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

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

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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

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

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

Outliers robust ECM cointegration test based on the trend components

The main goal of this paper is to analyze the behaviour of the ECM non-co integration test when there are additive outliers in the time series under different co-breaking situations. We show that the critical values of the usual ECM test are not robust to the presence of transitory shocks and we suggest a procedure based on signal extraction to bypass this problem. These procedure renders ECM tests with a left tail of distribution under the null that is robust to the presence of additive outliers in the series. The small sample critical values and the empirical power of the test are analyzed by Monte Carlo simulations for several low frequency filters