Does the absence of cointegration explain the typical findings in long horizon regressions?

One of the stylized facts in financial and international economics is that of increasing predictability of variables such as exchange rates and stock returns at longer horizons. This fact is based upon applications of long horizon regressions, from which the typical findings are that the point estimates of the regression parameter, the associated t-statistic, and the regression R^2 all tend to increase as the horizon increases. Such long horizon regression analyses implicitly assume the existence of cointegration between the variables involved. In this paper, we investigate the consequences of dropping this assumption. In particular, we look upon the long horizon regression as a conditional error-correction model and interpret the test for long horizon predictability as a single equation test for cointegration. We derive the asymptotic distributions of the estimator of the regression parameter and its t-statistic for arbitrary horizons, under the null hypothesis of no cointegration. It is shown that these distributions provide an alternative explanation for at least part of the typical findings. Furthermore, the distributions are used to derive a Phillips-Perron type correction to the ordinary least-squares t-statistic in order to endow it with a stable size for given, arbitrary, horizon. A local asymptotic power analysis reveals that the power of long horizon regression tests does not increase with the horizon. Exchange rate data are used to demonstrate the empirical relevance of our theoretical results

Does the absence of cointegration explain the typical findings in long horizon regressions?

One of the stylized facts in financial and international economics is that of increasing predictability of variables such as exchangerates and stock returns at longer horizons.This fact is based upon applications of long horizon regressions, from which the typical findings are that the point estimates of the regression parameter, the associated t-statistic, and the regression R^2 all tend to increaseas the horizon increases. Such long horizon regression analyses implicitly assume the existence of cointegration between the variables involved. In this paper, we investigate the consequences of dropping this assumption.In particular, we look upon the long horizon regression as a conditional error-correction model and interpret the test for long horizon predictability as a single equation test for cointegration. We derive the asymptotic distributions of the estimator of the regression parameter and its t-statistic for arbitrary horizons, under the null hypothesis of nocointegration. It is shown that these distributions provide an alternativeexplanation for at least part of the typical findings. Furthermore, the distributions are used to derive a Phillips-Perron type correction to theordinary least-squares t-statistic in order to endow it with a stable size for given, arbitrary, horizon. A local asymptotic power analysis reveals that the power of long horizon regression tests does not increase with the horizon. Exchange rate data are used to demonstratethe empirical relevance of our theoretical results.long horizon regression;regression R^2;t-statistic

Evidence for Strong Electron Correlations in a Nonsymmorphic Dirac Semimetal

Metallic iridium oxides (iridates) provide a fertile playground to explore new phenomena resulting from the interplay between topological protection, spin-orbit and electron-electron interactions. To date, however, few studies of the low energy electronic excitations exist due to the difficulty in synthesising crystals with sufficiently large carrier mean-free-paths. Here, we report the observation of Shubnikov-de Haas quantum oscillations in high-quality single crystals of monoclinic SrIrO3 in magnetic fields up to 35 T. Analysis of the oscillations reveals a Fermi surface comprising multiple small pockets with effective masses up to 4.5 times larger than the calculated band mass. Ab-initio calculations reveal robust linear band-crossings at the Brillouin zone boundary, due to its non-symmorphic symmetry, and overall we find good agreement between the angular dependence of the oscillations and the theoretical expectations. Further evidence of strong electron correlations is realized through the observation of signatures of non-Fermi liquid transport as well as a large Kadowaki-Woods ratio. These collective findings, coupled with knowledge of the evolution of the electronic state across the Ruddlesden-Popper iridate series, establishes monoclinic SrIrO3 as a topological semimetal on the boundary of the Mott metal-insulator transition. © 2021, The Author(s).We gratefully acknowledge useful discussions with A. Rost and D. F. McMorrow. We would also like to thank G. Stenning and D. Nye for help with the instruments in the Materials Characterisation Laboratory at the ISIS Neutron and Muon Source, Kuang-Yu Samuel Chang and Roos Leenen for technical assistance with the DFT calculations, and Sebastian Bette for XRD characterizations. We acknowledge the support of the HFML-Radboud University (RU)/Netherlands Organisation for Scientific Research (NWO), a member of the European Magnetic Field Laboratory. This work is part of the research program Strange Metals (Grant 16METL01) of the former Foundation for Fundamental Research on Matter, which is financially supported by the NWO and the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (Grant Agreement No. 835279-Catch-22). We gratefully acknowledge support from the UK Engineering and Physical Sciences research council, grant EP/N034694/1. We acknowledge collaborative support from A.S. Gibbs, D. Fortes and the ISIS Crystallography Group for making available the 193Ir for the isotope work. Experiments at the ISIS Neutron and Muon Source were supported by a beamtime allocation RB1990395, DOI:10.5286/ISIS.E.RB1990395, from the Science and Technology Facilities Council. The work of D. P. and V. M. was supported by Act 211 Government of the Russian Federation, contract 02.A03.21.0006

Understanding practice: the factors that influence management of mild traumatic brain injury in the emergency department-a qualitative study using the Theoretical Domains Framework

