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Design and Analysis of Time Series
Experiments
Design and Analysis of Time
Series Experiments

R I C H A R D M C C L E A RY,
D AV I D M C D O WA L L ,

AND

BRADLEY J. BARTOS

1
1
Oxford University Press is a department of the University of Oxford. It furthers
the University’s objective of excellence in research, scholarship, and education
by publishing worldwide. Oxford is a registered trade mark of Oxford University
Press in the UK and certain other countries.

Published in the United States of America by Oxford University Press

198 Madison Avenue, New York, NY 10016, United States of America.

© Oxford University Press 2017

All rights reserved. No part of this publication may be reproduced, stored in

a retrieval system, or transmitted, in any form or by any means, without the
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rights organization. Inquiries concerning reproduction outside the scope of the
above should be sent to the Rights Department, Oxford University Press, at the
address above.

You must not circulate this work in any other form

and you must impose this same condition on any acquirer.

Library of Congress Cataloging-in-Publication Data

ISBN 978–0–19–066155–7 (Hbk.)

ISBN 978–0–19–066156–4 (Pbk.)

9 8 7 6 5 4 3 2 1

Paperback printed by WebCom, Inc., Canada

Hardback printed by Bridgeport National Bindery, Inc., United States of America
 CONTENTS

List of Figures and Tables vii

Preface xiii

1. Introduction 1

2. ARIMA Algebra 25

3. Noise Modeling 83

4. Forecasting 166

5. Intervention Modeling 186

6. Statistical Conclusion Validity 231

7. Internal Validity 273

8. Construct Validity 315

9. External Validity 333

References 345
Index 361
 LIST OF FIGURES AND TABLES

1.1 Annual Skirt Widths (Richardson and Kroeber, 1940) 4

1.2 Canadian Homicides (Silverman and Kennedy, 1987) 5
1.3 Cotton Prices and Lynchings (Hovland and Sears, 1940) 6
1.4 Annual Rorschach and MMPI Citations (Polyson et al., 1986) 7
1.5 Cincinnati Directory Assistance Calls (McSweeney, 1978) 8
1.6 Self-Injurious Behavior (McCleary et al., 1999) 9
1.7 Campbell (1957) Evolves into Cook and Campbell (1976) 13
1.8 Quarterly U.S. Gonorrhea Cases 16
1.9 Self-Injurious Behavior (McCleary et al., 1999) 17
1.10 Co-proxamol Prescriptions, England and Wales
(Hawton et al., 2009) 18
2.1 Four Time Series 27
2.2 White Noise Time Series 29
2.3 Two MA1 ACFs 35
2.4 Two AR1 ACFs 36
2.5 Two MA2 ACFs 43
2.6 Two AR2 ACFs 44
2.7 Two ARMA ACFs 45
2.8 Yt = at + at−1 + · · · + at−k , E(at = 0.00) 54
2.9 Yt = at + at−1 + · · · + at−k , E(at = 0.20) 55
2.10 Sample ACFs for Two Simulated Random Walks 57
2.11 Xt : μX = 0, σX ∝ t 59
2.12 Yt : μY = 0, σY ∝ sin2 t 59
2.13 Sample ACFs for Xt and Yt 61
3.1 The Iterative ARIMA Modeling Strategy 84
3.2 β-Particles 89
3.3 South Carolina Homicides (King, 1978) 89
viii L I S T O F F I G U R E S A N D TA B L E S

3.4 Sample ACFs, β-Particles and South Carolina Homicides 90

3.5 Cumulative Normal Distributions 92
3.6 Canadian Inflation Rate 95
3.7 Sample ACFs, Canadian Inflation Rate 96
3.8 U.K. Growth in Real GDP 99
3.9 Sample ACFs, U.K. Growth in Real GDP 100
3.10 Weekly Pediatric Trauma Admissions 101
3.11 Sample ACF, Weekly Pediatric Trauma Admissions 102
3.12 Beveridge’s Wheat Price Time Series 104
3.13 Histogram, Annual Wheat Prices 104
3.14 Variance for −3.5 < λ < +2.5 105
3.15 Transformed Wheat Price Time Series 106
3.16 Annual Zurich Sunspot Numbers (Yule, 1921) 112
3.17 Variance, −2 < λ < +4 112
3.18 Transformed Annual Zurich Sunspot Numbers 113
3.19 Kroeber’s Skirt-Width Time Series and its First Difference 116
3.20 Differenced Annual Tuberculosis Cases per 100,000 118
3.21 Annual Tuberculosis Cases per 100,000 119
3.22 Variance, −1 < λ < +1 119
3.23 Log Annual Tuberculosis Cases per 100,000 120
3.24 Differenced Log Annual Tuberculosis Cases per 100,000 120
3.25 Sample ACFs, Log Annual Tuberculosis Cases per 100,000 121
3.26 Average Monthly Precipitation, Anchorage 123
3.27 Variance, −1 < λ < +2 124
3.28 Transformed Average Monthly Precipitation, Anchorage 124
1/4
3.29 Sample ACFs, Prcpt 126
3.30 Monthly Atmospheric CO2 128
3.31 Quarterly Australian Traffic Fatalities 131
3.32 Variance, −1 < λ < +3 132
3.33 Quarterly Australian Traffic Fatalities, Square Roots 132
3.34 Nested vs. Unnested Models 136
3.35 Foreign Visitors to Japan 148
3.36 Box-Cox Functions for Two Time Series 152
3.37 LL(μ̂|φ̂1 = 0.61, σ̂a2 = 7.47) for an AR1 Model of Admitt 157
3.38 LL(φ̂1 |μ̂ = 22.01, σ̂a2 = 7.47) for an AR1 Model of Admitt 158
3.39 LL(θ̂0 |θ̂1 = −0.22, σ̂a2 = 2.74) for an MA1 Model of UKGDPt 159
3.40 LL(θ̂1 |θ̂0 = 1.46, σ̂a2 = 2.74) for an MA1 Model of UKGDPt 160
4.1 Forecast Profile for a White Noise Time Series 176
4.2 Forecast Profile for an AR1 Time Series 178
4.3 Forecast Profile for a Random Walk Time Series 179
L I S T O F F I G U R E S A N D TA B L E S ix

4.4 Forecast Profile for an MA1 Time Series 181

4.5 Forecast Profile for a Seasonal Time Series 182
5.1 Four Useful Impact Models 187
5.2 Directory Assistance Calls (McSweeney, 1978) 189
5.3 Weekly Productivity Measures, PRDt 192
5.4 Sample ACFs, PRDt , and ∇PRDt 193
5.5 Surgical Site Infection Rates (Garey et al., 2008) 194
5.6 Surgical Site Infection Rates, Residual ACFs 195
5.7 New Hampshire Medicaid Prescriptions (Wagner et al., 2002) 196
5.8 Sample ACF and PACF for ât = Prescript − 5.21 + 2.4It−11 − 1.3It 197
5.9 Percent “Clean” Urine Samples (Kirby et al., 2008) 200
5.10 Sample ACF and PACF, ât = Cleant − 21.2 − 12.8IAt − 16.6IBt 201
5.11 First-Order Transfer Functions of It , 0 ≤ δ1 ≤ 1 203
5.12 Monthly British Traffic Fatalities (Harvey, 1989) 208
5.13 “Talking Out” Incidents (Hall et al., 1971) 211
5.14 Identification, ât = Talkt − 19.3 + 6.8(1 + .56)−1 It 213
5.15 Cholera Deaths Near the Broad Street Pump, 1854 (Lai, 2013) 214
5.16 Gallup Quarterly Presidential Popularity 215
5.17 First-Order Transfer Functions of ∇It , 0 ≤ δ1 ≤ 1 216
5.18 Daily Self-Injurious Behavior for Two Patients 218
5.19 Australian Divorce Rates (Ozdowski and Hattie, 1981) 221
5.20 Monthly Public Drunkenness Arrests, Washington D.C. 223
5.21 Variance, −4 ≤ λ ≤ 3 224
5.22 Log-Transformed Monthly Public Drunkenness Arrests,
Washington D.C. 225
5.23 Residual ACF and PACF (Model 1, Table 5.17) 226
6.1 Critical Regions for Two-Tailed and One-Tailed Tests of H0 240
6.2 Monthly Sales Before and After a Broadcast (Coleman and
Wiggins, 1996) 241
6.3 Statistical Power for a Time Series Experiment, Effect Size 243
6.4 Statistical Power for a Time Series Experiment, Post-Intervention
Observations 243
6.5 Boston Armed Robberies 252
6.6 Logarithms, Boston Armed Robberies 253
6.7 Hyde Park Purse Snatchings 254
6.8 Histogram: Days with Exactly M Purse Snatchings 255
6.9 Bedtime Disruptions for a Three-Year-Old Boy
(Friman et al., 1999) 259
6.10 Annual Physician Expenditures from Two Sources
(Meltzer et al., 1980) 263
7.1 Annual U.S. Motocycle Fatality Rates (Ross and McCleary, 1983) 276
x L I S T O F F I G U R E S A N D TA B L E S

