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.

Testing for a unit root in a process exhibiting a structural break in the presence of GARCH errors

This paper considers the effect of GARCH errors on the tests proposed byPerron (1997) for a unit root in the presence of a structural break. We assessthe impact of degeneracy and integratedness of the conditional varianceindividually and find that, apart from in the limit, the testing procedure isinsensitive to the degree of degeneracy but does exhibit an increasingover-sizing as the process becomes more integrated. When we consider the GARCHspecifications that we are likely to encounter in empirical research, we findthat the Perron tests are reasonably robust to the presence of GARCH and donot suffer from severe over-or under-rejection of a correct null hypothesis.

Testing for unit roots in bounded time series

Many key economic and financial series are bounded either by construction or through policy controls. Conventional unit root tests are potentially unreliable in the presence of bounds, since they tend to over-reject the null hypothesis of a unit root, even asymptotically. So far, very little work has been undertaken to develop unit root tests which can be applied to bounded time series. In this paper we address this gap in the literature by proposing unit root tests which are valid in the presence of bounds. We present new augmented Dickey–Fuller type tests as well as new versions of the modified ‘M’ tests developed by Ng and Perron [Ng, S., Perron, P., 2001. LAG length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519–1554] and demonstrate how these tests, combined with a simulation-based method to retrieve the relevant critical values, make it possible to control size asymptotically. A Monte Carlo study suggests that the proposed tests perform well in finite samples. Moreover, the tests outperform the Phillips–Perron type tests originally proposed in Cavaliere [Cavaliere, G., 2005. Limited time series with a unit root. Econometric Theory 21, 907–945]. An illustrative application to U.S. interest rate data is provided

Testing Seasonal Unit Roots in Data at Any Frequency, an HEGY approach

This paper generalizes the HEGY-type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by Hylleberg, Engle, Granger and Yoo (1990). We introduce the seasonal unit roots at first, and then derive the mechanism of the HEGY-type test for data with any frequency. Thereafter we provide the asymptotic distributions of our test statistics when different test regressions are employed. We find that the F-statistics for testing conjugation unit roots have the same asymptotic distributions. Then we compute the finite-sample and asymptotic critical values for daily and hourly data by a Monte Carlo method. The power and size properties of our test for hourly data is investigated, and we find that including lag augmentations in auxiliary regression without lag elimination have the smallest size distortion and tests with seasonal dummies included in auxiliary regression have more power than the tests without seasonal dummies. At last we apply the our test to hourly wind power production data in Sweden and shows there are no seasonal unit roots in the series.

Testing for Seasonal Unit Roots when Residuals Contain Serial Correlations under HEGY Test Framework

This paper introduces a corrected test statistic for testing seasonal unit roots when residuals contain serial correlations, based on the HEGY test proposed by Hylleberg,Engle, Granger and Yoo (1990). The serial correlations in the residuals of test regressionare accommodated by making corrections to the commonly used HEGY t statistics. Theasymptotic distributions of the corrected t statistics are free from nuisance parameters.The size and power properties of the corrected statistics for quarterly and montly data are investigated. Based on our simulations, the corrected statistics for monthly data havemore power compared with the commonly used HEGY test statistics, but they also have size distortions when there are strong negative seasonal correlations in the residuals.

Testing unit root based on partially adaptive estimation

This paper proposes unit tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adptive estimation using nonparametric methods. The limiting distribution of the proposed test is a combination of standard normal and the traditional Dickey-Fuller (DF) distribution, including the traditional ADF test as a special case when using Gaussian density. Taking into a account the well documented characteristic of heavy-tail behavior in economic and financial data, we consider unit root tests coupled with a class of partially adaptive M-estimators based on the student-t distributions, wich includes te normal distribution as a limiting case. Monte Carlo Experiments indicate that, in the presence of heavy tail distributions or innovations that are contaminated by outliers, the proposed test is more powerful than the traditional ADF test. We apply the proposed test to several macroeconomic time series that have heavy-tailed distributions. The unit root hypothesis is rejected in U.S. real GNP, supporting the literature of transitory shocks in output. However, evidence against unit roots is not found in real exchange rate and nominal interest rate even haevy-tail is taken into a account.

