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First Differences (first + difference)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	50%

Selected Abstracts

Complex regulation of CCR9 at multiple discrete stages of T,cell development

EUROPEAN JOURNAL OF IMMUNOLOGY, Issue 1 2006
Marc-André Wurbel Dr.
Abstract We have conducted a comprehensive assessment of CCR9 expression and function at the important milestone stages of murine thymocyte development. We reveal an unusually complex regulatory pattern, in which CCR9 influences T,cell development at several widely dispersed stages. We find that CCR9 is not expressed within the thymus until the double-negative (DN)3 stage, although it appears to contribute to T,cell precursor development prior to residence in the thymus. CCR9 expression is influenced by pre-T,cell receptor signals, and is dramatically up-regulated in a population that appears to be transitional between the DN4 and double-positive stages. In the periphery, functional CCR9 is expressed by all naive CD8 T,cells, but not by naive CD4 T,cells. To our knowledge, this latter finding is the first difference observed in homing receptor expression between naive lymphocyte populations. This suggests that naive CD8 T,cells might have access to lymphoid microenvironments from which naive CD4 T,cells are excluded. [source]

Forecasting real-time data allowing for data revisions

JOURNAL OF FORECASTING, Issue 6 2007
Kosei Fukuda
Abstract A modeling approach to real-time forecasting that allows for data revisions is shown. In this approach, an observed time series is decomposed into stochastic trend, data revision, and observation noise in real time. It is assumed that the stochastic trend is defined such that its first difference is specified as an AR model, and that the data revision, obtained only for the latest part of the time series, is also specified as an AR model. The proposed method is applicable to the data set with one vintage. Empirical applications to real-time forecasting of quarterly time series of US real GDP and its eight components are shown to illustrate the usefulness of the proposed approach.,,Copyright © 2007 John Wiley & Sons, Ltd. [source]

EXAMINING THE ASYMMETRIC BEHAVIOUR OF MACROECONOMIC AGGREGATES IN ASIAN ECONOMIES

PACIFIC ECONOMIC REVIEW, Issue 5 2008
Paresh Kumar Narayan
Abstract., The goal of this paper is to test for asymmetric behaviour of macroeconomic aggregates for three Asian economies; namely, Malaysia, Hong Kong and Korea. Whether macroeconomic aggregates can be characterised as asymmetric has important implications for policy-making and econometric modelling including forecasting. We examine two forms of asymmetries; specifically deepness, which arises when a detrended time series contains an asymmetric distribution, and steepness, which arises when the first difference of a series contains an asymmetric distribution. Overall, our findings suggest that for all three countries, the bulk of the series display asymmetry behaviour. [source]

Measuring temporal variability in residential magnetic field exposures

BIOELECTROMAGNETICS, Issue 4 2001
W.T. Kaune
Abstract Considerable interest has developed during the past ten years regarding the hypothesis that living organisms may respond to temporal variability in ELF magnetic fields to which they are exposed. Consequently, methods to measure various aspects of temporal variability are of interest. In this paper, five measures of temporal variability were examined: Arithmetic means (Dmean) and rms values (Drms) of the first differences (i.e., absolute value of the difference between consecutive measurements) of magnetic field recordings; "standardized" forms of Drms, denoted RCMS, obtained by dividing Drms by the standard deviations of the magnetic field data; and mean (Fmean) and rms (Frms) values of fractional first differences. Theoretical investigations showed that Dmean and Drms are virtually unaffected by long-term systematic trends (changes) in exposure. These measures thus provide rather specific measures of short-term temporal variability. This was also true to a lesser extent for Fmean and Frms. In contrast, the RCMS metric was affected by both short-term and long-term exposure variabilities. The metrics were also investigated using a data set consisting of twice-repeated two-calendar-day recordings of bedroom magnetic fields and personal exposures of 203 women residing in the western portion of Washington State. The predominant source of short-term temporal variability in magnetic field exposures arose from the movement of subjects through spatially varying magnetic fields. Spearman correlations between TWA bedroom magnetic fields or TWA personal exposures and five measures of temporal variability were relatively low. Weak to moderate levels of correlation were observed between temporal variability measured during two different sessions separated in time by 3 or 6 months. We conclude that first difference and fractional difference metrics provide specific and fairly independent measures of short-term temporal variability. The RCMS metric does not provide an easily interpreted measure of short-term or long-term temporal variability. This last result raises uncertainties about the interpretation of published studies that use the RCMS metric. Bioelectromagnetics 22:232,245, 2001. © 2001 Wiley-Liss, Inc. [source]

