Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists of constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the lag-lead structure is searched for as the optimal path in the distance matrix landscape that minimizes the total mismatch between the two time series, and that obeys a one-to-one causal matching condition. To make the solution robust to the presence of a large amount of noise that may lead to spurious structures in the distance matrix landscape, we generalize this optimal search by introducing a fuzzy search by sampling over all possible paths, each path being weighted according to a multinomial logit or equivalently Boltzmann factor proportional to the exponential of the global mismatch of this path. We present the efficient transfer matrix method that solves the problem and test it on simple synthetic examples to demonstrate its properties and usefulness compared with the standard running-time cross-correlation method. We then apply our 'optimal thermal causal path' method to the question of the lag-dependence between the US stock market and the treasury bond yields and confirm our earlier results on an arrow of the stock markets preceding the Federal Reserve Funds' adjustments, as well as the yield rates at short maturities in the period 2000-2003. Our application of this technique to inflation, inflation change, GDP growth rate and unemployment rate unearths non-trivial lag relationships: the GDP changes lead inflation especially since the 1980s, inflation changes leads GDP only in the 1980 decade, and inflation leads unemployment rates since the 1970s. In addition, our approach seems to detect multiple competing lag structures in which one can have inflation leading GDP with a certain lag time and GDP feeding back/leading inflation with another lag time.Econophysics, Causality, Correlation, Thermal average, Time series,

The Relationship Between School Absence, Academic Performance, and Asthma Status

BACKGROUND: Children with asthma experience more absenteeism from school compared with their nonasthma peers. Excessive absenteeism is related to lower student grades, psychological, social, and educational adjustment. Less is known about the relationship between the presence of asthma and the academic achievement in school-aged children. Since students with asthma miss more days from school, this may negatively impact their academic achievement. The goal of this study was to investigate the relationships between absenteeism, presence of asthma, and asthma severity level with standardized test level performance in a predominantly African American urban school district. METHODS: A cross-sectional analysis was conducted of 3812 students (aged 8-17 years) who took the Missouri Assessment Program (MAP) standardized test during the 2002-2003 academic year. RESULTS: After adjustment for covariates, a significant inverse relationship was found between absenteeism and test level performance on the MAP standardized test in all children (F = 203.9, p \u3c .001). There was no overall difference in test level achievement between those with and without asthma (p = .12). Though not statistically different, those with persistent asthma showed a modestly increased likelihood of scoring below Nearing Proficient compared with those with mild intermittent asthma (adjusted odds ratio = 1.93, 95% confidence intervals = 0.93-4.01, p = .08). CONCLUSIONS: A negative impact of absenteeism on standardized test level achievement was demonstrated in children from an urban African American school district. Children with asthma perform the same academically as their nonasthma peers. However, those with persistent asthma show a trend of performing worse on MAP standardized test scores and have more absence days compared with other students. More research is warranted on the effects of persistent asthma on academic achievement

The effect of marketing regulations on efficiency: LeChatelier versus coordination effects

Efficiency, Advertising regulations, LeChatelier principle, Coordination in advertising, U.S. cigarette industry, D61, L51, M37,