Conditional mean functions of non-linear models of US output

We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth rates. The conditional means are estimated non-parametrically using a nearest-neighbour technique on data simulated from the models. In this way, we condense the complex, dynamic, responses that may be present in to graphical displays of the implied conditional mean.

A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread.

Forecasting economic and financial time series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.

Forecasting US output growth with non-linear models in the presence of data uncertainty

We consider the impact of data revisions on the forecast performance of a SETAR regime-switching model of U.S. output growth. The impact of data uncertainty in real-time forecasting will affect a model's forecast performance via the effect on the model parameter estimates as well as via the forecast being conditioned on data measured with error. We find that benchmark revisions do affect the performance of the non-linear model of the growth rate, and that the performance relative to a linear comparator deteriorates in real-time compared to a pseudo out-of-sample forecasting exercise.

Validity of the ice shelf water plume concept beneath Filchner-Ronne Ice Shelf

In winter, brine rejection from sea ice formation and export in the Weddell Sea, offshore of Filchner-Ronne Ice Shelf (FRIS), leads to the formation of High Salinity Shelf Water (HSSW). This dense water mass enters the cavity beneath FRIS by sinking southward down the sloping continental shelf towards the grounding line. Melting occurs when the HSSW encounters the ice shelf, and the meltwater released cools and freshens the HSSW to form a water mass known as Ice Shelf Water (ISW). If this ISW rises, the ‘ice pump’ is initiated (Lewis and Perkin, 1986), whereby the ascending ISW becomes supercooled and deposits marine ice at shallower locations due to the pressure increase in the in-situ freezing temperature. Sandh¨ager et al. (2004) were able to infer the thickness patterns of marine ice deposits at the base of FRIS (figure 1), so the primary aim of this work is to try to understand the ocean flows that determine these patterns. The plume model we use to investigate ISW flow is described fully by Holland and Feltham (accepted) so only a relatively brief outline is presented here. The plume is simulated by combining a parameterisation of ice shelf basal interaction and a multiplesize- class frazil dynamics model with an unsteady, depth-averaged reduced-gravity plume model. In the model an active region of ISW evolves above and within an expanse of stagnant ambient fluid, which is considered to be ice-free and has fixed profiles of temperature and salinity. The two main assumptions of the model are that there is a well-mixed layer underneath the ice shelf and that the ambient fluid outside the plume is stagnant with fixed properties. The topography of the ice shelf that the plume flows beneath is set to the FRIS ice shelf draft calculated by Sandh¨ager et al. (2004) masked with the grounding line from the Antarctic Digital Database (ADD Consortium, 2002). To initiate the plumes, we assume that the intrusion of dense HSSW initially causes melting at the points on the grounding line where the glaciological tributaries feeding FRIS go afloat.

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Linear and non-linear (non-)forecastability of high-frequency exchange rates

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

Fractional order and non-linear system identification algorithms for biomedical applications

We discuss the modelling of dielectric responses of amorphous biological samples. Such samples are commonly encountered in impedance spectroscopy studies as well as in UV, IR, optical and THz transient spectroscopy experiments and in pump-probe studies. In many occasions, the samples may display quenched absorption bands. A systems identification framework may be developed to provide parsimonious representations of such responses. To achieve this, it is appropriate to augment the standard models found in the identification literature to incorporate fractional order dynamics. Extensions of models using the forward shift operator, state space models as well as their non-linear Hammerstein-Wiener counterpart models are highlighted. We also discuss the need to extend the theory of electromagnetically excited networks which can account for fractional order behaviour in the non-linear regime by incorporating nonlinear elements to account for the observed non-linearities. The proposed approach leads to the development of a range of new chemometrics tools for biomedical data analysis and classification.

