Preface1Difference Equations12Lag Operators253Stationary ARMA Processes434Forecasting725Maximum Likelihood Estimation1176Spectral Analysis1527Asymptotic Distribution Theory1808Linear Regression Models2009Linear Systems of Simultaneous Equations23310Covariance-Stationary Vector Processes25711Vector Autoregressions29112Bayesian Analysis35113The Kalman Filter37214Generalized Method of Moments40915Models of Nonstationary Time Series43516Processes with Deterministic Time Trends45417Univariate Processes with Unit Roots47518Unit Roots in Multivariate Time Series54419Cointegration57120Full-Information Maximum Likelihood Analysis of Cointegrated Systems63021Time Series Models of Heteroskedasticity65722Modeling Time Series with Changes in Regime677A Mathematical Review704B Statistical Tables751C Answers to Selected Exercises769D Greek Letters and Mathematical Symbols Used in the Text786Author Index789Subject Index792

https://sisis.rz.htw-berlin.de/inh2007/12357004.pdf

Time series analysis

Using data on 49 countries from 1976 to 1993, the authors investigate whether measures of stock market liquidity, size, volatility, and integration in world capital markets predict future rates of economic growth, capital accumulation, productivity improvements, and private savings. They find that stock market liquidity-as measured by stock trading relative to the size of the market and economy - is positivelyand significantly correlated with current and future rates of economic growth, capital accumulation, productivity growth, even after controlling for economic and political factors. Stock market size, volatility, and integration are not robustly linked with growth. Nor are financial indicators closely associated with private savings rates. Significantly, banking development -as measured by bank loans to private enterprises divided by GDP -when combined with stock market liquidity predicts future rates of growth, capital accumulation, and productivity growth when entered together in regressions. The authors determine that these results are consistent with views that (1)financial markets and institutions provide important services for long-run growth, and (2)stock markets and banks provide different financial services.

Stock markets, banks, and economic growth

Combining forecasts: A review and annotated bibliography

This paper examines the effects of the financial crisis of the 1930s onthe path of aggregate output during that period. Our approach is complementary to that of Friedman and Schwartz, who emphasized the monetary impact of the bank failures; we focus on non-monetary (primarily credit-related) aspects of the financial sector--output link and consider the problems of debtors as well as those of the banking system. We argue that the financial disruptions of 1930-33 reduced the efficiency of the credit allocation process; and that the resulting higher cost and reduced availability of credit acted to depress aggregate demand. Evidence suggests that effects of this type can help explain the unusual length and depth of the Great Depression.

Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression

The role of deformation twinning in fracture of hexagonal close-packed metals is reviewed from a theoretical point of view. Strength and ductility are correlated with the intrinsic physical and metallurgical variables. The importance of c + a slip and of both “tension” and “compression” twins as independent modes for a generalized polycrystalline deformation is emphasized. Effects of slip-twin and twin-twin interactions on crack initiation and high-order twinning are reviewed. The competitive role of twin nucleationvs crack initiation is discussed. Shortcomings of our current understanding of the role of twinning are indicated, and some futher studies are recommended.

