Likelihood-Based Inference in Multivariate Panel Cointegration Models

This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is also considered. Asymptotic distributions of parameter estimates and the test statistics for the cointegrating rank and the homogenous restriction are derived. The distribution for the cointegrating rank is shown to be the convolution of the standard distribution of the trace statistic and the chi$^2$ distribution. The homogenous restriction test statistic is chi$^2$. A Monte Carlo simulation investigates the small sample properties of the two tests. The empirical size of the test for the cointegrating rank is well above the nominal. A Bartlett corrected test statistic is shown to have size very close to the nominal. We give an empirical example for a consumption model including consumption, income and inflation.

Confidence distributions for the autoregressive parameter

The notion of confidence distributions is applied to inference about the parameter in a simple autoregressive model, allowing the parameter to take the value one. This makes it possible to compare to asymptotic approximations in both the stationary and the non stationary cases at the same time. The main point, however, is to compare to a Bayesian analysis of the same problem. A non informative prior for a parameter, in the sense of Jeffreys, is given as the ratio of the confidence density and the likelihood. In this way, the similarity between the confidence and non-informative Bayesian frameworks is exploited. It is shown that, in the stationary case, asymptotically the so induced prior is flat. However, if a unit parameter is allowed, the induced prior has to have a spike at one of some size. Simulation studies and two empirical examples illustrate the ideas

Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model

New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in the four major economic powers in Europe, France, Germany, Italy and Great Britain for the post- Bretton Woods period. We test for PPP and find that the theoretical PPP relationship does not hold but there is a similar (1,-1.5,0.9 instead of 1,-1,1) relationship which is common for the investigated countries. Parametric bootstrap inference is used to deal with badly small sample sized tests.Long-run purchasing power parity, multivariate cointegration analysis, bootstrap inference.

Applications of discrete factor analysis

A recently proposed method for factor analysis of discrete data is extended to better handle overdispersion. Three empirical examples from veterinary sciences, musicology and agriculture are investigated, involving true count data as well as ordinal data. Comparisons are made with results from related statistical techniques, e.g., principal component analysis

A nonlinear panel unit root test under cross section dependence

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the test statistic is free of nuisance parameters as (N, T) −∞. Monte Carlo simulation shows that our test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent test proposed in Pesaran [2007]. Various applications are providedNonlinear panel unit root tests, cross sectional dependence.

Construction and Control of an Educational Lab Process - The Gantry Crane

In this paper, we describe the construction and control of a gantry crane that is used in courses at the Department of Automatic Control, Lund university. Two different models of the crane are developed. A thorough example of path following, including on-line time-varying input/state-transformations and LQG control, used in a laboratory exercise is shown together with experimental results. Time-optimal trajectories for position control, with constraints on positions, load angles, and control signals are computed using Modelica and Optimica

Coagulation, fibrinolysis, and cell activation in patients and shed mediastinal blood during coronary artery bypass grafting with a new heparin-coated surface

AbstractObjectives: Heparin coating of the cardiopulmonary bypass circuit is shown to improve the biocompatibility of the surface. We have studied a new heparin surface, the Corline Heparin Surface, applied to a complete set of an extracorporeal device used during coronary artery bypass grafting in terms of activation of inflammation, coagulation, and fibrinolysis in patients and in shed mediastinal blood. Methods: Sixty patients scheduled for coronary artery bypass grafting were randomized to one of 3 groups with heparin-coated devices receiving either a standard, high, or low dose of systemic heparin or to an uncoated but otherwise identical circuit receiving a standard dose of systemic heparin. Samples were drawn before, during, and after the operation from the pericardial cavity and in shed mediastinal blood. No autotransfusion of shed mediastinal blood was performed. Results: The Corline Heparin Surface significantly reduced the activation of coagulation, fibrinolysis, platelets, and inflammation compared with that seen with the uncoated surface in combination with a standard dose of systemic heparin during cardiac surgery with cardiopulmonary bypass. Both a decrease and an increase of systemic heparin in combination with the coated heparin surface resulted in higher activation of these processes. A significantly higher expression of all studied parameters was found in the shed mediastinal blood compared with in systemic blood at the same time. Conclusions: The Corline Heparin Surface used in cardiopulmonary bypass proved to be more biocompatible than an uncoated surface when using a standard systemic heparin dose. The low dose of systemic heparin might not be sufficient to maintain the antithrombotic activity, and the high dose resulted in direct cell activation rather than a further anti-inflammatory and anticoagulatory effect.J Thorac Cardiovasc Surg 2002;124:321-3