The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.

Evaluating ILS and MLS Sites without Flight Tests

Instrument landing systems (ILS) and the upcoming microwave landing systems (MLS) are (or are planned to be) very important navigational aids at most major airports of the world. However, their performance is directly affected by the features of the site in which they are located. Currently, validation of the ILS performance is through costly and time-consuming experimental methods. This paper outlines a powerful and versatile analytical approach for performing the site evaluation, as an alternative to the experimental methods. The approach combines a multi-plate model for the terrain with a powerful and exhaustive ray-tracing technique and a versatile and accurate formulation for estimating the electromagnetic fields due to the array antenna in the presence of the terrain. It can model the effects of the undulation, the roughness and the impedance (depending on the soil type) of the terrain at the site. The results computed from the analytical method are compared with the actual measurements and good agreement is shown. Considerations for site effects on MLS are also outlined.

Effect of insertion of buffer-strip on the response of carbon-epoxy system in short beam tests

dThe work looks at the response to three-point loading of carbon-epoxy (CF-EP) composites with inserted buffer strip (BS) material. Short beam Shear tests were performed to study the load-deflection response as well as fracture features through macroscopy on the CF-EP system containing the interleaved PTFE-coated fabric material. Significant differences were noticed in the response of the CF-EP system to the bending process consequent to the architectural modification. It was inferred that introduction of small amounts of less adherent layers of material at specific locations causes a decrement in the load carrying capability. Further the number and the ease with which interface separation occurs is found to depend on the extent to which the inserted layer is present in either single or multiple layer positions.

An improved representation of vehicle incompatibility in frontal NCAP tests using a modified rigid barrier

With the objective of better understanding the significance of New Car Assessment Program (NCAP) tests conducted by the National Highway Traffic Safety Administration (NHTSA), head-on collisions between two identical cars of different sizes and between cars and a pickup truck are studied in the present paper using LS-DYNA models. Available finite element models of a compact car (Dodge Neon), midsize car (Dodge Intrepid), and pickup truck (Chevrolet C1500) are first improved and validated by comparing theanalysis-based vehicle deceleration pulses against corresponding NCAP crash test histories reported by NHTSA. In confirmation of prevalent perception, simulation-bascd results indicate that an NCAP test against a rigid barrier is a good representation of a collision between two similar cars approaching each other at a speed of 56.3 kmph (35 mph) both in terms of peak deceleration and intrusions. However, analyses carried out for collisions between two incompatible vehicles, such as an Intrepid or Neon against a C1500, point to the inability of the NCAP tests in representing the substantially higher intrusions in the front upper regions experienced by the cars, although peak decelerations in cars arc comparable to those observed in NCAP tests. In an attempt to improve the capability of a front NCAP test to better represent real-world crashes between incompatible vehicles, i.e., ones with contrasting ride height and lower body stiffness, two modified rigid barriers are studied. One of these barriers, which is of stepped geometry with a curved front face, leads to significantly improved correlation of intrusions in the upper regions of cars with respect to those yielded in the simulation of collisions between incompatible vehicles, together with the yielding of similar vehicle peak decelerations obtained in NCAP tests.

Tests for Cointegration Rank and the Initial Condition

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank. We compare the local power of the widely used likelihood ratio (LR) test with the local power of a test based on the eigenvalues of the companion matrix. We find that the power of the LR test is increasing in the magnitude of the initial condition, whereas the power of the other test is decreasing. The behaviour of the tests is investigated in an application to price convergence.

Parametrized tests of post-Newtonian theory using Advanced LIGO and Einstein Telescope

General relativity has very specific predictions for the gravitational waveforms from inspiralling compact binaries obtained using the post-Newtonian (PN) approximation. We investigate the extent to which the measurement of the PN coefficients, possible with the second generation gravitational-wave detectors such as the Advanced Laser Interferometer Gravitational-Wave Observatory (LIGO) and the third generation gravitational-wave detectors such as the Einstein Telescope (ET), could be used to test post-Newtonian theory and to put bounds on a subclass of parametrized-post-Einstein theories which differ from general relativity in a parametrized sense. We demonstrate this possibility by employing the best inspiralling waveform model for nonspinning compact binaries which is 3.5PN accurate in phase and 3PN in amplitude. Within the class of theories considered, Advanced LIGO can test the theory at 1.5PN and thus the leading tail term. Future observations of stellar mass black hole binaries by ET can test the consistency between the various PN coefficients in the gravitational-wave phasing over the mass range of 11-44M(circle dot). The choice of the lower frequency cutoff is important for testing post-Newtonian theory using the ET. The bias in the test arising from the assumption of nonspinning binaries is indicated.

Sediment Volume Tests for Expansive Soil Identification and Classification

Equilibrium sediment volume tests are conducted on field soils to classify them based on their degree of expansivity and/or to predict the liquid limit of soils. The present technical paper examines different equilibrium sediment volume tests, critically evaluating each of them. It discusses the settling behavior of fine-grained soils during the soil sediment formation to evolve a rationale for conducting the latest version of equilibrium sediment volume test. Probable limitations of equilibrium sediment volume test and the possible solution to overcome the same have also been indicated.

Direct tests of the entropic model of quasicrystals

Assuming an entropic origin for phason elasticity in quasicrystals, we derive predictions for the temperature dependence of grain-boundary structure and free energy, the nature of the elastic instability in these systems, and the behavior of sound damping near the instability. We believe that these will provide decisive tests of the entropic model for quasicrystals.

Continuity of plastic strain rate in stress relaxation tests

Stress relaxation testing is often utilised for determining whether athermal straining contributes to plastic flow; if plastic strain rate is continuous across the transition from tension to relaxation then plastic strain is fully thermally activated. This method was applied to an aged type 316 stainless steel tested in the temperature range 973–1123 K and to a high purity Al in the recrystallised annealed condition tested in the temperature range 274–417 K. The results indicated that plastic strain is thermally activated in these materials at these corresponding test temperatures. For Al, because of its high strain rate sensitivity, it was necessary to adopt a back extrapolation procedure to correct for the finite period that the crosshead requires to decelerate from the constant speed during tension to a dead stop for stress relaxation.

On generating optimal signal probabilities for random tests: A genetic approach

Genetic Algorithms are robust search and optimization techniques. A Genetic Algorithm based approach for determining the optimal input distributions for generating random test vectors is proposed in the paper. A cost function based on the COP testability measure for determining the efficacy of the input distributions is discussed, A brief overview of Genetic Algorithms (GAs) and the specific details of our implementation are described. Experimental results based on ISCAS-85 benchmark circuits are presented. The performance pf our GA-based approach is compared with previous results. While the GA generates more efficient input distributions than the previous methods which are based on gradient descent search, the overheads of the GA in computing the input distributions are larger. To account for the relatively quick convergence of the gradient descent methods, we analyze the landscape of the COP-based cost function. We prove that the cost function is unimodal in the search space. This feature makes the cost function amenable to optimization by gradient-descent techniques as compared to random search methods such as Genetic Algorithms.

Repeated drop weight impacts and post-impact ILSS tests on glass-epoxy composite

E glass epoxy laminates of thicknesses in the range 2-5 mm were subjected to repeated impacts. For each thickness the number of hits to cause tup penetration was determined and the value of this number was higher the larger the thickness of the laminate tested. The C-scan, before and after impact, was done to obtain information regarding flaw distribution. Short beam shear test samples were made from locations at fixed distances from impact point and tested. The samples closer to the zone of impact showed lower strength values. Scanning fractography revealed shear deformation features for these samples and brittle fracture features for the region near the zone of impact.