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.

Factor models, VARMA processes and parameter instability with applications in macroeconomics

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.

Effect of mechanical milling on the structural, magnetic and dielectric properties of coprecipitated ultrafine zinc ferrite

Nanosized ZnFe2O4 particles containing traces of a-Fe2O3 by intent were produced by low temperature chemical coprecipitation methods. These particles were subjected to high-energy ball milling. These were then characterised using X-ray diffraction, magnetisation and dielectric studies. The effect of milling on zinc ferrite particles have been studied with a view to ascertaining the anomalous behaviour of these materials in the nanoregime. X-ray diffraction and magnetisation studies carried out show that these particles are associated with strains and it is the surface effects that contribute to the magnetisation. Hematite percentage, probably due to decomposition of zinc ferrite, increases with milling. Dielectric behaviour of these particles is due to interfacial polarisation as proposed by Koops. Also the defects caused by the milling produce traps in the surface layer contributes to dielectric permittivity via spin polarised electron tunnelling between grains. The ionic mechanism is enhanced in dielectrics with the rise in temperature which results in the increase of dielectric permittivity with temperature.

On the crystallization kinetics and micro-structural transformations of Fe40Ni38B18Mo4 alloys

Activation energy for crystallization (Ec) is a pertinent parameter that decides the application potential of many metallic glasses and is proportional to the crystallization temperature. Higher crystallization temperatures are desirable for soft magnetic applications, while lower values for data storage purposes. In this investigation, from the heating rate dependence of peak crystallization temperature Tp, the Ec values have been evaluated by three different methods for metglas 2826 MB (Fe40Ni38B18Mo4) accurately. The Ec values are correlated with the morphological changes, and the structural evolution associated with annealing temperatures is discussed.

Theoretical study of the structural dependence of nuclear quadrupole frequencies in high-T_c superconductors

The remarkable difference between the nuclear quadrupole frequencies v_Q of Cu(1) and Cu(2) in YBa_2Cu_3O_6 and YBa_2Cu_3O_7 is analyzed. We calculate the ionic contribution to the electric field gradients and estimate, by using experimental results for Cu_2O and La_2CuO_4, the contribution of the d valence electrons. Thus, we determine v_Q1, v_Q2, and the asymmetry parameter η for YBa_2Cu_3O_6 and YBa_2Cu_3O_7. The number of holes in dthe Cu-O planes and chains is found to be important for the different behavior of v_Q1 and v_Q2.

Syntheses, structural analyses, and magneto-structural correlations of three polymeric Fe(II) complexes with azide ligand

Three new metal-organic polymeric complexes, [Fe(N-3)(2)(bPP)(2)] (1), [Fe(N-3)(2)(bpe)] (2), and [Fe(N-3)(2)(phen)] (3) [bpp = (1,3-bis(4-pyridyl)-propane), bpe = (1,2-bis(4-pyridyl)-ethane), phen = 1,10-phenanthroline], have been synthesized and characterized by single-crystal X-ray diffraction studies and low-temperature magnetic measurements in the range 300-2 K. Complexes 1 and 2 crystallize in the monoclinic system, space group C2/c, with the following cell parameters: a = 19.355(4) Angstrom, b = 7.076(2) Angstrom, c = 22.549(4) Angstrom, beta = 119.50(3)degrees, Z = 4, and a = 10.007(14) Angstrom, b = 13.789(18) Angstrom, c = 10.377(14) Angstrom, beta = 103.50(1)degrees, Z = 4, respectively. Complex 3 crystallizes in the triclinic system, space group P (1) over bar, with a = 7.155(12) Angstrom, b = 10.066(14) Angstrom, c = 10.508(14) Angstrom, alpha = 109.57(1)degrees, beta = 104.57(1)degrees, gamma = 105.10(1)degrees, and Z = 2. All coordination polymers exhibit octahedral Fe(II) nodes. The structural determination of 1 reveals a parallel interpenetrated structure of 2D layers of (4,4) topology, formed by Fe(II) nodes linked through bpp ligands, while mono-coordinated azide anions are pendant from the corrugated sheet. Complex 2 has a 2D arrangement constructed through 1D double end-to-end azide bridged iron(11) chains interconnected through bpe ligands. Complex 3 shows a polymeric arrangement where the metal ions are interlinked through pairs of end-on and end-to-end azide ligands exhibiting a zigzag arrangement of metals (Fe-Fe-Fe angle of 111.18degrees) and an intermetallic separation of 3.347 Angstrom (through the EO azide) and of 5.229 Angstrom (EE azide). Variable-temperature magnetic susceptibility data suggest that there is no magnetic interaction between the metal centers in 1, whereas in 2 there is an antiferromagnetic interaction through the end-to-end azide bridge. Complex 3 shows ferro- as well as anti-ferromagnetic interactions between the metal centers generated through the alternating end-on and end-to-end azide bridges. Complex I has been modeled using the D parameter (considering distorted octahedral Fe(II) geometry and with any possible J value equal to zero) and complex 2 has been modeled as a one-dimensional system with classical and/or quantum spin where we have used two possible full diagonalization processes: without and with the D parameter, considering the important distortions of the Fe(II) ions. For complex 3, the alternating coupling model impedes a mathematical solution for the modeling as classical spins. With quantum spin, the modeling has been made as in 2.