Slip, twinning, and fracture in hexagonal close-packed metals

1 Stereochemical and Physicochemical Properties of Hernes.- 1.1 Introduction.- 1.2 Electronic Structure of Iron.- 1.3 Stereochemistry of Metalloporphyrins.- 1.4 Properties of Ligands.- 1.5 Metal-free and Metal-substituted Cytochrome c.- 2 Spectroscopic Studies of Cytochromes.- 2.1 Introduction.- 2.2 Spectroscopic Methods.- 2.2.1 General Aspects of Spectroscopy.- 2.2.2 Spectroscopic Parameters.- 2.2.3 Magnetic Resonance Spectroscopies.- 2.2.3.1NMR Spectroscopy.- 2.2.3.2EPR Spectroscopy.- 2.2.4 Vibrational Spectroscopies.- 2.2.5 Electronic Spectroscopies.- 2.2.5.1 CD Spectroscopy.- 2.2.5.2MCD Spectroscopy.- 2.2.5.3Fluorescence and Phosphorescence Spectroscopies.- 2.2.6 Mossbauer Spectroscopy.- 2.2.7 X-Ray Absorption Spectroscopy.- 2.2.8 The Problems of Assignment and Interpretation.- 2.2.9 Spectroscopic Studies and the Variation of Temperature.- 2.3 Selected Applications of Spectroscopy to Cytochromes c.- 2.3.1 The Type of Heme, its Oxidation State and its Spin-State.- 2.3.1.1 Optical Spectra of Cytochromes.- 2.3.1.2The Spin-State of Iron.- 2.3.1.3The Oxidation State of Iron.- 2.3.2 The Identity and Stereochemistry of Axial Ligands.- 2.3.2.1Histidine-Methionine Axial Ligation.- 2.3.2.2 The EPR-MCD Approach to Identifying Axial Ligands.- 2.3.2.3Axial Ligation of Cytochrome f and Cytochrome c1.- 2.3.2.4The Alkaline Isomer of Mitochondrial Cytochrome c.- 2.3.2.5 Axial Ligation of Cytochromes c?.- 2.3.3 The Protein Structure.- 2.3.3.1Determination of Protein Tertiary Structure.- 2.3.3.2Dynamic Aspects of Protein Structure.- 2.3.3.3Interprotein Complexes.- 2.3.3.4Group Ionisation Constants.- 3 Amino Acid Sequences of Cytochromes c.- 3.1 Introduction.- 3.2 Amino Acid Sequences of Mitochondrial Cytochromes c.- 3.3 Amino Acid Sequences of Cytochromes c1 and Cytochromes f.- 3.4 Amino Acid Sequences of Cytochromes c2.- 3.5 Amino Acid Sequences of Cytochromes c3.- 3.6 Amino Acid Sequences of Cytochromes c4.- 3.7 Amino Acid Sequences of Cytochromes c5.- 3.8 Amino Acid Sequences of Cytochromes c-555.- 3.9 Amino Acid Sequences of Cytochromes c6 (algal cytochrome 'c-553').- 3.10 Amino Acid Sequences of Cytochromes c-551 (Cytochromes c7).- 3.11 Amino Acid Sequences of Class II Cytochromes c (Cytochromes c8).- 3.12 Cytochrome c Peroxidase.- 3.13 The Reaction Centre Cytochrome from Rhodopseudomonas viridis.- 3.14 Amino Acid Sequences of Cytochromes c Which Do Not Fall Into the Established Sequence Classes.- 4 The Structures of Class I Cytochromes c.- 4.1 Introduction.- 4.2 General Features of the Structure of Mitochondrial Cytochrome c.- 4.2.1 A General Mitochondrial Cytochrome c Structure.- 4.2.2 The Polypeptide Fold and Internal Structure.- 4.2.3 The Protein Surface.- 4.3 The Cytochrome Fold and Bacterial Class I Cytochromes.- 4.3.1 A General Class I Cytochrome c Structure.- 4.3.2 The Polypeptide Fold and Internal Structure.- 4.3.3 Protein Surfaces.- 4.3.4 Two Domain Cytochrome c4.- 4.3.5 Dimeric Cytochrome c5.- 4.3.6 Class I Cytochrome c as Part of Larger Proteins.- 4.4 pH Dependent Transitions of Cytochromes c.- 4.4.1 pH Dependent States of Cytochrome c.- 4.4.2 Ionisation of Herne Propionates.- 4.4.3 Side Chain Ionisation Constants.- 4.4.4 The Alkaline Transition of Ferricytochrome c.- 4.5 Differences in Conformation and Dynamics between Reduced and Oxidised Cytochrome c.- 4.5.1 Differences in Properties of the Two Redox States.- 4.5.2 Conformational Differences between the Two Redox States.- 4.5.3 Conformational Differences between Site-Directed Mutants of 5. cerevisiae iso-1 Cytochrome c.- 4.5.4 Dynamic Fluctuations in the Cytochrome c Structure.- 4.5.5 The Physiological Relevance of Conformational Transitions in Cytochrome c.- 4.6 Structural and Functional Effects of Chemical Modifications on Mitochondrial Cytochrome c.