A flexible approach to parametric inference in nonlinear time series models

Many structural break and regime-switching models have been used with macroeconomic and …nancial data. In this paper, we develop an extremely flexible parametric model which can accommodate virtually any of these speci…cations and does so in a simple way which allows for straightforward Bayesian inference. The basic idea underlying our model is that it adds two simple concepts to a standard state space framework. These ideas are ordering and distance. By ordering the data in various ways, we can accommodate a wide variety of nonlinear time series models, including those with regime-switching and structural breaks. By allowing the state equation variances to depend on the distance between observations, the parameters can evolve in a wide variety of ways, allowing for everything from models exhibiting abrupt change (e.g. threshold autoregressive models or standard structural break models) to those which allow for a gradual evolution of parameters (e.g. smooth transition autoregressive models or time varying parameter models). We show how our model will (approximately) nest virtually every popular model in the regime-switching and structural break literatures. Bayesian econometric methods for inference in this model are developed. Because we stay within a state space framework, these methods are relatively straightforward, drawing on the existing literature. We use arti…cial data to show the advantages of our approach, before providing two empirical illustrations involving the modeling of real GDP growth

Stable isotope ratios indicate that body condition in migrating passerines is influenced by winter habitat

Although predicted some time ago, there has been little success in demonstrating that the overall fitness of migratory birds depends on the combined influences of their experiences over all seasons. We used stable carbon isotope signatures (δ<sup>13</sup>C) in the claws of migrating black-throated blue warblers <i>Dendroica caerulescens</i> to infer their wintering habitats and investigated whether winter habitat selection can be linked to condition during migration. Resident bird species with low δ<sup>13</sup>C corresponded to selection of more mesic habitats, and migrating birds with low δ<sup>13</sup>C were in better condition than conspecifics with higher δ<sup>13</sup>C signatures. These findings concur with empirical observations on the wintering grounds, where dominants (mostly males) tend to exclude subordinates from mesic areas (considered to be high-quality habitats). We believe that variation in condition during migration may be one of the key factors determining differences in arrival times and condition at the breeding areas, which in turn have a major influence on reproductive success

Quantum tomography of mesoscopic superpositions of radiation states

We show the feasibility of a tomographic reconstruction of Schr\"{o}dinger cat states generated according to the scheme proposed by S. Song, C.M. Caves and B. Yurke [Phys. Rev. A 41, 5261 (1990)]. We present a technique that tolerates realistic values for quantum efficiency at photodetectors. The measurement can be achieved by a standard experimental setup.Comment: Submitted to Phys. Rev. Lett.; 4 pages including 6 ps figure

Phase transition in matrix model with logarithmic action: Toy-model for gluons in baryons

We study the competing effects of gluon self-coupling and their interactions with quarks in a baryon, using the very simple setting of a hermitian 1-matrix model with action tr A^4 - log det(nu + A^2). The logarithmic term comes from integrating out N quarks. The model is a caricature of 2d QCD coupled to adjoint scalars, which are the transversely polarized gluons in a dimensional reduction. nu is a dimensionless ratio of quark mass to coupling constant. The model interpolates between gluons in the vacuum (nu=infinity), gluons weakly coupled to heavy quarks (large nu) and strongly coupled to light quarks in a baryon (nu to 0). It's solution in the large-N limit exhibits a phase transition from a weakly coupled 1-cut phase to a strongly coupled 2-cut phase as nu is decreased below nu_c = 0.27. Free energy and correlation functions are discontinuous in their third and second derivatives at nu_c. The transition to a two-cut phase forces eigenvalues of A away from zero, making glue-ring correlations grow as nu is decreased. In particular, they are enhanced in a baryon compared to the vacuum. This investigation is motivated by a desire to understand why half the proton's momentum is contributed by gluons.Comment: 20 pages, 7 figure

Feshbach Resonances and Medium Effects in ultracold atomic Gases

We develop an effective low energy theory for multi-channel scattering of cold atomic alkali atoms with particular focus on Feshbach resonances. The scattering matrix is expressed in terms of observables only and the theory allows for the inclusion of many-body effects both in the open and in the closed channels. We then consider the frequency and damping of collective modes for Fermi gases and demonstrate how medium effects significantly increase the scattering rate determining the nature of the modes. Our results obtained with no fitting parameters are shown to compare well with experimental data.Comment: Presented at the 5th workshop on Critical Stability, Erice, Italy 13-17 October 2008. 8 pages, 3 figures. Figure caption correcte

Collective excitations in a fermion-fermion mixture with different Fermi surfaces

In this paper, collective excitations in a homogeneous fermion-fermion mixture with different Fermi surfaces are studied. In the Fermi liquid phase, the zero-sound velocity is found to be larger than the largest Fermi velocity. With attractive interactions, the superfluid phase appears below a critical temperature, and the phase mode is the low-energy collective excitation. The velocity of the phase mode is proportional to the geometric mean of the two Fermi velocities. The difference between the two velocities may serve as a tool to detect the superfluid phase.Comment: 4 pages. To be published in Phys. Rev.