Strong structural controllability and the multi-link inverted pendulum

This technical note investigates the controllability of the linearized dynamics of the multilink inverted pendulum as the number of links and the number and location of actuators changes. It is demonstrated that, in some instances, there exist sets of parameter values that render the system uncontrollable and so usual methods for assessing controllability are difficult to employ. To assess the controllability, a theorem on strong structural controllability for single-input systems is extended to the multiinput case.

Electro-optical properties of liquid crystal copolymers and their relationship to structural order

A range of side chain liquid crystal copolymers have been prepared using mesogenic and non-mesogenic units. It is found that high levels of the non-mesogenic moieties may be introduced without completely disrupting the organization of the liquid crystal phase. Incorporation of this comonomer causes a marked reduction in the glass transition temperature (Tg), presumably as a result of enhanced backbone mobility and a corresponding lowering of the nematic transition temperature, thereby restricting the temperature range for stability of the liquid crystal phase. The effect of the interactions between the various components of these side-chain polymers on their electro-optic responses is described. Infrared (i.r.) dichroism measurements have been made to determine the order parameters of the liquid crystalline side-chain polymers. By identifying a certain band (CN stretching) in the i.r. absorption spectrum, the order parameter of the mesogenic groups can be obtained. The temperature and composition dependence of the observed order parameter are related to the liquid crystal phase transitions and to the electro-optic response. It is found that the introduction of the non-mesogenic units into the polymer chain lowers the threshold voltage of the electro-optic response over and above that due to the reduction in the order parameter. The dynamic electro-optic responses are dominated by the temperature-dependent viscosity and evidence is presented for relaxation processes involving the polymer backbone which are on a time scale greater than that for the mesogenic side-chain units.

X-ray diffraction study of the influence of temperature on the structural correlations of poly(2-hydroxypropyl ether of bisphenol A)

The X-ray diffraction pattern of glassy poly(2-hydroxypropyl ether of bisphenol A) is studied at room temperature on oriented samples in order to associate its different peaks to different structural correlations. On the other hand, X-ray diffraction patterns have been obtained at different temperatures from Tg − 50 K up to Tg + 50 K for the above-mentioned polymer. Attention has been paid to the evolution with temperature of the position of the wide diffraction maximum corresponding to interchain correlations in the polymer. The temperature evolution of this parameter shows a marked discontinuity just at the glass transition temperature.

Strong structural controllability and the multilink inverted pendulum

This technical note investigates the controllability of the linearized dynamics of the multilink inverted pendulum as the number of links and the number and location of actuators changes. It is demonstrated that, in some instances, there exist sets of parameter values that render the system uncontrollable and so usual methods for assessing controllability are difficult to employ. To assess the controllability, a theorem on strong structural controllability for single-input systems is extended to the multiinput case.

Evaluating the potential of high pressure high temperature and thermal processing on volatile compounds, nutritional and structural properties of orange and yellow carrots

The present study compares the impact of thermal and high pressure high temperature(HPHT) processing on volatile profile (via a non-targeted headspace fingerprinting) and structural and nutritional quality parameter (via targeted approaches) of orange and yellow carrot purees. The effect of oil enrichment was also considered. Since oil enrichment affects compounds volatility, the effect of oil was not studied when comparing the volatile fraction. For the targeted part, as yellow carrot purees were shown to contain a very low amount of carotenoids, focus was given to orange carrot purees. The results of the non-targeted approach demonstrated HPHT processing exerts a distinct effect on the volatile fractions compared to thermal processing. In addition, different colored carrot varieties are characterized by distinct headspace fingerprints. From a structural point of view, limited or no difference could be observed between orange carrot purees treated with HPHT or HT processes, both for samples without and with oil. From nutritional point of view, only in samples with oil, significant isomerisation of all-trans-β-carotene occurred due to both processing. Overall, for this type of product and for the selected conditions, HPHT processing seems to have a different impact on the volatile profile but rather similar impact on the structural and nutritional attributes compared to thermal processing.

Suppressing grazing chaos in impacting system by structural nonlinearity

In this note we investigate the influence of structural nonlinearity of a simple cantilever beam impacting system on its dynamic responses close to grazing incidence by a means of numerical simulation. To obtain a clear picture of this effect we considered two systems exhibiting impacting motion, where the primary stiffness is either linear (piecewise linear system) or nonlinear (piecewise nonlinear system). Two systems were studied by constructing bifurcation diagrams, basins of attractions, Lyapunov exponents and parameter plots. In our analysis we focused on the grazing transitions from no impact to impact motion. We observed that the dynamic responses of these two similar systems are qualitatively different around the grazing transitions. For the piecewise linear system, we identified on the parameter space a considerable region with chaotic behaviour, while for the piecewise nonlinear system we found just periodic attractors. We postulate that the structural nonlinearity of the cantilever impacting beam suppresses chaos near grazing. (C) 2007 Elsevier Ltd. All rights reserved.

