of a unit root is rejected. More explicitly, to increase the power of the test, we suggest the utilization of more than one covariate and offer several ways to select the ‘best’ covariates from the set of potential covariates represented by the individuals in the panel. Employing our methods, we investigate the Prebish-Singer hypothesis for nine commodity prices. Our results show that this hypothesis holds for all but the price of petroleum.

The feasibility of using near infrared and Raman spectroscopic techniques to detect fraudulent adulteration of chili powders with Sudan dye

Chili powder is a globally traded commodity which has been found to be adulterated with Sudan dyes from 2003 onwards. In this study, chili powders were adulterated with varying quantities of Sudan I dye (0.1-5%) and spectra were generated using near infrared reflectance spectroscopy (NIRS) and Raman
spectroscopy (on a spectrometer with a sample compartment modified as part of the study). Chemometrics were applied to the spectral data to produce quantitative and qualitative calibration models and prediction statistics. For the quantitative models coefficients of determination (R2) were found to be
0.891-0.994 depending on which spectral data (NIRS/Raman) was processed, the mathematical algorithm used and the data pre-processing applied. The corresponding values for the root mean square error of calibration (RMSEC) and root mean square error of prediction (RMSEP) were found to be 0.208-0.851%
and 0.141-0.831% respectively, once again depending on the spectral data and the chemometric treatment applied to the data. Indications are that the NIR spectroscopy based models are superior to the models produced from Raman spectral data based on a comparison of the values of the chemometric
parameters. The limit of detection (LOD) based on analysis of 20 blank chili powders against each calibration model gave 0.25% and 0.88% for the NIR and Raman data, respectively. In addition, adopting a qualitative approach with the spectral data and applying PCA or PLS-DA, it was possible to discriminate
between adulterated chili powders from non-adulterated chili powders.

Middleware mechanisms for agent mobility in wireless sensor and actuator networks

This paper describes middleware-level support for agent mobility, targeted at hierarchically structured wireless sensor and actuator network applications. Agent mobility enables a dynamic deployment and adaptation of the application on top of the wireless network at runtime, while allowing the middleware to optimize the placement of agents, e.g., to reduce wireless network traffic, transparently to the application programmer. The paper presents the design of the mechanisms and protocols employed to instantiate agents on nodes and to move agents between nodes. It also gives an evaluation of a middleware prototype running on Imote2 nodes that communicate over ZigBee. The results show that our implementation is reasonably efficient and fast enough to support the envisioned functionality on top of a commodity multi-hop wireless technology. Our work is to a large extent platform-neutral, thus it can inform the design of other systems that adopt a hierarchical structuring of mobile components. © 2012 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering.

Process efficiency in polymer extrusion: Correlation between the energy demand and melt thermal stability

Thermal stability is of major importance in polymer extrusion, where product quality is dependent upon the level of melt homogeneity achieved by the extruder screw. Extrusion is an energy intensive process and optimisation of process energy usage while maintaining melt stability is necessary in order to produce good quality product at low unit cost. Optimisation of process energy usage is timely as world energy prices have increased rapidly over the last few years. In the first part of this study, a general discussion was made on the efficiency of an extruder. Then, an attempt was made to explore correlations between melt thermal stability and energy demand in polymer extrusion under different process settings and screw geometries. A commodity grade of polystyrene was extruded using a highly instrumented single screw extruder, equipped with energy consumption and melt temperature field measurement. Moreover, the melt viscosity of the experimental material was observed by using an off-line rheometer. Results showed that specific energy demand of the extruder (i.e. energy for processing of unit mass of polymer) decreased with increasing throughput whilst fluctuation in energy demand also reduced. However, the relationship between melt temperature and extruder throughput was found to be complex, with temperature varying with radial position across the melt flow. Moreover, the melt thermal stability deteriorated as throughput was increased, meaning that a greater efficiency was achieved at the detriment of melt consistency. Extruder screw design also had a significant effect on the relationship between energy consumption and melt consistency. Overall, the relationship between the process energy demand and thermal stability seemed to be negatively correlated and also it was shown to be highly complex in nature. Moreover, the level of process understanding achieved here can help to inform selection of equipment and setting of operating conditions to optimise both energy and thermal efficiencies in parallel. 

