External Bootstrap Tests for Parameter stability

This article considers tests for parameter stability over time in general econometric models, possibly nonlinear-in-variables. Existing test statistics are commonly not asymptotically pivotal under nonstandard conditions. In such cases, the external bootstrap tests proposed in this paper are appealing from a practical viewpoint. We propose to use bootstrap versions of the asymptotic critical values based on a first-order asymptotic expansion of the test statistics under the null hypothesis, which consists of a linear transformation of the unobserved ?innovations? partial sum process. The nature of these transformations under nonstandard conditions is discussed for the main testing principles. Also, we investigate the small sample performance of the proposed bootstrap tests by means of a small Monte Carlo experiment.Publicad

DSS 13 frequency stability tests

In a previous article, the results of frequency stability tests at DSS 13 were presented in table form for tau = 1000 s for the test period May 1985 through March 1986. This article is a continuation of that initial report and presents specially selected Allan sigma (square root of variance) plots of each of the subsystem test previously reported. An additional result obtained from tests performed during July 1986 was included for completeness. The Allan sigma plots are useful in that frequency stability information is not only given for tau = 1000 s, but for tau values in the regions of 1, 100, 500, and 2000 s as well

Stability tests for heterogeneous panel data

This paper proposes a new test for structural instability in heterogeneous panels. The test builds on the seminal work of Andrews (2003) originally developed for time series. It is robust to non-normal, heteroskedastic and serially correlated errors, and allows for the number of post break observations to be small. Importantly, the test considers the alternative of a break affecting only some - and not all - individuals of the panel. Under mild assumptions the test statistic is shown to be asymptotically normal, thanks to the additional cross sectional dimension of panel data. This greatly facilitates the calculation of critical values. Monte Carlo experiments show that the test has good size and power under a wide range of circumstances. The test is then applied to investigate the effect of the Euro on trade.structural change ; end-of-sample instability tests ; heterogeneous panels ; Monte Carlo ; Euro effect on trade

Testing for breaks in cointegrated panels

Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a panel of 14 European countries over the 1960-2002 period. While the individual stability tests, contrary to expectations and graphical evidence, in almost all cases do not reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long-run relationship between these two variables is likely to have undergone a break.Panel cointegration; stationary bootstrap; parameter stability tests

Flight calibration source development

An important element in monitoring the sensitivity of flight instrumentation throughout a flight is a reliable reference. Tungsten filament quartz halogen and deuterium UV sources were tested for this purpose. All three types were obtained from available commercial supplies and were tested against various mission requirements, particularly long term stability characteristics. Stability tests were made before and after thermal vacuum and vibration tests

Extended flight evaluation of a near-term pitch active control system

Fuel savings can be achieved by moving the center of gravity of an aircraft aft which reduces the static stability margin and consequently the trim drag. However, flying qualities of an aircraft with relaxed static stability can be significantly degraded. The flying qualities can be restored by using a pitch active control system (PACS). This report documents the work accomplished during a follow-on program (see NASA CR-165951 for initial program report) to perform extended flight tests of a near-term PACS. The program included flying qualities analyses, piloted flight simulation tests, aircraft preparation and flight tests to demonstrate that the near-term PACS provided good flying qualities within the linear static stability envelope to a negative 3% static stability margin

Higgs boson and Top quark masses as tests of Electroweak Vacuum Stability

The measurements of the Higgs boson and top quark masses can be used to extrapolate the Standard Model Higgs potential at energies up to the Planck scale. Adopting a NNLO renormalization procedure, we: i) find that electroweak vacuum stability is at present allowed, discuss the associated theoretical and experimental errors and the prospects for its future tests; ii) determine the boundary conditions allowing for the existence of a shallow false minimum slightly below the Planck scale, which is a stable configuration that might have been relevant for primordial inflation; iii) derive a conservative upper bound on type I seesaw right-handed neutrino masses, following from the requirement of electroweak vacuum stability.Comment: v1: 22 pages, 9 figures; v2: 26 pages, 11 figures: improved text, added detailed comparison with previous literature results, version matching the PRD articl

Australasian money demand stability: Application of structural break tests

Estimates of the demand for money provide important foundations for monetary policy setting but if the estimation technique does not explicitly account for structural changes then such estimates will be biased. This paper presents an investigation into the level and stability of money demand (M1) for Australia and New Zealand over the 1960-2009 period and demonstrates that both countries experienced regime shifts; Australia also experienced an intercept shift. Application of four time series methods provide consistent results with 1984 and 1998 break dates. CUSUM and CUSUMSQ stability tests reveal that M1 demand functions were unstable over the 1984 to 1998 period for both countries although tests for stability are not rejected thereafter.Money demand; Cointegration; Structural breaks; Australia; New Zealand

Diversification, protection of liability holders and regulatory arbitrage

Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of a financial institution. We provide a complete characterization of closed, convex, surplus-invariant capital adequacy tests that highlights an inherent tension between surplus-invariance and the desire to give credit for diversification. The second objective leads to requiring consistency of capital adequacy tests across jurisdictions. Of particular importance in this respect are capital adequacy tests that remain invariant under a change of num\'{e}raire. We establish an intimate link between surplus- and num\'{e}raire invariant tests