Residual-based test for Nonlinear Cointegration with application in PPPs

Nested by linear cointegration first provided in Granger (1981), the definition of nonlinear cointegration is presented in this paper. Sequentially, a nonlinear cointegrated economic system is introduced. What we mainly study is testing no nonlinear cointegration against nonlinear cointegration by residual-based test, which is ready for detecting stochastic trend in nonlinear autoregression models. We construct cointegrating regression along with smooth transition components from smooth transition autoregression model. Some properties are analyzed and discussed during the estimation procedure for cointegrating regression, including description of transition variable. Autoregression of order one is considered as the model of estimated residuals for residual-based test, from which the teststatistic is obtained. Critical values and asymptotic distribution of the test statistic that we request for different cointegrating regressions with different sample sizes are derived based on Monte Carlo simulation. The proposed theoretical methods and models are illustrated by an empirical example, comparing the results with linear cointegration application in Hamilton (1994). It is concluded that there exists nonlinear cointegration in our system in the final results.

Common Features in Vector Nonlinear Time Series Models

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified. The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

Tests for the hysteresis hypothesis in Brazilian industrialized exports: A threshold cointegration analysis

This paper examines the hysteresis hypothesis in the Brazilian industrialized exports using a time series analysis. This hypothesis finds an empirical representation into the nonlinear adjustments of the exported quantity to relative price changes. Thus, the threshold cointegration analysis proposed by Balke and Fomby [Balke, N.S. and Fomby, T.B. Threshold Cointegration. International Economic Review, 1997; 38; 627-645.] was used for estimating models with asymmetric adjustment of the error correction term. Amongst sixteen industrial sectors selected, there was evidence of nonlinearities in the residuals of long-run relationships of supply or demand for exports in nine of them. These nonlinearities represent asymmetric and/or discontinuous responses of exports to different representative measures of real exchange rates, in addition to other components of long-run demand or supply equations. (C) 2007 Elsevier B.V. All rights reserved.

Bayesian estimation and selection of nonlinear vector error correction models: The case of the sugar-ethanol-oil nexus in Brazil

Nonlinear adjustment toward long-run price equilibrium relationships in the sugar-ethanol-oil nexus in Brazil is examined. We develop generalized bivariate error correction models that allow for cointegration between sugar, ethanol, and oil prices, where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors. A range of models are estimated using Bayesian Monte Carlo Markov Chain algorithms and compared using Bayesian model selection methods. The results suggest that the long-run drivers of Brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices.

A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure

We test whether there are nonlinearities in the response of short- and long-term interest rates to the spread in interest rates, and assess the out-of-sample predictability of interest rates using linear and nonlinear models. We find strong evidence of nonlinearities in the response of interest rates to the spread. Nonlinearities are shown to result in more accurate short-horizon forecasts, especially of the spread.

Effect Of Platform Connection And Abutment Material On Stress Distribution In Single Anterior Implant-supported Restorations: A Nonlinear 3-dimensional Finite Element Analysis.

Although various abutment connections and materials have recently been introduced, insufficient data exist regarding the effect of stress distribution on their mechanical performance. The purpose of this study was to investigate the effect of different abutment materials and platform connections on stress distribution in single anterior implant-supported restorations with the finite element method. Nine experimental groups were modeled from the combination of 3 platform connections (external hexagon, internal hexagon, and Morse tapered) and 3 abutment materials (titanium, zirconia, and hybrid) as follows: external hexagon-titanium, external hexagon-zirconia, external hexagon-hybrid, internal hexagon-titanium, internal hexagon-zirconia, internal hexagon-hybrid, Morse tapered-titanium, Morse tapered-zirconia, and Morse tapered-hybrid. Finite element models consisted of a 4×13-mm implant, anatomic abutment, and lithium disilicate central incisor crown cemented over the abutment. The 49 N occlusal loading was applied in 6 steps to simulate the incisal guidance. Equivalent von Mises stress (σvM) was used for both the qualitative and quantitative evaluation of the implant and abutment in all the groups and the maximum (σmax) and minimum (σmin) principal stresses for the numerical comparison of the zirconia parts. The highest abutment σvM occurred in the Morse-tapered groups and the lowest in the external hexagon-hybrid, internal hexagon-titanium, and internal hexagon-hybrid groups. The σmax and σmin values were lower in the hybrid groups than in the zirconia groups. The stress distribution concentrated in the abutment-implant interface in all the groups, regardless of the platform connection or abutment material. The platform connection influenced the stress on abutments more than the abutment material. The stress values for implants were similar among different platform connections, but greater stress concentrations were observed in internal connections.

Interaction Between Fiscal And Monetary Policy In A Dynamic Nonlinear Model.

The objective of this study is to verify the dynamics between fiscal policy, measured by public debt, and monetary policy, measured by a reaction function of a central bank. Changes in monetary policies due to deviations from their targets always generate fiscal impacts. We examine two policy reaction functions: the first related to inflation targets and the second related to economic growth targets. We find that the condition for stable equilibrium is more restrictive in the first case than in the second. We then apply our simulation model to Brazil and United Kingdom and find that the equilibrium is unstable in the Brazilian case but stable in the UK case.

