On the usefulness of macroeconomic forecasts as inputs to forecasting models

A forecasting model for y_t based on its relationship to exogenous variables (e.g. x?_t) must use x?_t, the forecast of x?_t. An example is given where commercially available x?_t's are sufficiently inaccurate that a univariate model for y_t appears preferable. For a variety of types of models inclusion of an exogenous variable x?_t is shown to worsen the y_t forecasts whenever x?_t must itself be forecast by x?_t and MSE (x?_t) > Var (x?_t). Tests with forecasts from a variety of sources indicate that, with a few notable exceptions, MSE (x?_t) > Var (x?_t) is common for macroeconomic forecasts more than a quarter or two ahead. Thus, either:

• (a) available medium range forecasts for many macroeconomic variables (e.g. the GNP growth rate) are not an improvement over the sample mean (so that such variables are not useful explanatory variables in forecasting models), and/or
• (b) the suboptimization involved in directly replacing x?_t by x?_t is a luxury that we cannot afford.

     

Forecasting for the generation of trading signals in financial markets

In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r_i (over time i=1, 2, ..., n) for the ith day be given and the investor has to make investment decision d_i on the ith day with d_i=1 representing a ‘long' position and d_i=0 a ‘neutral' position. The investment return is given by r=Σⁿ_i=1r_id_i−cΣⁿ⁺¹_i=1∣d_i−d_i−1∣, where c is the transaction cost. The mathematical programming problem of choosing d₁, ..., d_n to maximize r under a given transaction cost c is shown to have an analytic solution, which is a function of a key summary statistic called the largest change before reversal. The largest change before reversal is recommended to be used as an output in a neural network for the generation of trading signals. When neural network forecasting is applied to a dataset of Hang Seng Index Futures Contract traded in Hong Kong, it is shown that forecasting the largest change before reversal outperforms the k‐step‐ahead forecast in achieving higher trading profits. Copyright © 2000 John Wiley & Sons, Ltd.     

Influence of castration and testosterone replacement on hypothalamic tyrosine hydroxylase activity in the rat

Summary Hypothalamic tyrosine hydroxylase (TH) activity of castrate rats is modulated by testosterone propionate (TP) in vivo. Kinetic studies revealed that bothV _max andK _m were virtually unaltered for substrate tyrosine in the presence of an excess of DMPH₄ cofactor. TP replacement to castrate rats increased theK _m for added DMPH₄ cofactor, whileV _max decreased. These results suggest that TP decreases TH activity of castrate rats by inhibiting the enzymereduced pteridine cofactor complex.     

Robust estimation of conditional variance of time series using density power divergences

Suppose Z _t is the square of a time series Y _t whose conditional mean is zero. We do not specify a model for Y _t , but assume that there exists a p ×1 parameter vector Φ such that the conditional distribution of Z _t | Z _{t ?1} is the same as that of , where Z _{t ?1}=(Z _{t ?1},…,Z _{t ?p} )^T for some lag p ?1. Consequently, the conditional variance of Y _t is some function of . To estimate Φ , we propose a robust estimation methodology based on density power divergences (DPD) indexed by a tuning parameter α ∈[0,1], which yields a continuum of estimators, , where α controls the trade‐off between robustness and efficiency of the DPD estimators. For each α , is shown to be strongly consistent. We develop data‐dependent criteria for the selection of optimal α and lag p in practice. We illustrate the usefulness of our DPD methodology via simulation studies for ARCH‐type models, where the errors are drawn from a gross‐error contamination model and the conditional variance is a linear and/or nonlinear function of . Furthermore, we analyze the Chicago Board Options Exchange Dow Jones volatility index data and show that our DPD approach yields viable models for the conditional variance, which are as good as, or superior to, ARCH/GARCH models and two other divergence‐based models in terms of in‐sample and out‐of‐sample forecasts.     

Polarographic determination of the reaction rate of the second step in an SN1 displacement

Zusammenfassung Die Zeitabhängigkeit des polarographischen Stromes, welche man bei der gemäss SN1 verlaufenden Hydrolyse vonp-Methoxy-2-phenylpropylchlorid beobachtet, ermöglicht die Bestimmung der Geschwindigkeitskonstantenk ₁ der Gesamtreaktion sowie auch der Geschwindigkeitskonstantenk ₂ des zweiten raschen Schrittes, welcher nach pseudo-erster Ordnung verläuft. Fürk ₂ ergibt sich in Aceton, das 5% Wasser enthält, bei 25°Ck ₂=2,0×10³ sec^–1.

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We would like to thank the N.R.C. for provision of a grant to purchase the Electrochemical System and the University of New Brunswick for a Fellowship for one of us (D.B.).     