Process simulation of co-firing torrefied biomass in a 220 MWe coal-fired power plant

Torrefaction based co-firing in a pulverized coal boiler has been proposed for large percentage of biomass co-firing. A 220 MWe pulverized coal-power plant is simulated using Aspen Plus for full understanding the impacts of an additional torrefaction unit on the efficiency of the whole power plant, the studied process includes biomass drying, biomass torrefaction, mill systems, biomass/coal devolatilization and combustion, heat exchanges and power generation. Palm kernel shells (PKS) were torrefied at same residence time but 4 different temperatures, to prepare 4 torrefied biomasses with different degrees of torrefaction. During biomass torrefaction processes, the mass loss properties and released gaseous components have been studied. In addition, process simulations at varying torrefaction degrees and biomass co-firing ratios have been carried out to understand the properties of CO₂ emission and electricity efficiency in the studied torrefaction based co-firing power plant. According to the experimental results, the mole fractions of CO ₂ and CO account for 69-91% and 4-27% in torrefied gases. The predicted results also showed that the electrical efficiency reduced when increasing either torrefaction temperature or substitution ratio of biomass. A deep torrefaction may not be recommended, because the power saved from biomass grinding is less than the heat consumed by the extra torrefaction process, depending on the heat sources. 

Molecular pathology - The value of an integrative approach

Molecular Pathology (MP) is at the heart of modern diagnostics and translational research, but the controversy on how MP is best developed has not abated. The lack of a proper model or trained pathologists to support the diagnostic and research missions makes MP a rare commodity overall. Here we analyse the scientific and technology areas, in research and diagnostics, which are encompassed by MP of solid tumours; we highlight the broad overlap of technologies and analytical capabilities in tissue research and diagnostics; and we describe an integrated model that rationalizes technical know-how and pathology talent for both. The model is based on a single, accredited laboratory providing a single standard of high-quality for biomarker discovery, biomarker validation and molecular diagnostics.

Measurement of proton-driven antiport in Escherichia coli

Secondary active transport of substrates across the inner membrane is vital to the bacterial cell. Of the secondary active transporter families, the ubiquitous major facilitator superfamily (MFS) is the largest and most functionally diverse (Reddy et al., 2012). Recently, it was reported that the MFS multidrug efflux protein MdtM from Escherichia coli (E. coli) functions physiologically in protection of bacterial cells against bile salts (Paul et al., 2014). The MdtM transporter imparts bile salt resistance to the bacterial cell by coupling the exchange of external protons (H+) to the efflux of bile salts from the cell interior via an antiport reaction. This protocol describes, using fluorometry, how to detect the bile salt/H+ antiport activity of MdtM in inverted membrane vesicles of an antiporter-deficient strain of E. coli TO114 cells by measuring transmembrane ∆pH. This method exploits the changes that occur in the intensity of the fluorescence signal (quenching and dequenching) of the pH-sensitive dye acridine orange in response to changes in [H+] in the vesicular lumen. Due to low levels of endogenous transporter expression that would normally make the contribution of individual transporters such as MdtM to proton-driven antiport difficult to detect, the method typically necessitates that the transporter of interest be overexpressed from a multicopy plasmid. Although the first section of the protocol described here is very specific to the overexpression of MdtM from the pBAD/Myc-His A expression vector, the protocol describing the subsequent measurement of bile salt efflux by MdtM can be readily adapted for measurement of antiport of other substrates by any other antiporter that exchanges protons for countersubstrate.

An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

Gender, religion, and sociopolitical issues in cross-cultural online education

Cross-cultural education is thought to develop critical consciousness of how unequal distributions of power and privilege affect people’s health. Learners in different sociopolitical settings can join together in developing critical consciousness – awareness of power and privilege dynamics in society – by means of communication technology. The aim of this research was to define strengths and limitations of existing cross-cultural discussions in generating critical consciousness. The setting was the FAIMER international fellowship program for mid-career interdisciplinary health faculty, whose goal is to foster global advancement of health professions education. Fellows take part in participant-led, online, written, task-focused discussions on topics like professionalism, community health, and leadership. We reflexively identified text that brought sociopolitical topics into the online environment during the years 2011 and 2012 and used a discourse analysis toolset to make our content analysis relevant to critical consciousness. While references to participants’ cultures and backgrounds were infrequent, narratives of political-, gender-, religion-, and other culture-related topics did emerge. When participants gave accounts of their experiences and exchanged cross-cultural stories, they were more likely to develop ad hoc networks to support one another in facing those issues than explore issues relating to the development of critical consciousness. We suggest that cross-cultural discussions need to be facilitated actively to transform learners’ frames of reference, create critical consciousness, and develop cultural competence. Further research is needed into how to provide a safe environment for such learning and provide faculty development for the skills needed to facilitate these exchanges.

