Unbiased estimation of the half-life to price index convergence among U.S. cities

Estimates of the half-life to convergence of prices across a panel of cities are subject to bias from three potential sources: inappropriate cross-sectional aggregation of heterogeneous coefficients, presence of lagged dependent variables in a model with individual fixed effects, and time aggregation of commodity prices. This paper finds no evidence of heterogeneity bias in annual CPI data for 17 U.S. cities from 1918 to 2006, but correcting for the “Nickell bias” and time aggregation bias produces a half-life of 7.5 years, shorter than estimates from previous studies.

Confidence intervals for half-life deviations from purchasing power parity

Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3-5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these point estimates by using local-to-unity asymptotic theory to construct confidence intervals that are robust to high persistence in small samples. The empirical evidence suggests that the lower bound of the confidence interval is between four and eight quarters for most currencies, which is not inconsistent with traditional price-stickiness explanations. However, the upper bounds are infinity for all currencies, so we cannot provide conclusive evidence in favor of PPP either. © 2005 American Statistical Association.

Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index

This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number of European countries and the USA based on monthly seasonal consumer price indices are considered. Stochastic seasonality and deterministic seasonality models are used. In many cases, the forecasts based on the original variables result in substantially smaller root mean squared errors than models based on logs. In turn, if forecasts based on logs are superior, the gains are typically small. This outcome sheds doubt on the common practice in the academic literature to forecast inflation rates based on differences of logs.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

From doubly labelled water to half-life; validating radio-isotopic rubidium turnover to measure metabolism in small vertebrates

The doubly labelled water method (DLW) is widely used to measure field metabolic rate (FMR), but it has some limitations. Here, we validate an innovative technique for measuring FMR by comparing the turnover of isotopic rubidium (86Rb kb) with DLW depletion and the rate of CO2 production (V·co2) measured by flow-through respirometry (FTR) for two dunnart species (Marsupialia: Dasyuridae), Sminthopsis macroura (17 g) and Sminthopsis ooldea (10 g). The rate of metabolism as assessed by V·co2 (FTR) and 86Rb kb was significantly correlated for both species (S. macroura, r2 = 0·81, P = 1·19 × 10-5; S. ooldea, r2 = 0·63, P = 3·84 × 10-4), as was V·co2 from FTR and DLW for S. macroura (r2 = 0·43, P = 0·039), but not for S. ooldea (r2 = 0·29, P = 0·168). There was no relationship between V·co2 from DLW and 86Rb kb for either species (S. macroura r2 = 0·22, P = 0·169; S. ooldea r2 = 0·21, P = 0·253). We conclude that 86Rb kb provided useful estimates of metabolic rate for dunnarts. Meta-analysis provided different linear relationships between V·co2 and 86Rb kb for endotherms and ectotherms, suggesting different proportionalities between metabolic rate and 86Rb kb for different taxa. Understanding the mechanistic basis for this correlation might provide useful insights into the cause of these taxonomic differences in the proportionality. At present, it is essential that the relationship between metabolic rate and 86Rb kb be validated for each taxon of interest. The advantages of the 86Rb technique over DLW include lower equipment requirements and technical expertise, and the longer time span over which measurements can be made. The 86Rb method might be particularly useful for estimating FMR of groups for which the assumptions of the DLW technique are compromised (e.g. amphibians, diving species and fossorial species), and groups that are practically challenging for DLW studies (e.g. insects). © 2013 British Ecological Society.

State convergence and the effectiveness of time-memory-data tradeoffs

Various time-memory tradeoffs attacks for stream ciphers have been proposed over the years. However, the claimed success of these attacks assumes the initialisation process of the stream cipher is one-to-one. Some stream cipher proposals do not have a one-to-one initialisation process. In this paper, we examine the impact of this on the success of time-memory-data tradeoff attacks. Under the circumstances, some attacks are more successful than previously claimed while others are less. The conditions for both cases are established.

The global burden of injury: Incidence, mortality, disability-adjusted life years and time trends from the Global Burden of Disease study 2013

Background The Global Burden of Diseases (GBD), Injuries, and Risk Factors study used the disability-adjusted life year (DALY) to quantify the burden of diseases, injuries, and risk factors. This paper provides an overview of injury estimates from the 2013 update of GBD, with detailed information on incidence, mortality, DALYs and rates of change from 1990 to 2013 for 26 causes of injury, globally, by region and by country. Methods Injury mortality was estimated using the extensive GBD mortality database, corrections for ill-defined cause of death and the cause of death ensemble modelling tool. Morbidity estimation was based on inpatient and outpatient data sets, 26 cause-of-injury and 47 nature-of-injury categories, and seven follow-up studies with patient-reported long-term outcome measures. Results In 2013, 973 million (uncertainty interval (UI) 942 to 993) people sustained injuries that warranted some type of healthcare and 4.8 million (UI 4.5 to 5.1) people died from injuries. Between 1990 and 2013 the global age-standardised injury DALY rate decreased by 31% (UI 26% to 35%). The rate of decline in DALY rates was significant for 22 cause-of-injury categories, including all the major injuries. Conclusions Injuries continue to be an important cause of morbidity and mortality in the developed and developing world. The decline in rates for almost all injuries is so prominent that it warrants a general statement that the world is becoming a safer place to live in. However, the patterns vary widely by cause, age, sex, region and time and there are still large improvements that need to be made.