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

Computing the Hessenberg matrix associated with a self-similar measure

We introduce in this paper a method to calculate the Hessenberg matrix of a sum of measures from the Hessenberg matrices of the component measures. Our method extends the spectral techniques used by G. Mantica to calculate the Jacobi matrix associated with a sum of measures from the Jacobi matrices of each of the measures. We apply this method to approximate the Hessenberg matrix associated with a self-similar measure and compare it with the result obtained by a former method for self-similar measures which uses a fixed point theorem for moment matrices. Results are given for a series of classical examples of self-similar measures. Finally, we also apply the method introduced in this paper to some examples of sums of (not self-similar) measures obtaining the exact value of the sections of the Hessenberg matrix

Mixing of eta-eta' Mesons in J/psi Decays into a Vector and a Pseudoscalar Meson

The octet-singlet mixing angle $\theta_P$ in the pseudoscalar meson nonet is deduced from the rich set of accurate data on $J/\psi$ decays into a vector and a pseudoscalar meson. Corrections due to non-ideal $\omega$-$\phi$ mixing have been included for the first time and turn out to be crucial to find $\theta_P = -16.9 \pm 1.7$ degrees, which is appreciably less negative than previous results coming from similar analyses.Comment: 9 pages, LaTeX, full postscript file available via anonymous ftp at ftp://ftp.ifae.es/preprint/ft/uabft412.p

Asymmetric and time-varying error-correction: an application to labour demand in the UK

In this paper we compare the asymmetric and time-varying error-correction models that have recently been proposed, and apply these to the case of UK aggregate labour demand. The aim of the paper is to investigate the possible co-existence of time-varying adjustment on the one hand, and constant asymmetric error-correction on the other hand. We find that without allowing for time-varying adjustment variables, the asymmetric error-correction models of Granger and Lee (1989) and Escribano (1986) work well. But once the time-varying adjustment variables are included, the evidence for time-invariant asymmetric adjustment is marginal

On the gluon content of the eta and eta' mesons

A phenomenological analysis of radiative $V\to P\gamma$ and $P\to V\gamma$ decays is performed with the purpose of determining the gluonic content of the $\eta$ and $\eta^\prime$ wave functions. Our results show that within our model there is no evidence for a gluonium contribution in the $\eta$, $Z_\eta^2=0.00\pm 0.12$, or the $\eta^\prime$, $Z_{\eta^\prime}^2=0.04\pm 0.09$. In terms of a mixing angle description this corresponds to $\phi_P=(41.4\pm 1.3)^\circ$ and $|\phi_{\eta^\prime G}|=(12\pm 13)^\circ$. In addition, the $\eta$-$\eta^\prime$ mixing angle is found to be $\phi_P=(41.5\pm 1.2)^\circ$ if we don't allow for a gluonium component.Comment: 16 pages, 3 figures, JHEP style. First part of data fitting changed, conclusions not modifie