7.2 Weekly Productivity in the Bank Wiring Room

(Franke and Kaul, 1978) 277
7.3 Tucson UCR Burglaries (McCleary, Nienstedt, and Erven, 1981) 278
7.4 Diabetes Mortality Rates (Mausner and Kramer, 1985) 279
7.5 Connecticut Motor Vehicle Fatalities, Annual Means 282
7.6 Connecticut Motor Vehicle Fatalities, Monthly Totals 282
7.7 British Breathalyzer Experiment (Ross et al., 1971) 285
7.8 Analgesic Poisoning Suicides in England and Wales
(Hawton et al., 2009) 286
7.9 European Puerperal Death Rates (Legge, 1985) 287
7.10 UCR Property Crimes in 80 Cities (Hennigan et al., 1981) 288
7.11 Per Capita Cigarette Sales, California vs. All Other States 299
7.12 Per Capita Cigarette Sales,California vs. Synthetic California 300
7.13 Motor Vehicle Fatality Rates, California vs. 41 Donor States 304
7.14 Motor Vehicle Fatality Rates, California vs. Synthetic California 304
7.15 Post-Intervention Change (Annual Fatalities per 100,000) 307
7.16 Post-Intervention MSPE 308
8.1 Monthly California Prison Admissions, 1980–2007 319
8.2 Patients Treated for Gunshot or Knife Wounds, Calendar Months 321
8.3 Patients Treated for Gunshot or Knife Wounds, 28-Day Months 321
8.4 Sri Lankan Neonatal Tetanus Death Rates (Veney, 1993) 326
8.5 Impact Defined by Changes in Levels and Slopes 329
8.6 Readmissions to a State Psychiatric Hospital: Change-in-Level
Model 330
8.7 Readmissions to a State Psychiatric Hospital: Change-in-Slope
Model 330
9.1 U.K. Standardized Prescriptions by Practitioner 341
9.2 U.K. Standardized Prescriptions by Antibiotic 341

TABLES

1.1 Four Validities (Shadish et al., 2002) 14

2.1 Three Basic Autocovariance Functions 34
2.2 Rules and Definitions 70
2.3 Four Example Sequences 72
2.4 Rules for Evaluating Series 73
3.1 Sample ACFs 90
3.2 Estimation and Diagnosis 91
3.3 Goodness-of-Fit Statistics for β-Particles and South Carolina
Homicides 94
L I S T O F F I G U R E S A N D TA B L E S xi

3.4 Estimation and Diagnosis, Infltnt 96

3.5 Estimation and Diagnosis, UKGDPt 100
3.6 Estimation and Diagnosis, Admitt 102
−1/2
3.7 Identification, Wheatt 107
−1/2
3.8 Estimation and Diagnosis, Wheatt 110
3.9 The Box-Cox Transformation Function 111
1/2
3.10 Identification, Sunspott 113
1/2
3.11 Estimation and Diagnosis, Sunspott 114
3.12 Identification, Skirtt 116
3.13 Estimation and Diagnosis, Skirtt 117
3.14 Estimation and Diagnosis, Ln(Tubrct ) 121
1/4
3.15 Identification, Prcpt 125
1/4
3.16 Estimation and Diagnosis, Prcpt 127
3.17 Identification, CO2t 129
3.18 Estimation and Diagnosis, CO2t 130
1/2
3.19 Identification, AuFtlt 133
1/2
3.20 Estimation and Diagnosis, AuFtlt 133
3.21 Model Selection Criteria 137
3.22 Critical Values for the Unit Root Test Statistics 143
3.23 Unit Root Test for Infltnt 146
3.24 Unit Root Test, Ln(Tubrct ) 147
3.25 Unit Root Test for Infltnt 147
3.26 ARMA Model Score Functions 161
4.1 π-Weight Identities of ARIMA Models 171
4.2 ψ-Weight Identities of ARIMA Models 173
4.3 Forecast Profiles 183
5.1 Directory Assistance Calls, Identification 190
5.2 Estimation and Diagnosis, Callst 191
5.3 Estimation and Diagnosis, ∇PRDt 193
5.4 Surgical Site Infection Rates, Estimation and Diagnosis 195
5.5 Medicaid Prescriptions, Estimation and Diagnosis 198
5.6 Estimation and Diagnosis, Cleant 201
5.7 Australian Traffic Fatalities, Estimation and Diagnosis 204
5.8 Impact of the Australian Seatbelt Law 207
5.9 British Traffic Fatalities, Identification 209
5.10 British Traffic Fatalities, Estimation and Diagnosis 210
5.11 “Talking Out,” Estimation and Diagnosis 213
5.12 Impact of the “Talking Out” Intervention 213
5.13 Self-Injurious Behavior, Estimation and Diagnosis 219
5.14 Impact of a Placebo Intervention 219
xii L I S T O F F I G U R E S A N D TA B L E S

5.15 Australian Divorces, Estimation and Diagnosis 222

5.16 Impact of the 1975 Family Law Act 222
5.17 Log Public Drunkenness Arrests, Estimation and Diagnosis 225
5.18 Decriminalization Impact in the First Year (1969) 226
6.1 Threats to Statistical Conclusion Validity (Shadish et al., 2002) 232
6.2 The Modern Hypothesis Test as a Jury Trial 238
6.3 Monthly Sales, Estimation and Diagnosis 242
6.4 The Bayesian Vocabulary 246
6.5 Interpreting Bayes Factors (Raftery, 1995, Table 6) 248
6.6 Threats to Statistical Conclusion Validity 251
6.7 Poisson Parameter Estimates, Hyde Park Purse Snatchings 256
6.8 ARIMA Models, Hyde Park Purse Snatchings 257
6.9 Useful Facts and Formulae 271
7.1 Threats to Internal Validity (Shadish et al., 2002) 274
7.2 Model Selection, Connecticut Crackdown on Speeding 283
7.3 Medical Marijuana Laws by State and Five-Year Period 303
7.4 Results of a “Discard-a-State” Test 310
7.5 Results of “Discard-a-Segment” Test 310
7.6 Synthetic California Constructed from Predictors 311
8.1 Threats to Construct Validity (Shadish et al., 2002) 317
8.2 Threats to Construct Validity for Time Series Designs 318
8.3 Patients Treated for Gunshot or Knife Wounds,
Various Aggregations 322
8.4 Estimation and Diagnosis for Two Trauma Patient Time Series 323
8.5 Estimation and Diagnosis, Tetanust 327
8.6 Parameter Estimates for Pandiani and Girardi (1993) 331
9.1 Threats to External Validity (Shadish et al., 2002) 334
 PREFACE

Two of us began serious work on this book in 2009. Prior to 2009, we had
granted university copy centers permission to freely reproduce our earlier work.
That seemed to satisfy the classroom demand for an accessible treatment of
time series experiments—perhaps fifty to 300 copies per year—as well as our
ability to field readers’ inquiries about the examples used in this work. So before
jumping into this project, we debated two questions. First, did the world need
another book-length treatment of time series experiments? Second, did we have
the time and energy to master the intricate details of a new set of examples?
The answer to the first question is, obviously, Yes. The answer to the second
question—No—explains the presence of a co-author who will field complaints,
suggestions, and questions.
Our affirmative answer to the first question reflects the ever-increasing interest
in time series experiments, especially in the health sciences, as well as some of the
emerging ways to draw causal inferences from quasi-experimental results. It is not
much of an exaggeration to attribute the time series experiment per se to Donald
T. Campbell and collaborators Thomas D. Cook, Gene V. Glass, George C. Tiao,
and others. Campbell’s approach to validity, which guides the development of this
book, is implicitly causal. An intervention is presumed to cause a change in the level
of a time series if the enumerated threats to validity can be ruled out—or rendered
implausible. Most psychologists are taught the design of time series experiments
from Campbell’s perspective and it has served them well.
A newer way to think about the design of time series experiments is due
to Donald B. Rubin and collaborators Paul W. Holland, Guido W. Imbens,
Paul R. Rosenbaum, and others. Rubin’s approach is explicitly causal. If the
unobserved counterfactual part of an impact can be inferred from the observed
factual part, then a causal relationship can be inferred. The inferential process is
more complicated than this simple statement, of course. Rubin causality extends
xiv P R E FA C E