Structural characterization of the interaction of the polyene antibiotic Amphotericin B with DODAB bicelles and vesicles

Amphotericin B (AmB) is widely used in the treatment of systemic fungal infections, despite its toxic effects. Nephrotoxicity, ascribed as the most serious toxic effect, has been related to the state of aggregation of the antibiotic. In search of the increase in AmB antifungal activity associated with low toxicity, several AmB-amphiphile formulations have been proposed. This work focuses on the structural characterization of a specific AmB formulation: AmB associated with sonicated dioctadecyl dimethylammonium bromide (DODAB) aggregates. Here, it was confirmed that sonicated DODAB dispersion is constituted by DODAB bicelles, and that monomeric AmB is much more soluble in bicelles than in DODAB vesicles. A new optical parameter is proposed for the estimation of the relative amount of amphiphile-bound monomeric AmB. With theoretical simulations of the spectra of spin labels incorporated in DODAB bicelles it was possible to prove that monomeric AmB binds preferentially to lipids located at the edges of DODAB bicelles, rigidifying them, and decreasing the polarity of the region. That special binding of monomeric AmB along the borders of bicelles, where the lipids are highly disorganized, could be used in the formulation of other carriers for the antibiotic, including mixtures of natural lipids which are known to form bicelles. (C) 2011 Elsevier B.V. All rights reserved.

Magnetic and structural properties of NiFe(2)O(4) ferrite nanopowder doped with Zn(2+)

This work involved an investigation to ascertain how the substitution of nickel ions for zinc ions affects the structural, morphological and magnetic properties of NiFe(2)O(4) ferrite samples. Ni(1-x)Zn(x)Fe(2)O(4) (x = 0.0, 0.3 0.5, 0.7) powders were prepared by combustion reaction and characterized structurally by X-ray diffraction. The specific surface area of the powders was determined by the nitrogen adsorption method (BET). Magnetization measurements were taken using an alternative gradient magnetometer (AGM), which revealed that the powders prepared by combustion reaction resulted in nanosized particles with a particle size of 18-27 nm. The crystallite size and lattice parameter increased as the concentration of Zn increased. Moreover, augmenting the Zn content in the NiFe(2)O(4) ferrite increased the saturation magnetization and coercive field. (C) 2008 Elsevier B.V. All rights reserved.

Electronic Structure and Spectro-Structural Correlations of Fe(III)Zn(II) Biomimetics for Purple Acid Phosphatases: Relevance to DNA Cleavage and Cytotoxic Activity

Purple acid phosphatases (PAPs) are a group of metallohydrolases that contain a dinuclear Fe(II)M(II) center (M(II) = Fe, Mn, Zn) in the active site and are able to catalyze the hydrolysis of a variety of phosphoric acid esters. The dinuclear complex [(H(2)O)Fe(III)(mu-OH)Zn(II)(L-H)](CIO(4))(2) (2) with the ligand 2-[N-bis(2-pyridylmethyl)aminomethyl]-4-methyl-6-[N-(2-pyridylmethyl)(2-hydroxybenzyl) aminomethyl]phenol (H(2)L-H) has recently been prepared and is found to closely mimic the coordination environment of the Fe(III)Zn(II) active site found in red kidney bean PAP (Neves et al. J. Am. Chem. Soc. 2007, 129, 7486). The biomimetic shows significant catalytic activity in hydrolytic reactions. By using a variety of structural, spectroscopic, and computational techniques the electronic structure of the Fe(III) center of this biomimetic complex was determined. In the solid state the electronic ground state reflects the rhombically distorted Fe(III)N(2)O(4) octahedron with a dominant tetragonal compression align ad along the mu-OH-Fe-O(phenolate) direction. To probe the role of the Fe-O(phenolate) bond, the phenolate moiety was modified to contain electron-donating or -withdrawing groups (-CH(3), -H, -Br, -NO(2)) in the 5-position. Tie effects of the substituents on the electronic properties of the biomimetic complexes were studied with a range of experimental and computational techniques. This study establishes benchmarks against accurate crystallographic struck ral information using spectroscopic techniques that are not restricted to single crystals. Kinetic studies on the hydrolysis reaction revealed that the phosphodiesterase activity increases in the order -NO(2)<- Br <- H <- CH(3) when 2,4-bis(dinitrophenyl)phosphate (2,4-bdnpp) was used as substrate, and a linear free energy relationship is found when log(k(cat)/k(0)) is plotted against the Hammett parameter a. However, nuclease activity measurements in the cleavage of double stranded DNA showed that the complexes containing the electron-withdrawing -NO(2) and electron-donating CH3 groups are the most active while the cytotoxic activity of the biomimetics on leukemia and lung tumoral cells is highest for complexes with electron-donating groups.