Simple integrated rate equations for reversible bimolecular reactions

Summary If the complete rate equations for reversible, one-step, bimolecular reactions are written withP _e–P as the concentration variable (whereP _e is the equilibrium, andP is the instantaneous, product concentration), the 3 possible stoichiometries can be reduced to a single straightforward differential equation. This can be solved very economically. For each stoichiometry, weret is time,k ₁ is the forward rate constant,K _e is the equilibrium constant, and P isP–P _o. The termsP _c–P _o andD+P _c–P _o are the physically possible and physically impossible roots of the quadratic equation forP _e–P _o in terms of the initial concentrations andK _c.D is the discriminant in this equation. All 3 quantities can be calculated if the equilibrium constant is known. A plot oft against ln{[1–P/(D+P _c–P _o)]/[1–P/(P _c–P _o)]} should be a straight line for any second order reaction. For each stoichiometry,P _c–P _o approachesA _o, the initial concentration of the first reactant, as the equilibrium constant increases. When a second reactant is present,D+P _e–P _o approachesB _o. The limiting equation is then that of an irreversible bimolecular reaction. For AP+Q,D approaches –K _e as the equilibrium constant becomes large, and the value of the second logarithmic term in the integrated equation approaches zero. The limiting equation is that of an irreversible, unimolecular reaction.Acknowledgments. I thank Dr. Athel Cornish-Bowden for many helpful discussions. This work was partially supported by a grant from Utah State University.     

Effect of prostaglandins on skin tumorigenesis

Summary Concomitant administration of prostaglandins E₂ (PGE₂) and F₂ a(PGF₂ a) with a carcinogen, 3-methylcholanthrene (MCA) to mice for 2 months markedly enhanced the occurrence of squamous cell carcinomas. Only epidermal cell hyperplasia occurred in mice treated with MCA alone by that time. Radioactivity measurements and electron microscopic autoradiography revealed that prostaglandins stimulate DNA, RNA and protein synthesis in neoplastic cells. These findings indicate that PGE₂ and PGF₂ a can act as cocarcinogens on skin tumorigenesis.     

Alkyl substituents and the cyclisation of esters

Summary K(CdCl₃) has a structure of the E 2₄-type. In comparison with the isotype (NH₄) (CdCl₃) only two of the three lattice constants have noticeably different values. They area andb which show a contraction of about 2%, whereas the constantc is about the same for both salts.     

Semiparametric forecast intervals

Consider forecasting the economic variable Y_t+h with predictors X _t, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_t+h| X _t from point forecast models. First, the point forecast model is estimated, thereby taking advantage of its predictive power. Then, nonparametric estimation of the conditional distribution function (CDF) of the forecast error conditional on X _t builds the rest of the forecast distribution around the point forecast, from which symmetric and minimum‐length forecast intervals for Y_t+h| X _t can be constructed. Under mild regularity conditions, asymptotic analysis shows that (1) regardless of the quality of the point forecast model (i.e., it may be misspecified), forecast quantiles are consistent and asymptotically normal; (2) minimum length forecast intervals are consistent. Proposals for bandwidth selection and dimension reduction are made. Three sets of simulations show that for reasonable point forecast models the method has significant advantages over two existing approaches to interval forecasting: one that requires the point forecast model to be correctly specified, and one that is based on fully nonparametric CDF estimate of Y_t+h| X _t. An application to exchange rate forecasting is presented. Copyright © 2010 John Wiley & Sons, Ltd.     

A reinvestigation of the chemistry of the Dufours gland of the formicine ant,Anoplolepis custodiens

The components of individual Dufours glands excised fromAnoplolepis custodiens workers were analysed by GC-MS. In addition to then-alkanes andn-alkenes previously reported² in these glands, primary alcohols (C₁₉-C₂₂), secondary alcohols (C₂₀-C₂₃), 2-ketones (C₂₀-C₂₃) and possibly carboxylate ethyl esters (C₁₉ and C₂₁) were identified as components of these glands. It seems possible that these high-boiling compounds are used by the workers in laying trails on the hot sandy surfaces of their characteristic habitat and in lining of the inner walls of nests, but no standard compounds have been available to us for any behavioral studies.     

Application of the linear partial information model to forecasting the Swiss timber market

Most often, statistical analyses only provide partial information about the appropriateness of different models, structures and parameters which may underlie the dynamic process that has generated a time series. Linear partial information (LPI), in particular, consists of linear restrictions such as LPI: p_a> p_b, p_a> p_c where p_a denotes the probability that structure a holds. Fuzzy information of this type can be put to use for decision-making by LPI analysis. In this paper, LPI analysis is applied to answer the question of whether subsidizing price, given an abnormal disturbance on the timber market, would contribute to continuous forest management, a stated goal of Swiss environmental policy.     

