A simple panel-CADF test for unit roots

Copyright © Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012. This is the accepted version of the following article: Costantini, M. and Lupi, C. (2013), A Simple Panel-CADF Test for Unit Roots. Oxford Bulletin of Economics and Statistics, 75: 276–296, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract.In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis

Non-exchangeable copulas and multivariate total positivity

Multivariate total positivity of order 2 (MTP2) is a dependence property with a number of applications in statistics and mathematics. Given the theoretical and practical relevance of MTP2, it is important to investigate the conditions under which random vectors have this property. In this paper we contribute to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, we propose a new family of non-exchangeable Archimedean copulas which leads to MTP2. The focus on non-exchangeability allows us to overcome the limitations induced by symmetric dependence, typical of standard Archimedean copulas

Some New Tests of Conformity with Benford's Laws

This paper presents new perspectives and methodological instruments for verifying the validity of Benford’s law for a large given dataset. To this aim, we first propose new general tests for checking the statistical conformity of a given dataset with a generic target distribution; we also provide the explicit representation of the asymptotic distributions of the relevant test statistics. Then, we discuss the applicability of such novel devices to the case of Benford’s law. We implement extensive Monte Carlo simulations to investigate the size and the power of the introduced tests. Finally, we discuss the challenging theme of interpreting, in a statistically reliable way, the conformity between two distributions in the presence of a large number of observations

A network approach to risk theory and portfolio selection

In the context of portfolio theory, the evaluation of risk is of paramount relevance. In this respect, the connections among the risky assets of the portfolio should be carefully explored. This paper elaborates on this topic. We define a portfolio through a network, whose nodes are the assets composing it. The weights on the nodes and the arcs represent the share of capital invested on the assets and the dependence among them, respectively. The risk profile of the portfolio will be given through a suitably defined risk measure on the portfolio-network. The standard Markowitz theory will be rewritten in this particular setting. Surprisingly, we will note that the resulting decision problem is not consistent with an adapted version of the axiomatization of the standard expected utility theory

Risk measures on networks and expected utility

In reliability theory projects are usually evaluated in terms of their riskiness, and often decision under risk is intended as the one-shot-type binary choice of accepting or not accepting the risk. In this paper we elaborate on the concept of risk acceptance, and propose a theoretical framework based on network theory. In doing this, we deal with system reliability, where the interconnections among the random quantities involved in the decision process are explicitly taken into account. Furthermore, we explore the conditions to be satisfied for risk-acceptance criteria to be consistent with the axiomatization of standard expected utility theory within the network framework. In accordance with existing literature, we show that a risk evaluation criterion can be meaningful even if it is not consistent with the standard axiomatization of expected utility, once this is suitably reinterpreted in the light of networks. Finally, we provide some illustrative examples

Manure Handling System Attributes Impact on Manure Management Investment Decisions: A Random Utility Model Approach

Replaced with revised version of paper 07/22/08.Farm Management, Livestock Production/Industries,

Long-range properties and data validity for hydrogeological time series: The case of the Paglia river

This paper explores a large collection of about 377,000 observations, spanning more than 20 years with a frequency of 30 min, of the streamflow of the Paglia river, in central Italy. We analyze the long-term persistence properties of the series by computing the Hurst exponent, not only in its original form but also under an evolutionary point of view by analyzing the Hurst exponents over a rolling windows basis. The methodological tool adopted for the persistence is the detrended fluctuation analysis (DFA), which is classically known as suitable for our purpose. As an ancillary exploration, we implement a control on the data validity by assessing if the data exhibit the regularity stated by Benford’s law. Results are interesting under different viewpoints. First, we show that the Paglia river streamflow exhibits periodicities which broadly suggest the existence of some common behavior with El Niño and the North Atlantic Oscillations: this specifically points to a (not necessarily direct) effect of these oceanic phenomena on the hydrogeological equilibria of very far geographical zones: however, such an hypothesis needs further analyses to be validated. Second, the series of streamflows shows an antipersistent behavior. Third, data are not consistent with Benford’s law: this suggests that the measurement criteria should be opportunely revised. Fourth, the streamflow distribution is well approximated by a discrete generalized Beta distribution: this is well in accordance with the measured streamflows being the outcome of a complex system

Globular Cluster Formation from Colliding Substructure

We investigate a scenario where the formation of Globular Clusters (GCs) is triggered by high-speed collisions between infalling atomic-cooling subhalos during the assembly of the main galaxy host, a special dynamical mode of star formation that operates at high gas pressures and is intimately tied to LCDM hierarchical galaxy assembly. The proposed mechanism would give origin to "naked" globulars, as colliding dark matter subhalos and their stars will simply pass through one another while the warm gas within them clashes at highly supersonic speed and decouples from the collisionless component, in a process reminiscent of the Bullet galaxy cluster. We find that the resulting shock-compressed layer cools on a timescale that is typically shorter than the crossing time, first by atomic line emission and then via fine-structure metal-line emission, and is subject to gravitational instability and fragmentation. Through a combination of kinetic theory approximation and high-resolution $N$-body simulations, we show that this model may produce: (a) a GC number-halo mass relation that is linear down to dwarf galaxy scales and agrees with the trend observed over five orders of magnitude in galaxy mass; (b) a population of old globulars with a median age of 12 Gyr and an age spread similar to that observed; (c) a spatial distribution that is biased relative to the overall mass profile of the host; and (d) a bimodal metallicity distribution with a spread similar to that observed in massive galaxies.Comment: 15 pages, 5 figures, accepted for publication by the Astrophysical Journa

Temperature dependence of the optical spectral weight in the cuprates: Role of electron correlations

We compare calculations based on the Dynamical Mean-Field Theory of the Hubbard model with the infrared spectral weight $W(\Omega,T)$ of La$_{2-x}$Sr$_x$CuO$_4$ and other cuprates. Without using fitting parameters we show that most of the anomalies found in $W(\Omega,T)$ with respect to normal metals, including the existence of two different energy scales for the doping- and the $T$-dependence of $W(\Omega,T)$, can be ascribed to strong correlation effects.Comment: 4 pages, 3 figures. Minor corrections, corrected some typos and added reference