A loss function approach to model specification testing and its relative efficiency

The generalized likelihood ratio (GLR) test proposed by Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193] and Fan and Yao [Nonlinear Time Series: Nonparametric and Parametric Methods (2003) Springer] is a generally applicable nonparametric inference procedure. In this paper, we show that although it inherits many advantages of the parametric maximum likelihood ratio (LR) test, the GLR test does not have the optimal power property. We propose a generally applicable test based on loss functions, which measure discrepancies between the null and nonparametric alternative models and are more relevant to decision-making under uncertainty. The new test is asymptotically more powerful than the GLR test in terms of Pitman's efficiency criterion. This efficiency gain holds no matter what smoothing parameter and kernel function are used and even when the true likelihood function is available for the GLR test.Comment: Published in at http://dx.doi.org/10.1214/13-AOS1099 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Specification Testing for Multivariate Time Series Volatility Models

Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models are covered. Our tests have a convenient asymptotic null N(0,1) distribution, and can detect a wide range of misspecifications for volatility dynamics. Distinct from the existing tests for volatility models, our tests are robust to higher order time-varying moments of unknown form (e.g., time-varying skewness and kurtosis). Our tests check a large number of lags and are therefore expected to be powerful against neglected volatility dynamics that occurs at higher order lags or display long memory properties. Despite using a large number of lags, our tests do not suffer much from loss of a large number of degrees of freedom, because our approach naturally discounts higher order lags, which is consistent with the stylized fact that economic or financial markets are more affected by the recent past events than by the remote past events. No specific estimation method is required, and parameter estimation uncertainty has no impact on the limit distribution of the test statistics. Moreover, there is no need to formulate an alternative volatility model, and only estimated standardized residuals are needed to implement our tests. We do not have to calculate tedious score functions or derivatives of volatility models with respect to estimated parameters, which are model-specific and are required in some existing popular tests for volatility models. We examine the finite sample performance of the proposed tests. An empirical application to some popular GARCH models for stock returns illustrates our approachGeneralized spectral derivative, Kernel, Multivariate generalized spectrum, Multivariate GARCH models, Nonlinear volatility dynamics, Robustness, Specification testing, Stochastic Volatility Model, Time-varying higher order moments of unknown form.

Formation of Warped Disks by Galactic Fly-by Encounters. I. Stellar Disks

Warped disks are almost ubiquitous among spiral galaxies. Here we revisit and test the `fly-by scenario' of warp formation, in which impulsive encounters between galaxies are responsible for warped disks. Based on N-body simulations, we investigate the morphological and kinematical evolution of the stellar component of disks when galaxies undergo fly-by interactions with adjacent dark matter halos. We find that the so-called `S'-shaped warps can be excited by fly-bys and sustained for even up to a few billion years, and that this scenario provides a cohesive explanation for several key observations. We show that disk warp properties are governed primarily by the following three parameters; (1) the impact parameter, i.e., the minimum distance between two halos, (2) the mass ratio between two halos, and (3) the incident angle of the fly-by perturber. The warp angle is tied up with all three parameters, yet the warp lifetime is particularly sensitive to the incident angle of the perturber. Interestingly, the modeled S-shaped warps are often non-symmetric depending on the incident angle. We speculate that the puzzling U- and L-shaped warps are geometrically superimposed S-types produced by successive fly-bys with different incident angles, including multiple interactions with a satellite on a highly elongated orbit.Comment: 16 pages, 13 figures, 3 tables. Accepted for publication in Ap

Rheological method for alpha test evaluation of developing superplasticizers' performance: Channel flow test

Advance in high-range water-reducing admixture revolutionizes the workability and constructability of conventional vibrated concrete as well as self-consolidating concrete. Its need from construction fields has increased, and consequently a variety of new-type polycarboxylates, base polymers for the admixture, are being formulated in these days. Synthesizing new polymers needs a quick, but reliable, test to evaluate its performance on concrete. The test is also asked for selecting the best applicable brand of them before a test concrete will be mixed. This paper proposes a channel flow test and its usage for the purpose. The proposed procedure for the test includes the mix proportion of a test mortar, the test method, and rheological interpretation of the test results.ope

THE EFFECT OF SHOES ON KNEE KINETICS AND ANTERIOR TIBIAL TRANSLATION DURING SINGLE-LEG LANDING

The purpose of this study was to compare how knee kinematics and kinetics are influenced during single-leg landing in shod condition compared to barefoot condition. We hypothesized that the anterior tibial translation (ATT) and utilized coefficient of friction (uCoF) are greater in shod landing. Ten male subjects performed single-leg landing from a 0.3-m-high platform using their self-selected dominant lower limb under shod and barefoot condition. A force plate and a motion capture system were used for measuring ground reaction force and capturing kinematics data, respectively. The shod condition showed a significant higher ATT (p = 0.011) and uCoF (p = 0.022) at 30° flexion than barefoot condition. These findings would be considered as one of evidence that high shoe-surface friction increase ACL injury risks due to high ATT at extended knee position

An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With ...

