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.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Residual-based Inference for Common Nonlinear Features

This paper investigates common nonlinear features in multivariate nonlinear autore-gressive models via testing the estimated residuals. A Wald-type test is proposed and itis asymptotically Chi-squared distributed. Simulation studies are given to examine thefinite-sample properties of the proposed test.

CO2 Emissions, GDP and trade : a panel cointegration approach

This paper examines the relationships among per capita CO2 emissions, per capita GDP and international trade based on panel data sets spanning the period 1960-2008: one for 150 countries and the others for sub-samples comprising OECD and Non-OECD economies. We apply panel unit root and cointegration tests, and estimate a panel error correction model. The results from the error correction model suggest that there are long-term relationships between the variables for the whole sample and for Non-OECD countries. Finally, Granger causality tests show that there is bi-directional short-term causality between per capita GDP and international trade for the whole sample and between per capita GDP and CO2 emissions for OECD countries

Critical values for unit root and cointegration test statistics - the use of response surface equations

This note considers the value of surface response equations which can be used to calculate critical values for a range of unit root and cointegration tests popular in applied economic research.

The long run relationship between stock prices and goods prices: new evidence from panel cointegration

We examine the long run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from sixteen OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions, whilst maintaining the power of tests in small sample sizes by combining time-series data across our sample countries in a panel unit root and panel cointegration econometric framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the estimated goods price coefficient being in line with the generalized Fisher hypothesis.

The case for property in the long run: a cointegration test

The benefits of property in the mixed asset portfolio has been the subject of a number of studies both in the UK and around the world. The traditional way of investigating this issue is to use MPT with the results suggesting that Property should play a significant role in the mixed asset portfolio. These results are not without criticism and generally revolve around quality and quantity of the property data series. To overcome these deficiencies this paper uses cointegration methodology which examines the longer term time series behaviour of various asset markets using a very long run desmoothed data series. Using a number of different cointegration tests, both pair-wise and multivariate, the results show, in unambiguous terms, that there is no contemporous cointegration between the major asset classes Property, Equities and Bonds. The implications of which are that Property does indeed have a risk reducing place to play in the long-run strategic mixed-asset portfolio. A result of particular relevance to institutions such as pension funds and life insurance companies who would wish to hold investments for the long-term.

Human capital and innovation: evidence from panel cointegration tests

Panel cointegration techniques applied to pooled data for 27 economies for the period 1960-2000 indicate that: i) government spending in education and innovation indicators are cointegrated; ii) education hierarchy is relevant when explaining innovation; and iii) the relation between education and innovation can be obtained after an accommodation of a level structural break.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Presence of infectious agents and co-infections in diarrheic dogs determined with a real-time polymerase chain reaction-based panel

Background: Infectious diarrhea can be caused by bacteria, viruses, or protozoan organisms, or a combination of these. The identification of co-infections in dogs is important to determine the prognosis and to plan strategies for their treatment and prophylaxis. Although many pathogens have been individually detected with real-time polymerase chain reaction (PCR), a comprehensive panel of agents that cause diarrhea in privately owned dogs has not yet been established. The objective of this study was to use a real-time PCR diarrhea panel to survey the frequencies of pathogens and co-infections in owned dogs attended in a veterinary hospital with and without diarrhea, as well the frequency in different countries. Feces samples were tested for canine distemper virus, canine coronavirus, canine parvovirus type 2 (CPV-2), Clostridium perfringens alpha toxin (CPA), Cryptosporidium spp., Giardia spp., and Salmonella spp. using molecular techniques.Results: In total, 104 diarrheic and 43 control dogs that were presented consecutively at a major private veterinary hospital were included in the study. Overall, 71/104 (68.3%) dogs with diarrhea were positive for at least one pathogen: a single infection in 39/71 dogs (54.9%) and co-infections in 32/71 dogs (45.1%), including 21/32 dogs (65.6%) with dual, 5/32 (15.6%) with triple, and 6/32 (18.8%) with quadruple infections. In the control group, 13/43 (30.2%) dogs were positive, all with single infections only. The most prevalent pathogens in the diarrheic dogs were CPA (40/104 dogs, 38.5%), CPV-2 (36/104 dogs, 34.6%), and Giardia spp. (14/104 dogs, 13.5%). CPV-2 was the most prevalent pathogen in the dual co-infections, associated with CPA, Cryptosporidium spp., or Giardia spp. No statistical difference (P = 0.8374) was observed in the duration of diarrhea or the number of deaths (P = 0.5722) in the presence or absence of single or co-infections.Conclusions: Diarrheic dogs showed a higher prevalence of pathogen infections than the controls. Whereas the healthy dogs had only single infections, about half the diarrheic dogs had co-infections. Therefore, multiple pathogens should be investigated in dogs presenting with diarrhea. The effects of multiple pathogens on the disease outcomes remain unclear because the rate of death and the duration of diarrhea did not seem to be affected by these factors.

Running-based anaerobic sprint test as a procedure to evaluate anaerobic power

The aim of this study was to evaluate the use of the running anaerobic sprint test (RAST) as a predictor of anaerobic capacity, compare it to the maximal accumulated oxygen deficit (MAOD) and to compare the RAST's parameters with the parameters of 30-s all-out tethered running on a treadmill. 39 (17.0±1.4 years) soccer players participated in this study. The participants underwent an incremental test, 10 submaximal efforts [50-95% of velocity correspondent to VO2MAX (vVO2MAX)] and one supramaximal effort at 110% of vVO2MAX for the determination of MAOD. Furthermore, the athletes performed the RAST. In the second stage the 30-s all-out tethered running was performed on a treadmill (30-s all-out), and compared with RAST. No significant correlation was observed between MAOD and RAST parameters. However, significant correlations were found between the power of the fifth effort (P5) of RAST with peak and mean power of 30-s all-out (r=0.73 and 0.50; p<0.05, respectively). In conclusion, the parameters from RAST do not have an association with MAOD, suggesting that this method should not be used to evaluate anaerobic capacity. Although the correlations between RAST parameters with 30-s all-out do reinforce the RAST as an evaluation method of anaerobic metabolism, such as anaerobic power.

The development and evaluation of a computer-based program to test and to teach the recognition of facial affect

Autism is a chronic pervasive neurodevelopmental disorder characterized by the early onset of social and communicative impairments as well as restricted, ritualized, stereotypic behavior. The endophenotype of autism includes neuropsychological deficits, for instance a lack of "Theory of Mind" and problems recognizing facial affect. In this study, we report the development and evaluation of a computer-based program to teach and test the ability to identify basic facially expressed emotions. 10 adolescent or adult subjects with high-functioning autism or Asperger-syndrome were included in the investigation. A priori the facial affect recognition test had shown good psychometric properties in a normative sample (internal consistency: rtt=.91-.95; retest reliability: rtt=.89-.92). In a prepost design, one half of the sample was randomly assigned to receive computer treatment while the other half of the sample served as control group. The training was conducted for five weeks, consisting of two hours training a week. The trained individuals improved significantly on the affect recognition task, but not on any other measure. Results support the usefulness of the program to teach the detection of facial affect. However, the improvement found is limited to a circumscribed area of social-communicative function and generalization is not ensured.