valid causal inference to non-experimental time series designs, however—or time

series quasi-experiments as they are called—and that development was a major
stimulus for this book.
The potential of Rubin causality was first realized and exploited by economists
working in program evaluation. Our development of this material retains the
major features of Campbell’s approach while integrating the central feature of
Rubin’s approach. In our opinion, the approaches of Campbell and Rubin are
parallel and complementary. A few differences between the two approaches are
obvious, nevertheless, especially in the way that control time series are chosen and
analyzed. This major difference between the two approaches cannot be ignored.
Over the years, we have benefitted from discussions with and feedback and
criticism from many. Needless to say, errors in our thinking cannot be attributed
to any of these individuals. The influence of our teachers, including Howie
Becker, Dick Berk, Don Campbell, Tom Cook, Ken Land, and George Tiao,
may be apparent. We also benefitted from interactions with colleagues, including
Tim Bruckner, Ray Catalano, Keith Hawton, Ross Homel, Val Jenness, Tom
Kratochwill, Lon-Mu Liu, Colin Loftin, Mike Maltz, Cheryl Maxson, Errol
Meidinger, Curt Sandman, Nick Scurich, Will Shadish, Dean Simonton, Sheldon
Stone, Bryan Sykes, Alex Wagenaar, and Brian Wiersema. We also benefitted from
interactions with our students, of course, especially Tanya Anaya, Chris Bates,
Nicholas Branic, Mitch Chamlin, Christine Champion, Jun Chu, Jason Gravel,
Michelle Mioduszewski, Carol Newark, Matt Renner, Sanjeev Sridharan, and
Doug Wiebe.
Several people made explicit contributions to the project. Tim Bruckner,
Ray Catalano, Keith Hawton, Will Shadish, Sheldon Stone, Bryan Sykes, Alex
Wagenaar, and Doug Wiebe provided time series data and comments on early
drafts. Unbeknownst to them, many of these individuals also tutored us on
alcohol and traffic injury epidemiology (Alex Wagenaar), demography (Bryan
Sykes), social epidemiology (Tim Bruckner and Ray Catalano), nosocomial
disease (Sheldon Stone and Doug Wiebe), and general causal inference (Will
Shadish). Bill Lattyak of Scientific Computing Associates was exceptionally
generous with his time and counsel, even to the point of modifying our software
on several occasions.
Two people made implicit contributions. First, this book would not have been
written without Tom Cook’s early support and intellectual nurturing. We have
tried to convey his notions of causality in this book and to express them in
his narrative style. To the extent that the book succeeds, thank Tom Cook.
Second, if it is not obvious, the title of this book is an homage to Gene Glass, a
constant vicarious source of inspiration. Although the meaning of “design” has
changed drastically in the 40 years since Glass et al. (1975), the design–causality
connection is unchanged.
P R E FA C E xv

This project could not have succeeded without the support of our universities.
We are grateful for the long-term support of colleagues and staff at Albany
and Irvine, especially Mary Underwood. Finally, this project would have failed
without the sustained encouragement and support of our families. For that, we are
indebted to Alex, Angela, David, and Kaitlin McCleary; to Cynthia and Alexandra
McDowall; to John and Susan Bartos; and to Natalie Bock: “When you are old
and grey and full of sleep, and nodding by the fire, take down this book . . .”
Design and Analysis of Time Series
Experiments
 1

Introduction

The “pretest-posttest” experimental design has never been highly regarded

as an experimental technique in the behavioral sciences and for good
reasons.
—Glass, Willson, and Gottman (1975)

The “pretest-posttest” design referred to so dismissively by Glass et al. is the

design that Campbell and Stanley (1966, pp. 7–12) call the “one-group pretest-
posttest.” Using the conventional notation where observations and interventions
are represented by Os and Xs respectively, this design is diagrammed as

Opre X Opost

In a treatise aimed at unifying experimental and quasi-experimental designs,

Campbell and Stanley relegate the pretest-posttest design to a special cate-
gory: Along with the “one-shot case study” and “static group comparison,” it
is a pre-experimental design. Our view of the pretest-posttest design is more
qualified. Though agreeing with Campbell and Stanley and Glass et al. that
the pretest-posttest design is utterly without merit, we must add that, to our
knowledge, no peer-reviewed social science research has actually used this design.
The pretest-posttest design is used almost exclusively for didactic purposes,
especially for demonstrating the validity, utility, and flexibility of the time series
designs that are the focus of this book.
Now of the hundred or so time series books published each year, most focus on
forecasting. These books are aimed at students in business and engineering. Our
book is distinguished not only by its focus on the design and analysis of time series
experiments but by its intended audience of behavioral, biomedical, and social
scientists. Our focus and audience dictate an idiosyncratic approach. We develop
2 D E S I G N A N D A N A LY S I S O F T I M E S E R I E S E X P E R I M E N TS

epistemological issues, such as causality and validity, and statistical issues, such
as estimation and uncertainty, as an integrated whole. Some readers may find
this approach exasperating, especially if their purpose is to acquire a superficial
“how-to” understanding of an application. Our approach aims to demonstrate not
only “how to do” a time series experiment but also, how to interpret the analytic
results.
Although this present book builds on and extends our prior work (McCleary
et al., 1980; McDowall et al., 1980), it takes a more eclectic view of the topic. Due
largely to the work of Campbell (1957, 1969; Campbell and Stanley, 1966; Cook
and Campbell, 1979; Shadish et al., 2002),“time series experiment” (or more
properly, “quasi-experiment”) has come to mean a simple contrast of pre- and
postintervention time series levels. While this narrow definition simplifies the
explication of design issues, especially validity, it obscures the statistical problems
shared by all longitudinal analyses.
Since virtually all confirmatory time series analyses confront the same set of
obstacles, we expand “time series experiment” in this book to include three design
variations: the descriptive time series experiment, the interrupted time series
experiment, and the concomitant time series experiment. Purely descriptive
time series designs do not support valid causal inference. We use that design
to illustrate some of the principles of design. Valid causal inference requires a
well-designed interrupted or concomitant time series experiment.
Time series designs are distinguished from other designs by the properties of
time series data and by the necessary reliance on a statistical model to control
threats to validity. In the long run, a time series is a realization of a latent causal
process. We represent the complete time series as

. . .Y−1 , Y0 , [Y1 , Y2 , . . ., YN ], YN+1 , . . .

The observed time series [Y1 , Y2 , . . ., YN ] is a probability sample of the complete

realization whose sampling weights are specified in a statistical model. For present
purposes, we write the full model in a general linear form as the sum of “noise”
and “exogenous” components:

Yt = N(at ) + X(It )

The at term of this model is the tth observation of a strictly exogenous innovation
time series with the “white noise” property,

at ∼ iid Normal(0, σa2 )

The It term is the tth observation of a causal time series. Although It is ordinarily
a binary variable coded for the presence or absence of an intervention, it can also
Introduction 3

be a purely stochastic time series. In either case, the model is constructed by a set
of rules that allow for the solution,

at = N −1 [Yt − X(It )]

Since at has white noise properties, the solved model satisfies the assumptions
of all common tests of significance. In the context of an appropriately specified
design, moreover, the results of these tests can be interpreted causally.

1.1 THREE DESIGNS

We elaborate on the specific forms of the general model and on the set of rules for
building models at a later point. For present purposes, the general model allows
three design variations: (1) descriptive time series designs, (2) correlational time
series designs, and (3) experimental or quasi-experimental time series designs.
Descriptive Designs. The simplest time series design, which we call a “descrip-
tive” design, consists of decomposing the series into elementary components,
such as trends and cycles, and then interpreting the time series components.
Informal descriptive analyses often precede formal hypothesis testing. But lacking
any interpretation—no hypothesis tests about trends or cycles, i.e.—we are
reluctant to call this activity an experiment. When hypotheses about trends
or cycles are tested, in contrast, descriptive analyses qualify as primitive time
series experiments. Early historical examples include Wolf ’s (1848; Yule, 1927;
Izenman, 1983) investigation of sunspot activity and Elton’s (1924; Elton and
Nicholson, 1942) investigation of lynx populations. In both examples, time series
analyses revealed cycles or trends that corroborated substantive interpretations of
the phenomenon.
Kroeber’s (1919; Richardson and Kroeber, 1940) analyses of cultural change
illustrate the unsuitability of descriptive time series designs to many social and
behavioral phenomena. Kroeber (1969) hypothesized that women’s fashions
change in response to political and economic variables. During stable periods
of peace and prosperity, fashions changed slowly; during wars, revolutions, and
depressions, fashions changed rapidly. Since political and economic cataclysms
were thought to recur in long historical cycles, Kroeber tested his hypothesis by
searching for the same cycles in women’s fashions.
Figure 1.1 plots one of Kroeber’s annual fashion time series: 150 years of
mean skirt widths collected by Richardson and Kroeber (1940) from museum
fashion plates. The time series appears to have two distinct trends. Until 1860,
skirts get wider. Thereafter, skirts get narrower. Kroeber (1969) argued that this
pattern was not two trends but, rather, a cycle. In his view, women’s fashions were
4 D E S I G N A N D A N A LY S I S O F T I M E S E R I E S E X P E R I M E N TS

Skirt Widths
120

100

80

60

40

20

0
1800 1820 1840 1860 1880 1900 1920
Year

Figure 1.1 Annual Skirt Widths (Richardson and Kroeber, 1940)

stable – or trendless – over time. In those rare periods when fashions did change,
the causal agent was a complex construct called “sociocultural unsettlement” that
could be inferred from historical events such as wars, revolutions, and depres-
sions. Since episodes of cultural unsettlement were thought to recur cyclically,
Kroeber reasoned that fashions would change in the same broad cycles. When the
deterministic components are removed from this series, as Kroeber predicted, the
residuals during periods of cultural unsettlement are larger than expected.
Kroeber (1969) argued that simple descriptive time series experiments of
this sort are an ideal means of testing causal hypotheses. If a pattern of change
is not due to chance, then it must have empirically discoverable causes. The
descriptive time series experiment, in this sense, distinguishes anthropology from
history. Readers with a survey knowledge of stochastic processes might find
Kroeber’s argument difficult to accept, of course. Wholly random processes can
and do generate ostensibly non-random patterns of change. The apparent cycle
in Figure 1.1 is not much different than what would be realized from a sequence
of coin flips.
Figure 1.2 shows a second example of the descriptive time series experiment.
These data are annual proportions of Canadian homicides where the offender and
victim are married (“Spouse” ) and where the offender and victim are strangers
(“Stranger”). Silverman and Kennedy (1987) argue that these two types of
homicide follow distinctively different trends. There is a theoretical basis to this
claim. Whereas spousal homicides often result from routine interactions between
intimates, stranger homicides result from impersonal social disintegration pro-
cesses. From their visual inspection of these two time series, Silverman and
Kennedy conclude that spousal homicides are falling while stranger homicides
Introduction 5

