Tests of Joint Hypotheses for Time Series Regression with a Unit Root

This Paper Studies Tests of Joint Hypotheses in Time Series Regression with a Unit Root in Which Weakly Dependent and Heterogeneously Distributed Innovations Are Allowed. We Consider Two Types of Regression: One with a Constant and Lagged Dependent Variable, and the Other with a Trend Added. the Statistics Studied Are the Regression \"F-Test\" Originally Analysed by Dickey and Fuller (1981) in a Less General Framework. the Limiting Distributions Are Found Using Functinal Central Limit Theory. New Test Statistics Are Proposed Which Require Only Already Tabulated Critical Values But Which Are Valid in a Quite General Framework (Including Finite Order Arma Models Generated by Gaussian Errors). This Study Extends the Results on Single Coefficients Derived in Phillips (1986A) and Phillips and Perron (1986).

GLS Detrending, Efficient Unit Root Tests and Structural Change

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg and Stock (1996) (ERS). Following Perron (1989), we consider two models : one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distribution of the tests as well as that of the feasible point optimal tests PT(GLS) suggested by ERS. The asymptotic critical values of the tests are tabulated. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the tests to have 50% asymptotic power at that value. We show that the M(GLS) and PT(GLS) tests have an asymptotic power function close to the power envelope. An extensive simulation study analyzes the size and power in finite samples under various methods to select the truncation lag for the autoregressive spectral density estimator. An empirical application is also provided.

Testing for a Unit Root in Panels with Dynamic Factors

This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives. We show that these tests have significant asymptotic power when the model has no incidental trends. However, when there are incidental trends in the model and it is necessary to remove heterogeneous deterministic components, we show that these tests have no power against the same local alternatives. Through Monte Carlo simulations, we provide evidence on the finite sample properties of these new tests.

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classification on the basis of n individual (univariate) unit root tests based on some ad hoc significance level. In this paper, we demonstrate how to use the false discovery rate (FDR) in evaluating I(1)=I(0) classifications based on individual unit root tests when the size of the cross section (n) and time series (T) dimensions are large. We report results from a simulation experiment and illustrate the methods on two data sets.

The effect of lesion size on cortical reorganization in the ipsi and contralesional hemispheres.

Bien que la plasticité ipsilesionnelle suite à un accident vasculo-cérébral (AVC) soit bien établie, la réorganisation du cortex contralésionnel et son effet sur la récupération fonctionnelle restent toujours non élucidés. Les études publiées présentent des points de vue contradictoires sur le rôle du cortex contralésionnel dans la récupération fonctionnelle. La taille de lésion pourrait être le facteur déterminant la réorganisation de ce dernier. Le but principal de cette étude fut donc d’évaluer l’effet des AVC de tailles différentes dans la région caudal forelimb area (CFA) du rat sur la réorganisation physiologique et la récupération comportementale de la main. Suite à une période de récupération spontanée pendant laquelle la performance motrice des deux membres antérieurs fut observée, les cartes motrices bilatérales du CFA et du rostral forelimb area (RFA) furent obtenues. Nous avons trouvé que le volume de lésion était en corrélation avec le niveau de récupération comportementale et l’étendue de la réorganisation des RFA bilatéraux. Aussi, les rats ayant de grandes lésions avaient des plus grandes représentations de la main dans le RFA de l’hémisphère ipsilésionnel et un déficit de fonctionnement plus persistant de la main parétique. Dans l’hémisphère contralésionnel nous avons trouvé que les rats avec des plus grandes représentations de la main dans le RFA avaient des lésions plus grandes et une récupération incomplète de la main parétique. Nos résultats confirment l’effet du volume de lésion sur la réorganisation du cortex contralésionnel et soulignent que le RFA est l’aire motrice la plus influencée dans le cortex contralésionnel.

Identification of a novel herpesvirus associated with a penile proliferative lesion in a beluga (Delphinapterus leucas).

The carcass of an adult male beluga (Delphinapterus leucas) was found beach cast in 2008 on the shore of the St. Lawrence Estuary at Rivière-Ouelle, Quebec, Canada. The carcass was transported to the Faculté de médecine vétérinaire of the Université de Montréal for postmortem examination. Aspiration pneumonia was the probable cause of death. Necropsy revealed a focal papilloma-like penile lesion, characterized by focal mucosal thickening with disorganization of the epithelial layers and lymphoplasmacytic infiltration. A pan-herpesvirus nested PCR assay on frozen tissue from the penile lesion was positive. The PCR product sequencing revealed a partial herpesvirus DNA polymerase (DPOL) gene sequence of 600 nucleotides. Its nearest nucleotide identity was with the partial DPOL gene of an alphaherpesvirus, bovine herpesvirus 5 (79.5% identity). It also shared high identity with several other marine mammal herpesviruses (50.2 to 77.3% identity). This new herpesvirus was tentatively named beluga whale herpesvirus (BWHV). Virus isolation was unsuccessful. The pathogenic potential of BWHV is unknown, but the evaluation of archived tissues suggests that the virus is endemic in the St. Lawrence Estuary beluga population.