Representation errors and retrievals in linear and nonlinear data assimilation

This article shows how one can formulate the representation problem starting from Bayes’ theorem. The purpose of this article is to raise awareness of the formal solutions,so that approximations can be placed in a proper context. The representation errors appear in the likelihood, and the different possibilities for the representation of reality in model and observations are discussed, including nonlinear representation probability density functions. Specifically, the assumptions needed in the usual procedure to add a representation error covariance to the error covariance of the observations are discussed,and it is shown that, when several sub-grid observations are present, their mean still has a representation error ; socalled ‘superobbing’ does not resolve the issue. Connection is made to the off-line or on-line retrieval problem, providing a new simple proof of the equivalence of assimilating linear retrievals and original observations. Furthermore, it is shown how nonlinear retrievals can be assimilated without loss of information. Finally we discuss how errors in the observation operator model can be treated consistently in the Bayesian framework, connecting to previous work in this area.

Shops, stalls, stores: pre-consumption deposits and centrally organised distribution in Antonine Britain

Michael Fulford writes: Recent research is shedding more light on how certain goods, particularly durable materials like pottery, were distributed in the Western provinces of the Roman Empire and on the steps which connected producer with consumer.15 This paper develops the theme further by exploring the contribution to the debate of three British sites with Antonine assemblages of unused pottery and other goods. While interest has previously focused on the samian because of the contribution that it can make to dating, this paper considers the implications of the assemblages as a whole.

Middle and Late Pleistocene humid periods recorded in palaeolake deposits of the Nafud desert, Saudi Arabia

Present climate in the Nafud desert of northern Saudi Arabia is hyper-arid and moisture brought by north-westerly winds scarcely reaches the region. The existence of abundant palaeolake sediments provides evidence for a considerably wetter climate in the past. However, the existing chronological framework of these deposits is solely based on radiocarbon dating of questionable reliability, due to potential post-depositional contamination with younger 14C. By using luminescence dating, we show that the lake deposits were not formed between 40 and 20 ka as suggested previously, but approximately ca 410 ka, 320 ka, 200 ka, 125 ka, and 100 ka ago. All of these humid phases are in good agreement with those recorded in lake sediments and speleothems from southern Arabia. Surprisingly, no Holocene lake deposits were identified. Geological characteristics of the deposits and diatom analysis suggest that a single, perennial lake covered the entire south-western Nafud ca 320 ka ago. In contrast, lakes of the 200 ka, 125 ka, and 100 ka humid intervals were smaller and restricted to interdune depressions of a pre-existing dune relief. The concurrent occurrence of humid phases in the Nafud, southern Arabia and the eastern Mediterranean suggests that moisture in northern Arabia originated either from the Mediterranean due to more frequent frontal depression systems or from stronger Indian monsoon circulation, respectively. However, based on previously published climate model simulations and palaecolimate evidence from central Arabia and the Negev desert, we argue that humid climate conditions in the Nafud were probably caused by a stronger African monsoon and a distinct change in zonal atmospheric circulation.

Maternal postnatal depression predicts altered offspring biological stress reactivity in adulthood

The offspring of depressed parents have been found to show elevated basal levels of the stress hormone cortisol. Whether heightened cortisol stress reactivity is also present in this group has yet to be clearly demonstrated. We tested whether postnatal maternal depression predicts subsequent increases in offspring biological sensitivity to social stress, as indexed by elevated cortisol reactivity. Participants (mean age 22.4-years) derived from a 22-year prospective longitudinal study of the offspring of mothers who had postnatal depression (PND group; n=38) and a control group (n=38). Salivary cortisol response to a social-evaluative threat (Trier Social Stress Test) was measured. Hierarchical linear modelling indicated that PND group offspring showed greater cortisol reactivity to the stress test than control group participants. Group differences were not explained by offspring depressive or anxiety symptoms, experiences of negative life events, elevated basal cortisol at age 13-years, subsequent exposure to maternal depression, or other key covariates. The findings indicate that the presence of early maternal depression can predict offspring biological sensitivity to social stress in adulthood, with potential implications for broader functioning.