Percent
of Total
40
Spouse
35

30

25

20
Stranger
15

10
1965 1970 1975 1980
Year

Figure 1.2 Canadian Homicides (Silverman and Kennedy, 1987)

are rising. The spousal homicide time series does seems to trend downward
but the trend is not obviously significant. To our eyes, moreover, the stranger
homicide time series is not trending upward. Like beauty, of course, trend is in the
eye of the beholder. In fact, the difference in the trends of these two time series is
not significant.
Whereas other time series designs treat N(at ) as a “nuisance” function whose
sole purpose is to control the threats to statistical conclusion validity posed by
cycles and trends, the descriptive design infers substantive explanations from
N(at ). As these examples demonstrate, however, it is difficult if not impossible
to infer causal relationships from trends and cycles. The inferential problems
inherent to descriptive time series experiments parallel those of the “one-shot
case study” design (Campbell and Stanley, 1966). As in the one-shot case
study, most descriptive time series designs are unable to rule out alternative
rival hypotheses. As a consequence, most descriptive time series experiments
are uninterpretable. There are exceptions, of course, but for the most part, this
simplest, most primitive time series design is unlikely to uncover valid causal
relationships. Although the statistical models and methods developed for the
analysis of descriptive designs are applied for exploratory purposes (see Mills,
1991), they are currently not widely used for null hypothesis tests.
Correlational Designs. A second type of time series experiment attempts to
infer a causal relationship between two series from their covariance. Historical
examples include Chree’s (1913) analyses of the temporal correlation between
sunspot activity and terrestrial magnetism and Beveridge’s (1922) analyses of
the temporal correlation between rainfall and wheat prices. The validity of
6 D E S I G N A N D A N A LY S I S O F T I M E S E R I E S E X P E R I M E N TS

Cotton Prices ($) Lynchings

70 160
Lynchings 140
60
120
50
100
40
80
30
60
20
40
10 Cotton 20
Prices
0 0
1880 1890 1900 1910 1920 1930
Year

Figure 1.3 Cotton Prices and Lynchings (Hovland and Sears, 1940)

correlational inferences rests heavily on theory, of course. When theory points

to a single causal effect operating at discrete lags, as in these natural science
examples, correlational designs support unambiguous causal interpretations.
Lacking a strong theoretical specification, however, correlational designs do not
allow strong causal inferences. Two social science examples illustrate this point.
Hovland and Sears (1940) used the cotton price and lynching time series
plotted in Figure 1.3 to test the frustration-aggression hypothesis (Dollard et al.,
1939). Hovland and Sears hypothesized that aggressive acts such as lynchings
would rise in bad economic times and fall in years of prosperity. To test this
hypothesis, Hovland and Sears estimated the Pearson product-moment correla-
tion between the number of lynchings and cotton prices during the 1882–1930
period. Assuming that the correlation would be zero in the absence of a causal
relationship, Hovland and Sears interpreted a statistically significant correlation
as corroborating evidence. Due to common stochastic time series properties,
however, especially trend, causally independent time series will be correlated.
Controlling for trend, Hepworth and West (1989) report a small, significant
negative correlation between these series but warn against causal interpretations.
The correlation is an artifact of the war years 1914–18 when the demand for
cotton and the civilian population moved in opposite directions (McCleary,
2000). Excluding the war years, the correlation is not statistically significant.
The time series plotted in Figure 1.4 shows a more recent correlational time
series experiment. Polyson et al. (1986) argue that because the Minnesota
Multiphasic Personality Inventory (MMPI) and Rorschach tests are based on
competing approaches to personality assessment, citations for the two tests
should be negatively correlated—a productive year for one test should imply
Introduction 7

Citations
Rorschach
150

100
MMPI

50

0
1950 1955 1960 1965 1970 1975 1980 1985
Year

Figure 1.4 Annual Rorschach and MMPI Citations (Polyson et al., 1986)

an unproductive year for the other. As predicted, the Pearson product-moment

correlation coefficient between the two series is negative and statistically signif-
icant. Estimating a correlation between two time series is more difficult than
one might think, however. It is tempting to treat the two time series as if they
were cross-sectional samples. And if time series observations had white noise
properties, any statistic could be estimated by simply plugging the data into
the appropriate cross-sectional formula. Time series observations are seldom
independent, however, and given any trend or cyclical behavior, the estimated
correlation coefficient between two series will invariably overstate their true
relationship. Controlling for their common trend, O’Grady (1988) shows that the
correlation reported by Polyson et al. is an artifact.
Where theory supports strong specification, correlational time series designs
continue to be used. Other than limited areas in economics and psychology,
however, social theories will not support the required specification. Even in these
areas, causal inference may require the narrow definition of “Granger causality”
(Granger, 1969) to rule out plausible alternative interpretations.
Interrupted Time Series Designs. The third type of time series design infers
the latent causal effect of a temporally discrete intervention, or treatment, from
discontinuities or interruptions in a time series. Campbell and Stanley (1966,
pp. 37–43) call this design the “time series experiment” and its use is currently the
major application of time series data for causal inference. Historical examples of
the general approach include investigations of workplace interventions on health
and productivity by the British Industrial Fatigue Research Board (Florence,
1923) and by the Hawthorn experiments (Roethlisberger and Dickson, 1939).
Fisher’s (1921) analyses of agricultural interventions on crop yields also relied on
variants of the time series experiment.
8 D E S I G N A N D A N A LY S I S O F T I M E S E R I E S E X P E R I M E N TS

Directory Assistance
Calls x 10–3
1000 $0.20 Charge for
Directory Assistance

800

600

400

200

0
1962 1964 1966 1968 1970 1972 1974 1976
Year

Figure 1.5 Cincinnati Directory Assistance Calls (McSweeney, 1978)

In the simplest case of the design, a discrete intervention breaks a time

series into pre- and post-intervention segments of Npre and Npost observations.
For pre- and post-intervention means, μpre and μpost , analysis of the experiment
tests the null hypothesis1

H0 : ω = 0 where ω = μpost − μpre

against the alternative

HA : ω  = 0

Rejecting H0 , HA attributes ω to the intervention. In practice, however, treatment

effects are almost always more complex than the simple change in level implied
by this null hypothesis.
The time series plotted in Figure 1.5 is typical in one sense, atypical in
another. Monthly calls to Cincinnati Directory Assistance (McSweeney, 1978)
rise steadily, beginning in 1962. When Cincinnati Bell begins to charge for these
calls, the monthly number of calls drops abruptly to a new, lower level. Since
abrupt interruptions are not a natural feature of time series processes, the inter-
ruption can be interpreted as the causal effect of the exogenous intervention. The
magnitude and abruptness of the effect renders all other interpretations implau-
sible. Not all time series quasi-experiments can be interpreted so confidently.

1. Some readers may quarrel with this early description of hypothesis testing, especially our use of
H0 and HA and p-values. We return to this topic in Chapter 6 where we discuss statistical conclusion
validity.
Introduction 9

Self-Injurious
Behavior Naltrexone
Regimen
8
Begins
7

0
5 10 15 20 25 30 35 40 45 50
Day

Figure 1.6 Self-Injurious Behavior (McCleary et al., 1999)

Figure 1.6 is a more typical example. These data are 50 daily self-injurious
behavior counts for an institutionalized patient (McCleary et al., 1999). On
the 26th and subsequent days, the patient is treated with naltrexone, an opiate
blocker. The plotted time series leaves the visual impression that the opiate
blocker has reduced the incidence of self-injurious behavior. Indeed, the dif-
ference in means for the 25 pre- and 25 post-intervention days amounts to a
42 percent reduction in self-injurious behavior. Visual evidence can be deceiving,
of course, and that is why we need statistical time series analyses of the sort
described in this book.
The most obvious difference between the Directory Assistance and self-
injurious behavior experiments is the relative magnitudes of their effects. In
the Directory Assistance experiment, the proportion of variance due to the
intervention dwarfs the proportion due to trends, cycles, and background noise.
A statistical analysis might be superfluous. In the self-injurious behavior exper-
iment, on the other hand, the proportion of variance due to the naltrexone
intervention is more modest. A statistical analysis might be recommended.
Another apparent difference is less important than some readers would suspect.
Whereas the self-injurious behavior experiment is a true experiment, the Direc-
tory Assistance experiment is, strictly speaking, a quasi-experiment. In other
contexts, experimental manipulation of an intervention controls powerful threats
to internal validity. In a time series design, however, the most plausible threat
to internal validity —“maturation”—cannot be controlled by design but, rather,
must be controlled by a statistical model.
10 D E S I G N A N D A N A LY S I S O F T I M E S E R I E S E X P E R I M E N TS

The necessary reliance on a statistical model to control common threats to

internal validity distinguishes time series designs from cross-sectional and simple
before–after designs. The randomization procedures that are widely used to con-
trol threats to internal validity in these other designs may be counterproductive
in time series designs. Indeed, compared to the threats to statistical conclusion,
construct, and external validities, the common threats to internal validity play
smaller roles in a time series experiment.

