An Alternative Estimation to Spurious Regression Model

In sturdy econometrics specification search problems of unit roots and multicollinearity are well documented since the inception of regression analysis. In examining the likely consequences of nonsense relationship Granger and Newbold (1974) make it clear that first differencing is not the universal sure fire solution to problem of spurious regression models. This has prompted the discovery of cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating with the problem of spurious regression model when the co movements between the variables are different. If the variables of the model are not cointegrated, there is a question whether the background economic or financial theory is plausible with the data that we are analyzing. This paper reviews the debate and proposes an alternative solution to the problem. Our approach uses a suitable data transformation of the variables of the model based on Hendry (1995) and Phillips (1998) approaches to reduce the spurious correlation, stochastic means and variances in standard level. In a non cointegrated USA information processing investment model, we apply our technique and found a meaningful solution.Spurious Regression, Unit Roots, Cointegration

A Regime Switching Macro-finance Model of the Term Structure

This paper presents and estimates a regime switching macro-finance model of the term structure with latent and macroeconomic factors. The joint dynamics of the yield and macro factors are examined simultaneously. Both the canonical yields-only model and the macro-finance model capture two regimes in the state equation that relate to a turbulent period and a tranquil period. Statistically, the formal tests indicate signi?cant bidirectional linkages between the yield curve and economic activity. I also examine how the yield factors respond to shocks to the macro factors and the feedback of the macro factors to the yield curve. Finally, I find that the theoretical level implied by the expectations hypothesis is a good approximation of the actual level factor in the regime-shifting macro-fi?nance model framework.

A Comparative Simulation Study of Fund Performance Measures

This study critically reviews current fund performance measures. The performance measure derived from the return-based style analysis by Sharpe (1992) is introduced and compared with other regression-based measures. A comparative simulation is set up to test the robustness, accuracy, and efficiency of the measures. The evidence shows that the RBSA measure is superior to other measures. The performance of the simple Jensen measures is sensitive to fund types. More complicated measures, like market-timing measures and multifactor measures show spurious market timing and wrong fund type information.Mutual Fund, Performance Measure, Market-timing, Return-Based Style Analysis

Global Yield Curves and Sovereign Bond Market Integration

We extract global yield curve factors based on the affine arbitrage-free dynamic Nelson-Siegel model. The measure of integration proposed in the paper allows time-varying partial segmentation of national and global government bond markets. It takes into account the maturity structure of yields, therefore it is consistent in time series and cross-section as well. Though global factors and country-specific factors are highly correlated, the international bond market is less integrated than one might expected based on correlation analysis or prior knowledge of investment restrictions. The difference stems from 1) the integration asymmetry of factors:level factor is more integrated than slope and curvature factors; 2) heterogeneous factors dynamics: one factors integration may accompany the segmentation of other factors. Yet the expected integration is stable over the last two decades.

A New Direction of Fund Rating Based on the Finite Normal Mixture Model

In this paper we try to develop a theoretical framework for fund rating under the assumption that superior funds could have a higher expected return than that of inferior funds, which could arise from the segmented market information or the differentiated ability of mangers to acquire and analyze the information. Under this setting, the funds are rated based on the cross-sectional distribution of all the funds instead of the presetpercentiles as Morningstar. We use the finite normal mixture for rating fund performance with the number of performance groups determined by likelihood ratio test using parametric bootstrap procedures, and we estimate the model with EM algorithm by treating the group information of funds as missing information.Fund Rating, Fund Performance, Finite Normal Mixture, Bootstrap, EM Algorithm

Thermomechanical characterization of state -change materials used in a tooling system for composite materials

A new Reconfigurable Tooling System (RTS) is being developed for use in composite repair and prototype manufacturing. The system utilizes a state-change material that can change from a liquid slurry to a hardened solid and back to a liquid. The material in its hardened state consists of hollow glass microspheres held together by a small amount of binder to form a porous solid. Desirable properties for this material in a tooling application include: low thermal expansion coefficient, high strength and stiffness, good thermal conductivity, and high temperature stability. This is a unique material system and there is very little literature available for compariSon The main purpose of this study is to understand the bulk physical and mechanical properties of the standard state-change material and to evaluate variations from the standard that may improve these properties. Properties of interest include density, porosity, compressive strength, flexural strength, flexural stiffness, coefficient of thermal expansion (CTE), and thermal conductivity. The CTE is consistent for all heat treated specimens with an average value of 5.7x10 -06 K-1 and a standard deviation of 8.4%. The average value of the flexural strength and modulus were 3.94 MPa (571 psi) and 3.18 GPa (461 ksi) with a standard deviation of 9% and 13% respectively. Environmental effects such as thermal hardening and humidity were studied. And finally, the properties were used in a computational model to simulate the expansion and stresses generated in a tool-bed during the heating process