Studies onr II region of T2-phage

Zusammenfassung Untersuchungen derr _II-Region desT ₂-Bakteriophagen. Es wurde eine genetische Analyse derr _II-Region desT ₂-Bakteriophagen durchgeführt zur Feststellung, ob die Befunde, die sich auf die Funktionsteile innerhalb derr _II-Region desT ₄-Phagen beziehen, in bezug auf dier _II-Region desT ₂-Phagen verallgemeinert werden können. Die Mutanten wurden mit Hilfe von 5-Bromouracil und Akridineorange isoliert und dieh ⁺ r-Mutanten nach demselben Schema wie fürT ₄-Phagen weiter differenziert. Sechzig ausgewählte Mutanten wurden nach funktionaler Identität geprüft, was zur Feststellung führte, dass die gesamte Region als eine Einheit funktioniert.     

The superoxide-generating NADPH oxidase: structural aspects and activation mechanism

Flavocytochrome b ₅₅₈ is the catalytic core of the respiratory-burst oxidase, an enzyme complex that catalyzes the NADPH-dependent reduction of O₂ into the superoxide anion O₂ ^- in phagocytic cells. Flavocytochrome b ₅₅₈ is anchored in the plasma membrane. It is a heterodimer that consists of a large glycoprotein gp91phox (phox for phagocyte oxidase) (β subunit) and a small protein p22phox (α subunit). The other components of the respiratory-burst oxidase are water-soluble proteins of cytosolic origin, namely p67phox, p47phox, p40phox and Rac. Upon cell stimulation, they assemble with the membrane-bound flavocytochrome b ₅₅₈ which becomes activated and generates O₂ ^-. A defect in any of the genes encoding gp91phox, p22phox, p67phox or p47phox results in chronic granulomatous disease, a genetic disorder characterized by severe and recurrent infections, illustrating the role of O₂ ^- and the derived metabolites H₂O₂ and HOCl in host defense against invading microorganisms. The electron carriers, FAD and hemes b, and the binding site for NADPH are confined to the gp91phox subunit of flavocytochrome b ₅₅₈ . The p22phox subunit serves as a docking site for the cytosolic phox proteins. This review provides an overview of current knowledge on the structural organization of the O₂ ^--generating flavocytochrome b ₅₅₈ , its kinetics, its mechanism of activation and the regulation of its biosynthesis. Homologues of gp91phox, called Nox and Duox, are present in a large variety of non-phagocytic cells. They exhibit modest O₂ ^--generating oxidase activity, and some act as proton channels. Their role in various aspects of signal transduction is currently under investigation and is briefly discussed. Received 28 May 2002; received after revision 20 June 2002; accepted 24 June 2002     

Analysis of many short time sequences: Forecast improvements achieved by shrinkage

Credibility models in actuarial science deal with multiple short time series where each series represents claim amounts of different insurance groups. Commonly used credibility models imply shrinkage of group-specific estimates towards their average. In this paper we model the claim size yu in group i and at time t as the sum of three independent components: y_it = μ_r + δ_i + ?_it. The first component, μt = μ_t?1 + m_t, represents time-varying levels that are common to all groups. The second component, δ_i, represents random group offsets that are the same in all periods, and the third component represents independent measurement errors. In this paper we show how to obtain forecasts from this model and we discuss the nature of the forecasts, with particular emphasis on shrinkage. We also assess the forecast improvements that can be expected from such a model. Finally, we discuss an extension of the above model which also allows the group offsets to change over time. We assume that the offsets for different groups follow independent random walks.     

Exact test for opposite trends of probability changes in one or several 3×2 tables

Zusammenfassung Der «Likelihood»-Quotiententest wird auf einer 3×2-Kontigenztafel mit unbekannten Wahrscheinlichkeitenp _ij (i=1,2,3;j=1,2) angewandt, um die Hypothese H₀:p _i1=p _i2 (i=1,2,3) gegen die alternative Hypothese H₁:p ₁₁>p ₁₂ p ₃₁<p ₃₂ zuprüfen, und zwar wenn kleine Stichproben vorhanden sind. Ausserdem wird die Kombination solcher Tests behandelt. Als Beispiel wird diese Testtheorie beim Wahlverhalten des Kabeljaus im Dressurversuch über akustische Lokalisation in zwei Stimulussituationen verwendet.

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The close cooperation with Drs.E. Meelis, Institute of Theoretical Biology Leyden, The Netherlands, in applying the likelihood ratio test to this case is gratefully acknowledged.

