A simple panel-CADF test for unit roots

Copyright © Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012. This is the accepted version of the following article: Costantini, M. and Lupi, C. (2013), A Simple Panel-CADF Test for Unit Roots. Oxford Bulletin of Economics and Statistics, 75: 276–296, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract.In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis

Non-exchangeable copulas and multivariate total positivity

Multivariate total positivity of order 2 (MTP2) is a dependence property with a number of applications in statistics and mathematics. Given the theoretical and practical relevance of MTP2, it is important to investigate the conditions under which random vectors have this property. In this paper we contribute to the development of the theory of stochastic dependence by employing the general concept of copula. In particular, we propose a new family of non-exchangeable Archimedean copulas which leads to MTP2. The focus on non-exchangeability allows us to overcome the limitations induced by symmetric dependence, typical of standard Archimedean copulas

A network approach to risk theory and portfolio selection

In the context of portfolio theory, the evaluation of risk is of paramount relevance. In this respect, the connections among the risky assets of the portfolio should be carefully explored. This paper elaborates on this topic. We define a portfolio through a network, whose nodes are the assets composing it. The weights on the nodes and the arcs represent the share of capital invested on the assets and the dependence among them, respectively. The risk profile of the portfolio will be given through a suitably defined risk measure on the portfolio-network. The standard Markowitz theory will be rewritten in this particular setting. Surprisingly, we will note that the resulting decision problem is not consistent with an adapted version of the axiomatization of the standard expected utility theory

Long-range properties and data validity for hydrogeological time series: The case of the Paglia river

This paper explores a large collection of about 377,000 observations, spanning more than 20 years with a frequency of 30 min, of the streamflow of the Paglia river, in central Italy. We analyze the long-term persistence properties of the series by computing the Hurst exponent, not only in its original form but also under an evolutionary point of view by analyzing the Hurst exponents over a rolling windows basis. The methodological tool adopted for the persistence is the detrended fluctuation analysis (DFA), which is classically known as suitable for our purpose. As an ancillary exploration, we implement a control on the data validity by assessing if the data exhibit the regularity stated by Benford’s law. Results are interesting under different viewpoints. First, we show that the Paglia river streamflow exhibits periodicities which broadly suggest the existence of some common behavior with El Niño and the North Atlantic Oscillations: this specifically points to a (not necessarily direct) effect of these oceanic phenomena on the hydrogeological equilibria of very far geographical zones: however, such an hypothesis needs further analyses to be validated. Second, the series of streamflows shows an antipersistent behavior. Third, data are not consistent with Benford’s law: this suggests that the measurement criteria should be opportunely revised. Fourth, the streamflow distribution is well approximated by a discrete generalized Beta distribution: this is well in accordance with the measured streamflows being the outcome of a complex system

Temperature dependence of the optical spectral weight in the cuprates: Role of electron correlations

We compare calculations based on the Dynamical Mean-Field Theory of the Hubbard model with the infrared spectral weight $W(\Omega,T)$ of La$_{2-x}$Sr$_x$CuO$_4$ and other cuprates. Without using fitting parameters we show that most of the anomalies found in $W(\Omega,T)$ with respect to normal metals, including the existence of two different energy scales for the doping- and the $T$-dependence of $W(\Omega,T)$, can be ascribed to strong correlation effects.Comment: 4 pages, 3 figures. Minor corrections, corrected some typos and added reference

Critical issues of double-metal layer coating on FBG for applications at high temperatures

Use of fiber Bragg gratings (FBGs) to monitor high temperature (HT) applications is of great interest to the research community. Standard commercial FBGs can operate up to 600 ∘ C. For applications beyond that value, specific processing of the FBGs must be adopted to allow the grating not to deteriorate. The most common technique used to process FBGs for HT applications is the regeneration procedure (RP), which typically extends their use up to 1000 ∘ C. RP involves a long-term annealing of the FBGs, to be done at a temperature ranging from 550 to 950 ∘ C. As at that temperature, the original coating of the FBGs would burn out, they shall stay uncoated, and their brittleness is a serious concern to deal with. Depositing a metal coating on the FBGs prior to process them for RP offers an effective solution to provide them with the necessary mechanical strengthening. In this paper, a procedure to provide the FBG with a bimetallic coating made by copper and nickel electrodeposition (ED) is proposed, discussing issues related to the coating morphology, adherence to the fiber, and effects on the grating spectral response. To define the processing parameters of the proposed procedure, production tests were performed on dummy samples which were used for destructive SEM-EDS analysis. As a critical step, the proposed procedure was shown to necessitate a heat treatment after the nickel ED, to remove the absorbed hydrogen. The spectral response of the FBG samples was monitored along the various steps of the proposed procedure and, as a final proof test for adherence stability of the bimetallic coating, along a heating/cooling cycle from room temperature to 1010 ∘ C. The results suggest that, given the emergence of Kirkendall voids at the copper-nickel interface, occurring at the highest temperatures (700-1010 ∘ C), the bimetallic layer could be employed as FBG coating up to 700 ∘ C

Distribution and biology of the yellow-spotted longicorn beetle Psacothea hilaris hilaris(Pascoe) in Italy

The Asiatic yellow-spotted longicorn beetle, Psacothea hilaris hilaris, was found for the first time in Northern Italy in 2005. As this xylophagous insect is considered one of the most important pests of Morus spp. and of Ficus carica in its countries of origin, a multiyear study was carried out to determine the spread of the pest in Northern Italy, to evaluate its establishment potential and to improve knowledge on its biology in the new habitat. The survey confirmed that P. hilaris hilaris has established in Italy and has colonized an area of about 60 km2. The species overwinters as eggs or larvae. Adults are present from June to October. Damage has been recorded mostly on Ficus carica plants, and very rarely on Morus alba. Both young and older plants, healthy and weakened hosts can be attacked by the pest. Severely attacked plants become weakened and eventually die.Psacothea hilaris hilaris, (capricorne asiatique a taches jaunes) a ete identifie en Italie septentrionale pour la premiere fois en 2005. Puisque cet insecte xylophage est considere comme un des ravageurs les plus importants de Morus spp. et de Ficus carica dans sa zone d\u2019origine, une etude pluriannuelle a ete entreprise pour determiner la dissemination de cet organisme nuisible dans le nord de l\u2019Italie, determiner son potentiel d\u2019etablissement, et ameliorer les connaissances sur sa biologie dans ce nouvel habitat. Les resultats confirment que P. hilaris hilaris s\u2019est etabli en Italie et a colonise une zone d\u2019environ 60 km\ub2. Cette espece passe l\u2019hiver sous forme d\u2019oeuf ou de larve. Les adultes sont presents de juin a octobre. Les degats ont principalement ete observes sur des Ficus carica, et tres rarement sur Morus alba. Le ravageur attaque aussi bien les plantes jeunes qu\u2019agees, saines que malades. Les plantes severement atteintes sont affaiblies, et finissent par mourir