The whole title is An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With Conditional Heteroskedasticity of Unkown Form. Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of Economic Studies 72, 499–541) recently proposed a new class of omnibus nonparametric specification tests for linear and nonlinear time series conditional mean models, where the dimension of the conditioning information set may be infinite. The tests can detect a wide range of model misspecifications in mean while being robust to conditional heteroskedasticity and time-varying higher order moments of unknown form. They enjoy an asymptotic “nuisance parameter–free” property in the sense that parameter estimation uncertainty has no impact on the asymptotic N(0,1) distribution of the test statistics As a result, only the estimated residuals from the null parametric model are needed to implement the tests, and no specific estimation is required. Although parameter estimation uncertainty has no impact on the asymptotic distribution of the tests, it may have significant impact on the finite-sample distribution, and such an impact may become more substantial as the number of estimated parameters increases In this paper, we adopt the Wooldridge (1990, Econometric Theory 6, 17– 43) device for parametric m-tests to the Hong and Lee (2005) nonparametric tests to reduce the impact of parameter estimation uncertainty Asymptotic size and power properties of the modified tests are investigated, and simulation studies show that the modified tests generally have better sizes in finite samples and are robust to parameter estimation uncertainty In the meantime, the size improvement does not cause loss of power against a wide range of alternatives when using the empirical critical values for the tests. These results suggest that the modified generalized spectral derivative tests can be a useful tool in time series conditional mean modeling.  It is published in Econometric Theory, 23, 2007, 106–154

Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes

We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) models. Both linear and nonlinear conditional expectation models are covered, and standardized innovations can have time-varying conditional dispersion and higher-order conditional moments of unknown form. No specific estimation method is required, and the tests have a convenient null asymptotic N(0,1) distribution. To reduce the impact of parameter estimation uncertainty in finite samples, we adopt Wooldridge’s (1990a) device to our context and justify its validity. Simulation studies show that in the context of testing ACD models, finite sample correction gives better sizes in finite samples and are robust to parameter estimation uncertainty. And, it is important to take into account timevarying conditional dispersion and higher-order conditional moments in standardized innovations; failure to do so can cause strong overrejection of a correctly specified ACD model. The proposed tests have reasonable power against a variety of popular linear and nonlinear ACD alternatives.This paper is forthcoming in Journal of Time Series Analysis

MOCCA SURVEY Database I: Binary Black Hole Mergers from Globular Clusters with Intermediate Mass Black Holes

The dynamical formation of black hole binaries in globular clusters that merge due to gravitational waves occurs more frequently in higher stellar density. Meanwhile, the probability to form intermediate mass black holes (IMBHs) also increases with the density. To explore the impact of the formation and growth of IMBHs on the population of stellar mass black hole binaries from globular clusters, we analyze the existing large survey of Monte-Carlo globular cluster simulation data (MOCCA SURVEY Database I). We show that the number of binary black hole mergers agrees with the prediction based on clusters' initial properties when the IMBH mass is not massive enough or the IMBH seed forms at a later time. However, binary black hole formation and subsequent merger events are significantly reduced compared to the prediction when the present-day IMBH mass is more massive than $\sim10^4 \rm M_{\odot}$ or the present-day IMBH mass exceeds about 1 per cent of cluster's initial total mass. By examining the maximum black hole mass in the system at the moment of black hole binary escaping, we find that $\sim$ 90 per cent of the merging binary black holes escape before the formation and growth of the IMBH. Furthermore, large fraction of stellar mass black holes are merged into the IMBH or escape as single black holes from globular clusters in cases of massive IMBHs, which can lead to the significant under-population of binary black holes merging with gravitational waves by a factor of 2 depending on the clusters' initial distributions.Comment: 9 pages, 8 figures, Accepted for publication in MNRA