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The author is greatly indebted to Dr.J. Oosterhoff, Mathematical Institute, University of Nijmegen, The Netherlands, for introducing the subclasses 1b and 1c in the computation of vector and for the explicit expressions in these cases which eliminated the need for a numerical optimization. Further more valuable remarks regarding the combination problem were obtained.     

New contribution to the study of chromosomes of the European Cryptocephalinae (Coleoptera,Chrysomelidae)

Summary The chromosomes of three species ofPachybrachis and nine ofCryptocephalus chrysomelids were analyzed. The male meiotic bivalent formula ofP. azureus Suffr.,P. catalonicus Burl. andP. petitpierrei Daccordi is 7^II+Xy_r.Cryptocephalus sexmaculatus Ol. andC. vittula Suffr. have 13^II+Xy_p,C. bipunctatus L. 14^II+Xy_r,C. ochroleucus Steph. andC. ocellatus Drap. 14^II+Xy_p,C. crassus 01. 15^II+Xy_r,C. sulphureus 01. 15^II+Xy_p, the same number as inC. fulvus Goeze with 2n=32 chromosomes, whileC. primarius Har. has 19^II+Xy_p. The modal chromosome number inCryptocephalus is 2n=30 (about 60% of spp.), and most species are characterized their small chromosomes. The low variation found in the karyotypes of Cryptocephalinae along with their possible interrelationships with allied chrysomelid subfamilies are also discussed.     

Forecasting Austrian IPOs: An application of linear and neural network error-correction models

In this paper we apply cointegration and Granger-causality analyses to construct linear and neural network error-correction models for an Austrian Initial Public Offerings IndeX (IPOX_ATX). We use the significant relationship between the IPOX_ATX and the Austrian Stock Market Index ATX to forecast the IPOX_ATX. For prediction purposes we apply augmented feedforward neural networks whose architecture is determined by Sequential Network Construction with the Schwartz Information Criterion as an estimator for the prediction risk. Trading based on the forecasts yields results superior to Buy and Hold or Moving Average trading strategies in terms of mean-variance considerations.     

Deletion mapping of a new gustatory mutant inDrosophila melanogaster

Summary A gustatory mutant ofDrosophila melanogaster insensitive to the taste of salt has been isolated. Genetic crosses and a deletion mapping analysis show that this mutation, designatedgust-M ₁ is located in the 93C_3–6-93D_6–7 region of the third chromosome.gust-M ₁ is also insensitive to the taste of quinine sulfate. The behavior of this mutant may be explained by assuming thatgust-M ₁ could be a mutation perturbing functions in the central nervous system affecting the responses to both compounds.     

Sonnenflecken und ihre terrestrischen Wirkungen

Summary After a discussion of the 11-year solar-cycle as regarded from the standpoint of the eruption-hypothesis, which offers a possibility to predict the solar activity for several years and after a review of the magnetic properties of the sun and the sunspots, the paper deals with the new theories of the spots and the solar-cycle as suggested byAlfvén andWalén.The terrestrial effects of the phenomena associated with the solar cycle are classified into 4 groups: effects produced by a) a wave radiationW _k emitted continuously by the sun, b) a wave radiationW _e emitted from the chromospheric eruptions, c) a particle radiationP _k emitted by the so-called M-regions, and d) a particle radiationP _e ejected from the eruptions. The connection between the solar eruptions and the radiationsP _e ,W _e is a well established fact; on the other hand the radiationsW _k ,P _k could be connected by the author with the solar corona and the stationary solar prominences respectively.To account for the intensity of theW _k -radiation a temperature of the solar corona of one million degree is required in agreement with the observed temperature. The heating of the corona occurs in the electric field around an increasing sunspot. As in the corona the mean free path amounts to several kilometers, particles may be accelerated up to 1000 eV, so far the conditionh=0 is fulfilled. Generally speaking acceleration is possible only in such regions whereh andh are not perpendicular to each other.     

Sopra un caso particolare della superficie F 4 (3) di M. Noether

Summary The Noetherian surfaceF ₄ ⁽³⁾ , which is represented on a plane by a linear ³ system ofC ₉(A ₁ ³ A ₂ ³ A ₃ ³ A ₄ ³ A ₅ ³ A ₆ ³ A ₇ ³ A ₈ ³ A ₉ ² A ₁₀), possesses generally only one linear pencil of elliptic cubics. IfA _i (i=1, 2, , 9) are the basis points of aHalphen pencil ofC ₉,A ₁₀ is infinitely near toA ₉, and in this caseF ₄ ⁽³⁾ is a not trivial example of such a surface with two pencils of elliptic cubics.