Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

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.

Hole pairing within an extended Anderson impurity model applicable to the high-Tc cuprates

We calculate the binding energy of a hole pair within the extended Anderson Hamiltonian for the high-Tc cuprates including a Cu impurity and an oxygen-derived band. The results indicate that stable hole pairs can be formed for intra-atomic and interatomic Coulomb repulsion strengths larger than 6 and 3.5 eV, respectively. It is also shown that the total hybridization strength between the Cu 3d and oxygen p band should be less than 2.5 eV. The hole pairing takes place primarily within the oxygen-derived p band. The range of parameter values for which hole pairing occurs is also consistent with the earlier photoemission results from these cuprates.

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.

Polymorphism in a TADDOL analogue induced by the presence of a chiral impurity

Crystallization of a TADDOL analogue results in an orthorhombic P2(1)2(1)2(1) form while the presence of a minute amount of a chiral impurity in the crystallization is found to be responsible for crystallization in a monoclinic P2(1) form.

Perturbation of critical solution temperatures by impurity doping

An expression is developed for the variation of the critical solution temperature of a binary liquid system when a third component (dopant) is added, using an extension of the regular solution theory. The model can be used for UCST, LCST and for closed loop systems and has the correct features in the limiting cases.

Impurity effects on the critical behaviour of the electrical resistance of binary liquid mixtures

The electrical resistance of the binary liquid system cyclohexane + acetic anhydride is measured, in the critical region, both in the pure mixture and when the mixture is doped with small amounts (≈ 100 ppm) of H2O/D2O impurities.T c was approached to aboutt=3×10−6 wheret=(T −T c )/T c . The critical exponentb ≈ 0.35 in the fit of the resistance data to the equationdR/dT ∼t −b does not seem to be affected appreciably by the impurities. There is a sign reversal ofdR/dt in the non-critical region. Binary liquid systems seem to violate the universality of the critical resistivity.

Impurity diffusion in bismuth single-crystals

Measurements of impurity diffusion of 86Rb, 90Sr, 133Ba, and 137Cs in single crystal Bi were carried out. Diffusion samples were prepared from single crystal Bi by ion implantation. About 1012-1013 ions were implanted, resulting in surface activities approx =104 cpm. After implantation, specimens were annealed for specified times at 220-265 deg C, and tracer penetration profiles were determined by an electrolytic method. A typical penetration profile for 137Cs in Bi showed a linear relationship for log C vs x in with Fick's law for volume diffusion. Laws of grain boundary diffusion were not obeyed and the order of magnitude of the penetration distances was much less than on a grain boundary mechanism. Results were interpreted in terms of a modified Fischer analysis using a kinetic trapping term. Effective half lengths for trapping at a twin boundary were determined for each impurity.

Critical resistivity in impurity doped binary liquid mixtures

The electrical resistance of the critical binary liquid system C6H12+(CH3CO)2O is measured both in the pure form and when the system is doped with small amounts (≈ 100 ppm) of H2O impurities. Near Tc, the resistance varies as dR/dT = A1+A2 (T-Tc)-b with b ≈ 0.35. Neither the critical exponent b nor the amplitude ratio A1/A2 are affected by the impurities. A sign reversal of dR/dT is noticed at high temperatures T much greater-than Tc.