1.2 FOUR VALIDITIES

Suppose that a large sample of scientists was invited to a professional meeting

organized around the topic of “validity.” Most attendees would have little interest
in the general topic. Left on their own, they would spend their time connecting
with colleagues to discuss the core phenomena of their disciplines: molecules,
cells, population dynamics, etc. In fact, in what Kuhn (1996) might call the
“normal science” disciplines, scientists have neither an interest in nor a practical
need to understand the nuances of validity. A minority of attendees at our hypo-
thetical meeting would be drawn to sessions focused on specific applications.
Some psychologists and some physicists might attend sessions dealing with
measurement, for example, while scientists who design and conduct randomized
controlled trials might attend sessions on decision making. A smaller group might
be drawn to sessions focused on synthetic review methods and though it would
be their second choice, any of the attendees might wander in and out of sessions
focused on causality.
The point of this fable is that validity comes in four natural flavors: statistical
conclusion, internal, construct, and external. There is no a priori reason why
the number of flavors should be fixed at four, much less these specific four. The
four natural flavors have survived many practical tests, however. The alternative
validity flavors that are proposed from time to time make only minor contribu-
tions, on the other hand, and are often cumbersome and difficult to apply. In that
respect, the four natural validity flavors are Aristotelian supergenera from which
less general flavors can be derived. Attempts to reduce the four natural flavors
into components have also proved unsuccessful. Upon inspection, proposed
component flavors turn out to be attempts to relabel the four natural flavors. Even
Campbell (1986) tried to rename internal and external validity. Although the
four natural validity flavors could benefit from shorter, more descriptive names,
relabeling them would be wasteful and, probably, futile. We will use the accepted
names and definitions that are familar to most readers.
The proximal ancestor of the four-validity system is the two-validity system
proposed initially by Campbell (1957) and then elaborated upon by Campbell
Another random document with
no related content on Scribd:
 (p. 126).
Idotheidae (p. 127).
Valvifera (p. 127)
Arcturidae (p. 127).
Asellidae (p. 128).
Asellota (p. 127) Munnopsidae
(p. 128).
Oniscoida (p. 128).
Microniscidae
(p. 130).
Cryptoniscidae
(p. 130).
Liriopsidae (p. 130).
Hemioniscidae
Cryptoniscina (pp. 129, 130) (p. 130).
Cabiropsidae
(p. 130).
Epicarida
Podasconidae
(p. 129)
(p. 130).
Asconiscidae
(p. 130).
Dajidae (p. 130).
Phryxidae (p. 130).
Bopyrina (pp. 129, 130, 132) Bopyridae (pp. 130,
133).
Entoniscidae
(pp. 130, 134).
Phreatoicidae
Phreatoicidea (p. 136)
(p. 136)
Lysianassidae
(p. 137).
Haustoriidae (p. 137).
Crevettina (p. 137) Gammaridae
Amphipoda (p. 138).
(p. 136) Talitridae (p. 139).
Corophiidae (p. 139).
Caprellidae (p. 139).
Laemodipoda (p. 139)
Cyamidae (p. 140).
Hyperina (p. 140).
Hoplocarida
Stomatopoda (p. 141) Squillidae (p. 143).
(p. 141)
Eucarida Euphausiidae
Euphausiacea (p. 144)
(p. 144) (p. 144).
Decapoda Macrura Nephropsidae
(p. 152) (p. 153) (p. 154).
Nephropsidea (p. 154)
Astacidae (p. 157).
Parastacidae (p. 157).
Eryonidea (p. 157) Eryonidae (p. 158).
Peneidae (p. 162).
Sergestidae (p. 162).
Peneidea (pp. 158, 162)
Stenopodidae
(p. 162).
Caridea (pp. 158, 163) Pasiphaeidae
(p. 163).
Acanthephyridae
(p. 163).
Atyidae (p. 163).
Alpheidae (p. 163).
 Psalidopodidae
(p.164).
Pandalidae (p. 164).
Hippolytidae
(p. 164).
Palaemonidae
(p. 164).
Glyphocrangonidae
(p. 164).
Crangonidae (p. 164).
Palinuridae (p. 167).
Loricata (p. 165)
Scyllaridae (p. 167).
Callianassidae
Thalassinidea (p. 167)
(p. 167).
Aegleidae (p. 169).
Galatheidae (p. 169).
Galatheidea (p. 168)
Porcellanidae
(p. 170).
Albuneidae (p. 171).
Hippidea (p. 170)
Hippidae (p. 171).
Pylochelidae (p. 180).
Anomura Paguridae (p. 180).
(p. 167) Eupagurinae
(p. 180).
Pagurinae (p. 180).
Paguridea (p. 171)
Coenobitidae (p. 181).
Lithodidae (p. 181).
Hapalogastorinae
(p. 181).
Lithodinae (p. 181).
Brachyura Dromiidae (p. 184).
(p. 181) Dynomenidae
Dromiacea (p. 183)
(p. 184).
Homolidae (p. 184).
Calappidae (p. 187).
Leucosiidae (p. 188).
Oxystomata (p. 185)
Dorippidae (p. 188).
Raninidae (p. 188).
Corystidae (p. 190).
Atelecyclidae
(p. 190).
Cancridae (p. 191).
Cyclometopa (p. 188) Portunidae (p. 191).
Xanthidae (p. 191).
Thelphusidae =
Potamonidae
(p. 191).
Maiidae (p. 193).
Parthenopidae
Oxyrhyncha (p. 191) (p. 193).
Hymenosomatidae
(p. 193).
Catometopa (p. 193) Carcinoplacidae
(p. 195).
Gonoplacidae
(p. 195).
Pinnotheridae
(p. 195).
 Grapsidae (p. 196).
Gecarcinidae
(p. 196).
Ocypodidae (p. 196).

TRILOBITA (p. 221).

Families
Agnostidae (p. 244).
Shumardiidae (p. 245).
Trinucleidae (p. 245).
Harpedidae (p. 245).
Paradoxidae (p. 246).
Conocephalidae = Conocoryphidae (p. 247).
Olenidae (p. 247).
Calymenidae (p. 247).
Asaphidae (p. 249).
Bronteidae (p. 249).
Phacopidae (p. 249).
Cheiruridae (p. 250).
Proëtidae (p. 251).
Encrinuridae (p. 251).
Acidaspidae (p. 251).
Lichadidae (p. 252).
 ARACHNIDA (p. 255).

DELOBRANCHIATA = MEROSTOMATA (pp. 258, 259).

Orders. Sub-Orders. Families. Sub-Families.
Xiphosurinae
Xiphosuridae (p. 276).
Xiphosura (pp. 258, 259, 276)
(p. 276) Tachypleinae
(p. 276).
Eurypterida = Gigantostraca (pp. 258, 283) Eurypteridae (p. 290).

EMBOLOBRANCHIATA (pp. 258, 297).

Buthinae (p. 306).

