Testing for Codependence of Non-Stationary Variables

We analyze non-stationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to codependence, allowing for delayed adjustment. We show which restrictions are implied for VECMs and lay out a likelihood ratio test. In addition, due to identification problems in codependent VECMs a GMM test approach is proposed. We apply the concept to US and European interest rate data, examining the capability of the Fed and ECB to control overnight money market rates

The S2 VLBI Correlator: A Correlator for Space VLBI and Geodetic Signal Processing

We describe the design of a correlator system for ground and space-based VLBI. The correlator contains unique signal processing functions: flexible LO frequency switching for bandwidth synthesis; 1 ms dump intervals, multi-rate digital signal-processing techniques to allow correlation of signals at different sample rates; and a digital filter for very high resolution cross-power spectra. It also includes autocorrelation, tone extraction, pulsar gating, signal-statistics accumulation.Comment: 44 pages, 13 figure

Fault tolerant data management system

Described in detail are: (1) results obtained in modifying the onboard data management system software to a multiprocessor fault tolerant system; (2) a functional description of the prototype buffer I/O units; (3) description of modification to the ACADC and stimuli generating unit of the DTS; and (4) summaries and conclusions on techniques implemented in the rack and prototype buffers. Also documented is the work done in investigating techniques of high speed (5 Mbps) digital data transmission in the data bus environment. The application considered is a multiport data bus operating with the following constraints: no preferred stations; random bus access by all stations; all stations equally likely to source or sink data; no limit to the number of stations along the bus; no branching of the bus; and no restriction on station placement along the bus

Testing for Codependence of Non-Stationary Variables

We analyze non-stationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to codependence, allowing for delayed adjustment. We show which restrictions are implied for VECMs and lay out a likelihood ratio test. In addition, due to identification problems in codependent VECMs a GMM test approach is proposed. We apply the concept to US and European interest rate data, examining the capability of the Fed and ECB to control overnight money market rates.Serial correlation common features; codependence; cointegration; overnight interest rates; central banks

Ultra-compact optical auto-correlator based on slow-light enhanced third harmonic generation in a silicon photonic crystal waveguide

The ability to use coherent light for material science and applications is directly linked to our ability to measure short optical pulses. While free-space optical methods are well-established, achieving this on a chip would offer the greatest benefit in footprint, performance, flexibility and cost, and allow the integration with complementary signal processing devices. A key goal is to achieve operation at sub-Watt peak power levels and on sub-picosecond timescales. Previous integrated demonstrations require either a temporally synchronized reference pulse, an off-chip spectrometer, or long tunable delay lines. We report the first device capable of achieving single-shot time-domain measurements of near-infrared picosecond pulses based on an ultra-compact integrated CMOS compatible device, with the potential to be fully integrated without any external instrumentation. It relies on optical third-harmonic generation in a slow-light silicon waveguide. Our method can also serve as a powerful in-situ diagnostic tool to directly map, at visible wavelengths, the propagation dynamics of near-infrared pulses in photonic crystals.Comment: 20 pages, 6 figures, 38 reference

The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis

This paper specifies, estimates, and evaluates the relation between inflation rate and excess money growth, defined as the difference between money supply growth and real GDP growth, using a smooth transition regression model and U.S. data. The results indicate that the relation is a nonlinear one as supported by the linearity tests. Although deterministic extrapolation exercises indicate that both the linear and nonlinear models are stable, the nonlinear model is favored by several misspecification tests. Deterministic extrapolation exercises also indicate that an increase in excess money supply has positive effect on the long-run inflation rate but the effect is not one-to-one even in high-inflation regime.Inflation; Excess Money Growth; Smooth Transition Regression

Codependence and Cointegration

We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed re-equilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common feature are checked by LR and GMM-type tests. Alongside, we provide corrected maximum codependence orders and discuss identification. The concept is applied to US and European interest rate data, examining the capability of the Fed and ECB to control overnight money market rates