Background: Mild traumatic brain injury is a frequent cause of presentation to emergency departments. Despite the availability of clinical practice guidelines in this area, there is variation in practice. One of the aims of the Neurotrauma Evidence Translation program is to develop and evaluate a targeted, theory- and evidence-informed intervention to improve the management of mild traumatic brain injury in Australian emergency departments. This study is the first step in the intervention development process and uses the Theoretical Domains Framework to explore the factors perceived to influence the uptake of four key evidence-based recommended practices for managing mild traumatic brain injury. Methods: Semi-structured interviews were conducted with emergency staff in the Australian state of Victoria. The interview guide was developed using the Theoretical Domains Framework to explore current practice and to identify the factors perceived to influence practice. Two researchers coded the interview transcripts using thematic content analysis. Results: A total of 42 participants (9 Directors, 20 doctors and 13 nurses) were interviewed over a seven-month period. The results suggested that (i) the prospective assessment of post-traumatic amnesia was influenced by: knowledge; beliefs about consequences; environmental context and resources; skills; social/professional role and identity; and beliefs about capabilities; (ii) the use of guideline-developed criteria or decision rules to inform the appropriate use of a CT scan was influenced by: knowledge; beliefs about consequences; environmental context and resources; memory, attention and decision processes; beliefs about capabilities; social influences; skills and behavioral regulation; (iii) providing verbal and written patient information on discharge was influenced by: beliefs about consequences; environmental context and resources; memory, attention and decision processes; social/professional role and identity; and knowledge; (iv) the practice of providing brief, routine follow-up on discharge was influenced by: environmental context and resources; social/professional role and identity; knowledge; beliefs about consequences; and motivation and goals. Conclusions: Using the Theoretical Domains Framework, factors thought to influence the management of mild traumatic brain injury in the emergency department were identified. These factors present theoretically based targets for a future intervention

The dynamics of commodity return comovements

We compare factor models with respect to their ability to explain commodity futures return comovements. A simple one-factor model based on the first principal component extracted from a panel of commodity returns outperforms a macroeconomic model, and explains most of the realized comovements. We find that intersectoral correlations display more time variations than intrasectoral correlations. Dissecting the evidence further, we find that comovements are driven by the variation of the factor as opposed to exposure to it. Our results cast doubt on the persistence of the effects of financialization and emphasize the importance of the dynamics of the factor variance

Sea ice dynamics across the Mid-Pleistocene transition in the Bering Sea.

Sea ice and associated feedback mechanisms play an important role for both long- and short-term climate change. Our ability to predict future sea ice extent, however, hinges on a greater understanding of past sea ice dynamics. Here we investigate sea ice changes in the eastern Bering Sea prior to, across, and after the Mid-Pleistocene transition (MPT). The sea ice record, based on the Arctic sea ice biomarker IP25 and related open water proxies from the International Ocean Discovery Program Site U1343, shows a substantial increase in sea ice extent across the MPT. The occurrence of late-glacial/deglacial sea ice maxima are consistent with sea ice/land ice hysteresis and land-glacier retreat via the temperature-precipitation feedback. We also identify interactions of sea ice with phytoplankton growth and ocean circulation patterns, which have important implications for glacial North Pacific Intermediate Water formation and potentially North Pacific abyssal carbon storage

Multilevel factors are associated with immunosuppressant nonadherence in heart transplant recipients: The international BRIGHT study

Factors at the level of family/healthcare worker, organization, and system are neglected in medication nonadherence research in heart transplantation (HTx). The 4-continent, 11-country cross-sectional Building Research Initiative Group: Chronic Illness Management and Adherence in Transplantation (BRIGHT) study used multistaged sampling to examine 36 HTx centers, including 36 HTx directors, 100 clinicians, and 1397 patients. Nonadherence to immunosuppressants\u2014defined as any deviation in taking or timing adherence and/or dose reduction\u2014was assessed using the Basel Assessment of Adherence to Immunosuppressive Medications Scale \ua9 (BAASIS \ua9 ) interview. Guided by the Integrative Model of Behavioral Prediction and Bronfenbrenner's ecological model, we analyzed factors at these multiple levels using sequential logistic regression analysis (6 blocks). The nonadherence prevalence was 34.1%. Six multilevel factors were associated independently (either positively or negatively) with nonadherence: patient level: barriers to taking immunosuppressants (odds ratio [OR]: 11.48); smoking (OR: 2.19); family/healthcare provider level: frequency of having someone to help patients read health-related materials (OR: 0.85); organization level: clinicians reporting nonadherent patients were targeted with adherence interventions (OR: 0.66); pickup of medications at physician's office (OR: 2.31); and policy level: monthly out-of-pocket costs for medication (OR: 1.16). Factors associated with nonadherence are evident at multiple levels. Improving medication nonadherence requires addressing not only the patient, but also family/healthcare provider, organization, and policy levels

Validation of the patient assessment of chronic illness care (PACIC) short form scale in heart transplant recipients: The international cross-sectional bright study

Background: Transplant recipients are chronically ill patients, who require lifelong follow-up to manage co-morbidities and prevent graft loss. This necessitates a system of care that is congruent with the Chronic Care Model. The eleven-item self-report Patient Assessment of Chronic Illness Care (PACIC) scale assesses whether chronic care is congruent with the Chronic Care Model, yet its validity for heart transplant patients has not been tested. Methods: We tested the validity of the English version of the PACIC, and compared the similarity of the internal structure of the PACIC across English-speaking countries (USA, Canada, Australia and United Kingdom) and across six languages (French, German, Dutch, Spanish, Italian and Portuguese). This was done using data from the cross-sectional international BRIGHT study that included 1378 heart transplant patients from eleven countries across 4 continents. To test the validity of the instrument, confirmatory factor analyses to check the expected unidimensional internal structure, and relations to other variables, were performed. Results: Main analyses confirmed the validity of the English PACIC version for heart transplant patients. Exploratory analyses across English-speaking countries and languages also confirmed the single factorial dimension, except in Italian and Spanish. Conclusion: This scale could help healthcare providers monitor level of chronic illness management and improve transplantation care. Trial registration: Clinicaltrials.gov ID: NCT01608477, first patient enrolled in March 2012, registered retrospectively: May 30, 2012