112 research outputs found
Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes
The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S (d): (i) generalizes I (d); (ii) measures the degree of persistence as well as of the evolution of the variance; (iii) controls the balancedness of non-linear relationships; (iv) opens the door to the concept of co-summability which represents a generalization of co-integration for non-linear processes. To make this concept empirically applicable, an estimator for d and its asymptotic properties are provided. The finite sample performance of subsampling confidence intervals is analyzed via a Monte Carlo experiment. The paper finishes with the estimation of the degree of summability of the macroeconomic variables in an extended version of the Nelson-Plosser database.Co-integration, Co-summability, Integrated processes, Non-linear balanced relationships, Non-linear processes, Summability
Testing for multicointegration in panel data with common factors
The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis.common factors, cross-section dependence, i(2) processes, crossmulticointegration, panel data, multicointegration
Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit.
In this paper we model the multicointegration relation, allowing for one structural break. Since multicointegration is a particular case of polynomial or I(2) cointegration, our proposal can also be applied in these cases. The paper proposes the use of a residualbased Dickey-Fuller class of statistic that accounts for one known or unknown structural break. Finite sample performance of the proposed statistic is investigated by using Monte Carlo simulations, which reveals that the statistic shows good properties in terms of empirical size and power. We complete the study with an empirical application of the sustainability of the US external deficit. Contrary to existing evidence, the consideration of one structural break leads to conclude in favour of the sustainability of the US external deficit.I(2) processes, multicointegration, polynomial cointegration, structural break, sustainability of external deficit.
Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes
The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear
worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to
handle non-linearities. The paper shows that this new concept, S (δ): (i) generalizes I (δ); (ii) measures
the degree of persistence as well as of the evolution of the variance; (iii) controls the balancedness of
non-linear relationships; (iv) opens the door to the concept of co-summability which represents a
generalization of co-integration for non-linear processes. To make this concept empirically applicable,
an estimator for δ and its asymptotic properties are provided. The finite sample performance of
subsampling confidence intervals is analyzed via a Monte Carlo experiment. The paper finishes with
the estimation of the degree of summability of the macroeconomic variables in an extended version of
the Nelson-Plosser database
Co-summability from linear to non-linear cointegration
While co-integration theory is an ideal framework to study linear relationships among persistent
economic time series, the intrinsic linearity in the concepts of integration and co-integration makes it
unsuitable to study non-linear long run relations among persistent processes. This drawback hinders
the empirical analysis of modern macroeconomics, which often addresses asymmetric responses to
policy interventions, multiplicity of equilibria, transitions between regimes or polynomial approximations
to unknown functions.
In this paper, to cope with non-linear relations and consequently to generalise co-integration, we
formalise the idea of co-summability. It is built upon the concept order of summability developed by
Berenguer-Rico and Gonzalo (2013), which, in turn, was conceived to address non-linear
transformations of persistent processes. Theoretically, a co-summable relationship is balanced -in
terms of the variables involved having the same order of summability- and describes a long run
equilibrium that can be non-linear -in the sense that the errors have a lower order of summability. To
test for these types of equilibria, inference tools for balancedness and cosummability are designed and
their asymptotic properties are analysed. Their finite sample performance is studied via Monte Carlo
experiments.
The practical strength of co-summability theory is shown through two empirical applications.
Specifically, asymmetric preferences of central bankers and the environmental Kuznets curve
hypothesis are studied through the lens of co-summability.Financial support from the University of
Oxford, Institute for New Economic Thinking, Spanish Ministerio de Ciencia e Innovación (grants ECO2010-19357
and Consolider-2010), Comunidad de Madrid (grant Excelecon) and Bank of Spain (grant ER program) is
gratefully acknowledged
Normality testing after outlier removal
The cumulant based normality test after outlier removal is analyzed. It is shown that the standard least squares normalizations can be misleading in this context. The sample cumulants should be standardized according to the truncation imposed at the removal stage and the estimation method being used. New standardizations that lead to chi-squared inference are derived
Summability of stochastic processes: a generalization of integration for non-linear processes
The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being O-p(1)) to handle non-linearities. The paper shows that this new concept, S (delta): (i) generalizes I (delta); (ii) measures the degree of persistence as well as of the evolution of the variance; (iii) controls the balancedness of non-linear relationships; (iv) opens the door to the concept of co-summability which represents a generalization of co-integration for non-linear processes. To make this concept empirically applicable, an estimator for delta and its asymptotic properties are provided. The finite sample performance of subsampling confidence intervals is analyzed via a Monte Carlo experiment. The paper finishes with the estimation of the degree of summability of the macroeconomic variables in an extended version of the Nelson-Plosser database.Financial support from SEJ-2007-63098, ECO-2010-19357, CONSOLIDER 2010 (CSD 2006-00016), and EXCELECON S-2007/HUM-044 grants is gratefully acknowledged
Co-summability from linear to non-linear co-integration
This thesis opens a new set of econometric possibilities in the study of non-linear
long run relationships generalizing co-integration theory. This generalization is presented in three
di¤erent, although self-contained, chapters. Chapter 1 presents the order of summability and its
associated econometric tools. Chapter 2 develops the ideas of balancedness and co-summability
as well as the econometric theory to use them in practice. Their applicability is shown with two
empirical illustrations: asymmetric preferences of central bankers and the environmental Kuznets
curve. Chapter 3 derives the threshold present value model for asset pricing and tests it using the
techniques developed in the two previous chapters. The corresponding appendices, collecting all the
proofs, are at the end of each chapte
Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit
In this paper we model the multicointegration relation, allowing for one structural break. Since multicointegration is a particular case of polynomial or I(2) cointegration, our proposal can also be applied in these cases. The paper proposes the use of a residualbased Dickey-Fuller class of statistic that accounts for one known or unknown structural break. Finite sample performance of the proposed statistic is investigated by using Monte Carlo simulations, which reveals that the statistic shows good properties in terms of empirical size and power. We complete the study with an empirical application of the sustainability of the US external deficit. Contrary to existing evidence, the consideration of one structural break leads to conclude in favour of the sustainability of the US external deficit
Role-playing games para la adquisición de competencias en el Grado en Ingeniería Química
Se propone la realización de un juego de rol con el objetivo de que los alumnos comprendan una asignatura a priori tediosa, Gestión Integrada en la Industria Química, de una forma práctica y amena. Este tipo de prueba facilita la evaluación de varias competencias a la vez, englobando tanto habilidades técnicas, como la comunicación oral y la puesta en escena. En este caso concreto los alumnos se han introducido en la situación de una auditoría de los distintos sistemas de gestión de la Universidad de Alicante, incluyendo calidad, medio ambiente y prevención de riesgos laborales. Los profesores han valorado las competencias adquiridas y los alumnos han realizado una encuesta para comprobar si ellos tienen la percepción de haberlas adquirido. Además se estudia su utilidad en un entorno laboral, en prácticas en empresa, ya que varios alumnos realizan las asignaturas de Prácticas Externas después de haber cursado la asignatura de Gestión Integrada en la Industria Química. El trabajo se completa con el estudio del posible interés de los juegos de rol en otras asignaturas de la titulación
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