Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?

This paper investigates the properties of Dickey-Fuller tests for seasonally unadjusted quarterly data when deterministic seasonality is present but it is neglected in the test regression. While for the random walk case the answer is straightforward, an extensive Monte Carlo study has to be performed for more realistic processes and testing strategies. The most important conclusion is that the common perception that deterministic seasonality has nothing to do with the long-run properties of the data is incorrect. Further numerical evidence on the shortcomings of the general-to-specific t-sig lag selection method is also presented.unit root; Dickey-Fuller tests; similar tests; seasonality; Monte Carlo

The Order of Integration for Quarterly Macroeconomic Time series: a Simple Testing Strategy

Besides introducing a simple and intuitive definition for the order of integration of quarterly time series, this paper also presents a simple testing strategy to determine that order for the case of macroeconomic data. A simulation study shows that much more attention should be devoted to the practical issue of selecting the maximum admissible order of integration. In fact, it is shown that when that order is too high, one may get (spurious) evidence for an excessive number of unit roots, resulting in an overdifferenced series.

The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

This paper studies the behavior of the HEGY statistics for quarterly data, for seasonal autoregressive unit roots, when the analyzed time series is deterministic seasonal stationary but exhibits a change in the seasonal pattern. As a by-product we analyze also the HEGY test for the nonseasonal unit root, the data generation process being trend stationary too. Our results show that when the break magnitudes are finite the HEGY test statistics are not asymptotically biased towards the non-rejection of the seasonal and nonseasonal unit root hypotheses. However, the finite sample power properties may be substancially affected, the behavior of the tests depending on the type of the break. Hence, our results are also useful to understand and to predict this behavior under several circumstances.seasonality; unit roots; strctural breaks; HEGY tests

Short and long run tests of the expectations hypothesis: the Portuguese case

The purpose of this paper is to test both short- and long-run implications of the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with previous (but separate) evidence for other countries. Empirical evidence supports the cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates are in the correct direction, the spread between longer and shorter rates fails to forecast future longer rates. Further short-run implications of the hypothesis in terms of the predictive ability of the spread are also clearly rejected, even for the more stable period which emerged in the middle nineties.Term structure; Expectations hypothesis; Hypothesis testing; Structural breaks; Portugal

Approach for preventive maintenance planning of machine tools

This paper addresses a common problem to manufacturing companies: the maintenance of machine tools and their components. Preventive maintenance has always been a great challenge for companies, due to the need of predicting failures or production shutdowns, which requires knowledge and resources. However, the planning of machine tools maintenance presents itself as an even more complex problem due to the distinct lifetimes of their components. Age-based preventive replacement and Block replacement models define optimal replacement intervals for one item based on associated maintenance costs. A machine tool can be seen as a serial system of components or items. The concepts of group technology and clustering can be used to group components together in order to define common preventive maintenance intervals and reduce the number of production stops. In the literature, some contributions are found. However, the defined groups are static as well as the preventive maintenance intervals. This paper presents a conceptual model for the definition of dynamic clusters and intervals. It also presents an application to record the inputs, data collected in real time, needed to group components and set up preventive maintenance intervals. The developed application is being implemented in a metalworking company.We would like to thank the companies that are involved in the project and express our appreciation for the commitment of the employees involved. This work has been supported by Norte 010247 FEDER 017833 – TechParts I&D

Efeito do ethephon na maturação pós-colheita de peras cultivar Princesinha.

Este trabalho objetivou avaliar o efeito de diferentes concentrações de ethephon em conjunto com diferentes tempos de armazenamento em temperatura controlada, na aceleração da 29 maturação de peras da cultivar princesinha

A model of the reflection distribution in the vacuum ultra violet region

A reflection model with three components, a specular spike, a specular lobe and a diffuse lobe is discussed. This model was successfully applied to describe reflection of xenon scintillation light (175 nm) by PTFE and other fluoropolymers and can be used for Monte Carlo simulation and analysis of scintillation detectors. The measured data favors a Trowbridge-Reitz distribution function of ellipsoidal micro-surfaces. The intensity of the coherent reflection increases with increasing angle of incidence, as expected, since the surface appears smoother at grazing angles. The total reflectance obtained for PTFE is about 70% for VUV light at normal incidence in vacuum and estimated to be up to 100% in contact with liquid xenon

Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests

In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests

Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests

In this paper it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts - i.e., seasonal structural breaks which affect only the deterministic seasonal cycle - really do matter for Dickey-Fuller long-run unit root tests