- 4.6.1 General Aspects of Chemical Modifications.- 4.6.2 Modification of the Herne.- 4.6.3 Modifications of the Main Chain.- 4.6.4 Modifications of Aromatic Amino Acids.- 4.6.5 Modifications of Aliphatic Amino Acids.- 5 The Structures of Class II, Class III and Class IV Cytochromes c.- 5.1 Introduction.- 5.2 Class II Cytochromes c.- 5.2.1 Introduction.- 5.2.2 Cytochromes c?.- 5.2.3 Structure of Cytochrome c?.- 5.2.4 Class IIb Cytochromes c.- 5.3 Class III Cytochromes c.- 5.3.1 Introduction.- 5.3.2 Cytochromes c3(4 heme).- 5.3.3 Cytochrome c3(3 heme).- 5.4 Class IV Cytochromes c.- 5.4.1 Introduction.- 5.4.2 Rps. viridis PRC Cytochrome c.- 5.4.3 Chr. vinosum PRC Cytochrome c.- 6 Evolution.- 6.1 Introduction.- 6.2 Aspects of Taxonomy.- 6.3 The Construction of Phylogenetic Trees.- 6.4 The Problems and Successes of Molecular Phylogeny.- 6.5 Neutral Mutation and Natural Selection in the Evolution of Cytochrome c.- 6.5.1 The Molecular Clock and the Theory of Random Genetic Drift.- 6.5.2 Covarions.- 6.5.3 The Dimension of Time in Neutral Mutation Theory.- 6.5.4 Changes in the Rate of Evolution - Are They Due to Natural Selection or Neutral Mutation?.- 6.6 Gene Duplication, Gene Fusion and Pseudogenes.- 6.6.1 Gene Duplication in Mitochondrial Cytochromes c.- 6.6.2 Gene Duplication and Gene Fusion in Bacterial Cytochrome c.- 6.7 Lateral Gene Transfer.- 6.8 The Concepts of Genus and Species in Bacteria.- 6.9 Endosymbiotic Origin for Eukaryotic Organelles.- 6.9.1 The Endosymbiotic and Autogenic Theories.- 6.9.2 Cytochrome c-553 (c6) and the Origins of the Chloroplast.- 6.9.3 Cytochrome c and the Origins of the Mitochondrion.- 6.9.4 The Present Status of the Endosymbiotic Theory.- 6.10 Remote Relationships.- 6.10.1 The Evolution of Energy Metabolism.- 6.10.2 The Relationships between Cytochrome c Subclasses and the Problem of Convergence.- 7 Redox Potentials.- 7.1 Introduction.- 7.2 Ligand Binding.- 7.3 The Coordination Structure of the Metal Ion.- 7.3.1 Porphyrin as an Fe Ligand.- 7.3.2 Effects of Porphyrin Substituents.- 7.3.3 Effects of Axial Ligands.- 7.3.4 Geometry of Coordination.- 7.4 Electrostatic Influences on Redox Potential.- 7.4.1 The Influence of Ions in Solution.- 7.4.2 The Influence of Surface Charge.- 7.4.3 The Influence of Redox Centre Burial within the Protein.- 7.4.4 The Influence of Buried Charge.- 7.4.5 Electrostatic Models for Redox Proteins - Recent Developments.- 7.5 Multiple Redox Centres.- 7.6 Proton Binding.- 7.6.1 Theoretical Considerations.- 7.6.2 Structural Basis for the pH Dependence of Redox Potential.- 7.6.3 pH Dependence of Redox Potential and Proton Translocation.- 7.7 Conformational Stabilisation.- 8 Electron-Transfer Mechanisms.- 8.1 Introduction.- 8.2 General Aspects of Electron Transfer.- 8.2.1 Classification of Electron-Transfer Reactions in Metal Complexes.- 8.2.2 What is an Electron?.- 8.2.3 Electron-Transfer Reactions of Inorganic Compounds.- 8.2.4 General Features of Electron-Transfer Proteins.- 8.2.4.1Spin-State and Conformational Changes in Electron-Transfer Proteins.- 8.2.4.2Electron Transmission in Proteins.- 8.2.5 Summary of Reactivity Determinants.- 8.3 Theoretical Considerations of Electron Transfer.- 8.3.1 Classical Description of Electron Transfer.- 8.3.2 Tunnelling in Electron Transfer.- 8.3.3 The Photoinduced Mechanism.- 8.3.4 Summary and Comparison of Theory with Experimental Data.- 8.4 Self-Exchange Reactions of Cytochromes c.- 8.5 Cross-Reactions of Cytochromes c.- 8.5.1 Bimolecular Reactions with Non-Physiological Small Molecules.- 8.5.2 Reactions of Cytochromes c Covalently Labelled with Non-Physiological Redox Reactions.- 8.5.3 Protein:Protein Reactions in Aqueous Solution.- 8.5.4 Bacterial Photosynthetic Reactions.- References.

