The Cusum Test for Parameter Change in Regression with ARCH Errors

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was originally designed for testing for variance changes and allocating their locations in iid samples. Later, it was demonstrated that the same idea can be extended to a large class of time series models (cf. Lee et all, 2003(a)). Also, the variance change test has been studied in unstable AR models (cf. Lee et al. (2003(b)). In fact, Kim, Cho and Lee (2000) considered to apply the cusum test to GARCH(1,1) models taking account of the fact that the variance is a functional of GARCH parameters, and their change can be detected by examining the existence of the variance change. Although this reasoning was correct, it turned out that the cusum test suffers from severe size distortions and low powers. Hence, there was a demand to improve their cusum test. Here, in order to circumvent such drawbacks, we propose to use the cusum test based on the residuals, given as the squares of observations divided by estimated conditional variances. We intend to use residuals since the residual based test conventionally discard correlation effects and enhance the performance of the test. In fact, a significant improvement was observed in our simulation study. Despite the previous work of Lee et al. (2003(b)) also considers a residual cusum test in time series models, the model of main concern was the autoregressive model with several unit roots. In fact, the mathematical analysis of the cusum test heavily relies on the probabilistic structure of the underlying time series model, and the arguments used for establishing the weak convergence result in unstable models are somewhat different from those in ARCH models. Therefore it is worth to investigate the asymptotic behavior of the residual cusum test in ARCH models. Although the present paper was originally motivated to improve Kim, Cho and Lee (2000)'s test in the GARCH(1,1) model, we consider the cusum test in a more general class of models including regression models with infinite order ARCH errors.Test for parameter change, regression models with ARCH errors, residual cusum test, Brownian bridge, weak convergence

Long Memory in the Realized Volatility of Returns on the Yen/US$ Exchange Rate during the Three Financial Crises

In this paper, we analyze volatility in high frequency data on returns on the13; exchange rate for the Japanese Yen against the US dollar during the following13; economic crises: the Russian financial crisis of 1998； the Asian financial crisis of13; 1997-98； and the current global financial crisis, which began in 2008. We in13; particular analyze the effects of these economic crises on long memory processes in13; volatility by using the autoregressive fractionally integrated moving average model13; with an explanatory exogenous variable,which can represent asymmetry in volatility.13; From this model, we find that there are statistical evidences of long memory and13; asymmetry in volatility in the returns on the Yen/US$ exchange rate.We compare the13; effect of the Russian and Asian financial crises on long memory and find that the13; former effect on volatility is larger than the latter.Concernig with the current global13; financial crisis,it is ongoing and hence firmer conclusions on this period await the end13; of this crisis.However as long as the data up to November,2008is concerned we can13; see that the current global financial crisis has extremely strong effects on the long13; memory property.Roughly speaking,the size of the shock seems to be associated with13; the magnitude of the long memory parameter.We may suggest that d could be used13; as an indicator to evaluate the level of the shocks in economic crises

"Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors"

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based estimator of the LRC is superconsistent. Furthermore, we propose an alternative consistent estimator of the LRC, compare the two estimators through a Monte Carlo experiment, and find that the proposed estimator is MSE-superior to the OLS-based estimator.

Where did the super-small sized large bowel advanced cancer come from?

Our study suggested that the super-small sized (less than 15 mm in maximum diameter) large bowel advanced cancers, which were sometimes found, were derived from the superficial depressed-type or flat elevation-type of the colorectal early cancers, not polyp-type of those

Multi-scale and multi-chemo-physics analysis applied to fatigue life assessment of strengthened bridge decks

Reinforced concrete decks submerged in water suffer from considerable deterioration owing to high cycle repetition of traffic loads with increasing rise of inter-crack water pressure, which leads to serious damages to the top surface of concrete decks due to dropping (disintegration) of cement binder. In this study, an attempt was made to incorporate the disintegration of concrete composites into a three-dimensional multi-scale finite element analysis, which is capable of tracing the path from the occurrence of cracking to the structural out-of-plane shear failure via crack propagation. Varying fatigue life is also discussed in accordance with different states of damage at the time when strengthening work is performed. Here, the deck strengthening methods of wide variety are compared with each other

<臨床>胃切除術後の単位体積当たりの骨密度の変化 : Dual energy X-ray absorptiometry (DXA) 法による検討

We used dual energy X-ray absorptiometry (DXA) to study changes in estimated volumetric bone mineral density (EstVBMD) of the lumbar spine after gastrectomy. The study group comprised 41 men and 32 women. When EstVBMD was compared according to sex among patients younger than 60 years of age, patients 60 to 69 years of age, and patients these three groups in men (0.185 g/cm_3, 0.187 g/cm_3, 0.187 g/cm_3, respectively). In contrast , EstVBMD was significantly lower in women 60 to 69 years of age (0.157 g/cm_3) and those 70 years of age or older (0.159 g/cm_3) than in women younger than 60 years (0.200 g/cm_3) (P<0.01). When the relation between EstVBMD and the number of months after gastrectomy was studied according to sex in patients younger than 70 years, EstVBMD negatively correlated with the interval after operation in men (r= -0.365, P<0.05), whereas ther e was no correlation between these variables in women. These results suggest that after gastrectomy bone mineral density decreases gradually in men younger than 70 years, but not in women. The lack of a consistent change in bone mineral density after gastrectomy in women is apparently caused by the marked effect on bone metabolism of decreased female hormone levels after menopause.胃切除後の腰椎の骨密度の変化を dual energy X-ray absorptiornetory （DXA） 法で測定し, 単位体積当たりの計測値（Estimated volumetric bone mineral density: EstVBMD）を求めることにより検討した. 男女別に60歳未満, 60歳代, 70歳以上の群で比較すると, 男性では 0.185 g/cm_3, 0.187 g/cm_3, 0.187 g/cm_3と大差がなかった. 一方, 女性では 0.200 g/cm_3, 0.157 g/cm_3, 0.159 g/cm_3 と60歳未満の症例と比較し60歳代, 70歳以上の症例では減少し有意差を認めた. 70歳未満の症例で男女別に術後月数と骨密度との関係をみると, 男性では経過期間とともに骨密度は減少し, 負の相関関係 （r= -0.365, P<0.05）が認められたが, 女性では両者は独立した関係であった. 70歳未満の男性では胃切術後に徐々に骨塩量が低下するが, 女性では閉経後の女性ホルモン減少が強く骨代謝に現れるため胃切術後の影響が個々で異なることが示唆された

Chemo-hygral model for asr expansion and its effects on fatigue lives of bridge slabs

For evaluating damages of structural concrete by alkali silica reaction (ASR), an analytical platform to rationally deal with the complex interaction of multi-scale chemo- physics events is being developed. For experimental verification of the predictive model proposed, ASR expansion tests under several magnitudes of confinement are conducted and the results are compared with the multi-scale simulation. It is experimentally found that the highly deviatoric compression may bring about isotropically confined ASR expansion. The poro-mechanics based multi-phase modeling can simulate this nonlinearity by considering the quasi-hydro static pressure of created ASR gels in concrete composites and its injection into the micro-pores. The investigated models are used for assessing the fatigue lives of RC bridge decks. It is shown that fatigue life can be longer with the ASR-induced expansions