Bootstrapping the Error Correction Model Cointegration Test

This paper is concerned with using the bootstrap to obtain improved critical values for the error correction model (ECM) cointegration test in dynamic models. In the paper we investigate the effects of dynamic specification on the size and power of the ECM cointegration test with bootstrap critical values. The results from a Monte Carlo study show that the size of the bootstrap ECM cointegration test is close to the nominal significance level. We find that overspecification of the lag length results in a loss of power. Underspecification of the lag length results in size distortion. The performance of the bootstrap ECM cointegration test deteriorates if the correct lag length is not used in the ECM. The bootstrap ECM cointegration test is therefore not robust to model misspecification.

Standardisation des efforts de pêche des chalutiers ivoiriens et estimation de l'abondance relative dans les divers secteurs

The method developed by Robson (1966) is used to standardize fishing effort of Côte d'Ivoire trawlers whose size and power are very different. This method also allows the estimation of the relative abundances in the different fishing areas. The results obtained using 10 years data show that the entire Ivorian continental shelf can be considered as a single fishery unit. The relative fishing power of vessels is well correlated with gross tonnage, brake horse power and length of the vessel. The obsolescence of the trawlers affects their fishing power.

A Parametric Study Of A Turbogenerator On A Diesel-Electric Hybrid Bus

The fuel consumption of automotive vehicles has become a prime consideration to manufacturers and operators as fuel prices continue to rise steadily, and legislation governing toxic emissions becomes ever more strict. This is particularly true for bus operators as government fuel subsidies are cut or removed.

In an effort to reduce the fuel consumption of a diesel-electric hybrid bus, an exhaust recovery turbogenerator has been selected from a wide ranging literature review as the most appropriate method of recovering some of the wasted heat in the exhaust line. This paper examines the effect on fuel consumption of a turbogenerator applied to a 2.4-litre diesel engine.

A validated one-dimensional engine model created using Ricardo WAVE was used as a baseline, and was modified in subsequent models to include a turbogenerator downstream, and in series with, the turbocharger turbine. A fuel consumption map of the modified engine was produced, and an in-house simulation tool was then used to examine the fuel economy benefit delivered by the turbogenerator on a bus operating on various drive-cycles.

A parametric study is presented which examined the performance of turbogenerators of various size and power output. The operating strategy of the turbogenerator was also discussed with a view to maximising turbine efficiency at each operating point.

The performance of the existing turbocharger on the hybrid bus was also investigated; both the compressor and turbine were optimised and the subsequent benefits to the fuel consumption of the vehicle were shown.

The final configuration is then presented and the overall improvement in fuel economy of the hybrid bus was determined over various drive-cycles.

Linear vs. log-linear unit-root specification: an application of mis-specification encompassing

The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between linear and log-linear unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. It is shown that by focusing on the conditional process the sampling distributions of the relevant statistics are well behaved under both the null and alternative hypotheses. The proposed M-S encompassing test is illustrated using US total disposable income quarterly data.

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

Infant mortality model for lifetime data

In this paper we introduce a parametric model for handling lifetime data where an early lifetime can be related to the infant-mortality failure or to the wear processes but we do not know which risk is responsible for the failure. The maximum likelihood approach and the sampling-based approach are used to get the inferences of interest. Some special cases of the proposed model are studied via Monte Carlo methods for size and power of hypothesis tests. To illustrate the proposed methodology, we introduce an example consisting of a real data set.

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.

A nonlinear approach to testing the unit root null hypothesis : an application to international health expenditures

In this article, we examine the unit root null hypothesis for per capita total Health Expenditures (HEs), per capita private HEs and per capita public HEs for 29 Organization for Economic Co-operation and Development (OECD) countries. The novelty of our work is that we use a new nonlinear unit root test that allows for one structural break in the data series. We find that for around 45% of the countries, we are able to reject the unit root hypothesis for each of the three HE series. Moreover, using Monte Carlo simulations, we show that our proposed unit root model has better size and power properties than the widely used Augmented Dickey–Fuller (ADF) and Lagrange Multiplier (LM) type tests.

Comparing the small sample properties of two break Lagrange Multiplier unit root tests

In this note, we examine the size and power properties and the break date estimation accuracy of the Lee and Strazicich (LS, 2003) two break endogenous unit root test, based on two different break date selection methods: minimising the test statistic and minimising the sum of squared residuals (SSR). Our results show that the performance of both Models A and C of the LS test are superior when one uses the minimising SSR procedure.

Closed loop deep brain stimulation: an evolving technology

Deep brain stimulation is an effective and safe medical treatment for a variety of neurological and psychiatric disorders including Parkinson's disease, essential tremor, dystonia, and treatment resistant obsessive compulsive disorder. A closed loop deep brain stimulation (CLDBS) system automatically adjusts stimulation parameters by the brain response in real time. The CLDBS continues to evolve due to the advancement in the brain stimulation technologies. This paper provides a study on the existing systems developed for CLDBS. It highlights the issues associated with CLDBS systems including feedback signal recording and processing, stimulation parameters setting, control algorithm, wireless telemetry, size, and power consumption. The benefits and limitations of the existing CLDBS systems are also presented. Whilst robust clinical proof of the benefits of the technology remains to be achieved, it has the potential to offer several advantages over open loop DBS. The CLDBS can improve efficiency and efficacy of therapy, eliminate lengthy start-up period for programming and adjustment, provide a personalized treatment, and make parameters setting automatic and adaptive.