Buthidae (p. 306)
Centrurinae (p. 306).
Diplocentrinae
(p. 307).
Urodacinae (p. 307).
Scorpionidae Scorpioninae
(p. 306) (p. 307).
Hemiscorpioninae
(p. 307).
Scorpionidea (pp. 258, 297) Ischnurinae (p. 307).
Chaerilidae (p. 307).
Megacorminae
(p. 308).
Chactidae (p. 307) Euscorpiinae
(p. 308).
Chactinae (p. 308).
Vejovidae (p. 308).
Bothriuridae (p. 308).
Thelyphonidae (p. 312).
Schizonotidae = Tartaridae (p. 312).
Pedipalpi (pp. 258, 308) Tarantulidae = Tarantulinae (p. 313).
Phrynidae Phrynichinae (p. 313).
(p. 312) Charontinae (p. 313).
Araneae (pp. 258, 314) Liphistiidae (p. 386).
Paratropidinae
(p. 387).
Actinopodinae
(p. 387).
Aviculariidae = Miginae (p. 387).
Mygalidae
Ctenizinae (p. 388).
(p. 386)
Barychelinae (p. 389).
Aviculariinae
(p. 389).
Diplurinae (p. 390).
Atypidae (p. 390).
Filistatidae (p. 391).
Oecobiidae = Urocteidae (p. 392).
Sicariidae = Scytodidae (p. 393).
Hypochilidae (p. 393).
Leptonetidae (p. 393).
Oonopidae (p. 393).
Hadrotarsidae (p. 394).
Dysderinae (p. 394).
Dysderidae (p. 394)
Segestriinae (p. 395).
Caponiidae (p. 395).
Prodidomidae (p. 395).
Drassinae (p. 396).
Clubioninae (p. 397).
Drassidae (p. 396)
Liocraninae (p. 397).
Micariinae (p. 397).
Palpimanidae (p. 398).
Eresidae (p. 398).
Dictynidae (p. 398).
Psechridae (p. 399).
Zodariidae = Enyoidae (p. 399).
Hersiliidae (p. 400).
Pholcidae (p. 401).
Argyrodinae (p. 402).
Episininae (p. 402).
Theridioninae
(p. 403).
Theridiidae (p. 401) Phoroncidiinae
(p. 404).
Erigoninae (p. 404).
Formicinae (p. 405).
Linyphiinae (p. 405).
Theridiosomatinae
(p. 407).
Tetragnathinae
(p. 407).
Argiopinae (p. 408).
Epeiridae (p. 406) Nephilinae (p. 408).
Epeirinae (p. 408).
Gasteracanthinae
(p. 409).
Poltyinae (p. 410).
Arcyinae (p. 410).
Dinopinae (p. 410).
Uloborinae (p. 410).
Uloboridae (p. 410)
Miagrammopinae
(p. 411).
Archeidae (p. 411).
Mimetidae (p. 411).
Thomisinae =
Misumeninae
(p. 412).
Philodrominae
(p. 413).
Thomisidae (p. 412) Sparassinae (p. 414).
Aphantochilinae
(p. 414).
Stephanopsinae
(p. 414).
Selenopinae (p. 414).
Zoropsidae (p. 415).
Platoridae (p. 415).
Cybaeinae (p. 415).
Ageleninae (p. 416).
Agelenidae (p. 415)
Hahniinae (p. 416).
Nicodaminae (p. 416).
 Pisauridae (p.416).
Lycosidae (p. 417).
Ctenidae (p. 418).
Senoculidae (p. 418).
Oxyopidae (p. 419).
Attidae = Salticidae (p. 419).
Palpigradi (pp. 258, 422).
Galeodidae (p. 428).
Rhagodinae (p. 429).
Solpuginae (p. 429).
Daesiinae (p. 429).
Solifugae = Solpugae (pp. 258, 423) Solpugidae (p. 429)
Eremobatinae
(p. 429).
Karshiinae (p. 429).
Hexisopodidae (p. 429).
Cheliferidae (p. 436)
Garypinae (pp. 436,
Chernetidea = Chernetes = Cheliferinae
437).
Pseudoscorpiones (pp. 258, 430) (p. 436).
Obisiinae (pp. 436,
437).
Podogona = Ricinulei (pp. 258, 439) Cryptosteinmatidae (p.440).
Cyphophthalmi
Sironidae (p. 448).
(p. 447)
Mecostethi = Phalangodidae (p. 448).
Laniatores Cosmetidae (p. 449).
(p. 448) Gonyleptidae (p. 449).
Phalangidea = Opiliones (pp. 258,
440) Sclerosomatinac
Phalangiidae (p.449).
Plagiostethi = (p. 449)
Phalangiinae (p. 450).
Palpatores
Ischyropsalidae (p. 451).
(p. 449)
Nemastomatidae (p. 451).
Trogulidae (p. 452).
Acarina = Acari = Acaridea (pp. 258, Vermiformia Eriophyidae = Phytoptidae (p. 464).
454) (p. 464) Demodicidae (p. 465).
Sarcoptinae (p. 466).
Analgesinae (p. 466).
Astigmata (p. 465) Sarcoptidae (p. 466)
Tyroglyphinae
(p. 466).
Oribatidae (p. 467).
Argasidae (p. 469).
Ixodoidea (p. 468)
Metastigmata Ixodidae (p. 469).
(p. 467) Gamasinae (p. 470).
Gamasidae (p. 470) Dermanyssinae
(p. 471).
Heterostigmata
Tarsonemidae (p. 471).
(p. 471)
Prostigmata (p. 471) Bdellidae (p. 471).
Halacaridae (p. 472).
Hydrachnidae (p. 472).
Trombidiidae Limnocharinae
(p. 472) (p. 472).
Caeculinae (p. 472).
Tetranychinae
(p. 472).
Cheyletinae (p. 473).
Erythraeinae (p. 473).
 Trombidiinae
(p. 473).
Notostigmata
Opilioacaridae (p. 473).
(p. 473)

Orders.

TARDIGRADA (pp. 258, 477).

PENTASTOMIDA (pp. 258, 488).

PYCNOGONIDA = PODOSOMATA = PANTOPODA (p. 501).

Families.
Decolopodidae (p. 531).
Colossendeidae = Pasithoidae (p. 532).
Eurycididae = Ascorhynchidae (p. 533).
Ammotheidae (p. 534).
Rhynchothoracidae (p. 535)
Nymphonidae (p. 536).
Pallenidae (p. 537).
Phoxichilidiidae (p. 538).
Phoxichilidae (p. 539).
Pycnogonidae (p. 539).
 CRUSTACEA

CHAPTERS I and III-VII

BY

GEOFFREY SMITH, M.A. (Oxon.)

Fellow of New College, Oxford

CHAPTER II
BY

The Late W. F. R. WELDON, M.A. (D.Sc. Oxon.)

Formerly Fellow of St. John’s College, Cambridge, and Linacre Professor of Human and
Comparative Anatomy, Oxford
 CHAPTER I
CRUSTACEA—GENERAL ORGANISATION

The Crustacea are almost exclusively aquatic animals, and they play a
part in the waters of the world closely parallel to that which insects play
on land. The majority are free-living, and gain their sustenance either as
vegetable-feeders or by preying upon other animals, but a great number
are scavengers, picking clean the carcasses and refuse that litter the
ocean, just as maggots and other insects rid the land of its dead cumber.
Similar to insects also is the great abundance of individuals which
represent many of the species, especially in the colder seas, and the
naturalist in the Arctic or Antarctic oceans has learnt to hang the
carcasses of bears and seals over the side of the boat for a few days in
order to have them picked absolutely clean by shoals of small Amphipods.
It is said that these creatures, when crowded sufficiently, will even attack
living fishes, and by sheer press of numbers impede their escape and
devour them alive. Equally surprising are the shoals of minute Copepods
which may discolour the ocean for many miles, an appearance well known
to fishermen, who take profitable toll of the fishes that follow in their
wake. Despite this massing together we look in vain for any elaborate
social economy, or for the development of complex instincts among
Crustacea, such as excite our admiration in many insects, and though
many a crab or lobster is sufficiently uncanny in appearance to suggest
unearthly wisdom, he keeps his intelligence rigidly to himself, encased in
the impenetrable reserve of his armour and vindicated by the most
powerful of pincers. It is chiefly in the variety of structure and in the
multifarious phases of life-history that the interest of the Crustacea lies.
Before entering into an examination of these matters, it will be well to
take a general survey of Crustacean organisation, to consider the plan on
which these animals are built, and the probable relation of this plan to
others met with in the animal kingdom.
The Crustacea, to begin with, are a Class of the enormous Phylum
Arthropoda, animals with metamerically segmented bodies and usually
with externally jointed limbs. Their bodies are thus composed of a series
of repeated segments, which are on the whole similar to one another,
though particular segments may be differentiated in various respects for
the performance of different functions. This segmentation is apparent
externally, the surface of a Crustacean being divided typically into a
number of hard chitinous rings, some of which may be fused rigidly
together, as in the carapace of the crabs, or else articulated loosely.
 Each segment bears typically a pair of jointed limbs, and though they
vary greatly in accordance with the special functions for which they are
employed, and may even be absent from certain segments, they may yet
be reduced to a common plan and were, no doubt, originally present on
all the segments.
Passing from the exterior to the interior of the body we find, generally
speaking, that the chief system of organs which exhibits a similar
repetition, or metameric segmentation, is the nervous system. This
system is composed ideally of a nervous ganglion situated in each
segment and giving off peripheral nerves, the several ganglia being
connected together by a longitudinal cord. This ideal arrangement,
though apparent during the embryonic development, becomes obscured
to some extent in the adult owing to the concentration or fusion of ganglia
in various parts of the body. The other internal organs do not show any
clear signs of segmentation, either in the embryo or in the adult; the
alimentary canal and its various diverticula lie in an unsegmented body-
cavity, and are bathed in the blood which courses through a system of
narrow canals and irregular spaces which surround all the organs of the
body. A single pair, or at most two pairs of kidneys are present.
The type of segmentation exhibited by the Crustacea is thus of a limited
character, concerning merely the external skin with its appendages, and
the nervous system, and not touching any of the other internal organs.[1]
In this respect the Crustacea agree with all the other Arthropods, in the
adults of which the segmentation is confined to the exterior and to the
nervous system, and does not extend to the body-cavity and its contained
organs; and for the same reason they differ essentially from all other
metamerically segmented animals, e.g. Annelids, in which the
segmentation not only affects the exterior and the nervous system, but
especially applies to the body-cavity, the musculature, the renal, and often
the generative organs. The Crustacea also resemble the other Arthropoda
in the fact that the body-cavity contains blood, and is therefore a
“haemocoel,” while in the Annelids and Vertebrates the segmented body-
cavity is distinct from the vascular system, and constitutes a true
“coelom.” To this important distinction, and to its especial application to
the Crustacea, we will return, but first we may consider more narrowly
the segmentation of the Crustacea and its main types of variation
within the group. In order to determine the number of segments which
compose any particular Crustacean we have clearly two criteria: first, the
rings or somites of which the body is composed, and to each of which a
pair of limbs must be originally ascribed; and, second, the nervous
ganglia.
 Around and behind the region of the mouth there is very little difficulty
in determining the segments of the body, if we allow embryology to assist
anatomy, but in front of the mouth the matter is not so easy.
In the Crustacea the moot point is whether we consider the paired eyes
and first pair of antennae as true appendages belonging to two true
segments, or whether they are structures sui generis, not homologous to
the other limbs. With regard to the first antennae we are probably safe in
assigning them to a true body-segment, since in some of the
Entomostraca, e.g. Apus, the nerves which supply them spring, not from
the brain as in more highly specialised forms, but from the commissures
which pass round the oesophagus to connect the dorsally lying brain to
the ventral nerve-cord. The paired eyes are always innervated from the
brain, but the brain, or at least part of it, is very probably formed of
paired trunk-ganglia which have fused into a common cerebral mass; and
the fact that under certain circumstances the stalked eye of Decapods
when excised with its peripheral ganglion[2] can regenerate in the form of
an antenna, is perhaps evidence that the lateral eyes are borne on what
were once a pair of true appendages.
Now, with regard to the segmentation of the body, the Crustacea fall
into three categories: the Entomostraca, in which the number of segments
is indefinite; the Malacostraca, in which we may count nineteen
segments, exclusive of the terminal piece or telson and omitting the
lateral eyes; and the Leptostraca, including the single recent genus
Nebalia, in which the segmentation of head and thorax agrees exactly
with that of the Malacostraca, but in the abdomen there are two
additional segments.
It has been usually held that the indefinite number of segments
characteristic of the Entomostraca, and especially the indefinitely large
number of segments characteristic of such Phyllopods as Apus, preserves
the ancestral condition from which the definite number found in the
Malacostraca has been derived; but recently it has been clearly pointed
out by Professor Carpenter[3] that the number of segments found in the
Malacostraca and Leptostraca corresponds with extraordinary exactitude
to the number determined as typical in all the other orders of Arthropoda.
This remarkable correspondence (it can hardly be coincidence) seems to
point to a common Arthropodan plan of segmentation, lying at the very
root of the phyletic tree; and if this is so, we are forced to the conclusion
that the Malacostraca have retained the primitive type of segmentation in
far greater perfection than the Entomostraca, in some of which many
segments have been added, e.g. Phyllopoda, while in others segments
have been suppressed, e.g. Cladocera, Ostracoda. It may be objected to
this view of the primitive condition of segmentation in the Crustacea that
the Trilobites, which for various reasons are regarded as related to the
ancestral Crustaceans, exhibit an indefinite and often very high number
of segments; but, as Professor Carpenter has pointed out, the oldest and
most primitive of Trilobites, such as Olenellus, possessed few segments
which increase as we pass from Cambrian to Carboniferous genera.
The following table shows the segmentation of the body in the
Malacostraca, as compared with that of Limulus (cf. p. 263), Insecta, the
primitive Myriapod Scolopendrella, and Peripatus. It will be seen that the
correspondence, though not exact, is very close, especially in the first four
columns, the number of segments in Peripatus being very variable in the
different species.
 Table showing the Segmentation of various Arthropods
Malacostraca. Limulus. Insecta. Myriapoda. Peripatus.
(Scolopendrella).
1 Eyes Median Eyes
eyes
2 1st antennae Rostrum Antennae Feelers Feelers
3 2nd antennae Chelicerae Intercalary
segment
4 Mandibles Pedipalpi Mandibles Mandibles Mandibles
5 1st maxillae 1st walking Maxillulae Maxillulae 1st jaw-claw
legs
6 2nd maxillae 2nd „ „ 1st 1st maxillae 2nd jaw-
maxillae claw
7 1st maxillipede 3rd „ „ 2nd 2nd maxillae 1st leg
maxillae
8 2nd maxillipede 4th „ „ 1st leg 1st leg 2nd „
9 3rd maxillipede Chilaria 2nd „ 2nd „ 3rd „
10 1st ambulatory Genital 3rd „ 3rd „ 4th „
operculum
11 2nd „ 1st gill- 1st 4th „ 5th „
book abdominal
12 3rd „ 2nd „ 2nd „ 6th „ 6th „
13 4th „ 3rd „ 3rd „ 6th „ 7th „
14 5th „ 4th „ 4th „ 7th „ 8th „
15 1st abdominal 5th „ 5th „ 8th „ 9th „
16 2nd „ No 6th „ 9th „ 10th „
appendages
17 3rd „ „ 7th „ 10th „ 11th „
18 4th „ „ 8th „ 11th „ 12th „
19 5th „ „ 9th „ 12th „ 13th „
20 6th „ „ 10th „ Reduced limbs 14th „
21 [4] „ Cercopods [5]

