What are we learning about the long-run?

An attempt is made to link together earlier definitions of the long-run found in micro and macro economics with recent developments in econometrics; specifically cointegration. It is suggested that the links are not strong and that most of the previous work in econometric theory has been unnecessarily over-precise. Unit root processes can be replaced by processes that approximate them without loss of interpretation. The possibility of embedding cointegration theory into a very general non linear theory is suggested. An example uses a nonIinear relationship between UK short and long run interest rate proposed by Frank Paish

What are we learning about the long-run?.

An attempt is made to link together earlier definitions of the long-run found in micro and macro economics with recent developments in econometrics; specifically cointegration. It is suggested that the links are not strong and that most of the previous work in econometric theory has been unnecessarily over-precise. Unit root processes can be replaced by processes that approximate them without loss of interpretation. The possibility of embedding cointegration theory into a very general non linear theory is suggested. An example uses a nonIinear relationship between UK short and long run interest rate proposed by Frank Paish.The long-run in microeconomics; The long-run in macroeconomics; Cointegration; Approximating unit roots; Cointegration in nonlinear models;

Investigating the relationship between gold and silver prices

This paper analyze the long-run relationship between gold and silver prices. The three main questions addressed are: the influence of a large bubble from 1979:9 to 1980:3 on the cointegration relationship, the extent to which by including error correction terms in a nonlinear way we can beat the random walk model out-of sample and, the existence of a strong simultaneous relationship between the rates of return of gold and silver. Different efficient single equation estimation techniques are required for each of the three questions and this is explained within a simple bivariante cointegration system. With monthly data from 1971 to 1990, it is found that cointegration could have occurred during some periods and specially during the bubble and post-bubble periodo However, dummy variables for the intercept of the long-ron relationships are needed during the full sample. For the price of gold the nonlinear models perform better than the random walk in-sample and out-of-sample. In-sample nonlinear models for the price of silver perform better than the random walk but this predictive capacity is lost out-of sample, mainly due to the structural change that occurs (reduction) in the variance of the out-of sample models. The in-sample and out-of sample predictive capacity of the nonlinear models is reduced when the variables are in logs. Clear and strong evidence is found for a simultaneous relationship between the rates of return of gold and silver. In the three type of relationships that we have analyzed between the prices of gold and silver, the dependence is less out-of sample, possibly meaning that the two markets are becoming separated

The impact of the use of forecasts in information sets

We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing the viewsexpressed by other forecasters the previous period is influencing individual current forecasts in the form of an attraction to conform to the mean forecast. There are two implications: one is that the forecasts polled in a multiperiod framework cannot be seen as independent from one another and hence the practice of using standard deviations from the forecasts' distribution as if they were standard errors of the estimated mean is not warranted. The second is that the forecasting performance of these groups may be severely affected by the detected imitation behavior and lead to convergence to a value which is not the right target (either the first available figure or some final values available at a later time). --multistep forecast,consensus forecast,preliminary data

The correlogram of a long memory process plus a simple noise

A frequent property of data, particularly in the financial area, is that the correlogram is low but remains positive for many lags. A plausible explanation for this is that the process consists of a stationary, long memory component plus a white noise component of much larger variance. The implications of such a composition are explored including the consequences for estimation of the long memory parameter

Investigating the Relationship between Gold and Silver Prices

This paper analyses the long-run relationship between gold and silver prices. The three main questions addressed are: the influence of a large bubble from 1979:9 to 1980:3 on the cointegration relationship, the extent to which by including error-correction terms in a non-linear way we can beat the random walk model out-of-sample, and the existence of a strong simultaneous relationship between the rates of return of gold and silver. Different efficient single-equation estimation techniques are required for each of the three questions and this is explained within a simple bivariate cointegrating system. With monthly data from 1971 to 1990, it is found that cointegration could have occurred during some periods and especially during the bubble and post-bubble periods. However, dummy variables for the intercept of the long-run relationships are needed during the full sample. For the price of gold the non-linear models perform better than the random walk in-sample and out-of-sample. In-sample non-linear models for the price of silver perform better than the random walk but this predictive capacity is lost out-of-sample, mainly due to the structural change that occurs (reduction) in the variance of the out-of-sample models. The in-sample and out-of-sample predictive capacity of the non-linear models is reduced when the variables are in logs. Clear and strong evidence is found for a simultaneous relationship between the rates of return of gold and silver. In the three type of relationships that we have analysed between the prices of gold and silver, the dependence is less out-of-sample, possibly meaning that the two markets are becoming separated.Publicad

Evidence Supporting Open-Loop Control During Early Vergence

Disparity vergence eye movements were analyzed to determine if the early component of this response operates under open-loop, or preprogrammed, control. The analysis compares ratios of peak velocity to response amplitude (i.e., main sequence ratios) for the isolated early component and for the entire disparity vergence response. The stimuli were limited a 4 deg step changes in vergence so that any differences in movement dynamics (i.e., peak velocities) were due only to internal noise. Nine binocularly normal subjects were studied. A significant correlation between peak velocity and amplitude was observed during the early portion of the movement (p < 0.002), but not for the overall vergence response. Results support the widely held, but unproven assumption that the early component of symmetrical vergence is guided by open-loop, or preprogrammed, control processes while the overall response is influenced by internal and/or external feedback

TETRA Observation of Gamma Rays at Ground Level Associated with Nearby Thunderstorms

Terrestrial Gamma ray Flashes (TGFs) -- very short, intense bursts of electrons, positrons, and energetic photons originating from terrestrial thunderstorms -- have been detected with satellite instruments. TETRA, an array of NaI(Tl) scintillators at Louisiana State University, has now been used to detect similar bursts of 50 keV to over 2 MeV gamma rays at ground level. After 2.6 years of observation, twenty-four events with durations 0.02- 4.2 msec have been detected associated with nearby lightning, three of them coincident events observed by detectors separated by ~1000 m. Nine of the events occurred within 6 msec and 3 miles of negative polarity cloud-to-ground lightning strokes with measured currents in excess of 20 kA. The events reported here constitute the first catalog of TGFs observed at ground level in close proximity to the acceleration site.Comment: To be published in Journal of Geophysical Research: Space Phys. 118,