Ensaios em macroeconometria e finanças

This thesis is composed of three essays referent to the subjects of macroeconometrics and Önance. In each essay, which corresponds to one chapter, the objective is to investigate and analyze advanced econometric techniques, applied to relevant macroeconomic questions, such as the capital mobility hypothesis and the sustainability of public debt. A Önance topic regarding portfolio risk management is also investigated, through an econometric technique used to evaluate Value-at-Risk models. The Örst chapter investigates an intertemporal optimization model to analyze the current account. Based on Campbell & Shillerís (1987) approach, a Wald test is conducted to analyze a set of restrictions imposed to a VAR used to forecast the current account. The estimation is based on three di§erent procedures: OLS, SUR and the two-way error decomposition of Fuller & Battese (1974), due to the presence of global shocks. A note on Granger causality is also provided, which is shown to be a necessary condition to perform the Wald test with serious implications to the validation of the model. An empirical exercise for the G-7 countries is presented, and the results substantially change with the di§erent estimation techniques. A small Monte Carlo simulation is also presented to investigate the size and power of the Wald test based on the considered estimators. The second chapter presents a study about Öscal sustainability based on a quantile autoregression (QAR) model. A novel methodology to separate periods of nonstationarity from stationary ones is proposed, which allows one to identify trajectories of public debt that are not compatible with Öscal sustainability. Moreover, such trajectories are used to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run Öscal sustainability. An out-of-sample forecast of such a ceiling is also constructed, and can be used by policy makers interested in keeping the public debt on a sustainable path. An empirical exercise by using Brazilian data is conducted to show the applicability of the methodology. In the third chapter, an alternative backtest to evaluate the performance of Value-at-Risk (VaR) models is proposed. The econometric methodology allows one to directly test the overall performance of a VaR model, as well as identify periods of an increased risk exposure, which seems to be a novelty in the literature. Quantile regressions provide an appropriate environment to investigate VaR models, since they can naturally be viewed as a conditional quantile function of a given return series. An empirical exercise is conducted for daily S&P500 series, and a Monte Carlo simulation is also presented, revealing that the proposed test might exhibit more power in comparison to other backtests.

Essays on Spatial Econometrics

Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado.

Multiple structural change models:a simulation analysis

In a reccnt paper. Bai and Perron (1998) considcrccl theoretical issues relatec\ lo lhe limiting distriblltion of estimators and test. statist.ics in the linear model \\'ith multiplc struct ural changes. \Ve assess. via simulations, the adequacy of the \'arious I1Iethods suggested. These CO\'er the size and power of tests for structural changes. the cO\'erage rates of the confidence Íntervals for the break dates and the relat.Í\'e merits of methods to select the I1umber of breaks. The \'arious data generating processes considered alIo,,' for general conditions OIl the data and the errors including differellces across segmcll(s. Yarious practical recommendations are made.

Aplicación práctica transceptor BGT24MTR11 : radar Doppler

En los últimos tiempos, los radares han dejado de ser instrumentos utilizados únicamente en aviación, defensa y detección de velocidad. El avance de la tecnología de radiofrecuencia ha permitido la reducción de coste, tamaño y consumo de los componentes radar. Esto ha permitido que cada sea más frecuente el uso del radar en elementos de nuestra vida cotidiana tales como la automoción, la seguridad, la medida de líquidos… Este proyecto se basa en uno de estos nuevos componentes de bajo coste y pequeño tamaño, el transceptor BGT24MTR11. El BGTR24MTR11 integra transmisor, VCO y receptor, los elementos principales para la creación de un radar Doppler en la banda de frecuencia ISM 24-24,25 GHz. A partir de la placa de evaluación de ese transceptor, se aborda el diseño de un prototipo/demostrador de radar Doppler CW en la banda de 24 GHz. Para la generación de frecuencia se utiliza la placa de evaluación del PLL HMC702 y se ha diseñado un PCB a medida cuyas funciones son las de alimentación, programación y amplificación de las señales recibidas por el prototipo. Por último, se comprueba el correcto funcionamiento del prototipo y se verifica su funcionamiento mediante la simulación de dos escenarios de prueba. ABSTRACT. In the recent times, radar systems have changed of being tools used only in aviation, defence and speed detection. Radiofrequency technology improvements have allowed a cost, size and power consumption of the radar components. This is the reason because each time is more frequent the use of radar in elements of our daily life such as automotive, security, liquid measurements… This Project is base don one of this low power and size components, the MMIC transceptor BGT24MTR11. This transceptor integrates the main components needed to make a Doppler radar in the ISM Band (24-24 GHz), the transmitter, the receiver with the low noise amplifier and the VCO. Using the evaluation board of this transceptor, this Project approach the design of a CW Doppler radar prototype/demonstrator in the frequency band of 24 GHz. The frequency generation is based on the use of the HMC702 PLL evaluation board. Moreover, it has been designed a custom PCB whose funcionts are the power supply, programation and amplification of the signals received by the prototype. At the end, the correct operation of the prototype is verified and it is tested simulating two different test scenarios.

Thermal control of SUNRISE, a balloon-borne solar telescope

SUNRISE is a balloon-borne solar telescope flown with a long-duration balloon by NASA's Columbia Scientific Balloon Facility team from Esrange (Swedish Space Corporation), on 8 June 2009. SUNRISE has been a challenging mission from the thermal point of view because of its size and power dissipation. Thus, a dedicated thermal analysis has been carried out to find a solution that allows all the devices to be kept within their appropriate temperature ranges, without exceeding the allowable temperature gradients, critical for optical devices. In this article, the thermal design of SUNRISE is described. A geometrical mathematical model and a thermal mathematical model of the whole system have been set up for the different load cases in order to obtain the temperature distribution and gradients in the system. Some trade-offs have been necessary to fulfil all the thermal requirements. The thermal hardware used to achieve it is described. Finally, the temperatures obtained with the models have been compared with flight data.