Telson Telson Telson Telson Telson

The appendages of the Crustacea exhibit a wonderful variety of
structure, but these variations can be reduced to at most two, and
possibly to one fundamental plan. In a typical Crustacean, besides the
paired eyes, which may be borne on stalks, possibly homologous to highly
modified limbs, there are present, first, two pairs of rod-like or
filamentous antennae, which in the adult are usually specialised for
sensory purposes, but frequently retain their primitive function as
locomotory limbs even in the adult, e.g. Ostracoda; while in the Nauplius
larva, found in almost all the chief subdivisions of the Crustacea, the two
pairs of antennae invariably aid in locomotion, and the base of the second
antennae is usually furnished with sharp biting spines which assist
mastication. Following the antennae is a pair of mandibles which are
fashioned for biting the food or for piercing the prey, and posterior to
these are two pairs of maxillae, biting organs more slightly built than the
mandibles, whose function it is to lacerate the food and prepare it for the
more drastic action of the mandibles. So far, with comparatively few
exceptions, the order of specialisation is invariable; but behind the
maxillae the trunk-appendages vary greatly both in structure and function
in the different groups.
As a general rule, the first or first few thoracic limbs are turned
forwards toward the mouth, and are subsidiary to mastication; they are
then called maxillipedes; this happens usually in the Malacostraca, but to
a much less extent in the Entomostraca; and in any case these
appendages immediately behind the maxillae never depart to any great
extent from a limb-like structure, and they may graduate insensibly into
the ordinary trunk-appendages. The latter show great diversity in the
different Crustacean groups, according as the animals lead a natatory,
creeping, or parasitic method of life; they may be foliaceous, as in the
Branchiopoda, or biramous, as in the swimming thoracic and abdominal
appendages of the Mysidae, or simply uniramous, as in the walking legs of
the higher Decapoda, and the clinging legs of various parasitic forms.
Without going into detailed deviations of structure, many of which will
be described under the headings of special groups, it is clear from the
foregoing description and from Fig. 1 (p. 10), that three main types of
appendage can be distinguished: first, the foliaceous or multiramous;
second, the biramous; and, third, the uniramous.
We may dismiss the uniramous type with a few words: it is obviously
secondarily derived from the biramous type; this can be proved in detail
in nearly every case. Thus, the uniramous second antennae of some adult
forms are during the Nauplius stage invariably biramous, a condition
which is retained in the adult Cladocera. Similarly the uniramous walking
legs of many Decapoda pass through a biramous stage during
development, the outer branches or exopodites of the limbs being
suppressed subsequently, while the primitively biramous condition of the
thoracic limbs is retained in the adults of the Schizopoda, which doubtless
own a common ancestry with the Decapoda. The only Crustacean limb
which appears to be constantly uniramous both in larval and adult life is
the first pair of antennae.
We are reduced, therefore, to two types—the foliaceous and biramous.
Sir E. Ray Lankester,[6] in one of his most incisive morphological essays,
has explained how these two types are really fundamentally the same. He
compares, for instance, the foliaceous first maxillipede (Fig. 1, A), or the
second maxilla (Fig. 1, B) of a Decapod, e.g. Astacus, with the foliaceous
thoracic limb of Branchipus (Fig. 1, D), and with the typically biramous
first maxillipede of a Schizopod (Fig. 1, F).
In each case there is present, on the outer edge of the limb, one or more
projections or epipodites which are generally specialised for respiratory
purposes, and may carry the gills. The 6th and 5th “endites” in the
foliaceous limb (Fig. 1, D) are compared with the exopodite and
endopodite respectively of the biramous limb, while the endites 4–1 of the
foliaceous limb are found in the basal joints of the biramous limb.
Lankester presumes that the biramous type of limb throughout has been
derived from the foliaceous type by the suppression of the endites 1–4, as
discrete rami, and the exaggerated development of the endites 5 and 6, as
above indicated.
 Fig. 1.—Appendages of Crustacea (A-G) and
Trilobita (H). A, First maxillipede of
Astacus; B, second maxilla of Astacus; C,
second walking leg of Astacus; D, thoracic
limb of Branchipus; E, first maxillipede of
Mysis; F, first maxillipede of
Gnathophausia; G, thoracic limb of
Nebalia; H, thoracic limb of Triarthrus. bp,
basipodite; br, bract; cp, carpopodite; cxp,
coxopodite; cx.s, coxopoditic setae; dp,
dactylopodite; end, endopodite; ep,
epipodite; ex, exopodite; ip, ischiopodite;
mp, meropodite; pp, propodite; 1–6, the six
endites.

