THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS

Recent research has reported the lack of correct size in stationarity test for PPP deviations within a linear framework. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and provide an explanation for the PPP ¿puzzle¿. Employing Monte Carlo experiments we analyze the size and power of the nonlinear tests against a variety of nonstationary hypotheses. We also fit the ESTAR model to data from high inflation economies. Our results provide further support for ESTAR specification.ESTAR, Real Exchange Rate, Size, Linearity Test.

NONLINEAR PPP UNDER THE GOLD STANDARD

Hegwood and Papell (2002) conclude on the basis of analysis in a linear framework that long-run purchasing power parity (PPP)\ does not hold for sixteen real exchange rate series, analyzed in Diebold, Husted, and Rush (1991) for the period 1792-1913, under the Gold Standard. Rather, purchasing power parity deviations are mean-reverting to a changing equilibrium -a quasi PPP (QPPP) theory. We analyze the real exchange rate adjustment mechanism for their data set assuming a nonlinear adjustment process allowing for both a constant and a mean shifting equilibrium. Our results confirm that real exchange rates at that time were stationary, symmetric, nonlinear processes that revert to a non-constant equilibrium rate. Speeds of adjustment were much quicker when breaks were allowed.Purchasing Power Parity, ESTAR, Bootstrapping.

TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT

Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally aggregated data to empirically estimate the nonlinear models. As noted by Taylor (2001), if the true DGP is nonlinear, the temporally aggregated data could exhibit misleading properties regarding the adjustment speeds. We examine the effects of different levels of temporal aggregation on\ estimates of ESTAR models of real exchange rates. Our Monte Carlo results show that temporal aggregation does not imply the disappearance of nonlinearity and that adjustment speeds are significantly slower in temporally aggregated data than in the true DGP. Furthermore, the autoregressive structure of some monthly ESTAR estimates found in the literature is suggestive that adjustment speeds are even faster than implied by the monthly estimates.ESTAR, Real Exchange Rate, Purchasing Power Parity, Aggregation.

A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994

Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. In recent work the equilibrium level has been modeled either as constant or as time varying with very similar statistical fits and very different economic implications. The high persistence of both PPP deviations and the proxy variables for the equilibrium real rate might create a problem of spurious coefficient significance. This paper investigates the possibility of spurious regression within nonlinear models of PPP. Monte Carlo experiments show that standard critical values are not appropriate in such a context. To illustrate we consider the real Dollar-Sterling exchange rate over the period 1871-1994. Due to many exchange rate regime changes over the sample period we employ a Bootstrap methodology that preserves the original structure of the estimated residuals and obtain new critical values of the coefficient estimates. A nonlinear (ESTAR) process with a time varying equilibrium proxied by relative wealth and relative income per capita seems to parsimoniously fit the data. Our results provide further evidence for the nonlinear model with a shifting equilibrium and the implied speed of adjustment is found to be substantially faster than previously reported in the literature.ESTAR, Purchasing Power Parity, Bootstrapping

ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING

We analyze the nonlinear behavior of the information content in the spread for future real economic activity. The spread linearly predicts one year ahead real growth in nine industrial production sectors of the US and four of the UK over the last forty years. However, recent investigations on the spread-real activity relation have questioned both its linear nature and its time-invariant framework. Our, in-sample, empirical evidence suggests that the spread real activity relationship exhibits asymmetries that allow for different predictive power of the spread when past spread values were above or below some threshold value. We then measure the out-of-sample forecast performance of the nonlinear model using predictive accuracy tests. The results show that significant improvement in forecasting accuracy, at least for one-step ahead forecasts, can be obtained over the linear model.industrial production; yield spread; threshold model; forecasting; predictive accuracy

Further empirical evidence of nonlinearity in the us monetary policy rule

Given conflicting results on whether the US monetary policy rule exhibited nonlinearity in the post-war period we employ a new Granger non-causality nonlinearity test and non-parametric procedures to re-examine the issue. Both procedures suggest that the Fed followed a nonlinear Taylor rule with respect to expected inflation and expected output gap prior to 1979 but not post 1982.Taylor rule, nonlinearity, Granger non-causality nonlinearity, non-parametric

Beyond good intentions: lessons on equipment donation from an African hospital.

