Effect of regressor forecast error on the variance of regression forecasts

It is well understood that the standard formulation for the variance of a regression‐model forecast produces interval estimates that are too narrow, principally because it ignores regressor forecast error. While the theoretical problem has been addressed, there has not been an adequate explanation of the effect of regressor forecast error, and the empirical literature has supplied a disparate variety of bits and pieces of evidence. Most business‐forecasting software programs continue to supply only the standard formulation. This paper extends existing analysis to derive and evaluate large‐sample approximations for the forecast error variance in a single‐equation regression model. We show how these approximations substantially clarify the expected effects of regressor forecast error. We then present a case study, which (a) demonstrates how rolling out‐of‐sample evaluations can be applied to obtain empirical estimates of the forecast error variance, (b) shows that these estimates are consistent with our large‐sample approximations and (c) illustrates, for ‘typical’ data, how seriously the standard formulation can understate the forecast error variance. Copyright © 2000 John Wiley & Sons, Ltd.     

Forecasting Stock Returns: Do Commodity Prices Help?

This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long‐run relationship. Moreover, changes in sentiment towards commodity investing may affect the nature of the response to disequilibrium. Results support cointegration between stock and commodity prices, while Bai–Perron tests identify breaks in the forecast regression. Forecasts are computed using a standard fixed (static) in‐sample/out‐of‐sample approach and by both recursive and rolling regressions, which incorporate the effects of changing forecast parameter values. A range of model specifications and forecast metrics are used. The historical mean model outperforms the forecast models in both the static and recursive approaches. However, in the rolling forecasts, those models that incorporate information from the long‐run stock price/commodity price relationship outperform both the historical mean and other forecast models. Of note, the historical mean still performs relatively well compared to standard forecast models that include the dividend yield and short‐term interest rates but not the stock/commodity price ratio. Copyright © 2014 John Wiley & Sons, Ltd.     

Subspecific origin and haplotype diversity in the laboratory mouse

Here we provide a genome-wide, high-resolution map of the phylogenetic origin of the genome of most extant laboratory mouse inbred strains. Our analysis is based on the genotypes of wild-caught mice from three subspecies of Mus musculus. We show that classical laboratory strains are derived from a few fancy mice with limited haplotype diversity. Their genomes are overwhelmingly Mus musculus domesticus in origin, and the remainder is mostly of Japanese origin. We generated genome-wide haplotype maps based on identity by descent from fancy mice and show that classical inbred strains have limited and non-randomly distributed genetic diversity. In contrast, wild-derived laboratory strains represent a broad sampling of diversity within M. musculus. Intersubspecific introgression is pervasive in these strains, and contamination by laboratory stocks has played a role in this process. The subspecific origin, haplotype diversity and identity by descent maps can be visualized using the Mouse Phylogeny Viewer (see URLs).     

Pressure-induced amorphization and an amorphous-amorphous transition in densified porous silicon.

Crystalline and amorphous forms of silicon are the principal materials used for solid-state electronics and photovoltaics technologies. Silicon is therefore a well-studied material, although new structures and properties are still being discovered. Compression of bulk silicon, which is tetrahedrally coordinated at atmospheric pressure, results in a transition to octahedrally coordinated metallic phases. In compressed nanocrystalline Si particles, the initial diamond structure persists to higher pressure than for bulk material, before transforming to high-density crystals. Here we report compression experiments on films of porous Si, which contains nanometre-sized domains of diamond-structured material. At pressures larger than 10 GPa we observed pressure-induced amorphization. Furthermore, we find from Raman spectroscopy measurements that the high-density amorphous form obtained by this process transforms to low-density amorphous silicon upon decompression. This amorphous-amorphous transition is remarkably similar to that reported previously for water, which suggests an underlying transition between a high-density and a low-density liquid phase in supercooled Si (refs 10, 14, 15). The Si melting temperature decreases with increasing pressure, and the crystalline semiconductor melts to a metallic liquid with average coordination approximately 5 (ref. 16).     

Susceptibility loci for intracranial aneurysm in European and Japanese populations

Stroke is the world's third leading cause of death. One cause of stroke, intracranial aneurysm, affects approximately 2% of the population and accounts for 500,000 hemorrhagic strokes annually in mid-life (median age 50), most often resulting in death or severe neurological impairment. The pathogenesis of intracranial aneurysm is unknown, and because catastrophic hemorrhage is commonly the first sign of disease, early identification is essential. We carried out a multistage genome-wide association study (GWAS) of Finnish, Dutch and Japanese cohorts including over 2,100 intracranial aneurysm cases and 8,000 controls. Genome-wide genotyping of the European cohorts and replication studies in the Japanese cohort identified common SNPs on chromosomes 2q, 8q and 9p that show significant association with intracranial aneurysm with odds ratios 1.24-1.36. The loci on 2q and 8q are new, whereas the 9p locus was previously found to be associated with arterial diseases, including intracranial aneurysm. Associated SNPs on 8q likely act via SOX17, which is required for formation and maintenance of endothelial cells, suggesting a role in development and repair of the vasculature; CDKN2A at 9p may have a similar role. These findings have implications for the pathophysiology, diagnosis and therapy of intracranial aneurysm.     

Does Information Help Intra‐Day Volatility Forecasts?

While much research related to forecasting return volatility does so in a univariate setting, this paper includes proxies for information flows to forecast intra‐day volatility for the IBEX 35 futures market. The belief is that volume or the number of transactions conveys important information about the market that may be useful in forecasting. Our results suggest that augmenting a variety of GARCH‐type models with these proxies lead to improved forecasts across a range of intra‐day frequencies. Furthermore, our results present an interesting picture whereby the PARCH model generally performs well at the highest frequencies and shorter forecasting horizons, whereas the component model performs well at lower frequencies and longer forecast horizons. Both models attempt to capture long memory; the PARCH model allows for exponential decay in the autocorrelation function, while the component model captures trend volatility, which dominates over a longer horizon. These characteristics are likely to explain the success of each model. Copyright © 2013 John Wiley & Sons, Ltd.     

Experience with moving visual stimuli drives the early development of cortical direction selectivity

The onset of vision occurs when neural circuits in the visual cortex are immature, lacking both the full complement of connections and the response selectivity that defines functional maturity. Direction-selective responses are particularly vulnerable to the effects of early visual deprivation, but it remains unclear how stimulus-driven neural activity guides the emergence of cortical direction selectivity. Here we report observations from a motion training protocol that allowed us to monitor the impact of experience on the development of direction-selective responses in visually naive ferrets. Using intrinsic signal imaging techniques, we found that training with a single axis of motion induced the rapid emergence of direction columns that were confined to cortical regions preferentially activated by the training stimulus. Using two-photon calcium imaging techniques, we found that single neurons in visually naive animals exhibited weak directional biases and lacked the strong local coherence in the spatial organization of direction preference that was evident in mature animals. Training with a moving stimulus, but not with a flashed stimulus, strengthened the direction-selective responses of individual neurons and preferentially reversed the direction biases of neurons that deviated from their neighbours. Both effects contributed to an increase in local coherence. We conclude that early experience with moving visual stimuli drives the rapid emergence of direction-selective responses in the visual cortex.