Illinois statewide high school testing program. unit on evaluation.

Mode of access: Internet.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

Reliability and Failure Modes of Implant-Supported Y-TZP and MCR Three-Unit Bridges

Purpose: Chipping within veneering porcelain has resulted in high clinical failure rates for implant-supported zirconia (yttria-tetragonal zirconia polycrystals [Y-TZP]) bridges. This study evaluated the reliability and failure modes of mouth-motion step-stress fatigued implant-supported Y-TZP versus palladium-silver alloy (PdAg) three-unit bridges. Materials and Methods: Implant-abutment replicas were embedded in polymethylmethacrylate resin. Y-TZP and PdAg frameworks, of similar design (n = 21 each), were fabricated, veneered, cemented (n = 3 each), and Hertzian contact-tested to obtain ultimate failure load. In each framework group, 18 specimens were distributed across three step-stress profiles and mouth-motion cyclically loaded according to the profile on the lingual slope of the buccal cusp of the pontic. Results: PdAg failures included competing flexural cracking at abutment and/or connector area and chipping, whereas Y-TZP presented predominantly cohesive failure within veneering porcelain. Including all failure modes, the reliability (two-sided at 90% confidence intervals) for a ""mission"" of 50,000 and 100,000 cycles at 300 N load was determined (Alta Pro, Reliasoft, Tucson, AZ, USA). No difference in reliability was observed between groups for a mission of 50,000. Reliability remained unchanged for a mission of 100,000 for PdAg, but significantly decreased for Y-TZP. Conclusions: Higher reliability was found for PdAg for a mission of 100,000 cycles at 300 N. Failure modes differed between materials.

Mechanical Testing of Indirect Composite Materials Directly Applied on Implant Abutments

Purpose: To test the strength to failure and fracture mode of three indirect composite materials directly applied onto Ti-6Al-4V implant abutments vs cemented standard porcelain-fused-to-metal (PFM) crowns. Materials and Methods: Sixty-four locking taper abutments were randomly allocated to four groups and were cleaned in ethanol in an ultrasonic bath for 5 min. After drying under ambient conditions, the abutments were grit blasted and a custom 4-cusp molar crown mold was utilized to produce identical crowns (n = 16 per group) of Tescera (Bisco), Ceramage (Shofu), and Diamond Crown (DRM) according to the manufacturer`s instructions. The porcelain-fused-to-metal crowns were fabricated by conventional means involving the construction and a wax pattern and casting of a metallic coping followed by sintering of increasing layers of porcelain. All crowns were loaded to failure by an indenter placed at one of the cusp tips at a 1 mm/min rate. Subsequently, fracture analysis was performed by means of stereomicroscopy and scanning electron microscopy. One-way ANOVA at 95% level of significance was utilized for statistical analysis. Results: The single load to failure (+/- SD) results were: Tescera (1130 +/- 239 N), Ceramage (1099 +/- 257 N), Diamond Crown (1155 +/- 284 N), and PFM (1081 +/- 243 N). Stereomicroscopy analysis showed two distinct failure modes, where the loaded cusp failed either with or without abutment/metallic coping exposure. SEM analysis of the fractures showed multiple crack propagation towards the cervical region of the crown below a region of plastic deformation at the indenter contact region. Conclusion: The three indirect composites and PFM systems fractured at loads higher than those typically associated with normal occlusal function. Although each material had a different composition and handling technique, no significant differences were found concerning their single load to fracture resistance among composite systems and PFM.

