Detrending procedures and cointegration testing: ECM tests under structural breaks

It is well known that all the test for unit roots and cointegration depend on the deterministic elements that are in mean of the variables; constant, trend, breaks, outliers, segmented trends, etc. This is a serious inconvenient for empirical work. In this paper we analyze if those problems could be solved by forming the cointegration tests on extended models, on the components of the series obtained from trend cycle decompositions. We do that by Monte Carlo Simulations allowing for several structural breaks in the data generating process

Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test

The aim of the paper is the analysis of ECM bootstrap cointegration tests under structural breaks. Classical ECM tests depend on sorne nuisance parameters, which is an undesirable feature for empirical applications. This problem is overcome by using the bootstrap ECM test, which shows good size and power properties when there are no breaks. In this paper we study the small sample properties of alternative bootstrap ECM tests under different cobreaking situations. ECM test statistics are made robust to partial cobreaking by using extended error correction models or by imposing a common factor restriction

Compositon of Tantalum Nitride Thin Films Grown by Low-Energy Nitrogen Implantation: A Factor Analysis Study of the Ta 4f XPS Core Level

Tantalum nitride thin films have been grown by in situ nitrogen implantation of metallic tantalum at room temperature over the energy range of 0.5-5keV. X-ray photoelectron spectroscopy (XPS) and Factor Analysis (FA) have been used to characterise the chemical composition of the films. The number of the different Ta-N phases formed during nitrogen implantation, as well as their spectral shape and concentrations, have been obtained using principal component analysis (PCA) and iterative target transformation factor analysis (ITTFA), without any prior assumptions. According to FA results, the composition of the tantalum nitride films depends on both the ion dose and ion energy, and is mainly formed by a mixture of metallic tantalum, beta-TaN0.05, gamma-Ta2N and cubic/hexagonal TaN phases.Comment: 24 pages, 5 figures submitted to Applied Physics

Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model

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Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers

Conventional univariate Dickey-Fuller tests tend to produce spurious stationarity when there exist additive outlying observations in the time series. Correct critical values are usually obtained by adding dummy variables to the Dickey-Fuller regression. This is a nice theoretical result but not attractive from the empirical point of view since almost any result can be obtained just by a convenient selection of dummy variables. In this paper we suggest a robust procedure based on running Dickey-Fuller tests on the trend component instead of the original series. We provide both finite-sample and large-sample justifications. Practical implementation is illustrated through an empirical example based on the US/Finland real exchange rate series.Additive outliers, Dickey-Fuller test, Linear and nonlinear filtering, Bootstrap

Out-of-sample forecast errors in misspecified perturbed long memory processes

The correlogram is not a useful diagnosis tool in the presence of long-memory or long range depedent time series. The aim of this paper is to illustrate this claim by examining the relative increase in mean square forecast error from fitting a weakly stationary process to the series of interest hen in fact the true model is a so-called perturbed long-memory process recently introduced by Granger and Marmol (1997). This model has the property of being unidentifiable from a white noise process on the basis of the correlogram and the usual rule-of thumbs in the Box-Jenkins methodology. We prove that this kind of misspecification can lead to serious errors in terms of forecasting

4U 1626-67 as seen by Suzaku before and after the 2008 torque reversal

Aims. The accretion-powered pulsar 4U 1626-67 experienced a new torque reversal at the beginning of 2008, after about 18 years of steadily spinning down. The main goal of the present work is to study this recent torque reversal that occurred in 2008 February. Methods. We present a spectral analysis of this source using two pointed observations performed by Suzaku in 2006 March and in 2010 September. Results. We confirm with Suzaku the presence of a strong emission-line complex centered on 1 keV, with the strongest line being the hydrogen-like Ne Ly-alpha at 1.025(3) keV. We were able to resolve this complex with up to seven emission lines. A dramatic increase of the intensity of the Ne Ly-alpha line after the 2008 torque reversal occurred, with the equivalent width of this line reaching almost the same value measured by ASCA in 1993. We also report on the detection of a cyclotron line feature centered at ~37 keV. In spite of the fact that an increase of the X-ray luminosity (0.5-100 keV) of a factor of ~2.8 occurred between these two observations, no significant change in the energy of the cyclotron line feature was observed. However, the intensity of the ~1 keV line complex increased by an overall factor of ~8. Conclusions. Our results favor a scenario in which the neutron star in 4U 1626-67 accretes material from a geometrically thin disk during both the spin-up and spin-down phases.Comment: 7 pages, 5 figures and 2 tables. Accepted in A&