Testing in GMM Models without Truncation

This paper proposes a new approach to testing in the generalized method of moments (GMM) framework. The new tests are constructed using heteroskedasticity autocorrelation (HAC) robust standard errors computed using nonparametric spectral density estimators without truncation. While such standard errors are not consistent, a new asymptotic theory shows that they lead to valid tests nonetheless. In an over-identified linear instrumental variables model, simulations suggest that the new tests and the associated limiting distribution theory provide a more accurate first order asymptotic null approximation than standard HAC robust tests. Finite sample power of the new tests is shown to be comparable to standard tests. Because use of a truncation lag equal to the sample requires no additional choices for practitioners, the new approach could potentially lead to a standard of practice (which does not currently exist) for the computation of HAC robust standard errors in GMM models.

A Fixed-b Perspective on the Phillips-Perron Unit Root Tests

We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of PP tests. We also show that the fixed-b limits depend on whether deterministic trends are removed using one-step or two-step approaches, contrasting the asymptotic equivalence of the one- and two-step approaches under a consistency approximation for the long run variance estimator. Based on these results we introduce modified PP tests that allow for fixed-b inference. The theoretical analysis is cast in the framework of near-integrated processes which allows to study the asymptotic behavior both under the unit root null hypothesis as well as for local alternatives. The performance of the original and modified tests is compared by means of local asymptotic power and a small simulation study.Nonparametric kernel estimator, long run variance, detrending, one-step, two-step

Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions

This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of the regression model. The new estimator is labeled Integrated Modified Ordinary Least Squares (IM-OLS). IM-OLS is similar in spirit to the fully modified approach of Phillips and Hansen (1990) with the key difference that IM-OLS does not require estimation of long run variance matrices and avoids the need to choose tuning parameters (kernels, bandwidths, lags). Inference does require that a long run variance be scaled out, and we propose traditional and fixed-b methods for obtaining critical values for test statistics. The properties of IM-OLS are analyzed using asymptotic theory and finite sample simulations. IM-OLS performs well relative to other approaches in the literature.Bandwidth, cointegration, fixed-b asymptotics, Fully Modified OLS, IM-OLS, kernel

Powerful Trend Function Tests That Are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis

In this paper we propose tests for hypotheses regarding the parameters of the deterministic trend function of a univariate time series. The tests do not require knowledge of the form of serial correlation in the data and they are robust to strong serial correlation. The data can contain a unit root and the tests still have the correct size asymptotically. The tests we analyze are standard heteroskedasticity autocorrelation (HAC) robust tests based on nonparametric kernel variance estimators. We analyze these tests using the ï¾…xed-b asymptotic framework recently proposed by Kiefer and Vogelsang (2002). This analysis allows us to analyze the power properties of the tests with regards to bandwidth and kernel choices. Our analysis shows that among popular kernels, there are speciï¾…c kernel and bandwidth choices that deliver tests with maximal power within a speciï¾…c class of tests. Based on the theoretical results, we propose a data dependent bandwidth rule that maximizes integrated power. Our recommended test is shown to have power that dominates a related test proposed by Vogelsang (1998). We apply the recommended test to the logarithm of a net barter terms of trade series and we ï¾…nd that this series has a statistically signiï¾…cant negative slope. This ï¾…nding is consistent with the well known Prebisch-Singer hypothesis.

Testing for Common Deterministic Trend Slopes

We propose tests for hypotheses on the parameters for deterministic trends. The model framework assumes a multivariate structure for trend-stationary time series variables. We derive the asymptotic theory and provide some relevant critical values. Monte Carlo simulations suggest which tests are more useful in practice than others. We apply our tests to examine if monthly temperatures in The Netherlands, measured from 1706 onwards, have a trend and if these trends are the same across months. We find that the January and March temperatures have the same upward trend, that the September temperature has decreased and that the temperatures in the other months do not have a trend. Hence, only winters in The Netherlands seem to get warmer.

