Testing the significance of calendar effects

This paper studies tests of calendar effects in equity returns. It is necessary to control for all possible calendar effects to avoid spurious results. The authors contribute to the calendar effects literature and its significance with a test for calendar-specific anomalies that conditions on the nuisance of possible calendar effects. Thus, their approach to test for calendar effects produces robust data-mining results. Unfortunately, attempts to control for a large number of possible calendar effects have the downside of diminishing the power of the test, making it more difficult to detect actual anomalies. The authors show that our test achieves good power properties because it exploits the correlation structure of (excess) returns specific to the calendar effect being studied. We implement the test with bootstrap methods and apply it to stock indices from Denmark, France, Germany, Hong Kong, Italy, Japan, Norway, Sweden, the United Kingdom, and the United States. Bootstrap p-values reveal that calendar effects are significant for returns in most of these equity markets, but end-of-the-year effects are predominant. It also appears that, beginning in the late 1980s, calendar effects have diminished except in small-cap stock indices.

Model confidence sets for forecasting models

The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the “best” forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a parameter. The MCS acknowledges the limitations of the data so that uninformative data yield an MCS with many models, whereas informative data yield an MCS with only a few models. We revisit the empirical application in Stock and Watson (1999) and apply the MCS procedure to their set of inflation forecasts. In the first pre-1984 subsample we obtain an MCS that contains only a few models, notably versions of the Solow-Gordon Phillips curve. On the other hand, the second post-1984 subsample contains little information and results in a large MCS. Yet, the random walk forecast is not contained in the MCS for either of the samples. This outcome shows that the random walk forecast is inferior to inflation forecasts based on Phillips curve-like relationships.

Rate of equilibration of a one-dimensional Wigner crystal

We consider a system of one-dimensional spinless particles interacting via long-range repulsion. In the limit of strong interactions the system is a Wigner crystal, with excitations analogous to phonons in solids. In a harmonic crystal the phonons do not interact, and the system never reaches thermal equilibrium. We account for the anharmonism of the Wigner crystal and find the rate at which it approaches equilibrium. The full equilibration of the system requires umklapp scattering of phonons, resulting in exponential suppression of the equilibration rate at low temperatures.Comment: Prepared for the proceedings of the International School and Workshop on Electronic Crystals, ECRYS-201

Electron-electron interaction effects in quantum point contacts

We consider electron-electron interaction effects in quantum point contacts on the first quantization plateau, taking into account all scattering processes. We compute the low-temperature linear and nonlinear conductance, shot noise, and thermopower, by perturbation theory and a self-consistent nonperturbative method. On the conductance plateau, the low-temperature corrections are solely due to momentum-nonconserving processes that change the relative number of left- and right-moving electrons. This leads to a suppression of the conductance for increasing temperature or voltage. The size of the suppression is estimated for a realistic saddle-point potential, and is largest in the beginning of the conductance plateau. For large magnetic field, interaction effects are strongly suppressed by the Pauli principle, and hence the first spin-split conductance plateau has a much weaker interaction correction. For the nonperturbative calculations, we use a self-consistent nonequilibrium Green's function approach, which suggests that the conductance saturates at elevated temperatures. These results are consistent with many experimental observations related to the so-called 0.7 anomaly

Ab initio vibrations in nonequilibrium nanowires

We review recent results on electronic and thermal transport in two different quasi one-dimensional systems: Silicon nanowires (SiNW) and atomic gold chains. For SiNW's we compute the ballistic electronic and thermal transport properties on equal footing, allowing us to make quantitative predictions for the thermoelectric properties, while for the atomic gold chains we evaluate microscopically the damping of the vibrations, due to the coupling of the chain atoms to the modes in the bulk contacts. Both approaches are based on a combination of density-functional theory, and nonequilibrium Green's functions.Comment: 16 pages, to appear in Progress in Nonequilibrium Green's Functions IV (PNGF4), Eds. M. Bonitz and K. Baltzer, Glasgow, August 200

The Pharmacopsychometric Triangle to Illustrate the Effectiveness of T-PEMF Concomitant with Antidepressants in Treatment Resistant Patients: A Double-Blind, Randomised, Sham-Controlled Trial Revisited with Focus on the Patient-Reported Outcomes

Background. Our T-PEMF trial has been revisited with focus on the pharmacopsychometric triangle in which effect size is used when comparing wanted versus unwanted clinical effects and quality of life as outcomes. In this analysis, we have especially focused on the self-reported HAM-D6. Methods. The antidepressive medication which the patients were resistant to was kept unchanged during the five weeks of active versus sham T-PEMF. Results. In total 21, patients received active T-PEMF, and 19 patients received sham T-PEMF. The effect size was 1.02 and 0.90, respectively, on HAM-D6 and HAM-D6-S. Concerning side effects, the active T-PEMF reduced the baseline score on concentration problems with an effect size of 0.44 while inducing more autonomic symptoms than sham T-PEMF with an effect size of −0.41. The advantage of active over sham T-PEMF obtained an effect size of 0.48. Conclusion. Active T-PEMF was found superior to sham T-PEMF within the pharmacopsychometric triangle with a clinically significant effect size level above 0.40

A new genus for a rare African vespertilionid bat: insights from South Sudan

A new genus is proposed for the strikingly patterned African vespertilionid "Glauconycteris" superba Hayman, 1939 on the basis of cranial and external morphological comparisons. A review of the attributes of a newly collected specimen from South Sudan (a new country record) and other museum specimens of "Glauconycteris" superba suggests that "Glauconycteris" superba is markedly distinct ecomorphologically from other species classified in Glauconycteris and is likely the sister taxon to Glauconycteris sensu stricto. The recent capture of this rarely collected but widespread bat highlights the need for continued research in tropical sub-Saharan Africa and in particular, for more work in western South Sudan, which has received very little scientific attention. New country records for Glauconycteris cf. poensis (South Sudan) and Glauconycteris curryae (Gabon) are also reported.DeeAnn M. Reeder, Kristofer M. Helgen, Megan E. Vodzak, Darrin P. Lunde, Imran Ejotr