The essential fact that the two types of limb are built on the same plan
may be considered as established; but it may be urged that the biramous
type represents this common plan more nearly than the foliaceous. It is,
at any rate, certain that in the maxillipedes of the Decapoda we witness
the conversion of the biramous type into the foliaceous by the expansion
of the basal joints concomitantly with the assumption by the maxillipedes
of masticatory functions. Thus in the Decapoda the first maxillipede is
decidedly foliaceous owing to the expanded “gnathobases” (Fig. 1, A, bp,
cxp), and the second maxillipedes are flattened, with their basal joints
somewhat expanded and furnished with biting hairs; but in the
“Schizopoda” (e.g. Mysis) the first maxillipede is a typical biramous limb,
though the expanded gnathobases in some forms are beginning to project
(Fig. 1, E), while the limb following, which corresponds to the second
maxillipede of Decapods, is simply a biramous swimming leg. Besides this
obvious conversion of a biramous into a foliaceous limb, further evidence
of the fundamental character of the biramous type is found, first, in its
invariable occurrence in the Nauplius stage, which does not necessarily
mean that the ancestors of the Crustacea possessed this type of limb in
the adult, but which does imply that this type of limb was possessed at
some period of life by the common ancestral Crustacean; and, second, the
limbs of the Trilobita, a group which probably stands near the origin of
the Crustacea, have been shown by Beecher to conform to the biramous
type (Fig. 1, H). Furthermore, the thoracic limbs of Nebalia, an animal
which combines many of the characteristics of Entomostraca and
Malacostraca, and is therefore considered as a primitive type, despite
their flattened character, are really built upon a biramous plan (Fig. 1, G).
In conclusion, we may point out that this view of the Crustacean limb,
as essentially a biramous structure, agrees with the conclusion derived
from our consideration of the segmentation of the body, and points less to
the Branchiopoda as primitive Crustacea and more to some generalised
Malacostracan type.
So far we have shortly dealt with those systems of organs which are
clearly affected by the metameric segmentation of the body; we must now
expose the condition of the body-cavity to a similar scrutiny. If we
remove the external integument of a Crustacean, we find that the internal
organs do not lie in a spacious and discrete body-cavity, as is the case in
the Annelids and Vertebrates, but that they are packed together in an
irregular system of spaces (“haemocoel”) in communication with the
vascular system and containing blood. In the Entomostraca and smaller
forms generally, a definite vascular system hardly exists, though a central
heart and artery may serve to propel the blood through the irregular
lacunae of the body-cavity; but in the larger Malacostraca a complicated
system of arteries may be present which pour the blood into fairly
definitely arranged spaces surrounding the chief organs. These spaces
return the blood to the pericardium, and so to the heart again through the
apertures or ostia which pierce its walls.
This condition of the body-cavity or haemocoel is reproduced in the
adults of all Arthropods, but in some of them by following the
development we can trace the steps by which the true coelom is replaced
by the haemocoel. In the embryos of all Arthropods except the Crustacea,
a true closed metamerically segmented coelom is formed as a split in the
mesodermal embryonic layer of cells, distinct from the vascular system.
During the course of development the segmented coelomic spaces and
their walls give rise to the reproductive organs and to certain renal organs
in Peripatus, Myriapoda, and Arachnida (nephridia and coxal glands),
but the general body-cavity is formed as an extension of the vascular
system, which is laid down outside the coelom by a canaliculisation of the
extra-coelomic mesoderm. In the embryos of the Crustacea, however,
there is never at any time a closed segmented coelom, and in this respect
the Crustacea differ from all other Arthropods. The only clear instance in
which metamerically repeated mesodermal cavities have been seen in the
embryo Crustacean is that of Astacus; here Reichenbach[7] states that in
the abdomen segmental cavities are formed which subsequently break
down; but even in this instance no connexion has been shown to subsist
between these embryonic cavities and the reproductive and excretory
organs of the adult.
Since the connexion between the coelom and the excretory organs is
always a very close one throughout the animal kingdom, interest naturally
centres upon the renal organs in Crustacea, and it has been suggested
that these organs in Crustacea represent the sole remains, with the
possible exception of the gonads, of the coelom. Since, at any rate, a part
of the kidneys appears to be developed as a closed sac in the mesoderm,
and since they possess a possible segmental value, this suggestion is
plausible; but, on the other hand, since there are never more than two
pairs of kidneys, and since they are totally unconnected with the gonads
or with any other indication of a segmented coelom, the suggestion
remains purely hypothetical.
The renal organs of the Crustacea, excluding the Malpighian tubes
present in some Amphipods which open into the alimentary canal, and
resemble the Malpighian tubes of Insects, consist of two pairs—the
antennary gland, opening at the base of the second antenna, and the
maxillary gland, opening on the second maxilla. These two pairs of glands
rarely subsist together in the adult condition, though this is said to be the
case in Nebalia and possibly Mysis; the antennary glands are
characteristic of adult Malacostraca[8] and the larvae of the Entomostraca,
while the maxillary glands (“shell-glands”) are present in adult
Entomostraca and larval Malacostraca, that is to say, the one pair
replaces the other in the two great subdivisions of the Crustacea. The
shell-gland of the Entomostraca is a simple structure consisting of a
coiled tube opening to the exterior on the external branch of the second
maxilla, and ending blindly in a dilated vesicle, the end-sac. The
antennary gland of the Malacostraca is usually more complicated: these
complications have been studied especially by Weldon,[9] Allen, and
Marchal[10] in the Decapoda. In a number of forms we have a tube opening
to the exterior at the base of the second antenna, and expanding within to
form a spacious bladder into which the coiled tubular part of the kidney
opens, while at the extremity of this coiled portion is the vesicle called the
end-sac. This arrangement may be modified; thus in Palaemon Weldon
described the two glands as fusing together above and below the
oesophagus, the dorsal commissure expanding into a huge sac stretching
dorsally down the length of the body. This closed sac with excretory
functions thus comes to resemble a coelomic cavity, and the view that it is
really coelomic has indeed been upheld.
A modified form of this view is that of Vejdovský, who describes a
funnel-apparatus leading from the coiled tube into the end-sac of the
antennary gland of Amphipods; he regards the end-sac alone as
representing the coelom, while the funnel and coiled tube represent the
kidney opening into it.
Not very much is known of the development of these various structures.
Some authors have considered that both antennary and maxillary glands
are developed in the embryo from ectodermal inpushings, but the more
recent observations of Waite[11] on Homarus americanus indicate that the
antennary gland at any rate is a composite structure, formed by an
ectodermal ingrowth which meets a mesodermal strand, and from the
latter are produced the end-sac and perhaps the tubular excretory
portions of the gland with their derivatives.
With regard to the possible metameric repetition of the renal organs, it
is of interest to note that by feeding Mysis and Nebalia on carmine,
excretory glands of a simple character were observed by Metschnikoff
situated at the bases of the thoracic limbs.
The alimentary canal of the Crustacea is a straight tube composed of
three parts—a mid-gut derived from the endoderm of the embryo, and a
fore- and hind-gut formed by ectodermal invaginations in the embryo
which push into and fuse with the endodermal canal. The regions of the
fore- and hind-gut can be recognised in the adult by the fact of their being
lined with the chitinous investment which is continued over the external
surface of the body forming the hard exoskeleton, while the mid-gut is
naked. The chitinous lining of fore- and hind-gut is shed whenever the
animal moults. In the Malacostraca, in which a complicated “gastric mill”
may be present, the chitinous lining of this part of the gut is thrown into
ridges bearing teeth, and this stomach in the crabs and lobsters reaches a
high degree of complication and materially assists the mastication of the
food. The gut is furnished with a number of secretory and metabolic
glands; the so-called liver, which is probably a hepatopancreas, opening
into the anterior end of the mid-gut, is directed forwards in most
Entomostraca and backwards in the Malacostraca, in the Decapoda
developing into a complicated branching organ which fills a large part of
the thorax. In the Decapoda peculiar vermiform caeca of doubtful
function are present, a pair of which open into the gut anteriorly where
fore-passes into mid-gut, and a single asymmetrically placed caecum
opens posteriorly into the alimentary tract where mid- passes into hind-
gut.
The disposition of these caeca, marking as they do the morphological
position of fore-, mid-, and hind-gut, is of peculiar interest owing to the
variations exhibited. From some unpublished drawings of Mr. E. H.
Schuster, which he kindly lent me, it appears that in certain Decapods,
e.g. Callianassa subterranea, the length of the mid-gut between the
anterior and posterior caeca is very long; in Carcinus maenas it is
considerable; in Maia squinado it is greatly reduced, the caeca being
closely approximated; while in Galathea strigosa the caeca are greatly
reduced, and the mid-gut as a separate entity has almost disappeared.
The relation of these variations to the habits of the different crabs and to
their modes of development is unknown.
The reproductive organs usually make their appearance as a small
paired group of mesodermal cells in the thorax comparatively late in life;
and neither in their early development nor in the adult condition do they
show any clear signs of segmentation or any connexion with a coelomic
cavity. The sexes are usually separate, but hermaphroditism occurs
sporadically in many forms, and as a normal condition in some parasitic
groups (see pp. 105–107). The adult gonads are generally simple paired
tubes, from the walls of which the germ-cells are produced, and as these
grow and come to maturity they fill up the cavities of the tubes; special
nutrient cells are rarely differentiated, though in some cases (e.g.
Cladocera) a few ova nourish themselves by devouring their sister-cells
(see p. 44). The oviducts and vasa deferentia are formed as simple
outgrowths from the gonadial tubes, which acquire an opening to the
exterior; they are usually poorly supplied with accessory glands, the
epithelium of the canals often supplying albuminous secretions for
cementing the eggs together, while the lining of the vasa deferentia may
be instrumental in the formation of spermatophores for transferring large
packets of spermatozoa to the female. In the vast majority of Crustacea
copulation takes place, the male passing spermatophores or free
spermatozoa into special receptacles (spermathecae), or into the oviducts
of the female. The spermatophores are hollow chitinous structures in