A fractionally integrated exponential model for UK unemployment

JOURNAL OF FORECASTING, Issue 5 2001
L.A. Gil-AlanaArticle first published online: 9 AUG 200
Abstract Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling UK unemployment. This gives us a better understanding of the low-frequency dynamics affecting the series without relying on any particular ARMA specification for its short-run components which, in general, require many more parameters to estimate. The results indicate that this exponential model, confounded with fractional integration, may be a feasible way of modelling unemployment. It also shows that its order of integration is much higher than one and thus leads to the conclusion that the standard practice of taking first differences may lead to erroneous results. Copyright © 2001 John Wiley & Sons, Ltd. [source]

The efficiency of natural gas futures markets

OPEC ENERGY REVIEW, Issue 2 2003
Ahmed El Hachemi Mazighi
Recent experience with the emergence of futures markets for natural gas has led to many questions about the drivers and functioning of these markets. Most often, however, studies lack strong statistical support. The objective of this article is to use some classical statistical tests to check whether futures markets for natural gas (NG) are efficient or not. The problem of NG market efficiency is closely linked to the debate on the value of NG. More precisely, if futures markets were really efficient, then: 1) spot prices would reflect the existence of a market assessment, which is proof that speculation and the manipulation of prices are absent; 2) as a consequence, spot prices could give clear signals about the value of NG; and 3) historical series on spot prices could serve as "clean" benchmarks in the pricing of NG in long-term contracts. On the whole, since the major share of NG is sold to power producers, the efficiency of futures markets implies that spot prices for NG are driven increasingly by power prices. On the other hand, if futures markets for natural gas fail the efficiency tests, this will reflect: 1) a lack of liquidity in futures markets and/or possibilities of an excess return in the short term; 2) a pass-through of the seasonality of power demand in the gas market; 3) the existence of a transitory process, before spot markets become efficient and give clear signals about the value of NG. Using monthly data on three segments of the futures markets, our findings show that efficiency is almost completely rejected on both the International Petroleum Exchange in London (UK market) and the New York Mercantile Exchange (US market). On the NYMEX, the principle of "co-movement" between spot and forward prices seems to be respected. However, the autocorrelation functions of the first differences in the price changes show no randomness of price fluctuations for three segments out of four. Further, both the NYMEX and the IPE fail, with regard to the hypothesis that the forward price is an optimal predictor of the spot price. Consequently, unless we have an increase in the liquidity of spot markets and an increase in the relative share of NG spot trading, futures markets cannot be considered as efficient. [source]

Calorie intake and income elasticities in EU countries: A convergence analysis using cointegration,

PAPERS IN REGIONAL SCIENCE, Issue 2 2001
Ana M. Angulo
European food demand; calorie intake; cointegration; convergence Abstract. We want to determine here whether the trans-European consumer reacts to changes in total food consumption or changes in income equalise in the long run. Do total calorie intake elasticities and income elasticities converge in the long-run? A demand system is estimated for each European country. The proportional caloric intakes of the various food groups are analyzed as endogenous variables, and two exogenous variables (total calorie intake and income), are both defined in log terms. As all variables are I(1) and non-cointegrated, demand systems are specified in first differences. Finally, we use Johansen and Juselius's multivariate cointegration tests to test for the convergence of calorie intake and income elasticities. Empirical results indicate a very limited convergence between certain products and countries considered, suggesting that country idiosyncrasies still play an important role in consumer behavior. [source]

The Cyclical Dynamics and Volatility of Australian Output and Employment,

THE ECONOMIC RECORD, Issue 264 2008
DAVID SHEPHERD
In this paper, we examine the volatility of aggregate output and employment in Australia with the aid of a frequency filtering method. This analysis is compared with more traditional methods based on the examination of first differences in the logs of the raw data. We show that the application of univariate AR and bivariate VECM methods to the data results in a detrended series which is dominated by noise and gives break points which are not robust to alternative decomposition methods. When we apply a frequency filtered procedure we find that the detrended series is dominated by cyclical rather than noise variation. We find evidence of a sustained reduction in the cyclical volatility of both the gross domestic product and employment series in 1993,1994, not in 1984. We also find that there is a clear association between output volatility and employment volatility. [source]