Testing subspace Granger causality

The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. Empirical manifestations of these subspaces are presented and useful interpretations for them are provided. Simple vector autoregressive models are used to estimate these subspaces and to find their dimensions. The methodology is illustrated by an application to empirical monetary policy, where a conditional form of Okun’s law is demonstrated as well as a statistical monetary policy reaction function to oil price changes

A unifying theory of tests of rank

The general principles underlying tests of matrix rank are investigated. It is demonstrated that statistics for such tests can be seen as implicit functions of null space estimators. In turn, the asymptotic behaviour of the null space estimators is shown to determine the asymptotic behaviour of the statistics through a plug-in principle. The theory simplifies the asymptotics under a variety of alternatives of empirical relevance as well as misspecification, clarifies the relationships between the various existing tests, makes use of important results in the numerical analysis literature, and motivates numerous new tests. A brief Monte Carlo study illustrates the results

Geometric and long run aspects of Granger causality

This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the requisite restrictions, are derived and extensively studied for a wide variety of time series processes including linear invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces

The Spectral Approach to Linear Rational Expectations Models

This paper considers linear rational expectations models in the frequency domain under general conditions. The paper develops necessary and sufficient conditions for existence and uniqueness of particular and generic systems and characterizes the space of all solutions as an affine space in the frequency domain. It is demonstrated that solutions are not generally continuous with respect to the parameters of the models, invalidating mainstream frequentist and Bayesian methods. The ill-posedness of the problem motivates regularized solutions with theoretically guaranteed uniqueness, continuity, and even differentiability properties. Regularization is illustrated in an analysis of the limiting Gaussian likelihood functions of two analytically tractable models.Comment: JEL Classification: C10, C32, C62, E3

Seismic Resilience of Steel-Braced Frames Incorporating Steel Slit Dampers: A Review and Comparative Numerical Analysis

Steel dampers, specifically steel slit dampers (SSDs), are crucial for enhancing the seismic resilience of buildings by absorbing energy and mitigating damage. SSDs are celebrated for their ability to produce stable hysteretic behavior, owing to the inelastic deformation of their strips, alongside benefits such as lightness, ease of manufacture, and straightforward post-earthquake replacement. This research extensively examines SSD applications, design principles, and innovations in their modeling, optimization, and production processes. The literature highlights SSDs' consistent performance in resisting both compression and tension, their adaptability in strength, ductility, and energy dissipation through modifications in strip configurations and the superiority of non-prismatic and hourglass-shaped designs over traditional options. Numerical analyses have been conducted to assess the effectiveness of non-prismatic slit dampers in comparison to their prismatic counterparts within braced frames. Three distinct braced frame configurations have been analyzed: one with a diagonal brace without a damper, another featuring a uniform prismatic slit damper, and a third incorporating a non-prismatic slit damper with an hourglass shape. The analysis primarily compared these systems' hysteresis behavior, ductility, and energy dissipation capacities. Results indicate a significant enhancement in performance when utilizing non-prismatic slit dampers. Notably, these dampers exhibited a remarkable 69% increase in cumulative energy dissipation compared to prismatic ones. Furthermore, the study reveals that a steel slit damper-braced frame, when equipped with optimally designed slit geometries, can tolerate inter-story drifts in excess of 2% while simultaneously achieving a greater than 12% increase in energy dissipation efficiency. Doi: 10.28991/CEJ-2024-010-04-019 Full Text: PD

An exponential class of dynamic binary choice panel data models with fixed effects

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM estimators that are consistent and asymptotically normally distributed at the root-N rate. We also study the conditional likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the finite sample performance of our GMM estimators