ADL tests for threshold cointegration

In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specied. We adopt a supremum Wald type test to account for the so-called Davies problem. Theasymptotic null distributions of the proposed tests are free of nuisance parameters. As such, a bootstrap procedure is not required and critical values of the proposed tests are tabulated. A Monte Carlo experiment shows a good finite-sample performance of the proposed tests.Econometric Theory, Time Series

LM Unit Root Test with Panel Data: A Test Robust To Structural Changes

This paper proposes an LM test for the unit root hypothesis using panel data. The LM statistic based on the pooled likelihood function is obtained by standardizing the average of the LM statistic for individual time series. Under the null hypothesis, the statistic follows the standard normal distribution in the limit as N, T goes to infinity as long as N/T approaches any finite number, regardless of whether structural breaks are present. According to the Monte Carlo simulation results, the LM test is robust to the presence of structural breaks, and is more powerful than the popular test proposed by Im, Pesaran and Shin (1997) in the benchmark case where no structural breaks are involved.

Nonrenewable Resource Prices: Deterministic or Stochastic Trends?

In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find evidence against the unit root hypothesis for all price series. Our findings support characterizing natural resource prices as stationary around deterministic trends with structural breaks. This result is important in both a positive and normative sense. For example, without an appropriate understanding of the dynamics of a time series, empirical verification of theories, forecasting, and proper inference are potentially fruitless. More generally, we show that both pre-testing for unit roots with breaks and allowing for breaks in the forecast model can improve forecast accuracy.

Minimum Lagrange multiplier unit root test with two structural breaks

The endogenous two-break unit root test of Lumsdaine and Papell is derived assuming no structural breaks under the null. Thus, rejection of the null does not necessarily imply rejection of a unit root per se, but may imply rejection of a unit root without break. Similarly, the alternative does not necessarily imply trend stationarity with breaks, but may indicate a unit root with breaks. In this paper, we propose an endogenous two-break Lagrange multiplier unit root test that allows for breaks under both the null and alternative hypotheses. As a result, rejection of the null unambiguously implies trend stationarity

Inae Sharon Lee, Violin; Junsoo Park, Violin

Sonata for Violin and Piano in D minor, Op. 75 / Camille Saint Saens; Por Una Cabeza / Carlos Garde

Detection of Sensor Attack and Resilient State Estimation for Uniformly Observable Nonlinear Systems having Redundant Sensors

This paper presents a detection algorithm for sensor attacks and a resilient state estimation scheme for a class of uniformly observable nonlinear systems. An adversary is supposed to corrupt a subset of sensors with the possibly unbounded signals, while the system has sensor redundancy. We design an individual high-gain observer for each measurement output so that only the observable portion of the system state is obtained. Then, a nonlinear error correcting problem is solved by collecting all the information from those partial observers and exploiting redundancy. A computationally efficient, on-line monitoring scheme is presented for attack detection. Based on the attack detection scheme, an algorithm for resilient state estimation is provided. The simulation results demonstrate the effectiveness of the proposed algorithm

Inae Sharon Lee, Violin; Junsoo Park, Violin

Sonata for Violin and Piano in A major, Op. 13 / Gabriel Faure; Histoire du Tango for Violin and Guitar / Astor Piazzolla; Sonata for Two Violins in C Major, Op. 56 / Sergei Prokofie