UTILIZING MIXED SURFACTANTS FOR SIMULTANEOUS PORE TEMPLATING AND ACTIVE SITE FORMATION IN METAL OXIDES

Self-assembled nonionic alkyl glycoside surfactants are of interest for creating functional adsorption and catalytic sites at the surface of mesoporous metal oxides, but they typically impart poor long-range order when used as pore templates. Improved order and control over the functional site density may be achieved by mixing them with a cationic surfactant. To confirm this hypothesis, we investigate the lyotropic liquid crystalline (LLC) phase behavior of aqueous solutions of the functional nonionic surfactant n-dodecyl β-D-maltoside (C12G2) and cationic cetyltrimethylammonium bromide (C16TAB). A ternary phase diagram of the C16TAB-C12G2-water system is developed at 50 °C. By replacing the volume of water in the phase diagram with an equivalent volume of silica, ordered mesoporous materials are prepared by nanocasting with variable C12G2/C16TAB ratios. Metal oxide mesophases can almost always be predicted from the ternary phase diagram, except that silica prepared with high C12G2/C16TAB ratios are very weakly ordered, perhaps due to differences in hydrogen bonding or rate of assembly. Based on the ternary phase diagram of the system, a systematic approach is taken to the incorporation of titania sites via complexation to the maltoside headgroup of C12G2. Complexation to a saccharide is expected not only to guide titanium to the pore surface, but also to prevent uncontrolled hydrolysis and condensation of the (usually quite reactive) titanium precursor. Tetrahedrally coordinated titanium atoms incorporated into a silica network are believed to be the active oxidation sites required for heterogeneous silica-supported titania oxidation catalysts. To promote well-ordered materials and to allow control over titania site density, the mixed C12G2 / C16TAB system is used for pore templating. Series of Si-Ti mixed oxide thin films and bulk materials are synthesized with different amounts of titanium loading by utilizing pre-complexation between C12G2 and titanium isopropoxide. The degrees of homogeneity (indicated by tetracoordinated Ti) in these films are superior to those of films synthesized with the same loading of titanium but without C12G2 or without pre-complexation. Transition metal-carbohydrate complexation provides highly dispersed, tetrahedrally coordinated titanium atoms rather than the octahedral sites found without saccharide complexation

Design and Fabrication of a Low Cost Field Vane Shear Apparatus

The un-drained shear strength of soil is of great concern in many geotechnical engineering applications. The vane shear test is a simple, easy and popular type of in-situ shear test to the geotechnical engineers and geologists. However, it is not fairly appreciated by the academic personnel or field engineers as compared to the other shear strength test of soil. There are different types of field vane shear test apparatus existing in the market, but most of them are costly and have limited measuring capacity. The main objective of the research work was to develop a low cost field vane shear apparatus with higher measurement capacity using local materials and accessories. In this research work, a simple manually operated field vane shear apparatus was designed and fabricated. Four vane blades were welded to the vane shaft and a socket was added at the top. The most important component of the design apparatus is the torque wrench which is used to determine the torque both in clock and anti-clock wise direction. The torque value is then converted into the shear strength. The designed apparatus is suitable to determine the un-drained shear strength of soft to stiff clay soil up to 300 kPa. The performance of the device was tested directly in the crop field near Kumargaon area at Sylhet city. Average shear strength from in-situ test was found 49 kPa for medium to stiff clay. For the assessment of accuracy of the designed apparatus, undisturbed soil sample was collected from the same location of the field and then tested by laboratory vane apparatus according to ASTM D4648 and fairly similar result was observed. The instrument’s output repeatability was checked from the test data and the values were found quite satisfactory with a range of 2.68 to 5.87. The designed apparatus are about five times cheaper than the conventional apparatus available in the market

Synthesis, Characterization and Structure-Property Relationship of Alkali Metal Tungsten Bronzes

Series of LixWO3 (x = 0.1-0.6) bronzes have been synthesized by solid state synthesis method. Samples with a composition of x = 0.1 (Li0.1WO3) crystallize as perovskite-type tungsten bronze showing orthorhombic symmetry (Pcnb), whereas for x = 0.4-0.6 single phases of cubic symmetry (Im-3) were found. A mixture of two phase products (Pcnb and Im-3) are observed for x = 0.2 and 0.3. Polycrystalline samples of Li0.4WO3 bronzes produced at 973 K for 168 h using a pressure of 10-7 MPa resulted in pure phases showing Im-3 symmetry while using a pressure greater than 10-7 MPa always led to mixed phases showing Im-3 and Pm-3m symmetry. Polycrystalline samples of tantalum and vanadium substituted hexagonal tungsten bronzes of potassium or rubidium (HTB´s) with nominal compositions of A0.3(W1-yTay)O3 (A = K or Rb, y = 0-0.3), A0.3(W1-yVy)O3 (A = K or Rb, y = 0-0.18), and K0.3(W1-yTay/2Vy/2)O3 (y = 0-0.3) were synthesized by solid state reactions at 10-7 MPa and 1073 K. The K-HTB series samples crystallize in space group P6322 while Rb-HTB could be described in space group P63/mcm