Threshold Effects of the Public Capital Productivity : An International Panel Smooth Transition Approach

Using a non linear panel data model we examine the threshold effects in the productivity of the public capital stocks for a panel of 21 OECD countries observed over 1965-2001. Using the so-called "augmented production function" approach, we estimate various specifications of a Panel Smooth Threshold Regression (PSTR) model recently developed by Gonzalez, Teräsvirta and Van Dijk (2004). One of our main results is the existence of strong threshold effects in the relationship between output and private and public inputs : whatever the transition mechanism specified, tests strongly reject the linearity assumption. Moreover this model allows cross-country heterogeneity and time instability of the productivity without specification of an ex-ante classification over individuals. Consequently it is posible to give estimates of productivity coefficients for both private and public capital stocks at any time and for each countries in the sample. Finally we proposed estimates of individual time varying elasticities that are much more reasonable than those previously published.Public Capital ; Panel Smooth ; Threshold Regression Models

Network Effects and Infrastructure Productivity in Developing Countries

This paper proposes to investigate the threshold effects of the productivity of infrastructure investment in developing countries within a panel data framework. Various speci.cations of an augmented production function that allow for endogenous thresholds are considered. The overwhelming outcome is the presence of strong threshold effects in the relationship between output and private and public inputs. Whatever the transition mechanism used, the testing procedures lead to strong rejection of the linearity of this relationship. In particular, the productivity of infrastructure investment generally exhibits some network effects. When the available stock of infrastructure is very low, investment in this sector has the same productivity as non-infrastructure investment. On the contrary, when a minimumnetwork is available, the marginal productivity of infrastructure investment is generally largely greater than the productivity of other investments. Finally, when the main network is achieved, its marginal productivity becomes similar to the productivity of other investment.financial economics and financial management ;

Benthic macrofauna and sediment reworking quantification in contrasted environments in the Thau Lagoon

As part of the Microbent-PNEC Program: ‘‘Biogeochemical processes at the wateresediment interface in eutrophicated environment’’, the aim of this work was to specifically investigate and quantify the relationships between macrobenthos and sediment reworking in the Thau Lagoon in order to provide information on the potential contaminant distribution and movements at the wateresediment interface. In order to achieve this, three cores were sampled at two stations (in the central part of the Thau Lagoon and near the shellfish farming zone) in the Thau Lagoon, in December 2001, April 2002, August 2002, January 2003 and May 2003. On the basis of quantification of macrobenthos and sediment reworking, evidence is provided of: (1) similar sediment mixing intensities for different species composition at the two stations; (2) the major role of functional bioturbation groups (e.g., biodiffusors and gallery-diffusors) modulated by seasonal variability on sediment mixing; (3) an increase of intensity in summer suggesting potentially different patterns of redistribution, bioaccumulation and chemical fate (e.g., speciation) of deposited contaminants

Backtesting Value-at-Risk: A GMM Duration-Based Test

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e. the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple J-statistic based on the moments defined by the orthonormal polynomials associated with the geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting procedures. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypothesis (Christoffersen, 1998). Third, feasibility of the tests is improved. Fourth, Monte-Carlo simulations show that for realistic sample sizes, our GMM test outperforms traditional duration based test. An empirical application for Nasdaq returns confirms that using GMM test leads to major consequences for the ex-post evaluation of the risk by regulation authorities. Without any doubt, this paper provides a strong support for the empirical application of duration-based tests for VaR forecasts.Value-at-Risk; backtesting; GMM; duration-based test

2-D optical quantification of particle reworking activities in marine surface sediments

Particle and solute transport by faunal activities may significantly influence rates and pathways of organic matter mineralization during early diagenesis in surface sediments. One of the most frequently utilized techniques to quantify benthic biological reworking activities involves the calculation of a biodiffusion coefficient (Db) estimated from model predictions of 1-D tracer distribution patterns. This technique is labor-intensive and time-demanding. Furthermore, it is normally used for measurements over several days and averages overall transport mechanisms from 3-D to 1-D on a cm scale. In the frame of this work, we developed a new technique based on the nondestructive screening of fluorescent particles (luminophores) using optical discrimination and CCD camera detection of fluorescence (2-D). At a site characterized by a dense population of the brittle star Amphiura filiformis and a high biodiffusion coefficient (obtained from 1-D distributions; Db=35.5±3.7 cm−2 year−1; n=3), the optical reworking coefficient (ORC), estimated from the 2-D luminophore distribution patterns, was calculated (ORC=27.4±9.1 View the MathML source cm−2 h−1; n=24). A nondestructive 2-D approach to quantify particle reworking may provide a powerful and complementary tool to further understand particle transport by the benthic fauna in surface sediments. The optical technique for 2-D detection of luminophores is relatively fast and easy to perform, with the ability to detect small scale (mm) particle movements on a time resolution of minutes or less

Spatial oxygen heterogeneity in a Hediste diversicolor irrigated burrow

The heterogeneity of oxygen distribution in a Hediste diversicolor burrow environment was investigated in a laboratory experiment using a 6-mm thick tank equipped with oxygen planar optodes. The twodimensional oxygen distribution in a complete burrow was monitored every 2 min for 4 h. Oxygen concentrations fluctuated over a scale of minutes in the burrow lumen and wall (up to 2 mm) reflecting the balance between worm ventilation activity and oxygen consumption. The magnitude of the three surrounding micro-horizons (oxic, oscillating and anoxic) induced by the intermittent worm ventilation was spatially and temporally variable within the structure. Oxygen variations appeared to be controlled by distance from the sediment–water interface and the direction of water circulation. Moreover, there was an apparent ‘buffer effect’, induced by the proximity to the overlyingwater, which reduced the variations of lumen and wall oxygen in the upper part of the structure. These results highlight the heterogeneous distribution and dynamics of oxygen associated with H. diversicolor burrows and ventilation activity. They also highlight the necessity of integrating this complexity into the current burrow-base models in order to estimate the ecological importance of burrowing species in coastal ecosystems

Modèles Non Linéaires et Prévisions

Ce rapport propose une synthèse de la littérature sur l'apport des modèles non linéaires en matière de prévision des variables économiques et financières. Il comporte trois parties. La première passe en revue les principales modélisations économétriques non linéaires. La seconde partie est consacrée à la construction des prévisions ponctuelles, des prévisions par intervalle de confiance et des densités de prévisions issues des modèles non linéaires. La troisième partie décrit les principales méthodes de validation de ces différentes formes de prévisions.Prévisions, Modèles non linéaires

Internal friction investigation of phase transformation in nearly stoichiometric LaMnO3+δ

Rhombohedral LaMnO3+δ powders, prepared by two different soft chemistry routes (co-precipitation and hydrothermal synthesis), are sintered at 1400 °C for 2 h in air. Measurements of internal friction Q−1(T) and shear modulus G(T), at low frequencies from −180 to 700 °C under vacuum, evidence three structural transitions of nearly stoichiometric orthorhombic LaMnO3+δ. The first one, at 250 or 290 °C, depending on the processing followed, is associated to either a Jahn–Teller structural transition or a phase transformation from orthorhombic to pseudo-cubic. The second one at 610 or 630 °C is related to a phase transformation from pseudo-cubic or orthorhombic to rhombohedral. Below the Neel temperature, around −170 °C, a relaxation peak could be associated, for samples prepared according to both processing routes, to the motion of Weiss domains