Testing for Linearity in Regressions with I (1) processes

In this paper we propose a generalized version of the RESET test for linearity in regressions with I (1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null hypothesis of linearity is shown to be a x^2 distribution when a "leads and lags" estimation technique is employed to construct the test statistic. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. This class includes polynomial functions of finite order, the logarithmic function, and the distribution function of any random variable and its scalar multiple. Finite?sample simulations show that the empirical size of the test is close to the nominal one and the test succeeds in detecting both nonlinearity in the class and no cointegration. We apply the test to see if relationships between exchange rates and fundamentals are linear and find significant evidence against linearity for all countries considered.

"Testing for Linearity in Regressions with I(1) processes"

In this paper we propose a generalized version of the RESET test for linearity in regressions with I(1) processes against various nonlinear alternatives and no cointegration. The proposed test statistic for linearity is given by the Wald statistic and its limiting distribution under the null hypothesis of linearity is shown to be a x2 distribution when a "leads and lags" estimation technique is employed to construct the test statistic. We show that the test is consistent against a class of nonlinear alternatives and no cointegration. This class includes polynomial functions of finite order, the logarithmic function, and the distribution function of any random variable and its scalar multiple. Finite?sample simulations show that the empirical size of the test is close to the nominal one and the test succeeds in detecting both nonlinearity in the class and no cointegration. We apply the test to see if relationships between exchange rates and fundamentals are linear and find significant evidence against linearity for all countries considered.

Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator

A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity estimator of the mean program impact at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection rule is shown to be smaller than other bandwidth selection rules proposed in the literature. An extensive simulation study shows that the proposed method's performances for the sample sizes 500, 2000, and 5000 closely match the theoretical predictions

Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix

This paper examines a point optimal invariant (POI) test for the null hypothesis of cointegration. Our test is different from Jansson's (2005) test in that we consider location invariance in wider directions and that we assume an unknown variance-covariance matrix for the error term, while it is assumed to be known in Jansson (2005). As the variance-covariance matrix is unknown in our paper, we consider the POI test among a class of tests that are invariant to scale change, as well as location shift, in the dependent variable. As a special case of the POI test, we also derive the locally best invariant and unbiased (LBIU) test. We find that our POI test has the same asymptotic distribution as Jansson's (2005) test, which is a point optimal test among a class of location invariant tests. On the other hand, our LBIU test is shown to have a different characteristic from the locally best invariant test in Shin (1994). We also propose a modification of our tests to accommodate more general assumptions on the error term. Monte Carlo simulation is conducted to investigate the finite sample properties of the tests, and it is shown that our modified tests perform better in finite samples than either the Jansson or Shin tests.Cointegration, point optimal test, locally best test, invariance, power envelope

Test for the null hypothesis of cointegration with reduced size distortion

This paper considers a single equation cointegrating model and proposes the locally best invariant and unbiased (LBIU) test for the null hypothesis of cointegration. We derive the asymptotic local power functions and compare them with the standard residualbased test, and we show that the LBIU test is more powerful in a wide range of local alternatives. Then, we conduct a Monte Carlo simulation to investigate the nite sample properties of the tests and show that the LBIU test outperforms the residual-based test in terms of both size and power. The advantage of the LBIU test is particularly patent when the error is highly autocorrelated. Further, we point out that nite sample performance of existing tests is largely affected by the initial value condition while our tests are immune to it. We propose a simple transformation of data that resolves the problem in the existing tests.Cointegration, locally best test, point optimal test

Testing for the Null Hypothesis of Cointegration with Structural Breaks (Subsequently published in "Econometric Reviews", Volume 26, Issue 6 November 2007, pages 705 - 739. )

In this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is known. Then the test statistic is extended in two ways to deal with a structural break of unknown timing. The first test statistic, a plug-in version of the test statistic for known timing, replaces the true break point by the estimated one. We also propose a second test statistic where the break point is chosen to be most favorable for the null hypothesis. We show the limiting properties of both statistics under the null as well as the alternative. Critical values are calculated for the tests by simulation methods. Finite-sample simulations show that the empirical size of the test is close to the nominal one unless the regression error is very persistent and that the test rejects the null when no cointegrating relationship with a structural break is present.

"Testing for the Null Hypothesis of Cointegration with Structural Breaks"

In this paper we propose residual-based tests for the null hypothesis of cointegration with structural breaks against the alternative of no cointegration. The Lagrange Multiplier test is proposed and its limiting distribution is obtained for the case in which the timing of a structural break is known. Then the test statistic is extended in two ways to deal with a structural break of unknown timing. The first test statistic, a plug-in version of the test statistic for known timing, replaces the true break point by the estimated one. We also propose a second test statistic where the break point is chosen to be most favorable for the null hypothesis. We show the limiting properties of both statistics under the null as well as the alternative. Critical values are calculated for the tests by simulation methods. Finite-sample simulations show that the empirical size of the test is close to the nominal one unless the regression error is very persistent and that the test rejects the null when no cointegrating relationship with a structural break is present.

Impact of Sacral Surface Therapeutic Electrical Stimulation on Early Recovery of Urinary Continence after Radical Retropubic Prostatectomy: A Pilot Study

Objectives. To investigate whether sacral surface therapeutic electrical stimulation (SSTES) initiated during the early postoperative period would be effective towards early recovery of postprostatectomy urinary continence. Methods. A total of 35 consecutive patients who underwent radical prostatectomy by a single surgeon were enrolled in this study. Twenty early patients began pelvic floor muscle exercise (PME). Fifteen subsequent patients received SSTES postoperatively with no instruction for PME provided. Immediate urinary function just after catheter removal was evaluated with frequency-volume chart and 24-hour pad test. Results. There were no differences between the SSTES and PME groups in maximum voided volume capacity (MVV) and urine loss ratio (ULR) on the first day after removal of urethral catheter. However, on day 3 MVV was significantly larger and ULR was also significantly lower in the SSTES group. Conclusions. SSTES treatment is feasible and appears to be effective for early recovery of urinary continence after radical prostatectomy