Rules versus Discretion in Loan Rate Setting

We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banks’ discretionary use of market power in the loan rate setting process. “Discretion” in the loan-pricing process is most important, we find, if: (i) loans are small and uncollateralized; (ii) firms are small, risky and difficult to monitor; (iii) firms’ owners are older, and, (iv) the banking market where the firm operates is large and highly concentrated. We also find that the weight of “discretion” in loan rates of small credits to opaque firms has decreased somewhat over the last fifteen years, consistent with the proliferation of information-technologies in the banking industry. Overall, our results reflect the relevance in the credit market of the costs firms face in searching information and switching lenders.financial intermediation;loan rates;price discrimination;variance analysis

Benchmarking and optimisation of Simulink code using Real-Time Workshop and Embedded Coder for inverter and microgrid control applications

When creating software for a new power systems control or protection device, the use of auto-generated C code via MATLAB Simulink Real-Time Workshop and Embedded Coder toolboxes can be a sensible alternative to hand written C code. This approach offers the benefits of a simulation environment, platform independence and robust code. This paper briefly summarises recent experiences with this coding process including the pros and cons of such an approach. Extensive benchmarking activities are presented, together with descriptions of simple (but non-obvious) optimisations made as a result of the benchmarking. Examples include replacement of certain Simulink blocks with seemingly more complex blocks which execute faster. "S functions" are also designed for certain key algorithms. These must be fully "in-lined" to obtain the best speed performance. Together, these optimisations can lead to an increase in execution speed of more than 1.4x in a large piece of auto-generated C code. An example is presented, which carries out Fourier analysis of 3 signals at a common (variable) frequency. The overall speed improvement relative to the baseline is 2.3x, of which more than 1.4x is due to non-obvious improvements resulting from benchmarking activities. Such execution speed improvements allow higher frame rates or larger algorithms within inverters, drives, protection and control applications

Distance, Bank Organizational Structure and Credit

We survey the extant literature on the effects of both a bank’s organizational structure and the physical distance separating it from the lender on lending decisions. Banks do engage in spatial pricing, where the underlying mechanism can be both transportation costs and information asymmetries. Moreover, their ability to discriminate is bounded by the reach of the lending technology of surrounding competitors. It is not entirely clear from an empirical viewpoint that small, decentralized banks have a comparative advantage in relationship lending. Differences in data and methodology may explain these mixed findings. If it does exist, this advantage can be motivated theoretically by the existence of agency and communication costs within a bank.financial intermediation;distance;organizations;loan rates;collateral

Collateralization, Bank Loan Rates and Monitoring: Evidence from a Natural Experiment

Collateral is one of the most important features of a debt contract. A substantial theoretical literature motivates the use of collateral as a means to alleviate ex-ante and ex-post information asymmetries between borrowers and lenders and the incidence of credit rationing. Through its seniority effect, collateral may also affect banks’ incentives to monitor borrowers. There is little empirical evidence, however, on the precise workings of collateral, its interaction with other contract terms, and its impact on banks’ monitoring incentives. We study a change in the Swedish law that exogenously reduced the value of all outstanding company mortgages, i.e., a type of collateral that is comparable to the floating lien. We explore this natural experiment to identify how collateral determines borrower quality, loan terms, access to credit and bank monitoring of business term loans. Using a differences-in-differences approach, we find that following the change in the law and the loss in collateral value borrowers pay a higher interest rate on their loans, receive a worse quality assessment by their bank, and experience a substantial reduction in the supply of credit by their bank. Consistent with theories that consider collateral and monitoring to be complements, the reduction in collateral precedes a decrease in bank monitoring intensity and frequency of both collateral and borrower.Collateral;credit rationing;differences-in-differences;floating lien;loan contracts;monitoring;natural experiment