Measuring non-use value of environmental goods using the contingent valuation method:problems of information and cognition and the application of cognitive questionnaire design methods

Much interest now focuses on the use of the contingent valuation method (CVM) to assess non-use value of environmental goods. The paper reviews recent literature and highlights particular problems of information provision and respondent knowledge, comprehension and cognition. These must be dealt with by economists in designing CVM surveys for eliciting non-use values. Cognitive questionnaire design methods are presented which invoke concepts from psychology and tools from cognitive survey design (focus groups and verbal reports) to reduce a complex environmnetal good into a meaningful commodity that can be valued by respondents in a contingent market. This process is illustrated with examples from the authors' own research valuing alternative afforestation programmes. -Authors

Exploring divergence between respondent and researcher definitions of the good in contingent valuation studies

In Contingent Valuation studies, researchers often base their definition of the environmental good on scientific/expert consensus. However, respondents may not hold this same commodity definition prior to the transaction. This raises questions as to the potential for staging a satisfactory transaction, based on Fischoff and Furby's (1988) criteria. Some unresolved issues regarding the provision of information to respondents to facilitate such a transaction are highlighted. In this paper, we apply content analysis to focus group discussions and develop a set of rules which take account of the non-independence of group data to explore whether researcher and respondents' prior definitions are in any way similar. We use the results to guide information provision in a subsequent questionnaire.

The timing and spatiotemporal patterning of Neanderthal disappearance

ThetimingofNeanderthal disappearanceandtheextent to whichthey overlapped with the earliest incoming anatomically modern humans (AMHs)inEurasia arekey questions inpalaeoanthropology1,2 .Deter- mining the spatiotemporal relationship between the two populations is crucial if we are to understand the processes, timing and reasons leading to the disappearance of Neanderthals and the likelihood of cultural and genetic exchange. Serious technical challenges, however, havehinderedreliable datingof the period,as theradiocarbonmethod reaches its limit at 50,000 years ago3 .Herewe apply improved accel- erator mass spectrometry 14C techniques to construct robust chro- nologies from 40 key Mousterian and Neanderthal archaeological sites, ranging fromRussia toSpain.Bayesianagemodellingwas used togenerate probability distributionfunctions todetermine the latest appearancedate.Weshowthat theMousterianendedby41,030–39,260 calibratedyears BP(at95.4%probability) acrossEurope.Wealsodem- onstrate that succeeding ‘transitional’ archaeological industries, one ofwhich has beenlinked withNeanderthals (Cha ˆtelperronian)4 ,end at a similar time. Our data indicate that the disappearance of Nean- derthals occurred at different times in different regions.Comparing the data with results obtained fromthe earliest datedAMHsites in Europe, associated with the Uluzzian technocomplex5 , allows us to quantify the temporal overlap between the two human groups. The results revealasignificantoverlap of 2,600–5,400years (at 95.4%prob- ability).This hasimportant implications formodels seeking toexplain the cultural, technological and biological elements involved in the replacement of Neanderthals byAMHs.Amosaic of populations in Europe during the Middle to Upper Palaeolithic transition suggests that there was ample time for the transmission of cultural and sym- bolic behaviours, as well as possible genetic exchanges, between the two groups.

US Dollar Carry Trades in the Era of 'Cheap Money'

In this paper, we employ a unique dataset of actual US dollar (USD) forward positions against a number of currencies taken by so-called Commodity Trading Advisors (CTAs). We investigate to what extent these positions exhibit a pattern of USD carry trading or other patterns of currency trading over the recent period of the ultra-loose US monetary policy. Our analysis indeed shows that USD positions against emerging market currencies are characterised by a pattern of carry trading. That is, the USD, as the lower yielding currency, is associated with short positions. The payoff distributions of these positions, moreover, are found to have positive Sharpe ratios, negative skewness and high kurtosis. On the other hand, we find that USD positions against other advanced country currencies have a pattern completely opposite to carry trading which is in line with uncovered interest parity trading; that is, the lower (higher) yielding currency is associated with long (short) positions.

Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.