Drell-Yan Lepton Angular Distribution at Small Transverse Momentum

We investigate the dependence of the Drell-Yan cross section on lepton polar and azimuthal angles, as generated by the lowest-order QCD annihilation and Compton processes. We focus in particular on the azimuthal-angular distributions, which are of the form cos(phi) and cos(2phi). At small transverse momentum q_T of the lepton pair, q_T << Q, with Q the pair mass, these terms are known to be suppressed relative to the phi-independent part of the Drell-Yan cross section by one or two powers of the transverse momentum. Nonetheless, as we show, like the phi-independent part they are subject to large logarithmic corrections, whose precise form however depends on the reference frame chosen. These logarithmic contributions ultimately require resummation to all orders in the strong coupling. We discuss the potential effects of resummation on the various angular terms in the cross section and on the Lam-Tung relation.Comment: 13 pages, 2 figures; reference added, minor other changes, matches version to be published in PR

Photoproduction Processes in Polarized ep - Collisions at HERA

We study various conceivable photoproduction reactions in a polarized ep collider mode of HERA with respect to their sensitivity to the proton's polarized gluon distribution. A special emphasis is put on the `resolved' part of the cross sections which in principle opens the possibility to determine for the first time also the completely unknown parton content of longitudinally polarized photons. In the very promising case of dijet production we also investigate the impact of parton showering, hadronization and jet finding on the parton level results.Comment: 16 pages, LaTeX, 7 figures, uses epsfig, amssymb, and a41 (included) styles; Contribution to the proceedings of the 1997 workshop on 'Physics with Polarized Protons at HERA', Hamburg and Zeuthen, Germany, March-September 199

Propensity for military enlistment : a descriptive study of motivations

The objective of this descriptive study was to identify and describe those motivations for individuals who chose to enter into the military. Motivations are important to understand as they provide insight into the values and needs of individuals. These values and needs impact an individual\u27s Person-In-Environment fit. The study utilized an online survey to which 76 veterans or service members responded. The online survey collected demographic data such as age, gender, race and branch of service. The questionnaire then asked participants to rank a list of enlistment motivations noted in previous studies (Griffith, 2008; Woodruff, Kelty and Segal, 2007)on a scale of 0 (not at all) to 4 (very) in levels of influence. The most influential enlistment motivations reported were educational benefits, patriotism, and the opportunity to travel. Previous literature categorized motivations into two categories: institutional or individual (Griffith, 2008; Woodruff, Kelty and Segal, 2007). However, ecological theory (Brofenbrenner 1994, DeHoyos 1989) implies that motivations are much more complicated than either of those categories suggests, being influenced by the interactions of the developing person and their environment on a large range of ecological level

Transverse Double-Spin Asymmetries for Muon Pair Production in pp-Collisions

We calculate the rapidity dependence of the transverse double-spin asymmetry for the Drell-Yan process to next-to-leading order in the strong coupling. Input transversity distributions are obtained by saturating the Soffer inequality at a low hadronic mass scale. Results for the polarized BNL-RHIC proton-proton collider and the proposed HERA-N fixed-target experiment are presented, and the influence of the limited muon acceptance of the detectors on measurements of the asymmetry is studied in detail.Comment: 7 pages including 5 figures; significantly shortened, to be published in Phys. Rev.

Probing Gluonic Spin-Orbit Correlations in Photon Pair Production

We consider photon pair production in hadronic collisions at large mass and small transverse momentum of the pair, assuming that factorization in terms of transverse momentum dependent parton distributions applies. The unpolarized cross section is found to have azimuthal angular dependencies that are generated by a gluonic version of the Boer-Mulders function. In addition, the single-transversely polarized cross section is sensitive to the gluon Sivers function. We present simple numerical estimates for the Boer-Mulders and Sivers effects in diphoton production at RHIC and find that the process would offer unique opportunities for exploring transverse momentum dependent gluon distributions.Comment: 5 pages, 2 figures, minor changes, final version, to be published in PR