Asymptotic power of the integrated conditional moment test against global and large local alternatives

In this paper we study further the asymptotic power properties of the integrated conditional moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1994). First, we establish the relation between consistency against global alternatives and nontrivial local power, using the concept of potential consistency. Moreover, we study the asymptotic power of the test under a class of "large" local alternatives that shrink to the null at rate Op (c/..n), where n is the sample size and c is a large positive constant. We show that the local asymptotic power of the ICM test can be made arbitrarily close to 1 by choosing this constant c sufficiently large, where the rate of convergence is essentially independent of the instruments. Furthermore, we compare the asymptotic power of the ICM test against these large local alternatives with the asymptotic power of the parametric t-test. The asymptotic power function of the t-test under large local alternatives approaches 1 at the same rate as the consistent ICM test for c.. only if the local alternative is correctly specified up to a constant c. In all other cases the ICM test is asymptotically more powerful.Testing;regression models;statistics

Asymptotic theory of integrated conditional moment tests

In this paper we derive the asymptotic distribution of the test statistic of a generalized version of the integrated conditional moment (ICM) test of Bierens (1982, 1984), under a class of Vn-local alternatives, where n is the sample size. The generalized version involved includes neural network tests as a special case, and allows for testing misspecification of dynamic models. It appears that the ICM test has nontrivial local power. Moreover, we show that under the assumption of normal errors the ICM test is asymptotically admissible, in the sense that there does not exist a test that is uniformly more powerful. The asymptotic size of the test is case-dependent: the critical values of the test depend on the data-generating process. In this paper we derive case-independent upperbounds of the critical valuesStatistical Methods;Testing;statistics

Asymptotic power of the integrated conditional moment test against global and large local alternatives

In this paper we study further the asymptotic power properties of the integrated conditional moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1994). First, we establish the relation between consistency against global alternatives and nontrivial local power, using the concept of potential consistency. Moreover, we study the asymptotic power of the test under a class of "large" local alternatives that shrink to the null at rate Op (c/..n), where n is the sample size and c is a large positive constant. We show that the local asymptotic power of the ICM test can be made arbitrarily close to 1 by choosing this constant c sufficiently large, where the rate of convergence is essentially independent of the instruments. Furthermore, we compare the asymptotic power of the ICM test against these large local alternatives with the asymptotic power of the parametric t-test. The asymptotic power function of the t-test under large local alternatives approaches 1 at the same rate as the consistent ICM test for c.. only if the local alternative is correctly specified up to a constant c. In all other cases the ICM test is asymptotically more powerful.

Structural Change in (Economic) Time Series

Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data. The exposition is confined to retrospective methods for univariate time series. Several recent methods for dating structural changes are compared using a time series of oil prices spanning more than 60 years. The methods broadly agree for the first part of the series up to the mid-1980s, for which changes are associated with major historical events, but provide somewhat different solutions thereafter, reflecting a gradual increase in oil prices that is not well described by a step function. As a further illustration, 1990s data on the volatility of the Hang Seng stock market index are reanalyzed.Comment: 12 pages, 6 figure

Sinking Jelly-Carbon Unveils Potential Environmental Variability along a Continental Margin

Particulate matter export fuels benthic ecosystems in continental margins and the deep sea, removing carbon from the upper ocean. Gelatinous zooplankton biomass provides a fast carbon vector that has been poorly studied. Observational data of a large-scale benthic trawling survey from 1994 to 2005 provided a unique opportunity to quantify jelly-carbon along an entire continental margin in the Mediterranean Sea and to assess potential links with biological and physical variables. Biomass depositions were sampled in shelves, slopes and canyons with peaks above 1000 carcasses per trawl, translating to standing stock values between 0.3 and 1.4 mg C m2 after trawling and integrating between 30,000 and 175,000 m2 of seabed. The benthopelagic jelly-carbon spatial distribution from the shelf to the canyons may be explained by atmospheric forcing related with NAO events and dense shelf water cascading, which are both known from the open Mediterranean. Over the decadal scale, we show that the jelly-carbon depositions temporal variability paralleled hydroclimate modifications, and that the enhanced jelly-carbon deposits are connected to a temperature-driven system where chlorophyll plays a minor role. Our results highlight the importance of gelatinous groups as indicators of large-scale ecosystem change, where jelly-carbon depositions play an important role in carbon and energy transport to benthic systems

Malaria transmission pattern resilience to climatic variability is mediated by insecticide-treated nets

<p>Abstract</p> <p>Background</p> <p>Malaria is an important public-health problem in the archipelago of Vanuatu and climate has been hypothesized as important influence on transmission risk. Beginning in 1988, a major intervention using insecticide-treated bed nets (ITNs) was implemented in the country in an attempt to reduce <it>Plasmodium </it>transmission. To date, no study has addressed the impact of ITN intervention in Vanuatu, how it may have modified the burden of disease, and whether there were any changes in malaria incidence that might be related to climatic drivers.</p> <p>Methods and findings</p> <p>Monthly time series (January 1983 through December 1999) of confirmed <it>Plasmodium falciparum </it>and <it>Plasmodium vivax </it>infections in the archipelago were analysed. During this 17 year period, malaria dynamics underwent a major regime shift around May 1991, following the introduction of bed nets as a control strategy in the country. By February of 1994 disease incidence from both parasites was reduced by at least 50%, when at most 20% of the population at risk was covered by ITNs. Seasonal cycles, as expected, were strongly correlated with temperature patterns, while inter-annual cycles were associated with changes in precipitation. Following the bed net intervention, the influence of environmental drivers of malaria dynamics was reduced by 30–80% for climatic forces, and 33–54% for other factors. A time lag of about five months was observed for the qualitative change ("regime shift") between the two parasites, the change occurring first for <it>P. falciparum</it>. The latter might be explained by interspecific interactions between the two parasites within the human hosts and their distinct biology, since <it>P. vivax </it>can relapse after a primary infection.</p> <p>Conclusion</p> <p>The Vanuatu ITN programme represents an excellent example of implementing an infectious disease control programme. The distribution was undertaken to cover a large, local proportion (~80%) of people in villages where malaria was present. The successful coverage was possible because of the strategy for distribution of ITNs by prioritizing the free distribution to groups with restricted means for their acquisition, making the access to this resource equitable across the population. These results emphasize the need to implement infectious disease control programmes focusing on the most vulnerable populations.</p

Price probabilities: A class of Bayesian and non-Bayesian prediction rules

This paper examines the implications of the market selection hypothesis on the accuracy of the probabilities implied by equilibrium prices and on the “learning” mechanism of markets. I use the standard machinery of dynamic general equilibrium models to generate a rich class of probabilities, price probabilities, and discuss their properties. This class includes the Bayes’ rule and known non-Bayesian rules. If the prior support is well-specified, I prove that all members of this class perform as well as Bayes’ rule in terms of likelihood. If the prior support is misspecified in that the Bayesian prior does not converge, I demonstrate that some members of price probabilities significantly outperform Bayes’. Because these members are never worse and sometimes better than Bayes, my result challenges the prevailing opinion that Bayes’ rule is the only rational way to learn