Cytochromes c: Evolutionary, Structural and Physicochemical Aspects

What manner of organization is the National Bureau of Economic Research? How does it select research topics? Who does the work and what kind of tasks do they perform? Where do the funds come from? How does the National Bureau safeguard the scientific quality of its findings? How are the results disseminated? Visitors to the National Bureau often ask these and similar questions; perhaps the answers will be of interest to readers of the American Statistician. The National Bureau of Economic Research is a private non-profit corporation, formed, according to its charter, "to conduct, or assist in the making of exact and impartial investigations in the field of economic, social and industrial science, and to this end to cooperate with governments, universities, learned societies, and individuals." Hence it is not a government agency, nor an adjunct of a university, nor does it sell research services. The revenue from the only products it does sell, publications, barely covers the printing costs. Its funds are contributed by philanthropic foundations, by trade and professional organizations, by business concerns, trade unions, and individuals. Contributions are usually on a yearly basis, but some grants cover several years. Some of the funds are earmarked for specific studies; the balance goes to support a general program of research. The National Bureau is governed by a Board of Directors numbering about thirty, selected to represent various institutions and diverse points of view on economic problems. Over the years since the Bureau was founded in 1920 this body of men has made a significant contribution to the development of scientific inquiry in economics, both within the National Bureau and outside. Such outstanding economists as Wesley C. Mitchell, George E. Roberts, Allyn A. Young, Edwin F. Gay, Thomas S. Adams, and John R. Commons have been among its members. At the present time professors from a dozen universities are on the Board. Also, Directors from each of the following organizations are elected: American Statistical Association, American Economic Association, American Farm Economic Association, Economic History Association, American Institute of Accountants, American Management Association, Congress of Industrial Organizations, and American Federation of Labor. Finally, there is a group of Directors at Large, men from varied walks of life with an abiding interest in economic research. The Board serves an important function not only in shaping the broad lines of the research program but also in safeguarding the quality of the results. Matters of policy requiring prompt action are handled by an Executive Committee of eleven, elected by the Board from its membership. Arthur F. Burns, the Director of Research, is the member of the Committee who is directly responsible for the research program. The members of the research staff, numbering about twenty-five, direct the individual studies, and are aided in their work by upwards of forty-five research assistants. A staff of typists, bookkeepers, mimeograph operators, etc., brings the total payroll of the National Bureau to roughly a hundred persons. William J. Carson, the Executive Director, handles the Bureau's finances, accounts, and other administrative matters. Not all the employees of the National Bureau work at the main office at 1819 Broadway, New York City. DuLr Financial Research Program is housed at "Hillside," an estate about 10 miles north of Manhattan overlooking the HuLdson River. Other National BureauL investigators are to be fotund at various universities throughout the United States, since cooperative arrangements are maintained with a number of universities that permit their facultv members to engage in National Butreau studies. Government agencies, too, cooperate in similar ways. Such cooperative relationships are a vital feature of our work, and we try to foster them in many ways. The growing acceptance on the part of universities of the view that research is part of the job of a faculty member has helped to make these efforts productive. For example, for a number of years we have appointed promising young men or women holding university positions as Research Associates for one year. The objective is to enable scholars to pursue their research interests in fields in which the National Bureau also has an interest. Since 1930 twenty-six Research Associates, coming from eighteen American colleges or universities and two foreign universities, have been appointed under the plan. The work of several committees is another example of cooperation for the purpose of advancing research. Two committees, one on financial and the other on fiscal research, help to guide our studies in these areas. They are composed of experts from universities, government agencies, and private business. In 1935 the Universities-National Bureau Committee was established for the express purpose of promoting contact

The National Bureau of Economic Research

Preface 1. Editors' introduction Part I. New Concepts and Methods: 2. Toward a theory of leading indicators Frank de Leeuw 3. A time-series framework for the study of leading indicators Salih N. Neftci 4. A probability model of the coincident economic indicators James H. Stock and Mark W. Watson 5. An international application of Neftci's probability approach for signalling growth recessions and recoveries using turning point indicators Michael P. Niemira 6. On predicting the stage of the business cycle Roy H. Webb 7. Bayesian methods for forecasting turning points in economic time series: sensitivity of forecasts to asymmetry of loss structures Arnold Zellner and Chansik Hong 8. New developments in leading economic indicators Geoffrey H. Moore Part II. Forecasting Records and Methods of Evaluation: 9. Forecasting cyclical turning points: the record in the past three recessions Stephen K. McNees 10. Turning point predictions, errors, and forecasting procedures Hermon O. Stekler 11. Forecasting peaks and troughs in the business cycle: on the choice and use of appropriate leading indicator series Stephen J. Silver 12. Using a consensus of leading economic indicators to find right ball park for real GNP forecasts Edward F. Renshaw 13. Some Australian experience with leading economic indicators Allan P. Layton 14. Turning point prediction with the composite leading index: an exante analysis Francis X. Diebold and Glenn D. Rudebusch 15. Forecasting recessions under the Gramm-Rudman-Hollings law Victor Zarnowitz and Geoffrey H. Moore 16. Leading indicators of inflation Howard L. Roth Part III. New Economic Indicators: 17. Commodity prices as a leading indicator of inflation James M. Boughton and William H. Branson 18. A leading indicator of inflation based on interest rates Susmita Dasgupta and Kajal Lahiri 19. Using composite leading indicators of consumption to forecast sales and to signal turning points in stock market Michael P. Niemira 20. Economic indicators for Australia's service sector Ernst A. Boehm 21. Purchasing management survey data: their value as leading indicator Philip A. Klein and Geoffrey H. Moore 22. An agenda for inventories input to leading composite index Feliks Tamm Index.

/pdf/leading-economic-indicators-new-approaches-and-forecasting-wc25j7374f.pdf

Geoffrey H. Moore

Papers

Cytochromes c: Evolutionary, Structural and Physicochemical Aspects

The National Bureau of Economic Research

Leading economic indicators : new approaches and forecasting records

Business cycles, inflation, and forecasting

Business Cycle Indicators.