OBJECTIVE: In 2000, a referral hospital in the Gambia accepted a donation of oxygen concentrators to help maintain oxygen supplies. The concentrators broke down and were put into storage. A case study was done to find the reasons for the problem and to draw lessons to help improve both oxygen supplies and the success of future equipment donations. METHODS: A technical assessment of the concentrators was carried out by a biomedical engineer with relevant expertise. Semi-structured interviews were undertaken with key informants, and content analysis and inductive approaches were applied to construct the history of the episode and the reasons for the failure. FINDINGS: Interviews confirmed the importance of technical problems with the equipment. They also revealed that the donation process was flawed, and that the hospital did not have the expertise to assess or maintain the equipment. Technical assessment showed that all units had the wrong voltage and frequency, leading to overheating and breakdown. Subsequently a hospital donations committee was established to oversee the donations process. On-site biomedical engineering expertise was arranged with a nongovernmental organization (NGO) partner. CONCLUSION: Appropriate donations of medical equipment, including oxygen concentrators, can be of benefit to hospitals in resource-poor settings, but recipients and donors need to actively manage donations to ensure that the donations are beneficial. Success requires planning, technical expertise and local participation. Partners with relevant skills and resources may also be needed. In 2002, WHO produced guidelines for medical equipment donations, which address problems that might be encountered. These guidelines should be publicized and used

Demographic Factors Affecting the Adoption of Multiple Value-Added Practices by Oklahoma Cow-Calf Producers

The utilization of marketing programs to enhance feeder calf value has been met with modest success in Oklahoma. Value-added programs are continually promoted as avenues for improving cow-calf profitability, but producer adoption of value-added practices lags in spite of research showing the value of these practices. Identifying producer characteristics that increase their likelihood to adopt value-added practices is critical to developing successful outreach efforts. Results from a survey of Oklahoma producers on value-added practice adoption indicate that multiple demographic variables influence a producer’s likelihood of practice adoption. For Extension specialists, results can help in targeting likely adopters and developing methods to overcome barriers to adoption by producers less likely to adopt.Beef producers, value-added practices, practice adoption, negative binomial regression, Poisson regression, Farm Management, Livestock Production/Industries, Q12, Q16,

Correlation properties of the kinematic Sunyaev-Zel'dovich effect and implications for Dark Energy

In the context of a cosmological study of the bulk flows in the Universe, we present a detailed study of the statistical properties of the kinematic Sunyaev-Zel'dovich (kSZ) effect. We first compute analytically the correlation function and the power spectrum of the projected peculiar velocities of galaxy clusters. By taking into account the spatial clustering properties of these sources, we perform a line-of-sight computation of the {\em all-sky} kSZ power spectrum and find that at large angular scales ($l<10$), the local bulk flow should leave a visible signature above the Poisson-like fluctuations dominant at smaller scales, while the coupling of density and velocity fluctuations should give much smaller contribution. We conduct an analysis of the prospects of future high resolution CMB experiments (such as ACT and SPT) to detect the kSZ signal and to extract cosmological information and dark energy constraints from it. We present two complementary methods, one suitable for ``deep and narrow'' surveys such as ACT and one suitable for ``wide and shallow'' surveys such as SPT. Both methods can constraint the equation of state of dark energy $w$ to about 5-10% when applied to forthcoming and future surveys, and probe $w$ in complementary redshift ranges, which could shed some light on its time evolution. These determinations of $w$ do not rely on the knowledge of cluster masses, although they make minimal assumptions on cluster physics.Comment: 17 pages, 11 figures, submitted to ApJ, comments welcome. See parallel work of S.DeDeo, D.N.Spergel and H.Trak (ApJ, to be submitted