An automated multi-unit composting facility for biodegradability evaluations

A system has been developed for studying the biodegradation of natural and synthetic polymeric material. The system is based on standard methods developed by the European Committee for Standardisation (CEN TC 261) (ISO/DIS 14855) and the American Society of Testing Materials, 'ASTM. Standard Test Method for Determining Aerobic. Biodegradation of Plastic Materials under Controlled Composting Conditions' (ASTM D 5338-92). A new low-cost compost facility has been used which satisfies the requirements of these standards. The system has been automated for data collection and has been run under the conditions specified by the standards. In the system, cellulose, newspaper and two starch-based polymers were treated with compost in a series of 3dm(3) vessels at 52 degreesC and under conditions of optimum moisture and pH. The degradation was followed over time by measuring the amount of carbon released as carbon dioxide. (C) 2001 Society of Chemical Industry.

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Upgrade of an experimental volumetric unit for gas adsorption equilibrium studies

In this work, a volumetric unit previously assembled by the research group was upgraded. This unit revamping was necessary due to the malfunction of the solenoid valves employed in the original experimental setup, which were not sealing the gas properly leading to erroneous adsorption equilibrium measurements. Therefore, the solenoid valves were substituted by manual ball valves. After the volumetric unit improvement its operation was validated. For this purpose, the adsorption equilibrium of carbon dioxide (CO2) at 323K and 0 - 20 bar was measured on two different activated carbon samples, in the of extrudates (ANG6) and of a honeycomb monolith (ACHM). The adsorption equilibrium results were compared with data previously measured by the research group, using a high-pressure microbalance from Rubotherm GmbH (Germany) – gravimetric. The results obtained using both apparatuses are coincident thus validating the good operation of the volumetric unit upgraded in this work. Furthermore, the adsorption equilibrium of CO2 at 303K and 0 - 10 bar on Metal-Organic Frameworks (MOFs) Cu-BTC and Fe-BTC was also studied. The CO2 adsorption equilibrium results for both MOFs were compared with the literature results showing good agreement, which confirms the good quality of the experimental results obtained in the new volumetric unit. Cu-BTC sample showed significantly higher CO2 adsorption capacity when compared with the Fe-BTC sample. The revamping of the volumetric unit included a new valve configuration in order to allow testing an alternative method for the measurement of adsorption equilibrium. This new method was employed to measure the adsorption equilibrium of CO2 on ANG6 and ACHM at 303, 323 and 353K within 0-10 bar. The good quality of the obtained experimental data was testified by comparison with data previously obtained by the research group in a gravimetric apparatus.

Safety, feasibility, and results of exercise testing for stratifying patients with chest pain in the emergency room

OBJECTIVE: To assess safety, feasibility, and the results of early exercise testing in patients with chest pain admitted to the emergency room of the chest pain unit, in whom acute myocardial infarction and high-risk unstable angina had been ruled out. METHODS: A study including 1060 consecutive patients with chest pain admitted to the emergency room of the chest pain unit was carried out. Of them, 677 (64%) patients were eligible for exercise testing, but only 268 (40%) underwent the test. RESULTS: The mean age of the patients studied was 51.7±12.1 years, and 188 (70%) were males. Twenty-eight (10%) patients had a previous history of coronary artery disease, 244 (91%) had a normal or unspecific electrocardiogram, and 150 (56%) underwent exercise testing within a 12-hour interval. The results of the exercise test in the latter group were as follows: 34 (13%) were positive, 191 (71%) were negative, and 43 (16%) were inconclusive. In the group of patients with a positive exercise test, 21 (62%) underwent coronary angiography, 11 underwent angioplasty, and 2 underwent myocardial revascularization. In a univariate analysis, type A/B chest pain (definitely/probably anginal) (p<0.0001), previous coronary artery disease (p<0.0001), and route 2 (patients at higher risk) correlated with a positive or inconclusive test (p<0.0001). CONCLUSION: In patients with chest pain and in whom acute myocardial infarction and high-risk unstable angina had been ruled out, the exercise test proved to be feasible, safe, and well tolerated.