Testing for Unit Roots in Nonlinear Dynamic Heterogeneous Panels

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections. The test is derived under three special cases: (i) the number of cross sections and observations over time are fixed, (ii) observations over time are fixed and the number of cross sections tend to infinity, and (iii) first letting the number of observations over time tend to infinity and thereafter the number of cross sections. Small sample properties of the test show modest size distortions and satisfactory power being superior to the Im, Pesaran, and Shin t-type of test. We also show clear improvements in power compared to a univariate unit root test allowing for nonlinearities under the alternative hypothesis.Dynamic nonlinear heterogenous panels; Structural breaks; Unit roots; t-statistics; Central limit theorem;

Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new are introduced, in the area of unit roots. The results are derived under the assumption that the error term is a strong mixing. Small sample properties of the tests are investigated, and in particular, the power performances are satisfactory.Parameter constancy; LSTAR; Unit root; Brownian; motion; Strong mixing;

Dickey-Fuller Type of Tests against Nonlinear Dynamic Models

In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests. Finite sample properties are examined. The performance of the tests is compared to that of the classical unit root tests by Dickey-Fuller and Phillips and Perron, and is found to be superior in terms of power.Dickey-Fuller test; LSTAR(p); LSTART(p); Nonlinear trends; Parameter constancy; Unit root; Brownian motion;

Inference for Unit Roots in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the LSDV estimator of the autoregressive parameter in the linear component of the model is inconsistent due to the inclusion of fixed effects. The test statistic, adjusted for the inconsistency, has an asymptotic normal distribution whose first two moments are calculated analytically. To complete the analysis, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests by Harris and Tzavalis have inferior or reasonable power compared to our test.Dynamic nonlinear panel; Smooth transitions; Structural breaks; Unit roots; LSDV estimation; Central limit theorem;

Testing for unit roots in nonlinear dynamic heterogeneous panels

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections. The test is derived under three special cases: (i) the number of cross sections and observations over time are fixed, (ii) observations over time are fixed and the number of cross sections tend to infinity, and (iii) first letting the number of observations over time tend to infinity and thereafter the number of cross sections. Small sample properties of the test show modest size distortions and satisfactory power being superior to the Im, Pesaran, and Shin t-type of test. We also show clear improvements in power compared to a univariate unit root test allowing for nonlinearities under the alternative hypothesis

Testing parameter constancy in unit root autoregressive models against continuous change

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new are introduced, in the area of unit roots. The results are derived under the assumption that the error term is a strong mixing. Small sample properties of the tests are investigated, and in particular, the power performances are satisfactory

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the LSDV estimator of the autoregressive parameter in the linear component of the model is inconsistent due to the inclusion of fixed effects. The test statistic, adjusted for the inconsistency, has an asymptotic normal distribution whose first two moments are calculated analytically. To complete the analysis, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests by Harris and Tzavalis have inferior or reasonable power compared to our test

The molecular portrait of in vitro growth by meta-analysis of gene-expression profiles

BACKGROUND: Cell lines as model systems of tumors and tissues are essential in molecular biology, although they only approximate the properties of in vivo cells in tissues. Cell lines have been selected under in vitro conditions for a long period of time, affecting many specific cellular pathways and processes. RESULTS: To identify the transcriptional changes caused by long term in vitro selection, we performed a gene-expression meta-analysis and compared 60 tumor cell lines (of nine tissue origins) to 135 human tissue and 176 tumor tissue samples. Using significance analysis of microarrays we demonstrated that cell lines showed statistically significant differential expression of approximately 30% of the approximately 7,000 genes investigated compared to the tissues. Most of the differences were associated with the higher proliferation rate and the disrupted tissue organization in vitro. Thus, genes involved in cell-cycle progression, macromolecule processing and turnover, and energy metabolism were upregulated in cell lines, whereas cell adhesion molecules and membrane signaling proteins were downregulated. CONCLUSION: Detailed molecular understanding of how cells adapt to the in vitro environment is important, as it will both increase our understanding of tissue organization and result in a refined molecular portrait of proliferation. It will further indicate when to use immortalized cell lines, or when it is necessary to instead use three-dimensional cultures, primary cell cultures or tissue biopsies

Automatic robust estimation for exponential smoothing: Perspectives from statistics and machine learning

A major challenge in automating the production of a large number of forecasts, as often required in many business applications, is the need for robust and reliable predictions. Increased noise, outliers and structural changes in the series, all too common in practice, can severely affect the quality of forecasting. We investigate ways to increase the reliability of exponential smoothing forecasts, the most widely used family of forecasting models in business forecasting. We consider two alternative sets of approaches, one stemming from statistics and one from machine learning. To this end, we adapt M-estimators, boosting and inverse boosting to parameter estimation for exponential smoothing. We propose appropriate modifications that are necessary for time series forecasting while aiming to obtain scalable algorithms. We evaluate the various estimation methods using multiple real datasets and find that several approaches outperform the widely used maximum likelihood estimation. The novelty of this work lies in (1) demonstrating the usefulness of M-estimators, (2) and of inverse boosting, which outperforms standard boosting approaches, and (3) a comparative look at statistics versus machine learning inspired approaches