Unconstrained Finite Element for Geometrical Nonlinear Dynamics of Shells

This paper presents a positional FEM formulation to deal with geometrical nonlinear dynamics of shells. The main objective is to develop a new FEM methodology based on the minimum potential energy theorem written regarding nodal positions and generalized unconstrained vectors not displacements and rotations. These characteristics are the novelty of the present work and avoid the use of large rotation approximations. A nondimensional auxiliary coordinate system is created, and the change of configuration function is written following two independent mappings from which the strain energy function is derived. This methodology is called positional and, as far as the authors' knowledge goes, is a new procedure to approximated geometrical nonlinear structures. In this paper a proof for the linear and angular momentum conservation property of the Newmark beta algorithm is provided for total Lagrangian description. The proposed shell element is locking free for elastic stress-strain relations due to the presence of linear strain variation along the shell thickness. The curved, high-order element together with an implicit procedure to solve nonlinear equations guarantees precision in calculations. The momentum conserving, the locking free behavior, and the frame invariance of the adopted mapping are numerically confirmed by examples. Copyright (C) 2009 H. B. Coda and R. R. Paccola.

Trajectory Sensitivity Method and Master-Slave Synchronization to Estimate Parameters of Nonlinear Systems

A combination of trajectory sensitivity method and master-slave synchronization was proposed to parameter estimation of nonlinear systems. It was shown that master-slave coupling increases the robustness of the trajectory sensitivity algorithm with respect to the initial guess of parameters. Since synchronization is not a guarantee that the estimation process converges to the correct parameters, a conditional test that guarantees that the new combined methodology estimates the true values of parameters was proposed. This conditional test was successfully applied to Lorenz's and Chua's systems, and the proposed parameter estimation algorithm has shown to be very robust with respect to parameter initial guesses and measurement noise for these examples. Copyright (C) 2009 Elmer P. T. Cari et al.

Effects of Variations in Nonlinear Damping Coefficients on the Parametric Vibration of a Cantilever Beam with a Lumped Mass

Uncertainties in damping estimates can significantly affect the dynamic response of a given flexible structure. A common practice in linear structural dynamics is to consider a linear viscous damping model as the major energy dissipation mechanism. However, it is well known that different forms of energy dissipation can affect the structure's dynamic response. The major goal of this paper is to address the effects of the turbulent frictional damping force, also known as drag force on the dynamic behavior of a typical flexible structure composed of a slender cantilever beam carrying a lumped-mass on the tip. First, the system's analytical equation is obtained and solved by employing a perturbation technique. The solution process considers variations of the drag force coefficient and its effects on the system's response. Then, experimental results are presented to demonstrate the effects of the nonlinear quadratic damping due to the turbulent frictional force on the system's dynamic response. In particular, the effects of the quadratic damping on the frequency-response and amplitude-response curves are investigated. Numerically simulated as well as experimental results indicate that variations on the drag force coefficient significantly alter the dynamics of the structure under investigation. Copyright (c) 2008 D. G. Silva and P. S. Varoto.

Combining Legendre's Polynomials and Genetic Algorithm in the Solution of Nonlinear Initial-Value Problems

This work develops a method for solving ordinary differential equations, that is, initial-value problems, with solutions approximated by using Legendre's polynomials. An iterative procedure for the adjustment of the polynomial coefficients is developed, based on the genetic algorithm. This procedure is applied to several examples providing comparisons between its results and the best polynomial fitting when numerical solutions by the traditional Runge-Kutta or Adams methods are available. The resulting algorithm provides reliable solutions even if the numerical solutions are not available, that is, when the mass matrix is singular or the equation produces unstable running processes.

A frequency approach to identifying asteroid families II. Families interacting with nonlinear secular resonances and low-order mean-motion resonances

Aims. In an earlier paper we introduced a new method for determining asteroid families where families were identified in the proper frequency domain (n, g, g + s) ( where n is the mean-motion, and g and s are the secular frequencies of the longitude of pericenter and nodes, respectively), rather than in the proper element domain (a, e, sin(i)) (semi-major axis, eccentricity, and inclination). Here we improve our techniques for reliably identifying members of families that interact with nonlinear secular resonances of argument other than g or g + s and for asteroids near or in mean-motion resonant configurations. Methods. We introduce several new distance metrics in the frequency space optimal for determining the diffusion in secular resonances of argument 2g - s, 3g - s, g - s, s, and 2s. We also regularize the dependence of the g frequency as a function of the n frequency (Vesta family) or of the eccentricity e (Hansa family). Results. Our new approaches allow us to recognize as family members objects that were lost with previous methods, while keeping the advantages of the Carruba & Michtchenko (2007, A& A, 475, 1145) approach. More important, an analysis in the frequency domain permits a deeper understanding of the dynamical evolution of asteroid families not always obtainable with an analysis in the proper element domain.

PARTIAL STABILITY FOR A CLASS OF NONLINEAR SYSTEMS

This paper studies a nonlinear, discrete-time matrix system arising in the stability analysis of Kalman filters. These systems present an internal coupling between the state components that gives rise to complex dynamic behavior. The problem of partial stability, which requires that a specific component of the state of the system converge exponentially, is studied and solved. The convergent state component is strongly linked with the behavior of Kalman filters, since it can be used to provide bounds for the error covariance matrix under uncertainties in the noise measurements. We exploit the special features of the system-mainly the connections with linear systems-to obtain an algebraic test for partial stability. Finally, motivated by applications in which polynomial divergence of the estimates is acceptable, we study and solve a partial semistability problem.

X-ray phase measurements as a probe of small structural changes in doped nonlinear optical crystals

X-ray multiple diffraction experiments with synchrotron radiation were carried out on pure and doped nonlinear optical crystals: NH(4)H(2)PO(4) and KH(2)PO(4) doped with Ni and Mn, respectively. Variations in the intensity profiles were observed from pure to doped samples, and these variations correlated with shifts in the structure factor phases, also known as triplet phases. This result demonstrates the potential of X-ray phase measurements to study doping in this type of single crystal. Different methodologies for probing structural changes were developed. Dynamical diffraction simulations and curve fitting procedures were also necessary for accurate phase determination. Structural changes causing the observed phase shifts are discussed.